bac-20220930

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES

EXCHANGE ACT OF 1934

For the Quarterly Period Ended September 30, 2022

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES

EXCHANGE ACT OF 1934

For the transition period from to

Commission file number:

1-6523

Exact name of registrant as specified in its charter:

Bank of America Corporation

State or other jurisdiction of incorporation or organization:

Delaware

IRS Employer Identification No.:

56-0906609

Address of principal executive offices:

Bank of America Corporate Center

100 N. Tryon Street

Charlotte, North Carolina 28255

Registrant’s telephone number, including area code:

(704) 386-5681

Former name, former address and former fiscal year, if changed since last report:

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Stock, par value $0.01 per share	BAC	New York Stock Exchange
Depositary Shares, each representing a 1/1,000th interest in a share	BAC PrE	New York Stock Exchange
of Floating Rate Non-Cumulative Preferred Stock, Series E
Depositary Shares, each representing a 1/1,000th interest in a share	BAC PrB	New York Stock Exchange
of 6.000% Non-Cumulative Preferred Stock, Series GG
Depositary Shares, each representing a 1/1,000th interest in a share	BAC PrK	New York Stock Exchange
of 5.875% Non-Cumulative Preferred Stock, Series HH
7.25% Non-Cumulative Perpetual Convertible Preferred Stock, Series L	BAC PrL	New York Stock Exchange
Depositary Shares, each representing a 1/1,200th interest in a share	BML PrG	New York Stock Exchange
of Bank of America Corporation Floating Rate
Non-Cumulative Preferred Stock, Series 1


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Depositary Shares, each representing a 1/1,200th interest in a share	BML PrH	New York Stock Exchange
of Bank of America Corporation Floating Rate
Non-Cumulative Preferred Stock, Series 2
Depositary Shares, each representing a 1/1,200th interest in a share	BML PrJ	New York Stock Exchange
of Bank of America Corporation Floating Rate
Non-Cumulative Preferred Stock, Series 4
Depositary Shares, each representing a 1/1,200th interest in a share	BML PrL	New York Stock Exchange
of Bank of America Corporation Floating Rate
Non-Cumulative Preferred Stock, Series 5
Floating Rate Preferred Hybrid Income Term Securities of BAC Capital	BAC/PF	New York Stock Exchange
Trust XIII (and the guarantee related thereto)
5.63% Fixed to Floating Rate Preferred Hybrid Income Term Securities	BAC/PG	New York Stock Exchange
of BAC Capital Trust XIV (and the guarantee related thereto)
Income Capital Obligation Notes initially due December 15, 2066 of	MER PrK	New York Stock Exchange
Bank of America Corporation
Senior Medium-Term Notes, Series A, Step Up Callable Notes, due	BAC/31B	New York Stock Exchange
November 28, 2031 of BofA Finance LLC (and the guarantee
of the Registrant with respect thereto)
Depositary Shares, each representing a 1/1,000th interest in a share of	BAC PrM	New York Stock Exchange
5.375% Non-Cumulative Preferred Stock, Series KK
Depositary Shares, each representing a 1/1,000th interest in a share	BAC PrN	New York Stock Exchange
of 5.000% Non-Cumulative Preferred Stock, Series LL
Depositary Shares, each representing a 1/1,000th interest in a share of	BAC PrO	New York Stock Exchange
4.375% Non-Cumulative Preferred Stock, Series NN
Depositary Shares, each representing a 1/1,000th interest in a share of	BAC PrP	New York Stock Exchange
4.125% Non-Cumulative Preferred Stock, Series PP
Depositary Shares, each representing a 1/1,000th interest in a share of	BAC PrQ	New York Stock Exchange
4.250% Non-Cumulative Preferred Stock, Series QQ
Depositary Shares, each representing a 1/1,000th interest in a share	BAC PrS	New York Stock Exchange
of 4.750% Non-Cumulative Preferred Stock, Series SS

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☑

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Exchange Act Rule 12b-2).

Yes ☐ No ☑

On October 27, 2022, there were 8,022,432,239 shares of Bank of America Corporation Common Stock outstanding.

Bank of America Corporation and Subsidiaries

September 30, 2022

Form 10-Q

INDEX

Part I. Financial Information


Item 1. Financial Statements						Page
Consolidated Statement of Income						49
Consolidated Statement of Comprehensive Income						49
Consolidated Balance Sheet						50
Consolidated Statement of Changes in Shareholders’ Equity						51
Consolidated Statement of Cash Flows						52
Notes to Consolidated Financial Statements						53
Note 1 – Summary of Significant Accounting Principles						53
Note 2 – Net Interest Income and Noninterest Income						54
Note 3 – Derivatives						55
Note 4 – Securities						62
Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses						65

Note 6 – Securitizations and Other Variable Interest Entities						76
Note 7 – Goodwill and Intangible Assets						79
Note 8 – Leases						80
Note 9 – Securities Financing Agreements, Collateral and Restricted Cash						80
Note 10 – Commitments and Contingencies						82
Note 11 – Shareholders’ Equity						85
Note 12 – Accumulated Other Comprehensive Income (Loss)						85
Note 13 – Earnings Per Common Share						86

Note 14 – Fair Value Measurements						86
Note 15 – Fair Value Option						93
Note 16 – Fair Value of Financial Instruments						95
Note 17 – Business Segment Information						95
Glossary						100
Acronyms						102



Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
Executive Summary						3
Recent Developments						3
Financial Highlights						5

Supplemental Financial Data						8
Business Segment Operations						12
Consumer Banking						12
Global Wealth & Investment Management						16
Global Banking						18
Global Markets						20

All Other						22
Managing Risk						22

Capital Management						23
Liquidity Risk						27
Credit Risk Management						30
Consumer Portfolio Credit Risk Management						30
Commercial Portfolio Credit Risk Management						35
Non-U.S. Portfolio						41

Allowance for Credit Losses						42
Market Risk Management						44
Trading Risk Management						44
Interest Rate Risk Management for the Banking Book						45
Mortgage Banking Risk Management						46



Climate Risk Management						47
Complex Accounting Estimates						47
Non-GAAP Reconciliations						48

Item 3. Quantitative and Qualitative Disclosures about Market Risk						48
Item 4. Controls and Procedures						48


1 Bank of America

Part II. Other Information


Item 1. Legal Proceedings						103
Item 1A. Risk Factors						103
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds						103
Item 5. Other Information						103
Item 6. Exhibits						104
Signature						104

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Bank of America Corporation (the “Corporation”) and its management may make certain statements that constitute “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. These statements can be identified by the fact that they do not relate strictly to historical or current facts. Forward-looking statements often use words such as “anticipates,” “targets,” “expects,” “hopes,” “estimates,” “intends,” “plans,” “goals,” “believes,” “continue” and other similar expressions or future or conditional verbs such as “will,” “may,” “might,” “should,” “would” and “could.” Forward-looking statements represent the Corporation’s current expectations, plans or forecasts of its future results, revenues, provision for credit losses, expenses, efficiency ratio, capital measures, strategy, and future business and economic conditions more generally, and other future matters. These statements are not guarantees of future results or performance and involve certain known and unknown risks, uncertainties and assumptions that are difficult to predict and are often beyond the Corporation’s control. Actual outcomes and results may differ materially from those expressed in, or implied by, any of these forward-looking statements.

You should not place undue reliance on any forward-looking statement and should consider the following uncertainties and risks, as well as the risks and uncertainties more fully discussed under Item 1A. Risk Factors of the Corporation’s 2021 Annual Report on Form 10-K and in any of the Corporation’s subsequent Securities and Exchange Commission filings: the Corporation’s potential judgments, orders, settlements, penalties, fines and reputational damage resulting from pending or future litigation and regulatory investigations, proceedings and enforcement actions, including as a result of our participation in and execution of government programs related to the Coronavirus Disease 2019 (COVID-19) pandemic, such as the processing of unemployment benefits for California and certain other states; the possibility that the Corporation's future liabilities may be in excess of its recorded liability and estimated range of possible loss for litigation, and regulatory and government actions; the possibility that the Corporation could face increased claims from one or more parties involved in mortgage securitizations; the Corporation's ability to resolve representations and warranties repurchase and related claims; the risks related to the discontinuation of the London Interbank Offered Rate and other reference rates, including increased expenses and litigation and the effectiveness of hedging strategies; uncertainties about the financial stability and growth rates of non-U.S. jurisdictions, the risk that those jurisdictions may face difficulties servicing their sovereign debt, and related stresses on financial markets, currencies and trade, and the Corporation’s exposures to such risks, including direct, indirect and operational; the impact of U.S. and global interest rates, inflation, currency exchange rates, economic conditions, trade policies and tensions, including tariffs,

and potential geopolitical instability; the impact of the interest rate, inflationary and macroeconomic environment on the Corporation’s business, financial condition and results of operations; the possibility that future credit losses may be higher than currently expected due to changes in economic assumptions, customer behavior, adverse developments with respect to U.S. or global economic conditions and other uncertainties, including the impact of supply chain disruptions, inflationary pressures and labor shortages on economic conditions and our business; potential losses related to the Corporation’s concentration of credit risk; the Corporation’s ability to achieve its expense targets and expectations regarding revenue, net interest income, provision for credit losses, net charge-offs, effective tax rate, loan growth or other projections; adverse changes to the Corporation’s credit ratings from the major credit rating agencies; an inability to access capital markets or maintain deposits or borrowing costs; estimates of the fair value and other accounting values, subject to impairment assessments, of certain of the Corporation’s assets and liabilities; the estimated or actual impact of changes in accounting standards or assumptions in applying those standards; uncertainty regarding the content, timing and impact of regulatory capital and liquidity requirements; the impact of adverse changes to total loss-absorbing capacity requirements, stress capital buffer requirements and/or global systemically important bank surcharges; the potential impact of actions of the Board of Governors of the Federal Reserve System on the Corporation’s capital plans; the effect of changes in or interpretations of income tax laws and regulations; the impact of implementation and compliance with U.S. and international laws, regulations and regulatory interpretations, including, but not limited to, recovery and resolution planning requirements, Federal Deposit Insurance Corporation assessments, the Volcker Rule, fiduciary standards, derivatives regulations and the Coronavirus Aid, Relief, and Economic Security Act and any similar or related rules and regulations; a failure or disruption in or breach of the Corporation’s operational or security systems or infrastructure, or those of third parties, including as a result of cyberattacks or campaigns; the risks related to the transition and physical impacts of climate change; our ability to achieve environmental, social and governance goals and commitments or the impact of any changes in the Corporation’s sustainability strategy or commitments generally; the impact of any future federal government shutdown and uncertainty regarding the federal government’s debt limit or changes in fiscal, monetary or regulatory policy; the emergence of widespread health emergencies or pandemics, including the magnitude and duration of the COVID-19 pandemic and its impact on U.S. and/or global financial market conditions and our business, results of operations, financial condition and prospects; the impact of


						Bank of America 2

natural disasters, extreme weather events, military conflict (including the Russia/Ukraine conflict, the possible expansion of such conflict and potential geopolitical consequences), terrorism or other geopolitical events; and other matters.

Forward-looking statements speak only as of the date they are made, and the Corporation undertakes no obligation to update any forward-looking statement to reflect the impact of circumstances or events that arise after the date the forward-looking statement was made.

Notes to the Consolidated Financial Statements referred to in Management’s Discussion and Analysis of Financial Condition and Results of Operations (MD&A) are incorporated by reference into the MD&A. Certain prior-period amounts have been reclassified to conform to current-period presentation. Throughout the MD&A, the Corporation uses certain acronyms and abbreviations which are defined in the Glossary.

Executive Summary

Business Overview

The Corporation is a Delaware corporation, a bank holding company (BHC) and a financial holding company. When used in this report, “the Corporation,” “we,” “us” and “our” 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. Our principal executive offices are located in Charlotte, North Carolina. Through our various bank and nonbank subsidiaries throughout the U.S. and in international markets, we provide a diversified range of banking and nonbank financial services and products through four business segments: Consumer Banking, Global Wealth & Investment Management (GWIM), Global Banking and Global Markets, with the remaining operations recorded in All Other. We operate our banking activities primarily under the Bank of America, National Association (Bank of America, N.A. or BANA) charter. At September 30, 2022, the Corporation had $3.1 trillion in assets and a headcount of approximately 213,000 employees.

As of September 30, 2022, we served clients through operations across the U.S., its territories and approximately 35 countries. Our retail banking footprint covers all major markets in the U.S., and we serve approximately 68 million consumer and small business clients with approximately 3,900 retail financial centers, approximately 16,000 ATMs, and leading digital banking platforms (www.bankofamerica.com) with approximately 43 million active users, including approximately 35 million active mobile users. We offer industry-leading support to approximately three million small business households. Our GWIM businesses, with client balances of $3.2 trillion, provide tailored solutions to meet client needs through a full set of investment management, brokerage, banking, trust and retirement products. We are a global leader in corporate and investment banking and trading across a broad range of asset classes serving corporations, governments, institutions and individuals around the world.

The Corporation’s website is www.bankofamerica.com, and the Investor Relations portion of our website is https://investor.bankofamerica.com. We use our website to distribute company information, including as a means of disclosing material, non-public information and for complying with our disclosure obligations under Regulation FD. We routinely post and make accessible financial and other information, including environmental, social and governance (ESG) information, regarding the Corporation on our website. Investors should monitor our website, including the Investor Relations portion, in

addition to our press releases, U.S. Securities and Exchange Commission (SEC) filings, public conference calls and webcasts. Notwithstanding the foregoing, the information contained on our website as referenced in this paragraph is not incorporated by reference into this Quarterly Report on Form 10-Q.

Recent Developments

Monoline Insurance Litigation Settlement

As previously disclosed, on October 6, 2022, the Corporation and certain wholly owned subsidiaries entered into an agreement with Ambac Assurance Corporation (together with its subsidiaries, “Ambac”) to resolve all pending Ambac lawsuits against the Corporation and its subsidiaries previously disclosed in the Corporation’s 2021 Annual Report on Form 10-K and in prior SEC reports. Under the terms of the agreement, in exchange for the Corporation’s payment of $1.84 billion, Ambac, among other things, caused all pending litigation between the parties to be dismissed with prejudice, and released the Corporation and its subsidiaries from all outstanding claims related to Ambac’s issuance of bond insurance policies for certain of the Corporation’s and legacy entities’ securitized pools of residential mortgage loans. The Corporation recorded litigation expense of $354 million in the third quarter of 2022 for the portion of the settlement in excess of previously accrued amounts. For more information, see Note 10 – Commitments and Contingencies to the Consolidated Financial Statements.

Changes in U.S. Tax Law

On August 16, 2022, the U.S. enacted the Inflation Reduction Act of 2022, which contained a number of tax-related provisions. The tax changes included the extension and expansion of renewable energy tax credit programs, the establishment of a new 15 percent alternative minimum tax on adjusted financial statement income for large corporations and a one percent excise tax on stock repurchases. For more information, see Financial Highlights – Income Tax Expense on page 7.

Capital Management

In June 2022, the Board of Governors of the Federal Reserve System (Federal Reserve) announced the results of the 2022 Comprehensive Capital Analysis and Review (CCAR) supervisory stress tests, which included preliminary stress capital buffers (SCBs) that were finalized in August 2022. Based on the results, our SCB increased to 3.4 percent from 2.5 percent, resulting in a minimum Common equity tier 1 (CET1) capital ratio requirement of 10.4 percent under the Standardized approach, effective October 1, 2022 through September 30, 2023.

On October 19, 2022, the Corporation’s Board of Directors (the Board) declared a quarterly common stock dividend of $0.22 per share, payable on December 30, 2022 to shareholders of record as of December 2, 2022.

For more information on our capital resources, see Capital Management on page 23.

Russia/Ukraine Conflict

As previously disclosed, due to the Russia/Ukraine conflict, there has been significant volatility in financial and commodities markets, and multiple jurisdictions have implemented various economic sanctions. At September 30, 2022, June 30, 2022 and December 31, 2021, our direct net country exposure to Russia was $461 million, $550 million and $733 million,


3 Bank of America

primarily consisting of outstanding loans and leases totaling $390 million, $468 million and $686 million, respectively, and our net country exposure to Ukraine was not significant. While the Corporation’s direct exposure to Russia is limited, the potential duration, course and impact of the Russia/Ukraine conflict remain uncertain and could adversely affect macroeconomic and geopolitical conditions, which could negatively impact the Corporation's businesses, results of operations and financial position. For more information on the Russia/Ukraine conflict, including related risks, see Recent Developments – Russia/Ukraine in the MD&A of the Corporation’s quarterly reports on Form 10-Q for the quarters ended June 30, 2022 and March 31, 2022, and the Market and Geopolitical sections within Item 1A. Risk Factors of the Corporation’s 2021 Annual Report on Form 10-K.

LIBOR and Other Benchmark Rates

Immediately after December 31, 2021, ICE Benchmark Administration ceased publishing British Pound Sterling (GBP), Euro, Swiss Franc, and Japanese Yen (JPY) London Interbank Offered Rate (LIBOR) settings and one-week and two-month U.S. dollar (USD) LIBOR settings. However, certain GBP and JPY LIBOR settings that became no longer representative of the underlying market that such rates sought to measure are being published using a modified calculation (i.e., on a “synthetic” basis). The remaining USD LIBOR settings (i.e., overnight, one month, three month, six month and 12 month) will cease or become non-representative immediately after June 30, 2023.

The Corporation continues to execute its enterprise-wide transition program with respect to LIBOR and other impacted benchmark rates. The Corporation has ceased entering into new contracts that use USD LIBOR as a reference rate, subject to limited exceptions, including those consistent with supervisory guidance issued by the Federal Reserve, the Office of the Comptroller of the Currency and the Federal Deposit Insurance

Corporation (FDIC). The Corporation also continues to monitor a variety of market scenarios as part of its transition efforts, including risks associated with insufficient preparation by individual market participants or the overall market ecosystem, ability of market participants to transition away from impacted benchmarks, and access and demand by clients and market participants to liquidity in certain products, including LIBOR products.

As previously disclosed, the Corporation has remediated a significant majority of its notional contractual exposure to LIBOR products referencing USD LIBOR settings that will cease or become non-representative immediately after June 30, 2023 (i.e., updated to include fallback provisions to alternative reference rates (ARRs), such as the Secured Overnight Financing Rate for USD LIBOR, that are based on market-driven protocols, regulatory guidance, and industry-recommended fallback provisions and related mechanisms). The remaining non-remediated USD LIBOR exposure, a majority of which is made up of derivatives and commercial loans, represents a small minority of outstanding USD LIBOR notional contractual exposure of the Corporation and requires active dialogue with clients to modify such contracts. For any residual exposures after June 2023 that continue to have no fallback provisions, the Corporation is assessing and planning to leverage relevant contractual and statutory solutions, including the Adjustable Interest Rate (LIBOR) Act, enacted in March 2022 at the federal level in the U.S. and subject to the issuance of final implementing rules by the Federal Reserve, and other relevant legislation, to transition such exposure to ARRs.

For more information on the expected replacement of LIBOR and other benchmark rates, see Executive Summary – Recent Developments – LIBOR and Other Benchmark Rates in the MD&A and Item 1A. Risk Factors – Other of the Corporation’s 2021 Annual Report on Form 10-K.


						Bank of America 4

Financial Highlights



Table 1	Summary Income Statement and Selected Financial Data
		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions, except per share information)		2022			2021			2022			2021
Income statement
Net interest income		$	13,765		$	11,094		$	37,781		$	31,524
Noninterest income		10,737			11,672			32,637			35,529
Total revenue, net of interest expense		24,502			22,766			70,418			67,053
Provision for credit losses		898			(624)			1,451			(4,105)
Noninterest expense		15,303			14,440			45,895			45,000
Income before income taxes		8,301			8,950			23,072			26,158
Income tax expense		1,219			1,259			2,676			1,193
Net income		7,082			7,691			20,396			24,965
Preferred stock dividends		503			431			1,285			1,181
Net income applicable to common shareholders		$	6,579		$	7,260		$	19,111		$	23,784

Per common share information
Earnings		$	0.81		$	0.86		$	2.35		$	2.77
Diluted earnings		0.81			0.85			2.34			2.75
Dividends paid		0.22			0.21			0.64			0.57
Performance ratios
Return on average assets (1)		0.90		%	0.99		%	0.86		%	1.12		%
Return on average common shareholders’ equity (1)		10.79			11.43			10.58			12.67
Return on average tangible common shareholders’ equity (2)		15.21			15.85			14.93			17.61
Efficiency ratio (1)		62.45			63.43			65.17			67.11
								September 30 2022			December 31 2021

Balance sheet
Total loans and leases								$	1,032,466		$	979,124
Total assets								3,072,953			3,169,495
Total deposits								1,938,097			2,064,446
Total liabilities								2,803,429			2,899,429
Total common shareholders’ equity								240,390			245,358
Total shareholders’ equity								269,524			270,066

(1)For definitions, see Key Metrics on page 101.

(2)Return on average tangible common shareholders’ equity is a non-GAAP financial measure. For more information and a corresponding reconciliation to the most closely related financial measures defined by accounting principles generally accepted in the United States of America (GAAP), see Non-GAAP Reconciliations on page 48.

Net income was $7.1 billion and $20.4 billion, or $0.81 and $2.34 per diluted share, for the three and nine months ended September 30, 2022 compared to $7.7 billion and $25.0 billion, or $0.85 and $2.75 per diluted share, for the same periods in 2021. The decrease in net income was primarily due to an increase in provision for credit losses, lower noninterest income and higher noninterest expense, partially offset by higher net interest income. In addition, the nine-month period in the prior year included a positive income tax adjustment related to the revaluation of U.K. net deferred tax assets.

Total assets decreased $96.5 billion from December 31, 2021 to $3.1 trillion primarily driven by lower cash and cash equivalents due to deposit outflows related to the rising interest rate environment and lower debt securities, partially offset by loan growth across commercial and consumer products, as well as higher trading account assets and derivative assets to support Global Markets activity.

Total liabilities decreased $96.0 billion from December 31, 2021 to $2.8 trillion primarily driven by deposit outflows related to the rising interest rate environment and customer tax payments.

Shareholders’ equity decreased $542 million from December 31, 2021 primarily due to market value decreases on derivatives and debt securities, as well as returns of capital to

shareholders through common and preferred stock dividends and common stock repurchases, partially offset by net income and the issuance of preferred stock.

Net Interest Income

Net interest income increased $2.7 billion to $13.8 billion, and $6.3 billion to $37.8 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. Net interest yield on a fully taxable-equivalent (FTE) basis increased 38 basis points (bps) to 2.06 percent, and 21 bps to 1.87 percent for the same periods. The increase in net interest income for the three-month period was primarily driven by benefits from higher interest rates, including lower premium amortization expense, and loan growth, partially offset by lower deposits and securities. The increase in the nine-month period was primarily driven by lower premium amortization expense, loan growth and higher interest rates, partially offset by a decrease in the acceleration of net capitalized loan fees due to Paycheck Protection Program (PPP) loan forgiveness. For more information on net interest yield and the FTE basis, see Supplemental Financial Data on page 8, and for more information on interest rate risk management, see Interest Rate Risk Management for the Banking Book on page 45.


5 Bank of America

Noninterest Income



Table 2	Noninterest Income
		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)		2022		2021		2022		2021
Fees and commissions:
Card income		$	1,573	$	1,583	$	4,531	$	4,604
Service charges		1,466		1,928		5,016		5,594
Investment and brokerage services		3,795		4,236		12,178		12,422
Investment banking fees		1,167		2,168		3,752		6,536
Total fees and commissions		8,001		9,915		25,477		29,156
Market making and similar activities		3,068		2,005		9,023		7,360


Other income		(332)		(248)		(1,863)		(987)

Total noninterest income		$	10,737	$	11,672	$	32,637	$	35,529

Noninterest income decreased $935 million to $10.7 billion and decreased $2.9 billion to $32.6 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The following highlights the significant changes.

● Service charges decreased $462 million and $578 million primarily driven by the impact of non-sufficient funds and overdraft policy changes as well as lower treasury service charges.

● Investment and brokerage services decreased $441 million and $244 million primarily driven by lower market valuations.

● Investment banking fees decreased $1.0 billion and $2.8 billion primarily driven by a decline in demand resulting in lower equity and debt issuance fees and lower advisory fees.

● Market making and similar activities increased $1.1 billion and $1.7 billion primarily driven by improved performance across macro products in fixed income, currencies and commodities (FICC) and derivative products in Equities.

● Other income decreased $84 million and $876 million primarily due to certain valuation adjustments.

Provision for Credit Losses

The provision for credit losses increased $1.5 billion to $898 million and $5.6 billion to $1.5 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The provision for credit losses for the three months ended September 30, 2022 was primarily driven by loan growth and a dampening macroeconomic outlook, and the nine-month period was driven by the same factors as well as a reserve build related to Russian exposure, partially offset by asset quality improvement and reduced COVID-19 pandemic (the pandemic) uncertainties. For the same periods in the prior year, the benefit in the provision for credit losses was due to an improved macroeconomic outlook. For more information on the provision for credit losses, see Allowance for Credit Losses on page 42.


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Noninterest Expense



Table 3	Noninterest Expense

		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)		2022		2021		2022		2021
Compensation and benefits		$	8,887	$	8,714	$	27,286	$	27,103
Occupancy and equipment		1,777		1,764		5,285		5,353
Information processing and communications		1,546		1,416		4,621		4,289
Product delivery and transaction related		892		987		2,749		2,940
Marketing		505		347		1,365		1,528
Professional fees		525		434		1,493		1,263
Other general operating		1,171		778		3,096		2,524
Total noninterest expense		$	15,303	$	14,440	$	45,895	$	45,000

Noninterest expense increased $863 million to $15.3 billion and $895 million to $45.9 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The increase in the three-month period was primarily due to higher investments in people and technology and the settlement of the legacy monoline insurance litigation, partially

offset by lower net COVID-19 related costs. The increase in the nine-month period was primarily due to the same factors as described in the three-month period, as well as expenses recognized for certain regulatory matters during the second quarter of 2022.

Income Tax Expense



Table 4	Income Tax Expense

		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)		2022			2021			2022			2021
Income before income taxes		$	8,301		$	8,950		$	23,072		$	26,158
Income tax expense		1,219			1,259			2,676			1,193
Effective tax rate		14.7		%	14.1		%	11.6		%	4.6		%

Changes in the effective tax rates for the three and nine months ended September 30, 2022 compared to the same periods a year ago were primarily driven by changes in our recurring preference benefits. Also included in the nine months ended September 30, 2021 was the impact of the 2021 U.K. tax law change further discussed in this section. The majority of our recurring tax preference benefits consists of tax credits from ESG investments in affordable housing, where the recurring tax credits are recognized ratably over a term of up to 10 years, and wind and solar energy investments, where the tax credits are recognized either at inception for transactions electing Investment Tax Credits (ITCs) or as energy is produced if electing Production Tax Credits (PTCs), as further discussed below. Absent ESG tax credits and unusual items, the effective tax rates would have been approximately 25 percent.

On August 16, 2022, the U.S. enacted the Inflation Reduction Act of 2022, which contained a number of tax-related provisions, including the extension and expansion of renewable energy tax credit programs. In particular, partnerships are no longer limited to an ITC, but can now elect a PTC for solar energy production facilities placed in service after December 31, 2021. As a result, the Corporation changed its estimated impact of solar-related tax credits and reversed the impact of certain solar investment tax credits recognized in the first half of

2022, which increased income tax expense by $152 million in the third quarter of 2022. If there is a change in the expected tax credit election, an income tax adjustment will be recognized in the quarter in which the change occurs.

Other notable tax law changes include the establishment of a new 15 percent alternative minimum tax (AMT) on adjusted financial statement income for large corporations and a one percent excise tax on net stock repurchases, both of which are effective for tax years beginning on or after January 1, 2023. The tax law changes for the new AMT permit business credits, including those from ESG investments in renewable energy and affordable housing, to offset potential AMT liability. The Corporation has assessed the potential impacts of these two U.S. tax law changes and does not expect the changes will have a significant effect on its future effective tax rate.

On June 10, 2021, the U.K. enacted the 2021 Finance Act, which increased the U.K. corporation income tax rate to 25 percent from 19 percent. This change is effective April 1, 2023 and unfavorably affects income tax expense on future U.K. earnings. As a result, during the three months ended June 30, 2021, the Corporation recorded a positive income tax adjustment of approximately $2.0 billion with a corresponding write-up of U.K. net deferred tax assets, which reflected a reversal of previously recorded write-downs of net deferred tax assets for prior changes in the U.K. corporation income tax rate.


7 Bank of America

Supplemental Financial Data

Non-GAAP Financial Measures

In this Form 10-Q, we present certain non-GAAP financial measures. Non-GAAP financial measures exclude certain items or otherwise include components that differ from the most directly comparable measures calculated in accordance with GAAP. Non-GAAP financial measures are provided as additional useful information to assess our financial condition, results of operations (including period-to-period operating performance) or compliance with prospective regulatory requirements. These non-GAAP financial measures are not intended as a substitute for GAAP financial measures and may not be defined or calculated the same way as non-GAAP financial measures used by other companies.

We view net interest income and related ratios and analyses on an FTE basis, which when presented on a consolidated basis are non-GAAP financial measures. To derive the FTE basis, net interest income is adjusted to reflect tax-exempt income on an equivalent before-tax basis with a corresponding increase in income tax expense. For purposes of this calculation, we use the federal statutory tax rate of 21 percent and a representative state tax rate. Net interest yield, which measures the basis points we earn over the cost of funds, utilizes net interest income on an FTE basis. We believe that presentation of these items on an FTE basis allows for comparison of amounts from both taxable and tax-exempt sources and is consistent with industry practices.

We may present certain key performance indicators and ratios excluding certain items (e.g., debit valuation adjustment (DVA) gains (losses)), which result in non-GAAP financial measures. We believe that the presentation of measures that exclude these items is useful because such measures provide additional information to assess the underlying operational performance and trends of our businesses and to allow better comparison of period-to-period operating performance.

We also evaluate our business based on certain ratios that utilize tangible equity, a non-GAAP financial measure. Tangible equity represents shareholders’ equity or common shareholders’ equity reduced by goodwill and intangible assets (excluding mortgage servicing rights (MSRs)), net of related deferred tax liabilities (“adjusted” shareholders’ equity or common shareholders’ equity). These measures are used to evaluate our use of equity. In addition, profitability, relationship and investment models use both return on average tangible

common shareholders’ equity and return on average tangible shareholders’ equity as key measures to support our overall growth objectives. These ratios are:

● Return on average tangible common shareholders’ equity measures our net income applicable to common shareholders as a percentage of adjusted average common shareholders’ equity. The tangible common equity ratio represents adjusted ending common shareholders’ equity divided by total tangible assets.

● Return on average tangible shareholders’ equity measures our net income as a percentage of adjusted average total shareholders’ equity. The tangible equity ratio represents adjusted ending shareholders’ equity divided by total tangible assets.

● Tangible book value per common share represents adjusted ending common shareholders’ equity divided by ending common shares outstanding.

We believe ratios utilizing tangible equity provide additional useful information because they present measures of those assets that can generate income. Tangible book value per common share provides additional useful information about the level of tangible assets in relation to outstanding shares of common stock.

The aforementioned supplemental data and performance measures are presented in Table 5 on page 9.

For more information on the reconciliation of these non-GAAP financial measures to the corresponding GAAP financial measures, see Non-GAAP Reconciliations on page 48.

Key Performance Indicators

We present certain key financial and nonfinancial performance indicators (key performance indicators) that management uses when assessing our consolidated and/or segment results. We believe they are useful to investors because they provide additional information about our underlying operational performance and trends. These key performance indicators (KPIs) may not be defined or calculated in the same way as similar KPIs used by other companies. For information on how these metrics are defined, see Key Metrics on page 101.

Our consolidated key performance indicators, which include various equity and credit metrics, are presented in Table 1 on page 5 and Table 5 on page 9.

For information on key segment performance metrics, see Business Segment Operations on page 12.


						Bank of America 8




Table 5	Selected Financial Data
																	Nine Months Ended
		2022 Quarters									2021 Quarters						September 30
(In millions, except per share information)		Third			Second			First			Fourth			Third			2022			2021
Income statement
Net interest income		$	13,765		$	12,444		$	11,572		$	11,410		$	11,094		$	37,781		$	31,524
Noninterest income		10,737			10,244			11,656			10,650			11,672			32,637			35,529
Total revenue, net of interest expense		24,502			22,688			23,228			22,060			22,766			70,418			67,053
Provision for credit losses		898			523			30			(489)			(624)			1,451			(4,105)
Noninterest expense		15,303			15,273			15,319			14,731			14,440			45,895			45,000
Income before income taxes		8,301			6,892			7,879			7,818			8,950			23,072			26,158
Income tax expense		1,219			645			812			805			1,259			2,676			1,193
Net income		7,082			6,247			7,067			7,013			7,691			20,396			24,965
Net income applicable to common shareholders		6,579			5,932			6,600			6,773			7,260			19,111			23,784
Average common shares issued and outstanding		8,107.7			8,121.6			8,136.8			8,226.5			8,430.7			8,122.2			8,583.1
Average diluted common shares issued and outstanding		8,160.8			8,163.1			8,202.1			8,304.7			8,492.8			8,173.3			8,702.2
Performance ratios
Return on average assets (1)		0.90		%	0.79		%	0.89		%	0.88		%	0.99		%	0.86		%	1.12		%
Four-quarter trailing return on average assets (2)		0.87			0.89			0.99			1.05			1.04			n/a			n/a
Return on average common shareholders’ equity (1)		10.79			9.93			11.02			10.90			11.43			10.58			12.67
Return on average tangible common shareholders’ equity (3)		15.21			14.05			15.51			15.25			15.85			14.93			17.61
Return on average shareholders’ equity (1)		10.37			9.34			10.64			10.27			11.08			10.12			12.15
Return on average tangible shareholders’ equity (3)		13.99			12.66			14.40			13.87			14.87			13.68			16.33
Total ending equity to total ending assets		8.77			8.65			8.23			8.52			8.83			8.77			8.83
Common equity ratio (1)		7.82			7.71			7.40			7.74			8.07			7.82			8.07
Total average equity to total average assets		8.73			8.49			8.40			8.56			8.95			8.54			9.19
Dividend payout (1)		27.06			28.68			25.86			25.33			24.10			27.15			20.43
Per common share data
Earnings		$	0.81		$	0.73		$	0.81		$	0.82		$	0.86		$	2.35		$	2.77
Diluted earnings		0.81			0.73			0.80			0.82			0.85			2.34			2.75
Dividends paid		0.22			0.21			0.21			0.21			0.21			0.64			0.57
Book value (1)		29.96			29.87			29.70			30.37			30.22			29.96			30.22
Tangible book value (3)		21.21			21.13			20.99			21.68			21.69			21.21			21.69




Market capitalization		$	242,338		$	250,136		$	332,320		$	359,383		$	349,841		$	242,338		$	349,841
Average balance sheet
Total loans and leases		$	1,034,334		$	1,014,886		$	977,793		$	945,062		$	920,509
Total assets		3,105,546			3,157,855			3,207,702			3,164,118			3,076,452
Total deposits		1,962,775			2,012,079			2,045,811			2,017,223			1,942,705
Long-term debt		250,204			245,781			246,042			248,525			248,988
Common shareholders’ equity		241,882			239,523			242,865			246,519			252,043
Total shareholders’ equity		271,017			268,197			269,309			270,883			275,484
Asset quality
Allowance for credit losses (4)		$	13,817		$	13,434		$	13,483		$	13,843		$	14,693
Nonperforming loans, leases and foreclosed properties (5)		4,156			4,326			4,778			4,697			4,831
Allowance for loan and lease losses as a percentage of total loans and leases outstanding (5)		1.20		%	1.17		%	1.23		%	1.28		%	1.43		%
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases (5)		309			288			262			271			279
Net charge-offs		$	520		$	571		$	392		$	362		$	463
Annualized net charge-offs as a percentage of average loans and leases outstanding (5)		0.20		%	0.23		%	0.16		%	0.15		%	0.20		%







Capital ratios at period end (6)

Common equity tier 1 capital		11.0		%	10.5		%	10.4		%	10.6		%	11.1		%

Tier 1 capital		12.8			12.3			12.0			12.1			12.6
Total capital		14.7			14.2			14.0			14.1			14.7
Tier 1 leverage		6.8			6.5			6.3			6.4			6.6
Supplementary leverage ratio		5.8			5.5			5.4			5.5			5.6
Tangible equity (3)		6.6			6.5			6.2			6.4			6.7
Tangible common equity (3)		5.7			5.6			5.3			5.7			5.9
Total loss-absorbing capacity and long-term debt metrics
Total loss-absorbing capacity to risk-weighted assets		28.9		%	27.8		%	27.2		%	26.9		%	27.7		%
Total loss-absorbing capacity to supplementary leverage exposure		13.0			12.6			12.2			12.1			12.4
Eligible long-term debt to risk-weighted assets		15.2			14.7			14.4			14.1			14.4
Eligible long-term debt to supplementary leverage exposure		6.8			6.6			6.5			6.3			6.4

(1)For definitions, see Key Metrics on page 101.

(2)Calculated as total net income for four consecutive quarters divided by annualized average assets for four consecutive quarters.

(3)Tangible equity ratios and tangible book value per share of common stock are non-GAAP financial measures. For more information on these ratios and corresponding reconciliations to GAAP financial measures, see Supplemental Financial Data on page 8 and Non-GAAP Reconciliations on page 48.

(4)Includes the allowance for loan and lease losses and the reserve for unfunded lending commitments.

(5)Balances and ratios do not include loans accounted for under the fair value option. For additional exclusions from nonperforming loans, leases and foreclosed properties, see Consumer Portfolio Credit Risk Management – Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity on page 35 and corresponding Table 25 and Commercial Portfolio Credit Risk Management – Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity on page 39 and corresponding Table 32.

(6)For more information, including which approach is used to assess capital adequacy, see Capital Management on page 23.

n/a = not applicable


9 Bank of America



Table 6	Quarterly Average Balances and Interest Rates - FTE Basis

		Average Balance		Interest Income/ Expense (1)		Yield/ Rate		Average Balance		Interest Income/ Expense (1)		Yield/ Rate
(Dollars in millions)		Third Quarter 2022						Third Quarter 2021
Earning assets
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks		$	184,263	$	848	1.83	%	$	240,054	$	50	0.08	%
Time deposits placed and other short-term investments		10,352		34		1.33		6,419		4		0.24
Federal funds sold and securities borrowed or purchased under agreements to resell		278,059		1,446		2.06		270,094		6		0.01
Trading account assets		163,744		1,465		3.55		147,196		979		2.64
Debt securities		901,654		4,259		1.88		949,009		3,296		1.39
Loans and leases (2)
Residential mortgage		228,474		1,616		2.83		215,652		1,487		2.76
Home equity		27,282		229		3.32		30,069		263		3.47
Credit card		85,009		2,187		10.20		75,569		1,952		10.25

Direct/Indirect and other consumer		108,300		923		3.38		98,148		578		2.34

Total consumer		449,065		4,955		4.39		419,438		4,280		4.06
U.S. commercial		377,183		3,427		3.60		323,659		2,315		2.84
Non-U.S. commercial		127,793		1,028		3.19		101,967		446		1.73
Commercial real estate (3)		66,707		738		4.39		59,881		378		2.51
Commercial lease financing		13,586		124		3.65		15,564		116		2.98
Total commercial		585,269		5,317		3.61		501,071		3,255		2.58
Total loans and leases		1,034,334		10,272		3.94		920,509		7,535		3.25
Other earning assets		98,172		1,403		5.67		120,734		567		1.86
Total earning assets		2,670,578		19,727		2.94		2,654,015		12,437		1.86
Cash and due from banks		27,250						30,101
Other assets, less allowance for loan and lease losses		407,718						392,336
Total assets		$	3,105,546					$	3,076,452
Interest-bearing liabilities
U.S. interest-bearing deposits

Demand and money market deposits		$	981,145	$	832	0.34	%	$	931,964	$	79	0.03	%

Time and savings deposits		164,313		193		0.47		162,337		41		0.10
Total U.S. interest-bearing deposits		1,145,458		1,025		0.35		1,094,301		120		0.04




Non-U.S. interest-bearing deposits		79,383		210		1.05		84,098		13		0.06
Total interest-bearing deposits		1,224,841		1,235		0.40		1,178,399		133		0.04
Federal funds purchased and securities loaned or sold under agreements to repurchase		211,346		1,338		2.51		216,869		147		0.27
Short-term borrowings and other interest-bearing liabilities (4)		137,253		926		2.68		107,713		(188)		(0.69)
Trading account liabilities		46,507		383		3.27		56,496		285		2.00
Long-term debt		250,204		1,974		3.14		248,988		865		1.37
Total interest-bearing liabilities		1,870,151		5,856		1.24		1,808,465		1,242		0.27
Noninterest-bearing sources
Noninterest-bearing deposits		737,934						764,306
Other liabilities (5)		226,444						228,197
Shareholders’ equity		271,017						275,484
Total liabilities and shareholders’ equity		$	3,105,546					$	3,076,452
Net interest spread						1.70	%					1.59	%
Impact of noninterest-bearing sources						0.36						0.09
Net interest income/yield on earning assets (6)				$	13,871	2.06	%			$	11,195	1.68	%

(1)Includes the impact of interest rate risk management contracts. For more information, see Interest Rate Risk Management for the Banking Book on page 45.

(2)Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is generally recognized on a cost recovery basis.

(3)Includes U.S. commercial real estate loans of $62.5 billion and $56.0 billion, and non-U.S. commercial real estate loans of $4.2 billion and $3.9 billion for the third quarter of 2022 and 2021.

(4)For more information on negative interest, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

(5)Includes $29.2 billion and $29.6 billion of structured notes and liabilities for the third quarter of 2022 and 2021.

(6)Net interest income includes FTE adjustments of $106 million and $101 million for the third quarter of 2022 and 2021.


						Bank of America 10



Table 7	Year-to-Date Average Balances and Interest Rates - FTE Basis

		Average Balance		Interest Income/ Expense (1)		Yield/ Rate		Average Balance		Interest Income/ Expense (1)		Yield/ Rate
		Nine Months Ended September 30
(Dollars in millions)		2022						2021
Earning assets
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks		$	202,293	$	1,216	0.80	%	$	255,136	$	106	0.06	%
Time deposits placed and other short-term investments		9,091		58		0.86		7,738		8		0.14
Federal funds sold and securities borrowed or purchased under agreements to resell (2)		293,971		1,835		0.83		263,581		(43)		(0.02)
Trading account assets		154,428		3,802		3.29		148,205		2,831		2.55
Debt securities		940,808		12,164		1.72		878,437		8,875		1.36
Loans and leases (3)
Residential mortgage		227,010		4,712		2.77		216,239		4,514		2.78
Home equity		27,492		684		3.32		31,761		811		3.41
Credit card		81,505		6,081		9.97		74,383		5,775		10.38

Direct/Indirect and other consumer		107,204		2,198		2.74		94,658		1,698		2.40

Total consumer		443,211		13,675		4.12		417,041		12,798		4.10
U.S. commercial		362,669		8,079		2.98		322,773		6,415		2.66
Non-U.S. commercial		124,965		2,228		2.38		96,445		1,284		1.78
Commercial real estate (4)		64,295		1,601		3.33		59,632		1,114		2.50
Commercial lease financing		14,071		334		3.17		16,200		356		2.94
Total commercial		566,000		12,242		2.89		495,050		9,169		2.48
Total loans and leases		1,009,211		25,917		3.43		912,091		21,967		3.22
Other earning assets		108,968		2,813		3.45		106,978		1,696		2.12
Total earning assets		2,718,770		47,805		2.35		2,572,166		35,440		1.84
Cash and due from banks		28,116						31,886
Other assets, less allowance for loan and lease losses		409,771						386,932
Total assets		$	3,156,657					$	2,990,984
Interest-bearing liabilities
U.S. interest-bearing deposits

Demand and money market deposits		$	989,364	$	1,101	0.15	%	$	912,547	$	234	0.03	%

Time and savings deposits		161,707		275		0.23		161,156		132		0.11
Total U.S. interest-bearing deposits		1,151,071		1,376		0.16		1,073,703		366		0.05




Non-U.S. interest-bearing deposits		80,235		343		0.57		82,743		28		0.04
Total interest-bearing deposits		1,231,306		1,719		0.19		1,156,446		394		0.05
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)		214,404		1,871		1.17		208,431		381		0.24
Short-term borrowings and other interest-bearing liabilities (2,5)		132,873		834		0.84		104,395		(586)		(0.75)
Trading account liabilities		54,852		1,117		2.72		52,797		824		2.09
Long-term debt		247,357		4,168		2.25		234,056		2,581		1.48
Total interest-bearing liabilities		1,880,792		9,709		0.69		1,756,125		3,594		0.27
Noninterest-bearing sources
Noninterest-bearing deposits		775,278						723,151
Other liabilities (6)		231,073						236,982
Shareholders’ equity		269,514						274,726
Total liabilities and shareholders’ equity		$	3,156,657					$	2,990,984
Net interest spread						1.66	%					1.57	%
Impact of noninterest-bearing sources						0.21						0.09
Net interest income/yield on earning assets (7)				$	38,096	1.87	%			$	31,846	1.66	%

(1)Includes the impact of interest rate risk management contracts. For more information, see Interest Rate Risk Management for the Banking Book on page 45.

(2)For more information on negative interest, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

(3)Nonperforming loans are included in the respective average loan balances. Income on these nonperforming loans is generally recognized on a cost recovery basis.

(4)Includes U.S. commercial real estate loans of $60.0 billion and $56.2 billion and non-U.S. commercial real estate loans of $4.3 billion and $3.4 billion for the nine months ended September 30, 2022 and 2021.

(5)Certain prior-period amounts have been reclassified to conform to current-period presentation.

(6)Includes $29.7 billion and $30.5 billion of structured notes and liabilities for the nine months ended September 30, 2022 and 2021.

(7)Net interest income includes FTE adjustments of $315 million and $322 million for the nine months ended September 30, 2022 and 2021.


11 Bank of America

Business Segment Operations

Segment Description and Basis of Presentation

We report our results of operations through four business segments: Consumer Banking, GWIM, Global Banking and Global Markets, with the remaining operations recorded in All Other. We manage our segments and report their results on an FTE basis. For more information, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

We periodically review capital allocated to our businesses and allocate capital annually during the strategic and capital planning processes. We utilize a methodology that considers the effect of regulatory capital requirements in addition to internal risk-based capital models. Our internal risk-based capital models use a risk-adjusted methodology incorporating each segment’s credit, market, interest rate, business and operational risk components. For more information on the nature of these risks, see Managing Risk on page 22. The capital allocated to the business segments is referred to as

allocated capital. Allocated equity in the reporting units is comprised of allocated capital plus capital for the portion of goodwill and intangibles specifically assigned to the reporting unit. For more information, including the definition of a reporting unit, see Note 7 – Goodwill and Intangible Assets to the Consolidated Financial Statements.

For more information on our presentation of financial information on an FTE basis, see Supplemental Financial Data on page 8, and for reconciliations to consolidated total revenue, net income and period-end total assets, see Note 17 – Business Segment Information to the Consolidated Financial Statements.

Key Performance Indicators

We present certain key financial and nonfinancial performance indicators that management uses when evaluating segment results. We believe they are useful to investors because they provide additional information about our segments’ operational performance, customer trends and business growth.

Consumer Banking



	Deposits						Consumer Lending						Total Consumer Banking
	Three Months Ended September 30
(Dollars in millions)	2022			2021			2022			2021			2022			2021			% Change
Net interest income	$	5,006		$	3,730		$	2,778		$	2,763		$	7,784		$	6,493		20	%
Noninterest income:
Card income	(10)			(7)			1,341			1,324			1,331			1,317			1
Service charges	597			934			—			1			597			935			(36)
All other income	141			58			51			35			192			93			106
Total noninterest income	728			985			1,392			1,360			2,120			2,345			(10)
Total revenue, net of interest expense	5,734			4,715			4,170			4,123			9,904			8,838			12

Provision for credit losses	173			53			565			194			738			247			n/m
Noninterest expense	3,141			2,724			1,956			1,834			5,097			4,558			12
Income before income taxes	2,420			1,938			1,649			2,095			4,069			4,033			1
Income tax expense	593			475			404			513			997			988			1
Net income	$	1,827		$	1,463		$	1,245		$	1,582		$	3,072		$	3,045		1

Effective tax rate (1)													24.5		%	24.5		%

Net interest yield	1.87		%	1.49		%	3.76		%	3.95		%	2.79		%	2.49		%
Return on average allocated capital	56			48			18			24			30			31
Efficiency ratio	54.78			57.75			46.92			44.48			51.47			51.56

Balance Sheet
	Three Months Ended September 30
Average	2022			2021			2022			2021			2022			2021			% Change


Total loans and leases	$	4,153		$	4,387		$	291,078		$	276,993		$	295,231		$	281,380		5	%
Total earning assets (2)	1,064,585			991,186			293,366			277,491			1,106,513			1,034,471			7
Total assets (2)	1,096,911			1,026,811			300,374			283,631			1,145,846			1,076,236			6
Total deposits	1,063,075			993,624			6,018			7,141			1,069,093			1,000,765			7
Allocated capital	13,000			12,000			27,000			26,500			40,000			38,500			4

(1)Estimated at the segment level only.

(2)In segments and businesses where the total of liabilities and equity exceeds assets, we allocate assets from All Other to match the segments’ and businesses’ liabilities and allocated shareholders’ equity. As a result, total earning assets and total assets of the businesses may not equal total Consumer Banking.

n/m = not meaningful


						Bank of America 12



	Deposits						Consumer Lending						Total Consumer Banking
	Nine Months Ended September 30
(Dollars in millions)	2022			2021			2022			2021			2022			2021			% Change
Net interest income	$	13,535		$	10,489		$	8,016		$	7,897		$	21,551		$	18,386		17	%
Noninterest income:
Card income	(27)			(19)			3,863			3,837			3,836			3,818			—
Service charges	2,118			2,615			2			2			2,120			2,617			(19)
All other income	264			151			82			121			346			272			27
Total noninterest income	2,355			2,747			3,947			3,960			6,302			6,707			(6)
Total revenue, net of interest expense	15,890			13,236			11,963			11,857			27,853			25,093			11

Provision for credit losses	388			174			648			(1,241)			1,036			(1,067)			n/m
Noninterest expense	9,204			8,789			5,773			5,759			14,977			14,548			3
Income before income taxes	6,298			4,273			5,542			7,339			11,840			11,612			2
Income tax expense	1,543			1,047			1,358			1,798			2,901			2,845			2
Net income	$	4,755		$	3,226		$	4,184		$	5,541		$	8,939		$	8,767		2

Effective tax rate (1)													24.5		%	24.5		%

Net interest yield	1.70		%	1.46		%	3.73		%	3.76		%	2.61		%	2.45		%
Return on average allocated capital	49			36			21			28			30			30
Efficiency ratio	57.92			66.40			48.26			48.57			53.77			57.97

Balance Sheet
	Nine Months Ended September 30
Average	2022			2021			2022			2021			2022			2021			% Change


Total loans and leases	$	4,171		$	4,479		$	285,501		$	280,165		$	289,672		$	284,644		2	%
Total earning assets (2)	1,062,668			957,561			287,422			280,617			1,104,653			1,001,590			10
Total assets (2)	1,095,830			994,562			294,193			285,813			1,144,587			1,043,787			10
Total deposits	1,061,876			961,266			5,909			7,006			1,067,785			968,272			10
Allocated capital	13,000			12,000			27,000			26,500			40,000			38,500			4


Period end	September 30 2022			December 31 2021			September 30 2022			December 31 2021			September 30 2022			December 31 2021			% Change
Total loans and leases	$	4,134		$	4,206		$	293,691		$	282,305		$	297,825		$	286,511		4	%
Total earning assets (2)	1,068,130			1,048,009			295,637			282,850			1,110,524			1,090,331			2
Total assets (2)	1,100,517			1,082,449			302,644			289,220			1,149,918			1,131,142			2
Total deposits	1,066,522			1,049,085			6,058			5,910			1,072,580			1,054,995			2

See page 12 for footnotes.

n/m = not meaningful

Consumer Banking, comprised of Deposits and Consumer Lending, offers a diversified range of credit, banking and investment products and services to consumers and small businesses. For more information about Consumer Banking, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Consumer Banking Results

Three-Month Comparison

Net income for Consumer Banking increased $27 million to $3.1 billion due to higher revenue, largely offset by higher noninterest expense and an increase in provision for credit losses. Net interest income increased $1.3 billion to $7.8 billion primarily due to higher interest rates and the benefits of higher deposit and loan balances, partially offset by a decrease in the acceleration of net capitalized loan fees due to PPP loan forgiveness. Noninterest income decreased $225 million to $2.1 billion primarily driven by the impact of non-sufficient funds and overdraft policy changes.

The provision for credit losses increased $491 million to $738 million primarily driven by loan growth in the current-year period compared to the prior-year period that benefited from an improved macroeconomic outlook. Noninterest expense increased $539 million to $5.1 billion primarily driven by continued investments for business growth, including marketing, technology and compensation and benefits expenses, as well as increased client activity.

The return on average allocated capital was 30 percent, down from 31 percent, primarily driven by an increase in allocated capital. For more information on capital allocated to the business segments, see Business Segment Operations on page 12.

Nine-Month Comparison

Net income for Consumer Banking increased $172 million to $8.9 billion due to higher revenue, partially offset by an increase in provision for credit losses and higher noninterest expense. Net interest income increased $3.2 billion to $21.6 billion primarily due to the same factors as described in the three-month discussion. Noninterest income decreased $405 million to $6.3 billion primarily driven by the impact of non-sufficient funds and overdraft policy changes and lower mortgage banking income, partially offset by higher other service charges and card income due to increased client activity.

The provision for credit losses increased $2.1 billion to $1.0 billion primarily driven by loan growth and a dampening macroeconomic outlook in the current-year period compared to a benefit in the prior-year period due to an improved macroeconomic outlook. Noninterest expense increased $429 million to $15.0 billion primarily driven by continued investments for business growth and increased client activity, partially offset by an impairment charge for real estate rationalization and the contribution to the Bank of America Foundation in the prior-year period.

The return on average allocated capital was 30 percent, unchanged from the prior-year period.


13 Bank of America

Deposits

Three-Month Comparison

Net income for Deposits increased $364 million to $1.8 billion due to higher revenue, partially offset by higher noninterest expense. Net interest income increased $1.3 billion to $5.0 billion primarily due to higher interest rates and the benefit of higher deposit balances. Noninterest income decreased $257 million to $728 million primarily driven by the impact of non-sufficient funds and overdraft policy changes.

Noninterest expense increased $417 million to $3.1 billion primarily driven by continued investments for business growth and increased client activity.

Average deposits increased $69.5 billion to $1.1 trillion primarily due to net inflows of $38.8 billion in checking and $33.3 billion in money market savings largely driven by strong organic growth.

Nine-Month Comparison

Net income for Deposits increased $1.5 billion to $4.8 billion primarily due to higher revenue, partially offset by higher

noninterest expense. Net interest income increased $3.0 billion to $13.5 billion primarily due to the same factors as described in the three-month discussion. Noninterest income decreased $392 million to $2.4 billion primarily due to the same factor as described in the three-month discussion.

Noninterest expense increased $415 million to $9.2 billion primarily driven by continued investments for business growth and increased client activity, partially offset by an impairment charge for real estate rationalization in the prior-year period.

Average deposits increased $100.6 billion to $1.1 trillion primarily due to net inflows of $58.4 billion in checking and $42.2 billion in money market savings largely driven by strong organic growth.

The table below provides key performance indicators for Deposits. Management uses these metrics, and we believe they are useful to investors because they provide additional information to evaluate our deposit profitability and digital/mobile trends.



Key Statistics – Deposits

	Three Months Ended September 30		Nine Months Ended September 30
	2022	2021	2022		2021
Total deposit spreads (excludes noninterest costs) (1)	1.88%	1.68%	1.74%		1.70%

Period End
Consumer investment assets (in millions) (2)			$	302,413	$	353,280
Active digital banking users (in thousands) (3)			43,496		40,911
Active mobile banking users (in thousands) (4)			34,922		32,455
Financial centers			3,932		4,215
ATMs			15,572		16,513

(1)Includes deposits held in Consumer Lending.

(2)Includes client brokerage assets, deposit sweep balances and AUM in Consumer Banking.

(3)Represents mobile and/or online active users over the past 90 days.

(4)Represents mobile active users over the past 90 days.

Consumer investment assets decreased $50.9 billion to $302.4 billion driven by market performance, partially offset by client flows. Active mobile banking users increased approximately two million, reflecting continuing changes in our clients’ banking preferences. We had a net decrease of 283 financial centers and 941 ATMs as we continue to optimize our consumer banking network.

Consumer Lending

Three-Month Comparison

Net income for Consumer Lending decreased $337 million to $1.2 billion primarily due to an increase in provision for credit losses. Net interest income increased $15 million to $2.8 billion primarily due to higher interest rates and loan balances, largely offset by a decrease in the acceleration of net capitalized loan fees due to PPP loan forgiveness. Noninterest income increased $32 million to $1.4 billion primarily driven by higher card income.

The provision for credit losses increased $371 million to $565 million primarily driven by loan growth in the current-year period compared to the prior-year period that benefited from an improved macroeconomic outlook. Noninterest expense increased $122 million to $2.0 billion primarily driven by increased client activity.

Average loans increased $14.1 billion to $291.1 billion primarily driven by an increase in credit card loans and first mortgage loans, partially offset by a decline in PPP loans.

Nine-Month Comparison

Net income for Consumer Lending decreased $1.4 billion to $4.2 billion primarily due to an increase in provision for credit losses. Net interest income increased $119 million to $8.0 billion primarily due to the same factors as described in the three-month discussion. Noninterest income decreased $13 million to $3.9 billion primarily driven by lower mortgage banking income, largely offset by higher card income.

The provision for credit losses increased $1.9 billion to $648 million primarily driven by loan growth and a dampening macroeconomic outlook in the current-year period compared to a benefit in the prior-year period due to an improved macroeconomic outlook. Noninterest expense increased $14 million to $5.8 billion primarily driven by increased client activity, largely offset by the contribution to the Bank of America Foundation in the prior-year period.

Average loans increased $5.3 billion to $285.5 billion primarily driven by an increase in credit card loans and first mortgage loans, partially offset by a decline in PPP loans.

The table below provides key performance indicators for Consumer Lending. Management uses these metrics, and we believe they are useful to investors because they provide additional information about loan growth and profitability.


						Bank of America 14



Key Statistics – Consumer Lending

	Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)	2022			2021			2022			2021
Total credit card (1)
Gross interest yield (2)	10.71		%	10.10		%	10.14		%	10.24		%
Risk-adjusted margin (3)	10.07			10.70			10.13			9.93
New accounts (in thousands)	1,256			1,049			3,301			2,654
Purchase volumes	$	91,064		$	80,925		$	263,788		$	223,900
Debit card purchase volumes	$	127,135		$	119,680		$	373,426		$	349,492

(1)Includes GWIM's credit card portfolio.

(2)Calculated as the effective annual percentage rate divided by average loans.

(3)Calculated as the difference between total revenue, net of interest expense, and net credit losses divided by average loans.

During the three months ended September 30, 2022, the total risk-adjusted margin decreased 63 bps primarily driven by lower net interest margin and lower fee income, partially offset by lower net credit losses. During the nine months ended September 30, 2022, the total risk-adjusted margin increased 20 bps primarily driven by lower net credit losses, partially

offset by lower net interest margin and lower fee income. During the three and nine months ended September 30, 2022, total credit card purchase volumes increased $10.1 billion and $39.9 billion, and debit card purchase volumes increased $7.5 billion and $23.9 billion, reflecting higher levels of consumer spending.



Key Statistics – Loan Production (1)

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Consumer Banking:
First mortgage	$	4,028	$	12,510	$	18,695	$	33,194
Home equity	1,999		1,262		5,875		2,579
Total (2):
First mortgage	$	8,724	$	21,232	$	39,548	$	56,731
Home equity	2,420		1,523		6,995		3,192

(1)The loan production amounts represent the unpaid principal balance of loans and, in the case of home equity, the principal amount of the total line of credit.

(2)In addition to loan production in Consumer Banking, there is also first mortgage and home equity loan production in GWIM.

First mortgage loan originations for Consumer Banking and the total Corporation decreased $8.5 billion and $12.5 billion during the three months ended September 30, 2022 primarily driven by changes in demand. During the nine months ended September 30, 2022, Consumer Banking and the total Corporation decreased $14.5 billion and $17.2 billion primarily driven by changes in demand.

Home equity production in Consumer Banking and the total Corporation increased $737 million and $897 million during the three months ended September 30, 2022 primarily driven by higher demand. During the nine months ended September 30, 2022, Consumer Banking and the total Corporation increased $3.3 billion and $3.8 billion primarily driven by higher demand.


15 Bank of America

Global Wealth & Investment Management



	Three Months Ended September 30								Nine Months Ended September 30
(Dollars in millions)	2022			2021			% Change		2022			2021			% Change
Net interest income	$	1,981		$	1,452		36	%	$	5,451		$	4,137		32	%
Noninterest income:
Investment and brokerage services	3,255			3,682			(12)		10,395			10,610			(2)
All other income	193			176			10		492			599			(18)
Total noninterest income	3,448			3,858			(11)		10,887			11,209			(3)
Total revenue, net of interest expense	5,429			5,310			2		16,338			15,346			6

Provision for credit losses	37			(58)			n/m		29			(185)			(116)
Noninterest expense	3,816			3,744			2		11,706			11,425			2
Income before income taxes	1,576			1,624			(3)		4,603			4,106			12
Income tax expense	386			398			(3)		1,128			1,006			12
Net income	$	1,190		$	1,226		(3)		$	3,475		$	3,100		12

Effective tax rate	24.5		%	24.5		%			24.5		%	24.5		%

Net interest yield	2.12			1.54					1.84			1.51
Return on average allocated capital	27			30					27			25

Efficiency ratio	70.28			70.51					71.65			74.45

Balance Sheet
	Three Months Ended September 30								Nine Months Ended September 30

Average	2022			2021			% Change		2022			2021			% Change
Total loans and leases	$	223,734		$	199,664		12	%	$	218,030		$	194,090		12	%
Total earning assets	370,733			373,691			(1)		395,023			367,239			8
Total assets	383,468			386,346			(1)		407,819			379,802			7
Total deposits	339,487			339,357			—		362,611			333,119			9
Allocated capital	17,500			16,500			6		17,500			16,500			6

Period end									September 30 2022			December 31 2021			% Change
Total loans and leases									$	224,858		$	208,971		8	%
Total earning assets									357,434			425,112			(16)
Total assets									370,790			438,275			(15)
Total deposits									324,859			390,143			(17)

n/m = not meaningful

GWIM consists of two primary businesses: Merrill Wealth Management and Bank of America Private Bank. For more information about GWIM, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Three-Month Comparison

Net income for GWIM of $1.2 billion remained relatively unchanged. The operating margin was 29 percent compared to 31 percent a year ago.

Net interest income increased $529 million to $2.0 billion driven by the benefits of higher interest rates and higher loan balances.

Noninterest income, which primarily includes investment and brokerage services income, decreased $410 million to $3.4 billion primarily due to the impacts of lower market valuations and declines in assets under management (AUM) pricing, partially offset by the impact of positive AUM flows.

The provision for credit losses increased $95 million to $37 million primarily due to loan growth and a dampening macroeconomic outlook in the current-year period. Noninterest expense increased $72 million to $3.8 billion primarily driven by continued investments in the business, partially offset by lower revenue-related incentives.

The return on average allocated capital was 27 percent, down from 30 percent, due to an increase in allocated capital and lower net income. For more information on capital allocated to the business segments, see Business Segment Operations on page 12.

Average loans increased $24.1 billion to $223.7 billion primarily driven by residential mortgage, custom lending and securities-based lending. Average deposits of $339.5 billion remained relatively unchanged.

Merrill Wealth Management revenue of $4.5 billion increased one percent as the benefits of higher interest rates and higher loan balances were largely offset by the impact of lower market valuations and declines in AUM pricing.

Bank of America Private Bank revenue of $905 million increased eight percent driven by the benefits of higher deposit and loan balances and higher interest rates.

Nine-Month Comparison

Net income for GWIM increased $375 million to $3.5 billion driven by higher revenue, partially offset by higher noninterest expense and provision for credit losses. The operating margin was 28 percent compared to 27 percent a year ago.

Net interest income increased $1.3 billion to $5.5 billion due to the same factors as described in the three-month discussion, as well as the benefits of higher deposit balances.

Noninterest income, which primarily includes investment and brokerage services income, decreased $322 million to $10.9 billion primarily due to the same factors as described in the three-month discussion.

The provision for credit losses increased $214 million primarily due to the same factors as described in the three-month discussion. Noninterest expense increased $281 million to $11.7 billion primarily due to the same factors as described in the three-month discussion.


						Bank of America 16

The return on average allocated capital was 27 percent, up from 25 percent, due to higher net income, partially offset by an increase in allocated capital.

Average loans increased $23.9 billion to $218.0 billion primarily due to the same factors as described in the three-month discussion. Average deposits increased $29.5 billion to $362.6 billion primarily driven by inflows from new and existing accounts.

Merrill Wealth Management revenue of $13.6 billion increased six percent primarily driven by the benefits of higher interest rates, higher deposit and loan balances and positive AUM flows, partially offset by the impact of lower market valuations and declines in AUM pricing.

Bank of America Private Bank revenue of $2.7 billion increased 11 percent primarily driven by the same factors as described in the three-month discussion.



Key Indicators and Metrics

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Revenue by Business
Merrill Wealth Management	$	4,524	$	4,471	$	13,649	$	12,916
Bank of America Private Bank	905		839		2,689		2,430

Total revenue, net of interest expense	$	5,429	$	5,310	$	16,338	$	15,346

Client Balances by Business, at period end
Merrill Wealth Management					$	2,710,985	$	3,108,358
Bank of America Private Bank					537,771		584,475

Total client balances					$	3,248,756	$	3,692,833

Client Balances by Type, at period end


Assets under management					$	1,329,557	$	1,578,630
Brokerage and other assets					1,413,946		1,612,472

Deposits					324,859		345,590
Loans and leases (1)					228,129		205,055
Less: Managed deposits in assets under management					(47,735)		(48,914)
Total client balances					$	3,248,756	$	3,692,833

Assets Under Management Rollforward
Assets under management, beginning of period	$	1,411,344	$	1,549,069	$	1,638,782	$	1,408,465


Net client flows	4,110		14,776		20,680		44,698
Market valuation/other	(85,897)		14,785		(329,905)		125,467
Total assets under management, end of period	$	1,329,557	$	1,578,630	$	1,329,557	$	1,578,630


Total wealth advisors, at period end (2)					18,841		18,855

(1)Includes margin receivables which are classified in customer and other receivables on the Consolidated Balance Sheet.

(2)Includes advisors across all wealth management businesses in GWIM and Consumer Banking.

Client Balances

Client balances decreased $444.1 billion, or 12 percent, to $3.2 trillion at September 30, 2022 compared to September 30, 2021. The decrease in client balances was primarily due to the impact of lower market valuations, partially offset by positive client flows.


17 Bank of America

Global Banking



	Three Months Ended September 30								Nine Months Ended September 30
(Dollars in millions)	2022			2021			% Change		2022			2021			% Change
Net interest income	$	3,326		$	2,185		52	%	$	8,304		$	6,150		35	%
Noninterest income:
Service charges	771			889			(13)		2,590			2,637			(2)
Investment banking fees	726			1,297			(44)		2,298			3,642			(37)
All other income	768			874			(12)		2,599			2,538			2
Total noninterest income	2,265			3,060			(26)		7,487			8,817			(15)
Total revenue, net of interest expense	5,591			5,245			7		15,791			14,967			6

Provision for credit losses	170			(781)			(122)		492			(2,738)			(118)
Noninterest expense	2,651			2,534			5		8,133			7,915			3
Income before income taxes	2,770			3,492			(21)		7,166			9,790			(27)
Income tax expense	734			943			(22)		1,899			2,643			(28)
Net income	$	2,036		$	2,549		(20)		$	5,267		$	7,147		(26)

Effective tax rate	26.5		%	27.0		%			26.5		%	27.0		%

Net interest yield	2.53			1.55					2.05			1.53
Return on average allocated capital	18			24					16			22
Efficiency ratio	47.41			48.31					51.50			52.88

Balance Sheet

	Three Months Ended September 30								Nine Months Ended September 30
Average	2022			2021			% Change		2022			2021			% Change
Total loans and leases	$	384,305		$	324,736		18	%	$	373,547		$	326,632		14	%
Total earning assets	521,555			560,181			(7)		541,670			537,037			1
Total assets	585,683			621,699			(6)		605,884			597,947			1
Total deposits	495,154			534,166			(7)		514,612			509,445			1
Allocated capital	44,500			42,500			5		44,500			42,500			5

Period end									September 30 2022			December 31 2021			% Change
Total loans and leases									$	377,711		$	352,933		7	%
Total earning assets									511,494			574,583			(11)
Total assets									575,442			638,131			(10)
Total deposits									484,309			551,752			(12)

Global Banking, which includes Global Corporate Banking, Global Commercial Banking, Business Banking and Global Investment Banking, provides a wide range of lending-related products and services, integrated working capital management and treasury solutions, and underwriting and advisory services through our network of offices and client relationship teams. For more information about Global Banking, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Three-Month Comparison

Net income for Global Banking decreased $513 million to $2.0 billion driven by higher provision for credit losses and higher noninterest expense, partially offset by higher revenue.

Net interest income increased $1.1 billion to $3.3 billion primarily due to the benefits of higher interest rates and loan growth, partially offset by the impact of lower deposit balances.

Noninterest income decreased $795 million to $2.3 billion driven by lower investment banking fees, income from ESG investment activities and treasury service charges.

The provision for credit losses increased $951 million to $170 million primarily driven by a dampening macroeconomic outlook compared to a benefit in the provision for credit losses of $781 million in the prior-year period due to an improved macroeconomic outlook.

Noninterest expense increased $117 million to $2.7 billion primarily due to continued investments in the business, including strategic hiring.

The return on average allocated capital was 18 percent, down from 24 percent, due to lower net income and higher allocated capital. For more information on capital allocated to the business segments, see Business Segment Operations on page 12.

Nine-Month Comparison

Net income for Global Banking decreased $1.9 billion to $5.3 billion driven by higher provision for credit losses and higher noninterest expense, partially offset by higher revenue.

Net interest income increased $2.2 billion to $8.3 billion primarily due to the benefits of higher interest rates and loan growth.

Noninterest income decreased $1.3 billion to $7.5 billion driven by lower investment banking fees and valuation adjustments on leveraged loans.

The provision for credit losses increased $3.2 billion to $492 million primarily driven by a dampening macroeconomic outlook and loan growth as well as a reserve build in the current-year period for our Russian exposure, compared to a benefit in the provision for credit losses of $2.7 billion in the prior-year period due to an improved macroeconomic outlook.


						Bank of America 18

Noninterest expense increased $218 million to $8.1 billion, primarily due to continued investments in the business, partially offset by an acceleration of expenses due to incentive compensation award changes in the prior-year period.

The return on average allocated capital was 16 percent, down from 22 percent, due to lower net income and higher allocated capital.

Global Corporate, Global Commercial and Business Banking

The following table and discussion present a summary of the results, which exclude certain investment banking and PPP activities in Global Banking.



Global Corporate, Global Commercial and Business Banking

	Global Corporate Banking				Global Commercial Banking				Business Banking				Total
	Three Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021		2022		2021		2022		2021
Revenue
Business Lending	$	902	$	885	$	1,111	$	923	$	66	$	54	$	2,079	$	1,862
Global Transaction Services (1)	1,369		850		1,112		855		322		240		2,803		1,945
Total revenue, net of interest expense	$	2,271	$	1,735	$	2,223	$	1,778	$	388	$	294	$	4,882	$	3,807

Balance Sheet
Average
Total loans and leases	$	177,166	$	147,906	$	193,828	$	159,986	$	12,697	$	12,635	$	383,691	$	320,527
Total deposits (1)	241,289		263,478		198,479		213,713		55,386		56,935		495,154		534,126

	Global Corporate Banking				Global Commercial Banking				Business Banking				Total
	Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021		2022		2021		2022		2021
Revenue
Business Lending	$	2,908	$	2,528	$	3,128	$	2,688	$	186	$	165	$	6,222	$	5,381
Global Transaction Services (1)	3,456		2,324		2,981		2,432		835		692		7,272		5,448
Total revenue, net of interest expense	$	6,364	$	4,852	$	6,109	$	5,120	$	1,021	$	857	$	13,494	$	10,829

Balance Sheet

Average
Total loans and leases	$	173,740	$	148,101	$	185,981	$	158,939	$	12,799	$	12,778	$	372,520	$	319,818
Total deposits (1)	247,924		246,269		209,583		207,783		57,106		55,361		514,613		509,413

Period end
Total loans and leases	$	172,806	$	150,797	$	191,739	$	162,371	$	12,663	$	12,640	$	377,208	$	325,808
Total deposits (1)	242,837		257,462		187,899		221,160		53,572		57,814		484,308		536,436

(1)Prior periods have been revised to conform to current-period presentation.

Business Lending revenue increased $217 million for the three months ended September 30, 2022 compared to the same period in 2021 primarily due to the benefits of loan growth and higher interest rates, partially offset by lower income from ESG investment activities. Business Lending revenue increased $841 million for the nine months ended September 30, 2022 primarily due to the benefits of loan growth and higher interest rates.

Global Transaction Services revenue increased $858 million for the three months ended September 30, 2022 driven by higher interest rates, partially offset by the impact of lower deposit balances and treasury service charges. Global Transaction Services revenue increased $1.8 billion for the nine months ended September 30, 2022 driven by higher interest rates.

Average loans and leases increased 20 percent and 16 percent for the three and nine months ended September 30, 2022 due to higher client demand. Average deposits decreased

seven percent during the three months ended September 30, 2022 due to declines in domestic and international balances, and increased one percent during the nine months ended September 30, 2022 due to portfolio growth.

Global Investment Banking

Client teams and product specialists underwrite and distribute debt, equity and loan products, and provide advisory services and tailored risk management solutions. The economics of certain investment banking and underwriting activities are shared primarily between Global Banking and Global Markets under an internal revenue-sharing arrangement. Global Banking originates certain deal-related transactions with our corporate and commercial clients that are executed and distributed by Global Markets. To provide a complete discussion of our consolidated investment banking fees, the table below presents total Corporation investment banking fees and the portion attributable to Global Banking.


19 Bank of America



Investment Banking Fees

	Global Banking				Total Corporation				Global Banking				Total Corporation
	Three Months Ended September 30								Nine Months Ended September 30

(Dollars in millions)	2022		2021		2022		2021		2022		2021		2022		2021
Products
Advisory	$	397	$	608	$	432	$	654	$	1,197	$	1,341	$	1,297	$	1,461
Debt issuance	273		401		616		933		915		1,306		2,109		3,031
Equity issuance	56		288		156		637		186		995		520		2,239
Gross investment banking fees	726		1,297		1,204		2,224		2,298		3,642		3,926		6,731
Self-led deals	(17)		(24)		(37)		(56)		(74)		(85)		(174)		(195)
Total investment banking fees	$	709	$	1,273	$	1,167	$	2,168	$	2,224	$	3,557	$	3,752	$	6,536

Total Corporation investment banking fees, which exclude self-led deals and are primarily included within Global Banking and Global Markets, were $1.2 billion and $3.8 billion for the three and nine months ended September 30, 2022. The three-month and nine-month periods decreased 46 percent and 43 percent compared to the same periods in 2021 primarily driven by lower equity issuance, debt issuance and advisory fees.

Global Markets



	Three Months Ended September 30								Nine Months Ended September 30
(Dollars in millions)	2022			2021			% Change		2022			2021			% Change
Net interest income	$	743		$	1,000		(26)	%	$	2,717		$	2,980		(9)	%
Noninterest income:
Investment and brokerage services	457			471			(3)		1,520			1,504			1
Investment banking fees	430			844			(49)		1,473			2,784			(47)
Market making and similar activities	2,874			2,014			43		8,721			7,448			17
All other income	(21)			190			(111)		(154)			721			(121)
Total noninterest income	3,740			3,519			6		11,560			12,457			(7)
Total revenue, net of interest expense	4,483			4,519			(1)		14,277			15,437			(8)

Provision for credit losses	11			16			(31)		24			33			(27)
Noninterest expense	3,023			3,252			(7)		9,249			10,150			(9)
Income before income taxes	1,449			1,251			16		5,004			5,254			(5)
Income tax expense	384			325			18		1,326			1,366			(3)
Net income	$	1,065		$	926		15		$	3,678		$	3,888		(5)

Effective tax rate	26.5		%	26.0		%			26.5		%	26.0		%

Return on average allocated capital	10			10					12			14
Efficiency ratio	67.42			71.94					64.78			65.75

Balance Sheet
	Three Months Ended September 30								Nine Months Ended September 30
	2022			2021			% Change		2022			2021			% Change

Average
Trading-related assets:
Trading account securities	$	308,514		$	304,133		1	%	$	301,690		$	291,500		3	%
Reverse repurchases	112,828			117,486			(4)		127,527			111,330			15
Securities borrowed	114,032			101,086			13		115,898			97,205			19
Derivative assets	57,017			41,010			39		53,098			44,308			20
Total trading-related assets	592,391			563,715			5		598,213			544,343			10
Total loans and leases	120,435			97,148			24		114,505			87,535			31
Total earning assets	591,883			557,333			6		600,477			528,113			14
Total assets	847,899			804,938			5		857,747			775,552			11
Total deposits	38,820			54,650			(29)		41,448			54,699			(24)
Allocated capital	42,500			38,000			12		42,500			38,000			12

Period end									September 30 2022			December 31 2021			% Change


Total trading-related assets									$	592,938		$	491,160		21	%
Total loans and leases									121,721			114,846			6
Total earning assets									595,988			561,135			6
Total assets									848,752			747,794			14
Total deposits									37,318			46,374			(20)


						Bank of America 20

Global Markets offers sales and trading services and research services to institutional clients across fixed-income, credit, currency, commodity and equity businesses. Global Markets product coverage includes securities and derivative products in both the primary and secondary markets. For more information about Global Markets, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Except as otherwise noted below, the following explanations for current period-over-period changes for Global Markets, including those disclosed under Sales and Trading Revenue, are the same for amounts including and excluding net DVA. Amounts excluding net DVA are a non-GAAP financial measure. For more information on net DVA, see Supplemental Financial Data on page 8.

Three-Month Comparison

Net income for Global Markets increased $139 million to $1.1 billion. Net DVA losses were $14 million compared to losses of $20 million in the prior-year period. Excluding net DVA, net income increased $135 million to $1.1 billion. These increases were primarily driven by lower noninterest expense.

Revenue decreased $36 million to $4.5 billion primarily driven by lower investment banking fees, largely offset by higher sales and trading revenue. Sales and trading revenue increased $478 million, and excluding net DVA, increased $472 million. These increases were driven by higher revenue in FICC.

Noninterest expense decreased $229 million to $3.0 billion primarily driven by the realignment of a liquidating business activity from Global Markets to All Other in the fourth quarter of 2021.

Average total assets increased $43.0 billion to $847.9 billion driven by loan growth, higher derivative balances due to a strong U.S. dollar and higher interest rates, as well as growth in commodities activity.

The return on average allocated capital was 10 percent, unchanged from the prior-year period, reflecting higher net income offset by an increase in allocated capital. For more information on capital allocated to the business segments, see Business Segment Operations on page 12.

Nine-Month Comparison

Net income for Global Markets decreased $210 million to $3.7 billion. Net DVA gains were $213 million compared to losses of $56 million in the prior-year period. Excluding net DVA, net income decreased $415 million to $3.5 billion. These decreases were primarily driven by lower revenue, partially offset by lower noninterest expense.

Revenue decreased $1.2 billion to $14.3 billion primarily due to the same factors as described in the three-month discussion. Sales and trading revenue increased $711 million and excluding net DVA, sales and trading revenue increased $442 million. These increases were driven by higher revenue in both FICC and Equities.

Noninterest expense decreased $901 million to $9.2 billion primarily due to the same factor as described in the three-month discussion and an acceleration of expenses from incentive compensation award changes in the prior-year period.

Average total assets increased $82.2 billion to $857.7 billion driven by loan growth and commodities activity in FICC as well as higher balances in Equities. Period-end total assets increased $101.0 billion from December 31, 2021 to $848.8 billion driven by higher derivative balances due to a strong U.S. dollar and higher interest rates, higher levels of inventory in FICC to facilitate client activity, and increased hedging of client activity with stock positions relative to derivatives in Equities.

The return on average allocated capital was 12 percent, down from 14 percent, reflecting lower net income and an increase in allocated capital.

Sales and Trading Revenue

For a description of sales and trading revenue, see Business Segment Operations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K. The table below and related discussion present sales and trading revenue, substantially all of which is in Global Markets, with the remainder in Global Banking. In addition, the following table and related discussion present sales and trading revenue, excluding net DVA, which is a non-GAAP financial measure. For more information on net DVA, see Supplemental Financial Data on page 8.



Sales and Trading Revenue (1, 2, 3)

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Sales and trading revenue
Fixed income, currencies and commodities	$	2,552	$	2,009	$	7,760	$	7,188
Equities	1,540		1,605		5,204		5,065
Total sales and trading revenue	$	4,092	$	3,614	$	12,964	$	12,253

Sales and trading revenue, excluding net DVA (4)
Fixed income, currencies and commodities	$	2,567	$	2,025	$	7,555	$	7,241
Equities	1,539		1,609		5,196		5,068
Total sales and trading revenue, excluding net DVA	$	4,106	$	3,634	$	12,751	$	12,309

(1)For more information on sales and trading revenue, see Note 3 – Derivatives to the Consolidated Financial Statements.

(2)Includes FTE adjustments of $58 million and $253 million for the three and nine months ended September 30, 2022 compared to $99 million and $232 million for the same periods in 2021.

(3) Includes Global Banking sales and trading revenue of $287 million and $785 million for the three and nine months ended September 30, 2022 compared to $138 million and $412 million for the same periods in 2021.

(4) FICC and Equities sales and trading revenue, excluding net DVA, is a non-GAAP financial measure. FICC net DVA gains (losses) were $(15) million and $205 million for the three and nine months ended September 30, 2022 compared to losses of $16 million and $53 million for the same periods in 2021. Equities net DVA gains were $1 million and $8 million for the three and nine months ended September 30, 2022 compared to losses of $4 million and $3 million for the same periods in 2021.


21 Bank of America

Three-Month Comparison

FICC revenue increased $542 million driven by improved performance across macro products, partially offset by a weaker trading performance in credit and mortgage products. Equities revenue decreased $70 million driven by lower client activity in Asia and a weaker trading performance in cash, partially offset by increased client activity in derivatives.

Nine-Month Comparison

FICC revenue increased $314 million driven by improved trading performance across interest rate and currency products, partially offset by gains in commodities in the prior-year period for a weather-related event and a weaker trading environment for credit products in the current-year period. Equities revenue increased $128 million driven by a strong trading performance in derivatives, partially offset by a weaker trading performance in cash.

All Other



	Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)	2022		2021		% Change		2022		2021		% Change
Net interest income	$	37	$	65	(43)	%	$	73	$	193	(62)	%





Noninterest income (loss)	(836)		(1,110)		(25)		(3,599)		(3,661)		(2)
Total revenue, net of interest expense	(799)		(1,045)		(24)		(3,526)		(3,468)		2

Provision for credit losses	(58)		(48)		21		(130)		(148)		(12)


Noninterest expense	716		352		103		1,830		962		90
Loss before income taxes	(1,457)		(1,349)		8		(5,226)		(4,282)		22
Income tax benefit	(1,176)		(1,294)		(9)		(4,263)		(6,345)		(33)
Net income (loss)	$	(281)	$	(55)	n/m		$	(963)	$	2,063	(147)

Balance Sheet

	Three Months Ended September 30						Nine Months Ended September 30

Average	2022		2021		% Change		2022		2021		% Change
Total loans and leases	$	10,629	$	17,581	(40)	%	$	13,457	$	19,190	(30)	%
Total assets (1)	142,650		187,233		(24)		140,620		193,896		(27)
Total deposits	20,221		13,767		47		20,128		14,062		43

Period end							September 30 2022		December 31 2021		% Change





Total loans and leases							$	10,351	$	15,863	(35)	%

Total assets (1)							128,051		214,153		(40)
Total deposits							19,031		21,182		(10)

(1)In segments where the total of liabilities and equity exceeds assets, which are generally deposit-taking segments, we allocate assets from All Other to those segments to match liabilities (i.e., deposits) and allocated shareholders’ equity. Average allocated assets were $1.1 trillion for both the three and nine months ended September 30, 2022 compared to $1.1 trillion for both periods in 2021, and period-end allocated assets were $1.1 trillion and $1.2 trillion at September 30, 2022 and December 31, 2021.

n/m = not meaningful

All Other primarily consists of asset and liability management (ALM) activities, liquidating businesses and certain expenses not otherwise allocated to a business segment. ALM activities encompass interest rate and foreign currency risk management activities for which substantially all of the results are allocated to our business segments. For more information on our ALM activities, see Note 17 – Business Segment Information to the Consolidated Financial Statements.

Three-Month Comparison

The net loss of All Other increased $226 million to a loss of $281 million primarily due to higher noninterest expense and a lower income tax benefit, partially offset by higher revenue.

Revenue increased $246 million primarily driven by lower valuation adjustments.

Noninterest expense increased $364 million primarily driven by higher litigation expense due to the legacy monoline insurance litigation settlement and the realignment of a liquidating business activity from Global Markets to All Other in the fourth quarter of 2021, partially offset by decreases in other expenses.

The income tax benefit decreased $118 million primarily due to the impact of lower levels of income tax credits associated with ESG investment activities, which were impacted by enactment of the Inflation Reduction Act of 2022 in the third quarter of 2022. For more information, see Financial Highlights – Income Tax Expense on page 7. Both periods included

income tax benefit adjustments to eliminate the FTE treatment of certain tax credits recorded in Global Banking.

Nine-Month Comparison

Net income decreased $3.0 billion to a loss of $963 million primarily due to a lower income tax benefit and higher noninterest expense.

Noninterest expense increased $868 million primarily due to the same factors as described in the three-month discussion and expenses recognized for certain regulatory matters during the second quarter of 2022.

The income tax benefit decreased $2.1 billion primarily due to the impact of the 2021 U.K. tax law change. For more information, see Financial Highlights – Income Tax Expense on page 7. Both periods included income tax benefit adjustments to eliminate the FTE treatment of certain tax credits recorded in Global Banking.

Managing Risk

Risk is inherent in all our business activities. The seven key types of risk faced by the Corporation are strategic, credit, market, liquidity, compliance, operational and reputational. Sound risk management enables us to serve our customers and deliver for our shareholders. If not managed well, risk can result in financial loss, regulatory sanctions and penalties, and damage to our reputation, each of which may adversely impact our ability to execute our business strategies. We take a comprehensive approach to risk management with a defined


						Bank of America 22

Risk Framework and an articulated Risk Appetite Statement, which are approved annually by the Enterprise Risk Committee and the Board.

Our Risk Framework serves as the foundation for the consistent and effective management of risks facing the Corporation. The Risk Framework sets forth roles and responsibilities for the management of risk and provides a blueprint for how the Board, through delegation of authority to committees and executive officers, establishes risk appetite and associated limits for our activities.

Our risk appetite provides a common set of measures for senior management and the Board to clearly indicate the level of risk we are willing to take in alignment with our strategic and capital plans and ensure that the Corporation’s risk profile remains aligned with our risk appetite. Our risk appetite is formally articulated in the Risk Appetite Statement, which includes both qualitative components and quantitative limits that are reviewed and approved by the Board at least annually.

For more information about the Corporation’s risks, including those related to the pandemic, see Item 1A. Risk Factors of the Corporation’s 2021 Annual Report on Form 10-K. These risks are being managed within our Risk Framework and supporting risk management programs.

For more information on our Risk Framework, our risk management activities and the key types of risk faced by the Corporation, see the Managing Risk section in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Capital Management

The Corporation manages its capital position so that its capital is more than adequate to support its business activities and aligns with risk, risk appetite and strategic planning. For more information, including related regulatory requirements, see Capital Management in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

CCAR and Capital Planning

The Federal Reserve requires BHCs to submit a capital plan and planned capital actions on an annual basis, consistent with the rules governing the CCAR capital plan. Based on the results of our 2022 CCAR stress test, our SCB increased to 3.4 percent from 2.5 percent, effective October 1, 2022 through September 30, 2023.

In October 2021, the Board renewed the Corporation’s $25 billion common stock repurchase program previously announced in April 2021. The Board’s authorization replaced the previous program. As with the April 2021 authorization, the Board also authorized common stock repurchases to offset shares awarded under the Corporation’s equity-based compensation plans. Pursuant to the Board’s authorizations, during the third quarter of 2022, we repurchased $450 million of common stock, predominantly offsetting shares awarded under equity-based compensation plans.

The timing and amount of common stock repurchases are subject to various factors, including the Corporation’s capital position, liquidity, financial performance and alternative uses of capital, stock trading price, regulatory requirements and general market conditions, and may be suspended at any time. Such repurchases may be effected through open market purchases or privately negotiated transactions, including repurchase plans that satisfy the conditions of Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (Exchange Act).

Regulatory Capital

As a financial services holding company, we are subject to regulatory capital rules, including Basel 3, issued by U.S. banking regulators. The Corporation's depository institution subsidiaries are also subject to the Prompt Corrective Action (PCA) framework. The Corporation and its primary affiliated banking entity, BANA, are Advanced approaches institutions under Basel 3 and are required to report regulatory risk-based capital ratios and risk-weighted assets (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 September 30, 2022, the CET1, Tier 1 capital and Total capital ratios for the Corporation were lower under the Standardized approach.

Minimum Capital Requirements

In order to avoid restrictions on capital distributions and discretionary bonus payments, the Corporation must meet risk-based capital ratio requirements that include a capital conservation buffer of 2.5 percent (under the Advanced approaches only), an SCB (under the Standardized approach only), plus any applicable countercyclical capital buffer and a global systemically important bank (G-SIB) surcharge. The buffers and surcharge must be comprised solely of CET1 capital. For the period from October 1, 2021 through September 30, 2022, the Corporation's minimum CET1 capital ratio requirement was 9.5 percent under both the Standardized and Advanced approaches. Based on the results of our 2022 CCAR stress test, the Corporation’s SCB increased to 3.4 percent, resulting in a minimum CET1 capital ratio requirement of 10.4 percent under the Standardized approach for the period from October 1, 2022 through September 30, 2023. At September 30, 2022, the Corporation’s CET1 capital ratio of 11.0 percent under the Standardized approach exceeded its new CET1 capital ratio requirement that was effective October 1, 2022. Our minimum CET1 capital ratio requirement under the Advanced approaches remains unchanged at 9.5 percent.

The Corporation is required to calculate its G-SIB surcharge on an annual basis under two methods and is subject to the higher of the resulting two surcharges. Method 1 is consistent with the approach prescribed by the Basel Committee’s assessment methodology and is calculated using specified indicators of systemic importance. Method 2 modifies the Method 1 approach by, among other factors, including a measure of the Corporation’s reliance on short-term wholesale funding. The Corporation’s G-SIB surcharge, which is higher under Method 2, is expected to increase to 3.0 percent on January 1, 2024 unless its surcharge calculated as of December 31, 2022 is lower than 3.0 percent.

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 on capital distributions and discretionary bonus payments. Our insured depository institution subsidiaries are required to maintain a minimum 6.0 percent SLR to be considered well capitalized under the PCA framework.

Capital Composition and Ratios

Table 8 presents Bank of America Corporation’s capital ratios and related information in accordance with Basel 3 Standardized and Advanced approaches as measured at September 30, 2022 and December 31, 2021. For the periods presented herein, the Corporation met the definition of well capitalized under current regulatory requirements.


23 Bank of America



Table 8	Bank of America Corporation Regulatory Capital under Basel 3


		Standardized Approach (1)			Advanced Approaches (1)			Regulatory Minimum (2)
(Dollars in millions, except as noted)		September 30, 2022
Risk-based capital metrics:
Common equity tier 1 capital		$	175,554		$	175,554
Tier 1 capital		204,675			204,675
Total capital (3)		235,276			228,334
Risk-weighted assets (in billions)		1,599			1,391
Common equity tier 1 capital ratio		11.0		%	12.6		%	9.5	%
Tier 1 capital ratio		12.8			14.7			11.0
Total capital ratio		14.7			16.4			13.0

Leverage-based metrics:
Adjusted quarterly average assets (in billions) (4)		$	3,028		$	3,028
Tier 1 leverage ratio		6.8		%	6.8		%	4.0

Supplementary leverage exposure (in billions)					$	3,556
Supplementary leverage ratio					5.8		%	5.0

		December 31, 2021
Risk-based capital metrics:
Common equity tier 1 capital		$	171,759		$	171,759
Tier 1 capital		196,465			196,465
Total capital (3)		227,592			220,616
Risk-weighted assets (in billions)		1,618			1,399
Common equity tier 1 capital ratio		10.6		%	12.3		%	9.5	%
Tier 1 capital ratio		12.1			14.0			11.0
Total capital ratio		14.1			15.8			13.0

Leverage-based metrics:
Adjusted quarterly average assets (in billions) (4)		$	3,087		$	3,087
Tier 1 leverage ratio		6.4		%	6.4		%	4.0

Supplementary leverage exposure (in billions)					$	3,604
Supplementary leverage ratio					5.5		%	5.0

(1)Capital ratios as of September 30, 2022 and December 31, 2021 are calculated using the regulatory capital rule that allows a five-year transition period related to the adoption of the current expected credit losses (CECL) accounting standard.

(2)The capital conservation buffer and G-SIB surcharge were 2.5 percent at both September 30, 2022 and December 31, 2021. At both September 30, 2022 and December 31, 2021, the Corporation's SCB of 2.5 percent was applied in place of the capital conservation buffer under the Standardized approach. The countercyclical capital buffer for both periods was zero. The CET1 capital regulatory minimum is the sum of the CET1 capital ratio minimum of 4.5 percent, our G-SIB surcharge of 2.5 percent and our SCB or the capital conservation buffer, as applicable, of 2.5 percent. The SLR regulatory minimum includes a leverage buffer of 2.0 percent.

(3)Total capital under the Advanced approaches differs from the Standardized approach due to differences in the amount permitted in Tier 2 capital related to the qualifying allowance for credit losses.

(4)Reflects total average assets adjusted for certain Tier 1 capital deductions.

At September 30, 2022, CET1 capital was $175.6 billion, an increase of $3.8 billion from December 31, 2021, due to earnings, partially offset by dividends, an increase in net unrealized losses on available-for-sale debt securities included in accumulated other comprehensive income (OCI), and common stock repurchases. Tier 1 capital increased $8.2 billion primarily driven by the same factors as CET1 capital as well as non-cumulative perpetual preferred stock issuances. Total capital under the Standardized approach increased $7.7 billion primarily due to the same factors driving the increase in Tier 1

capital and an increase in the adjusted allowance for credit losses included in Tier 2 capital. RWA under the Standardized approach, which yielded the lower CET1 capital ratio at September 30, 2022, decreased $18.5 billion during the nine months ended September 30, 2022 to $1,599 billion primarily due to lower client activity in Global Markets and a decrease in debt securities, partially offset by loan growth. Supplementary leverage exposure at September 30, 2022 decreased $48.2 billion primarily due to lower debt securities, driven by lower deposits, partially offset by loan growth.


						Bank of America 24

Table 9 shows the capital composition at September 30, 2022 and December 31, 2021.



Table 9	Capital Composition under Basel 3


(Dollars in millions)		September 30 2022		December 31 2021

Total common shareholders’ equity		$	240,390	$	245,358
CECL transitional amount (1)		1,881		2,508
Goodwill, net of related deferred tax liabilities		(68,641)		(68,641)
Deferred tax assets arising from net operating loss and tax credit carryforwards		(7,658)		(7,743)
Intangibles, other than mortgage servicing rights, net of related deferred tax liabilities		(1,561)		(1,605)
Defined benefit pension plan net assets		(1,227)		(1,261)
Cumulative unrealized net (gain) loss related to changes in fair value of financial liabilities attributable to own creditworthiness, net-of-tax		(240)		1,400
Accumulated net (gain) loss on certain cash flow hedges (2)		12,762		1,870
Other		(152)		(127)
Common equity tier 1 capital		175,554		171,759
Qualifying preferred stock, net of issuance cost		29,134		24,707
Other		(13)		(1)
Tier 1 capital		204,675		196,465
Tier 2 capital instruments		19,507		20,750
Qualifying allowance for credit losses (3)		11,325		10,534
Other		(231)		(157)
Total capital under the Standardized approach		235,276		227,592
Adjustment in qualifying allowance for credit losses under the Advanced approaches (3)		(6,942)		(6,976)
Total capital under the Advanced approaches		$	228,334	$	220,616

(1)December 31, 2021 includes the impact of the Corporation's adoption of the CECL accounting standard on January 1, 2020 and 25 percent of the increase in reserves since the initial adoption. September 30, 2022 includes 75 percent of the transition provision’s impact as of December 31, 2021.

(2)Includes amounts in accumulated other comprehensive income related to the hedging of items that are not recognized at fair value on the Consolidated Balance Sheet.

(3)Includes the impact of transition provisions related to the CECL accounting standard.

Table 10 shows the components of RWA as measured under Basel 3 at September 30, 2022 and December 31, 2021.



Table 10	Risk-weighted Assets under Basel 3

		Standardized Approach		Advanced Approaches		Standardized Approach		Advanced Approaches


(Dollars in billions)		September 30, 2022				December 31, 2021
Credit risk		$	1,536	$	903	$	1,549	$	913
Market risk		63		63		69		69
Operational risk		n/a		379		n/a		378
Risks related to credit valuation adjustments		n/a		46		n/a		39
Total risk-weighted assets		$	1,599	$	1,391	$	1,618	$	1,399

n/a = not applicable


25 Bank of America

Bank of America, N.A. Regulatory Capital

Table 11 presents regulatory capital information for BANA in accordance with Basel 3 Standardized and Advanced approaches as measured at September 30, 2022 and December 31, 2021. BANA met the definition of well capitalized under the PCA framework for both periods.



Table 11	Bank of America, N.A. Regulatory Capital under Basel 3

		Standardized Approach (1)			Advanced Approaches (1)			Regulatory Minimum (2)
(Dollars in millions, except as noted)		September 30, 2022
Risk-based capital metrics:
Common equity tier 1 capital		$	185,255		$	185,255
Tier 1 capital		185,255			185,255
Total capital (3)		198,008			191,303
Risk-weighted assets (in billions)		1,376			1,056
Common equity tier 1 capital ratio		13.5		%	17.6		%	7.0	%
Tier 1 capital ratio		13.5			17.6			8.5
Total capital ratio		14.4			18.1			10.5

Leverage-based metrics:
Adjusted quarterly average assets (in billions) (4)		$	2,383		$	2,383
Tier 1 leverage ratio		7.8		%	7.8		%	5.0

Supplementary leverage exposure (in billions)					$	2,814
Supplementary leverage ratio					6.6		%	6.0

		December 31, 2021
Risk-based capital metrics:
Common equity tier 1 capital		$	182,526		$	182,526
Tier 1 capital		182,526			182,526
Total capital (3)		194,773			188,091
Risk-weighted assets (in billions)		1,352			1,048
Common equity tier 1 capital ratio		13.5		%	17.4		%	7.0	%
Tier 1 capital ratio		13.5			17.4			8.5
Total capital ratio		14.4			17.9			10.5

Leverage-based metrics:
Adjusted quarterly average assets (in billions) (4)		$	2,414		$	2,414
Tier 1 leverage ratio		7.6		%	7.6		%	5.0

Supplementary leverage exposure (in billions)					$	2,824
Supplementary leverage ratio					6.5		%	6.0

(2)Risk-based capital regulatory minimums at both September 30, 2022 and December 31, 2021 are the minimum ratios under Basel 3 including a capital conservation buffer of 2.5 percent. The regulatory minimums for the leverage ratios as of both period ends are the percent required to be considered well capitalized under the PCA framework.

(4)Reflects total average assets adjusted for certain Tier 1 capital deductions.

Total Loss-Absorbing Capacity Requirements

Total loss-absorbing capacity (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 to avoid restrictions on capital distributions and discretionary bonus payments. Table 12 presents the Corporation's TLAC and long-term debt ratios and related information as of September 30, 2022 and December 31, 2021.


						Bank of America 26



Table 12	Bank of America Corporation Total Loss-Absorbing Capacity and Long-Term Debt

		TLAC (1)			Regulatory Minimum (2)		Long-term Debt			Regulatory Minimum (3)
(Dollars in millions)		September 30, 2022
Total eligible balance		$	461,928				$	242,473
Percentage of risk-weighted assets (4)		28.9		%	22.0	%	15.2		%	8.5	%
Percentage of supplementary leverage exposure		13.0			9.5		6.8			4.5

		December 31, 2021
Total eligible balance		$	435,904				$	227,714
Percentage of risk-weighted assets (4)		26.9		%	22.0	%	14.1		%	8.5	%
Percentage of supplementary leverage exposure		12.1			9.5		6.3			4.5

(1)As of September 30, 2022 and December 31, 2021, TLAC ratios are calculated using the regulatory capital rule that allows a five-year transition period related to the adoption of CECL.

(2)The TLAC RWA regulatory minimum consists of 18.0 percent plus a TLAC RWA buffer comprised of 2.5 percent plus the Method 1 G-SIB surcharge of 1.5 percent. The countercyclical buffer is zero for both periods. The TLAC supplementary leverage exposure regulatory minimum consists of 7.5 percent plus a 2.0 percent TLAC leverage buffer. The TLAC RWA and leverage buffers must be comprised solely of CET1 capital and Tier 1 capital, respectively.

(3)The long-term debt RWA regulatory minimum is comprised of 6.0 percent plus an additional 2.5 percent requirement based on the Corporation’s Method 2 G-SIB surcharge. The long-term debt leverage exposure regulatory minimum is 4.5 percent.

(4)The approach that yields the higher RWA is used to calculate TLAC and long-term debt ratios, which was the Standardized approach as of September 30, 2022 and December 31, 2021.

Regulatory Developments

For information on regulatory developments, see Capital Management – Regulatory Developments in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Regulatory Capital and Securities Regulation

The Corporation’s principal U.S. broker-dealer subsidiaries are BofA Securities, Inc. (BofAS), Merrill Lynch Professional Clearing Corp. (MLPCC) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S). The Corporation's principal European broker-dealer subsidiaries are Merrill Lynch International (MLI) and BofA Securities Europe SA (BofASE).

The U.S. broker-dealer subsidiaries are subject to the net capital requirements of Rule 15c3-1 under the Exchange Act. BofAS computes its minimum capital requirements as an alternative net capital broker-dealer under Rule 15c3-1e, and MLPCC and MLPF&S compute their minimum capital requirements in accordance with the alternative standard under Rule 15c3-1. BofAS and MLPCC are also registered as futures commission merchants and are subject to Commodity Futures Trading Commission (CFTC) Regulation 1.17. The U.S. broker-dealer subsidiaries are also registered with the Financial Industry Regulatory Authority, Inc. (FINRA). Pursuant to FINRA Rule 4110, FINRA may impose higher net capital requirements than Rule 15c3-1 under the Exchange Act with respect to each of the broker-dealers.

BofAS provides institutional services, and in accordance with the alternative net capital requirements, is required to maintain tentative net capital in excess of $5.0 billion and net capital in excess of the greater of $1.0 billion or a certain percentage of its reserve requirement in addition to a certain percentage of securities-based swap risk margin. BofAS must also notify the SEC in the event its tentative net capital is less than $6.0 billion. BofAS is also required to hold a certain percentage of its customers' and affiliates' risk-based margin in order to meet its CFTC minimum net capital requirement. At September 30, 2022, BofAS had tentative net capital of $19.1 billion. BofAS also had regulatory net capital of $16.2 billion, which exceeded the minimum requirement of $4.1 billion.

MLPCC is a fully-guaranteed subsidiary of BofAS and provides clearing and settlement services as well as prime brokerage and arranged financing services for institutional clients. At September 30, 2022, MLPCC’s regulatory net capital of $7.8 billion exceeded the minimum requirement of $1.5 billion.

MLPF&S provides retail services. At September 30, 2022, MLPF&S' regulatory net capital was $5.6 billion, which exceeded the minimum requirement of $158 million.

Our European broker-dealers are subject to requirements from U.S. and non-U.S. regulators. MLI, a U.K. investment firm, is regulated by the Prudential Regulation Authority and the Financial Conduct Authority and is subject to certain regulatory capital requirements. At September 30, 2022, MLI’s capital resources were $33.1 billion, which exceeded the minimum Pillar 1 requirement of $12.1 billion. BofASE, a French investment firm, is regulated by the Autorité de Contrôle Prudentiel et de Résolution and the Autorité des Marchés Financiers, and is subject to certain regulatory capital requirements. At September 30, 2022, BofASE's capital resources were $7.5 billion, which exceeded the minimum Pillar 1 requirement of $3.2 billion.

In addition, MLI and BofASE became conditionally registered with the SEC as security-based swap dealers in the fourth quarter of 2021, and maintained net liquid assets at September 30, 2022 that exceeded the applicable minimum requirements under the Exchange Act.

Liquidity Risk

Funding and Liquidity Risk Management

Our primary liquidity risk management objective is to meet expected or unexpected cash flow and collateral requirements, including payments under long-term debt agreements, commitments to extend credit and customer deposit withdrawals, while continuing to support our businesses and customers under a range of economic conditions. To achieve that objective, we analyze and monitor our liquidity risk under expected and stressed conditions, maintain liquidity and access to diverse funding sources, including our stable deposit base, and seek to align liquidity-related incentives and risks. These liquidity risk management practices have allowed us to effectively manage the market fluctuation from the rising interest rate environment, inflationary pressures and macroeconomic environment.

We define liquidity as readily available assets, limited to cash and high-quality, liquid, unencumbered securities that we can use to meet our contractual and contingent financial obligations as they arise. We manage our liquidity position through line-of-business and ALM 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


27 Bank of America

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 more information regarding global funding and liquidity risk management, as well as liquidity sources, liquidity arrangements, contingency planning and credit ratings discussed below, see Liquidity Risk in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

NB Holdings Corporation

The parent company, which is a separate and distinct legal entity from our bank and nonbank subsidiaries, has an intercompany arrangement with our wholly-owned holding company subsidiary, NB Holdings Corporation (NB Holdings). We have transferred, and agreed to transfer, additional parent company assets not required to satisfy anticipated near-term expenditures to NB Holdings. The parent company is expected to continue to have access to the same flow of dividends, interest and other amounts of cash necessary to service its debt, pay dividends and perform other obligations as it would have had it not entered into these arrangements and transferred any assets. These arrangements support our preferred single point of entry resolution strategy, under which only the parent company would be resolved under the U.S. Bankruptcy Code.

Global Liquidity Sources and Other Unencumbered Assets

Table 13 presents average Global Liquidity Sources (GLS) for the three months ended September 30, 2022 and December 31, 2021.



Table 13	Average Global Liquidity Sources


		Three Months Ended

(Dollars in billions)		September 30 2022		December 31 2021
Bank entities		$	763	$	1,006
Nonbank and other entities (1)		178		152
Total Average Global Liquidity Sources		$	941	$	1,158

(1) Nonbank includes Parent, NB Holdings and other regulated entities.

Our bank subsidiaries’ liquidity is primarily driven by deposit and lending activity, as well as securities valuation and net debt activity. Bank subsidiaries can also generate incremental liquidity by pledging a range of unencumbered loans and securities to certain Federal Home Loan Banks (FHLBs) and the Federal Reserve Discount Window. The cash we could have obtained by borrowing against this pool of specifically-identified eligible assets was $349 billion and $322 billion at September 30, 2022 and December 31, 2021. We have established operational procedures to enable us to borrow against these assets, including regularly monitoring our total pool of eligible loans and securities collateral. Eligibility is defined in guidelines from the FHLBs and the Federal Reserve and is subject to change at their discretion. Due to regulatory restrictions, liquidity generated by the bank subsidiaries can generally be used only to fund obligations within the bank subsidiaries, and transfers to the parent company or nonbank subsidiaries may be subject to prior regulatory approval.

Liquidity is also held in nonbank entities, including the parent, NB Holdings and other regulated entities. The parent company and NB Holdings liquidity is typically in the form of cash deposited at BANA, which is excluded from the liquidity at

bank subsidiaries, and high-quality, liquid, unencumbered securities. Liquidity held in other regulated entities, comprised primarily of broker-dealer subsidiaries, is primarily available to meet the obligations of that entity, and transfers to the parent company or to any other subsidiary may be subject to prior regulatory approval due to regulatory restrictions and minimum requirements. Our other regulated entities also hold unencumbered investment-grade securities and equities that we believe could be used to generate additional liquidity.

Table 14 presents the composition of average GLS for the three months ended September 30, 2022 and December 31, 2021.



Table 14	Average Global Liquidity Sources Composition

		Three Months Ended


(Dollars in billions)		September 30 2022		December 31 2021
Cash on deposit		$	184	$	259
U.S. Treasury securities		255		278
U.S. agency securities, mortgage-backed securities, and other investment-grade securities		487		606
Non-U.S. government securities		15		15
Total Average Global Liquidity Sources		$	941	$	1,158

Our GLS are substantially the same in composition to what qualifies as High Quality Liquid Assets (HQLA) under the final U.S. Liquidity Coverage Ratio (LCR) rules. However, HQLA for purposes of calculating LCR is not reported at market value, but at a lower value that incorporates regulatory deductions and the exclusion of excess liquidity held at certain subsidiaries. The LCR is calculated as the amount of a financial institution’s unencumbered HQLA relative to the estimated net cash outflows the institution could encounter over a 30-day period of significant liquidity stress, expressed as a percentage. Our average consolidated HQLA, on a net basis, was $618 billion and $617 billion for the three months ended September 30, 2022 and December 31, 2021. For the same periods, the average consolidated LCR was 123 percent and 115 percent. Our LCR fluctuates due to normal business flows from customer activity.

Liquidity Stress Analysis

We utilize liquidity stress analysis to assist us in determining the appropriate amounts of liquidity to maintain at the parent company and our subsidiaries to meet contractual and contingent cash outflows under a range of scenarios. For more information on liquidity stress analysis, see Liquidity Risk – Liquidity Stress Analysis in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Net Stable Funding Ratio

The Net Stable Funding Ratio (NSFR) is a liquidity requirement for large banks to maintain a minimum level of stable funding over a one-year period. The requirement is intended to support the ability of banks to lend to households and businesses in both normal and adverse economic conditions and is complementary to the LCR, which focuses on short-term liquidity risks. The U.S. NSFR applies to the Corporation on a consolidated basis and to our insured depository institutions. At September 30, 2022, the Corporation and its insured depository institutions were in compliance with this requirement.


						Bank of America 28

Diversified 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 fund a substantial portion of our lending activities through our deposits, which totaled $1.9 trillion and $2.1 trillion at September 30, 2022 and December 31, 2021.

Our trading activities in other regulated 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.

Long-term Debt

During the nine months ended September 30, 2022, we issued $56.0 billion of long-term debt consisting of $41.5 billion of notes issued by Bank of America Corporation, substantially all of which was TLAC compliant, $5.9 billion of notes issued by Bank of America, N.A. and $8.6 billion of other debt, which is primarily structured liabilities.

During the nine months ended September 30, 2022, we had total long-term debt maturities and redemptions in the aggregate of $24.3 billion consisting of $13.6 billion for Bank of America Corporation, $7.6 billion for Bank of America, N.A. and $3.1 billion of other debt. Table 15 presents the carrying value of aggregate annual contractual maturities of long-term debt at September 30, 2022.



Table 15	Long-term Debt by Maturity

(Dollars in millions)		Remainder of 2022		2023		2024		2025		2026		Thereafter		Total
Bank of America Corporation
Senior notes (1)		$	—	$	13,877	$	22,295	$	24,286	$	23,380	$	122,517	$	206,355
Senior structured notes		141		711		447		500		907		7,619		10,325
Subordinated notes		—		—		3,230		5,123		4,907		12,394		25,654
Junior subordinated notes		—		—		—		—		—		743		743
Total Bank of America Corporation		141		14,588		25,972		29,909		29,194		143,273		243,077
Bank of America, N.A.
Senior notes		—		2,150		—		—		—		—		2,150
Subordinated notes		—		—		—		—		—		1,485		1,485
Advances from Federal Home Loan Banks		—		500		—		15		9		58		582
Securitizations and other Bank VIEs (2)		—		998		1,000		1,000		—		50		3,048
Other		1		315		50		71		30		4		471
Total Bank of America, N.A.		1		3,963		1,050		1,086		39		1,597		7,736
Other debt
Structured Liabilities		1,030		4,468		1,881		2,039		1,363		7,336		18,117
Nonbank VIEs (2)		—		—		—		—		—		192		192
Other		—		—		—		—		—		—		—
Total other debt		1,030		4,468		1,881		2,039		1,363		7,528		18,309
Total long-term debt		$	1,172	$	23,019	$	28,903	$	33,034	$	30,596	$	152,398	$	269,122

(1)Total includes $180.0 billion of outstanding notes that are both TLAC eligible and callable one year before their stated maturities, including $6.0 billion during the remainder of 2022, and $16.4 billion, $21.1 billion, $20.8 billion and $15.8 billion during each year of 2023 through 2026, respectively, and $99.9 billion thereafter. For more information on our TLAC eligible and callable outstanding notes, see Liquidity Risk – Diversified Funding Sources in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

(2)Represents liabilities of consolidated variable interest entities (VIEs) included in total long-term debt on the Consolidated Balance Sheet.

Total long-term debt decreased $11.0 billion to $269.1 billion during the nine months ended September 30, 2022, primarily due to debt valuation adjustments, maturities and redemptions, partially offset by debt issuances. We may, from time to time, purchase outstanding debt instruments in various transactions, depending on market conditions, liquidity and other factors. Our other regulated entities may also make markets in our debt instruments to provide liquidity for investors.

During the nine months ended September 30, 2022, we issued $8.6 billion of structured notes, which are debt obligations that pay investors returns linked to other debt or equity securities, indices, currencies or commodities. These structured notes are typically issued to meet client demand, and notes with certain attributes may also be TLAC eligible. We typically hedge the returns we are obligated to pay on these liabilities with derivatives and/or investments in the underlying instruments, so that from a funding perspective, the cost is similar to our other unsecured long-term debt. We could be required to settle certain structured note obligations for cash or other securities prior to maturity under certain circumstances, which we consider for liquidity planning purposes. We believe, however, that a portion of such borrowings will remain outstanding beyond the earliest put or redemption date.

Substantially all of our senior and subordinated debt obligations contain no provisions that could trigger a requirement for an early repayment, require additional collateral support, result in changes to terms, accelerate maturity or create additional financial obligations upon an adverse change in our credit ratings, financial ratios, earnings, cash flows or stock price. For more information on long-term debt funding, including issuances and maturities and redemptions, see Note 11 – Long-term Debt to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

We use derivative transactions to manage the duration, interest rate and currency risks of our borrowings, considering the characteristics of the assets they are funding. For more information on our ALM activities, see Interest Rate Risk Management for the Banking Book on page 45.

Credit Ratings

Credit ratings and outlooks are opinions expressed by rating agencies on our creditworthiness and that of our obligations or securities, including long-term debt, short-term borrowings, preferred stock and other securities, including asset securitizations. Table 16 presents the Corporation’s current long-term/short-term senior debt ratings and outlooks expressed by the rating agencies.


29 Bank of America

The ratings and outlooks from Moody's Investors Service, Standard & Poor’s Global Ratings and Fitch Ratings for the Corporation and its subsidiaries have not changed from those disclosed in the Corporation's 2021 Annual Report on Form 10-K.

For more information on additional collateral and termination payments that could be required in connection with certain over-the-counter derivative contracts and other trading agreements in the event of a credit rating downgrade, see Note 3 – Derivatives to the Consolidated Financial Statements herein and Item 1A. Risk Factors of the Corporation’s 2021 Annual Report on Form 10-K.

Table 16

Senior Debt Ratings

Moody’s Investors Service

Standard & Poor’s Global Ratings

Fitch Ratings

Long-term

Short-term

Outlook

Long-term

Short-term

Outlook

Long-term

Short-term

Outlook

Bank of America Corporation

P-1

Positive

A-

A-2

Positive

AA-

F1+

Stable

Bank of America, N.A.

Aa2

P-1

Positive

A+

A-1

Positive

F1+

Stable

Bank of America Europe Designated Activity Company

A+

A-1

Positive

F1+

Stable

Merrill Lynch, Pierce, Fenner & Smith Incorporated

A+

A-1

Positive

F1+

Stable

BofA Securities, Inc.

A+

A-1

Positive

F1+

Stable

Merrill Lynch International

A+

A-1

Positive

F1+

Stable

BofA Securities Europe SA

A+

A-1

Positive

F1+

Stable

NR = not rated

Finance Subsidiary Issuers and Parent Guarantor

BofA Finance LLC, a Delaware limited liability company (BofA Finance), is a consolidated finance subsidiary of the Corporation that has issued and sold, and is expected to continue to issue and sell, its senior unsecured debt securities (Guaranteed Notes) that are fully and unconditionally guaranteed by the Corporation. The Corporation guarantees the due and punctual payment, on demand, of amounts payable on the Guaranteed Notes if not paid by BofA Finance. In addition, each of BAC Capital Trust XIII, BAC Capital Trust XIV and BAC Capital Trust XV, Delaware statutory trusts (collectively, the Trusts), is a 100 percent owned finance subsidiary of the Corporation that has issued and sold trust preferred securities (the Trust Preferred Securities) or capital securities (the Capital Securities and, together with the Guaranteed Notes and the Trust Preferred Securities, the Guaranteed Securities), as applicable, that remained outstanding at September 30, 2022. The Corporation has fully and unconditionally guaranteed (or effectively provided for the full and unconditional guarantee of) all such securities issued by such finance subsidiaries. For more information regarding such guarantees by the Corporation, see Liquidity Risk – Finance Subsidiary Issuers and Parent Guarantor in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Representations and Warranties Obligations

For information on representations and warranties obligations in connection with the sale of mortgage loans, see Note 12 – Commitments and Contingencies to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Credit Risk Management

For information on our credit risk management activities, see the following: Consumer Portfolio Credit Risk Management, Commercial Portfolio Credit Risk Management on page 35, Non-U.S. Portfolio on page 41, Allowance for Credit Losses on page 42, and Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses to the Consolidated Financial Statements.

During the nine months ended September 30, 2022, asset quality continued to improve. Excluding losses associated with non-core mortgage sales, our net charge-off ratio remained near historic lows, and nonperforming loans and commercial reservable criticized utilized exposure decreased, which was partially offset by an increase in reservable criticized exposure

associated with our direct exposure to Russia as a result of the Russia/Ukraine conflict. While uncertainty around the pandemic has largely dissipated, uncertainty remains regarding broader economic impacts as a result of inflationary pressures, rising rates and the current geopolitical situation and could lead to adverse impacts to credit quality metrics in future periods.

Consumer Portfolio Credit Risk Management

Credit risk management for the consumer portfolio begins with initial underwriting and continues throughout a borrower’s credit cycle. Statistical techniques in conjunction with experiential judgment are used in all aspects of portfolio management including underwriting, product pricing, risk appetite, setting credit limits, and establishing operating processes and metrics to quantify and balance risks and returns. Statistical models are built using detailed behavioral information from external sources, such as credit bureaus and/or internal historical experience, and are a component of our consumer credit risk management process. These models are used in part to assist in making both new and ongoing credit decisions, as well as portfolio management strategies, including authorizations and line management, collection practices and strategies, and determination of the allowance for loan and lease losses and allocated capital for credit risk.

Consumer Credit Portfolio

During the nine months ended September 30, 2022, the U.S. unemployment rate continued to decline and home prices increased compared to the same period a year ago; however, inflationary pressures continued to persist. Net charge-offs increased $130 million to $459 million during the three months ended September 30, 2022 and decreased $211 million to $1.3 billion during the nine months ended September 30, 2022 compared to the same periods in 2021. The increase in the three-month period was primarily due to overdrafts charged off in other consumer, and the decrease in the nine-month period was primarily due to lower credit card losses, as loss rates remain near historic lows. During the nine months ended September 30, 2022, nonperforming loans declined primarily due to decreases from consumer real estate loan sales, partially offset by increases from loans with expired deferrals that were modified as troubled debt restructurings (TDRs) during the first quarter of 2022.


						Bank of America 30

The consumer allowance for loan and lease losses decreased $153 million during the nine months ended September 30, 2022 to $6.9 billion. For more information, see Allowance for Credit Losses on page 42.

For more information on our accounting policies regarding delinquencies, nonperforming status, charge-offs and TDRs for the consumer portfolio, see Note 1 – Summary of Significant

Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K and Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses to the Consolidated Financial Statements.

Table 17 presents our outstanding consumer loans and leases, consumer nonperforming loans and accruing consumer loans past due 90 days or more.



Table 17	Consumer Credit Quality

		Outstandings				Nonperforming						Accruing Past Due 90 Days or More


(Dollars in millions)		September 30 2022		December 31 2021		September 30 2022			December 31 2021			September 30 2022			December 31 2021
Residential mortgage (1)		$	229,062	$	221,963	$	2,187		$	2,284		$	427		$	634
Home equity		26,845		27,935		532			630			—			—
Credit card		87,296		81,438		n/a			n/a			547			487
Direct/Indirect consumer (2)		107,159		103,560		41			75			27			11
Other consumer		171		190		—			—			—			—
Consumer loans excluding loans accounted for under the fair value option		$	450,533	$	435,086	$	2,760		$	2,989		$	1,001		$	1,132
Loans accounted for under the fair value option (3)		355		618
Total consumer loans and leases		$	450,888	$	435,704
Percentage of outstanding consumer loans and leases (4)		n/a		n/a		0.61		%	0.69		%	0.22		%	0.26		%
Percentage of outstanding consumer loans and leases, excluding fully-insured loan portfolios (4)		n/a		n/a		0.63			0.71			0.13			0.12

(1)Residential mortgage loans accruing past due 90 days or more are fully-insured loans. At September 30, 2022 and December 31, 2021, residential mortgage includes $321 million and $444 million of loans on which interest had been curtailed by the Federal Housing Administration (FHA), and therefore were no longer accruing interest, although principal was still insured, and $106 million and $190 million of loans on which interest was still accruing.

(2)Outstandings primarily include auto and specialty lending loans and leases of $50.7 billion and $48.5 billion, U.S. securities-based lending loans of $52.6 billion and $51.1 billion and non-U.S. consumer loans of $2.9 billion and $3.0 billion at September 30, 2022 and December 31, 2021.

(3)For more information on the fair value option, see Note 15 – Fair Value Option to the Consolidated Financial Statements.

(4)Excludes consumer loans accounted for under the fair value option. At September 30, 2022 and December 31, 2021, $8 million and $21 million of loans accounted for under the fair value option were past due 90 days or more and not accruing interest.

n/a = not applicable

Table 18 presents net charge-offs and related ratios for consumer loans and leases.



Table 18	Consumer Net Charge-offs and Related Ratios

		Net Charge-offs								Net Charge-off Ratios (1)

		Three Months Ended September 30				Nine Months Ended September 30				Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)		2022		2021		2022		2021		2022		2021		2022		2021
Residential mortgage		$	(3)	$	(7)	$	73	$	(17)	(0.01)	%	(0.01)	%	0.04	%	(0.01)	%
Home equity		(18)		(34)		(72)		(93)		(0.25)		(0.46)		(0.35)		(0.40)
Credit card		328		321		948		1,443		1.53		1.69		1.55		2.59

Direct/Indirect consumer		9		(18)		17		4		0.03		(0.07)		0.02		0.01
Other consumer		143		67		358		198		n/m		n/m		n/m		n/m
Total		$	459	$	329	$	1,324	$	1,535	0.41		0.31		0.40		0.49

(1)Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases, excluding loans accounted for under the fair value option.

n/m = not meaningful

We believe that the presentation of information adjusted to exclude the impact of the fully-insured loan portfolio and loans accounted for under the fair value option is more representative of the ongoing operations and credit quality of the business. As a result, in the following tables and discussions of the residential mortgage and home equity portfolios, we exclude loans accounted for under the fair value option and provide information that excludes the impact of the fully-insured loan portfolio in certain credit quality statistics.

Residential Mortgage

The residential mortgage portfolio made up the largest percentage of our consumer loan portfolio at 51 percent of consumer loans and leases at September 30, 2022. Approximately 52 percent of the residential mortgage portfolio was in Consumer Banking and 45 percent was in GWIM. The

remaining portion was in All Other.

Outstanding balances in the residential mortgage portfolio increased $7.1 billion during the nine months ended September 30, 2022 as originations were partially offset by paydowns and loan sales.

At September 30, 2022 and December 31, 2021, the residential mortgage portfolio included $11.9 billion and $12.7 billion of outstanding fully-insured loans, of which both had FHA insurance of $2.2 billion, with the remainder protected by Fannie Mae long-term standby agreements.

Table 19 presents certain residential mortgage key credit statistics on both a reported basis and excluding the fully-insured loan portfolio. The following discussion presents the residential mortgage portfolio excluding the fully-insured loan portfolio.


31 Bank of America



Table 19	Residential Mortgage – Key Credit Statistics

		Reported Basis (1)						Excluding Fully-insured Loans (1)


(Dollars in millions)		September 30 2022			December 31 2021			September 30 2022			December 31 2021
Outstandings		$	229,062		$	221,963		$	217,130		$	209,259
Accruing past due 30 days or more		1,392			1,753			720			866
Accruing past due 90 days or more		427			634			—			—
Nonperforming loans (2)		2,187			2,284			2,187			2,284
Percent of portfolio
Refreshed LTV greater than 90 but less than or equal to 100		1		%	1		%	1		%	1		%
Refreshed LTV greater than 100		—			—			—			—
Refreshed FICO below 620		1			2			1			1

(1)Outstandings, accruing past due, nonperforming loans and percentages of portfolio exclude loans accounted for under the fair value option.

(2)Includes loans that are contractually current which primarily consist of collateral-dependent TDRs, including those that have been discharged in Chapter 7 bankruptcy and loans that have not yet demonstrated a sustained period of payment performance following a TDR.

Nonperforming outstanding balances in the residential mortgage portfolio decreased $97 million during the nine months ended September 30, 2022 primarily due to decreases from consumer real estate loan sales in the second quarter of 2022, partially offset by increases from loans with expired deferrals that were modified as TDRs during the first quarter of 2022. Of the nonperforming residential mortgage loans at September 30, 2022, $1.4 billion, or 65 percent, were current on contractual payments. Loans accruing past due 30 days or more decreased $146 million.

Net recoveries of $3 million for the three months ended September 30, 2022 remained relatively unchanged compared to the same period in 2021. Net charge-offs of $73 million for the nine months ended September 30, 2022 increased $90 million compared to the same period in 2021 primarily due to loan sales that occurred in the second quarter of 2022.

Of the $217.1 billion in total residential mortgage loans outstanding at September 30, 2022, 28 percent were originated as interest-only loans. The outstanding balance of interest-only residential mortgage loans that have entered the amortization period was $3.4 billion, or six percent, at September 30, 2022. Residential mortgage loans that have entered the amortization period generally experienced a higher rate of early stage delinquencies and nonperforming status compared to the residential mortgage portfolio as a whole. At September 30,

2022, $37 million, or one percent, of outstanding interest-only residential mortgages that had entered the amortization period were accruing past due 30 days or more compared to $720 million, or less than one percent, for the entire residential mortgage portfolio. In addition, at September 30, 2022, $213 million, or six percent, of outstanding interest-only residential mortgage loans that had entered the amortization period were nonperforming, of which $84 million were contractually current. Loans that have yet to enter the amortization period in our interest-only residential mortgage portfolio are primarily well-collateralized loans to our wealth management clients and have an interest-only period of three to ten years. Approximately 95 percent of these loans that have yet to enter the amortization period will not be required to make a fully-amortizing payment until 2025 or later.

Table 20 presents outstandings, nonperforming loans and net charge-offs by certain state concentrations for the residential mortgage portfolio. The Los Angeles-Long Beach-Santa Ana Metropolitan Statistical Area (MSA) within California represented 14 percent and 15 percent of outstandings at September 30, 2022 and December 31, 2021. In the New York area, the New York-Northern New Jersey-Long Island MSA made up 15 percent of outstandings at both September 30, 2022 and December 31, 2021.



Table 20	Residential Mortgage State Concentrations

		Outstandings (1)				Nonperforming (1)				Net Charge-offs
		September 30 2022		December 31 2021		September 30 2022		December 31 2021		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)										2022		2021		2022		2021


California		$	80,782	$	77,819	$	665	$	693	$	(2)	$	(3)	$	38	$	(10)
New York		26,034		24,975		328		358		(1)		—		4		2
Florida		15,125		13,883		142		158		—		(1)		(1)		(5)
Texas		9,273		9,002		89		86		—		—		1		—
New Jersey		8,834		8,723		100		117		(1)				2		—
Other		77,082		74,857		863		872		1		(3)		29		(4)
Residential mortgage loans		$	217,130	$	209,259	$	2,187	$	2,284	$	(3)	$	(7)	$	73	$	(17)
Fully-insured loan portfolio		11,932		12,704

Total residential mortgage loan portfolio		$	229,062	$	221,963

(1)Outstandings and nonperforming loans exclude loans accounted for under the fair value option.

Home Equity

At September 30, 2022, the home equity portfolio made up six percent of the consumer portfolio and was comprised of home equity lines of credit (HELOCs), home equity loans and reverse mortgages. HELOCs generally have an initial draw period of 10 years, and after the initial draw period ends, the loans generally

convert to 15- or 20-year amortizing loans. We no longer originate home equity loans or reverse mortgages.

At September 30, 2022, 82 percent of the home equity portfolio was in Consumer Banking, nine percent was in All Other and the remainder of the portfolio was primarily in GWIM. Outstanding balances in the home equity portfolio decreased


						Bank of America 32

$1.1 billion during the nine months ended September 30, 2022 primarily due to paydowns outpacing draws on existing lines and new originations. Of the total home equity portfolio at September 30, 2022 and December 31, 2021, $11.4 billion and $12.2 billion, or 43 percent and 44 percent, were in first-lien positions. At September 30, 2022, outstanding balances in the home equity portfolio that were in a second-lien or more junior-lien position and where we also held the first-lien loan

totaled $4.6 billion, or 17 percent of our total home equity portfolio.

Unused HELOCs totaled $41.4 billion and $40.5 billion at September 30, 2022 and December 31, 2021. The HELOC utilization rate was 38 percent and 39 percent at September 30, 2022 and December 31, 2021.

Table 21 presents certain home equity portfolio key credit statistics.



Table 21	Home Equity – Key Credit Statistics (1)




(Dollars in millions)							September 30 2022		December 31 2021
Outstandings							$	26,845	$	27,935
Accruing past due 30 days or more				83		157
Nonperforming loans (2)							532		630
Percent of portfolio
Refreshed CLTV greater than 90 but less than or equal to 100		—	%	—	%
Refreshed CLTV greater than 100				—		1
Refreshed FICO below 620							2		3

(1)Outstandings, accruing past due, nonperforming loans and percentages of the portfolio exclude loans accounted for under the fair value option.

(2)Includes loans that are contractually current which primarily consist of collateral-dependent TDRs, including those that have been discharged in Chapter 7 bankruptcy, junior-lien loans where the underlying first lien is 90 days or more past due, as well as loans that have not yet demonstrated a sustained period of payment performance following a TDR.

Nonperforming outstanding balances in the home equity portfolio decreased $98 million to $532 million at September 30, 2022, primarily driven by loan sales. Of the nonperforming home equity loans at September 30, 2022, $277 million, or 52 percent, were current on contractual payments. In addition, $189 million, or 36 percent, of nonperforming home equity loans were 180 days or more past due and had been written down to the estimated fair value of the collateral, less costs to sell. Accruing loans that were 30 days or more past due decreased $74 million during the nine months ended September 30, 2022.

Net recoveries decreased $16 million to $18 million and $21 million to $72 million for the three and nine months ended September 30, 2022 compared to the same periods in 2021.

Of the $26.8 billion in total home equity portfolio outstandings at September 30, 2022, as shown in Table 21, 14 percent require interest-only payments. The outstanding balance of HELOCs that have reached the end of their draw period and have entered the amortization period was $5.5 billion at September 30, 2022. The HELOCs that have entered the amortization period have experienced a higher percentage of early stage delinquencies and nonperforming status when

compared to the HELOC portfolio as a whole. At September 30, 2022, $47 million, or one percent, of outstanding HELOCs that had entered the amortization period were accruing past due 30 days or more. In addition, at September 30, 2022, $380 million, or seven percent, were nonperforming.

For our interest-only HELOC portfolio, we do not actively track how many of our home equity customers pay only the minimum amount due on their home equity loans and lines; however, we can infer some of this information through a review of our HELOC portfolio that we service and is still in its revolving period. During the three months ended September 30, 2022, 21 percent of these customers with an outstanding balance did not pay any principal on their HELOCs.

Table 22 presents outstandings, nonperforming balances and net recoveries by certain state concentrations for the home equity portfolio. In the New York area, the New York-Northern New Jersey-Long Island MSA made up 13 percent of the outstanding home equity portfolio at both September 30, 2022 and December 31, 2021. The Los Angeles-Long Beach-Santa Ana MSA within California made up 11 percent and 10 percent of the outstanding home equity portfolio at September 30, 2022 and December 31, 2021.



Table 22	Home Equity State Concentrations

		Outstandings (1)				Nonperforming (1)				Net Charge-offs


		September 30 2022		December 31 2021		September 30 2022		December 31 2021		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)										2022		2021		2022		2021
California		$	7,464	$	7,600	$	127	$	140	$	(4)	$	(9)	$	(17)	$	(31)
Florida		2,768		2,977		63		78		(5)		(5)		(18)		(16)
New Jersey		2,113		2,259		54		69		(1)		(1)		(1)		(3)
New York		1,866		2,072		84		96		(1)		(2)		(4)		(3)
Massachusetts		1,380		1,422		25		32		(1)		(2)		(2)		(2)
Other		11,254		11,605		179		215		(6)		(15)		(30)		(38)
Total home equity loan portfolio		$	26,845	$	27,935	$	532	$	630	$	(18)	$	(34)	$	(72)	$	(93)

(1)Outstandings and nonperforming loans exclude loans accounted for under the fair value option.


33 Bank of America

Credit Card

At September 30, 2022, 97 percent of the credit card portfolio was managed in Consumer Banking with the remainder in GWIM. Outstandings in the credit card portfolio increased $5.9 billion during the nine months ended September 30, 2022 to $87.3 billion primarily driven by increased purchase volumes, partially offset by the transfer of a $1.6 billion affinity card loan portfolio to held for sale that was sold in October 2022. Net charge-offs increased $7 million to $328 million during the three months ended September 30, 2022 and decreased $495 million to $948 million during the nine months ended September 30, 2022 compared to the same periods in 2021, as loss rates

remained near historic lows. In addition, the nine-month period in the prior year included charge-offs associated with deferrals that expired in 2020. Credit card loans 30 days or more past due and still accruing interest increased $205 million, and 90 days or more past due and still accruing interest increased $60 million.

Unused lines of credit for credit card increased to $367.4 billion at September 30, 2022 from $361.2 billion at December 31, 2021.

Table 23 presents certain state concentrations for the credit card portfolio.



Table 23	Credit Card State Concentrations

		Outstandings				Accruing Past Due 90 Days or More				Net Charge-offs


		September 30 2022		December 31 2021		September 30 2022		December 31 2021		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)										2022		2021		2022		2021
California		$	14,287	$	13,076	$	97	$	82	$	58	$	60	$	164	$	273
Florida		8,843		8,046		75		71		44		46		130		205
Texas		7,590		6,894		54		47		30		30		87		132
New York		5,070		4,725		42		35		25		24		71		116
Washington		4,563		4,080		17		13		9		7		25		32
Other		46,943		44,617		262		239		162		154		471		685
Total credit card portfolio		$	87,296	$	81,438	$	547	$	487	$	328	$	321	$	948	$	1,443

Direct/Indirect Consumer

At September 30, 2022, 47 percent of the direct/indirect portfolio was included in Consumer Banking (consumer auto and recreational vehicle lending) and 53 percent was included in GWIM (principally securities-based lending loans). Outstandings in the direct/indirect portfolio increased $3.6 billion during

the nine months ended September 30, 2022 to $107.2 billion driven by growth in our auto portfolio and client demand for liquidity in securities-based lending.

Table 24 presents certain state concentrations for the direct/indirect consumer loan portfolio.



Table 24	Direct/Indirect State Concentrations

		Outstandings				Accruing Past Due 90 Days or More				Net Charge-offs


		September 30 2022		December 31 2021		September 30 2022		December 31 2021		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)										2022		2021		2022		2021

California		$	15,526	$	15,061	$	4	$	2	$	1	$	(2)	$	4	$	3
Florida		13,749		13,352		2		1		2		(2)		2		—
Texas		10,104		9,505		3		2		2		(4)		3		2
New York		8,148		7,802		1		1		1		1		2		4
New Jersey		4,494		4,228		1		—		1		—		1		(1)
Other		55,138		53,612		16		5		2		(11)		5		(4)
Total direct/indirect loan portfolio		$	107,159	$	103,560	$	27	$	11	$	9	$	(18)	$	17	$	4

Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity

Table 25 presents nonperforming consumer loans, leases and foreclosed properties activity for the three and nine months ended September 30, 2022 and 2021. During the nine months ended September 30, 2022, nonperforming consumer loans decreased $229 million to $2.8 billion primarily due to decreases from loan sales, partially offset by increases from loans with expired deferrals that were modified as TDRs during the first quarter of 2022.

At September 30, 2022, $639 million, or 23 percent, of nonperforming loans were 180 days or more past due and had

been written down to their estimated property value less costs to sell. In addition, at September 30, 2022, $1.7 billion, or 63 percent, of nonperforming consumer loans were modified and are now current after successful trial periods, or are current loans classified as nonperforming loans in accordance with applicable policies.

Foreclosed properties increased $24 million during the nine months ended September 30, 2022 to $125 million. Nonperforming loans also include certain loans that have been modified in TDRs where economic concessions have been granted to borrowers experiencing financial difficulties.


						Bank of America 34



Table 25	Nonperforming Consumer Loans, Leases and Foreclosed Properties Activity

		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)		2022			2021			2022		2021
Nonperforming loans and leases, beginning of period		$	2,866		$	3,044		$	2,989	$	2,725
Additions		236			353			1,245		1,635
Reductions:
Paydowns and payoffs		(124)			(163)			(446)		(446)
Sales		(1)			(1)			(401)		(3)
Returns to performing status (1)		(193)			(201)			(552)		(839)
Charge-offs		(12)			(12)			(50)		(49)
Transfers to foreclosed properties		(12)			(3)			(25)		(6)

Total net additions/(reductions) to nonperforming loans and leases		(106)			(27)			(229)		292
Total nonperforming loans and leases, September 30		2,760			3,017			2,760		3,017
Foreclosed properties, September 30 (2)		125			87			125		87
Nonperforming consumer loans, leases and foreclosed properties, September 30		$	2,885		$	3,104		$	2,885	$	3,104
Nonperforming consumer loans and leases as a percentage of outstanding consumer loans and leases (3)		0.61		%	0.71		%
Nonperforming consumer loans, leases and foreclosed properties as a percentage of outstanding consumer loans, leases and foreclosed properties (3)		0.64			0.73

(1)Consumer loans may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected, or when the loan otherwise becomes well-secured and is in the process of collection.

(2)Foreclosed property balances do not include properties insured by certain government-guaranteed loans, principally FHA-insured, of $75 million and $55 million at September 30, 2022 and 2021.

(3)Outstanding consumer loans and leases exclude loans accounted for under the fair value option.

Table 26 presents TDRs for the consumer real estate portfolio. Performing TDR balances are excluded from nonperforming loans and leases in Table 25.



Table 26	Consumer Real Estate Troubled Debt Restructurings

		September 30, 2022						December 31, 2021
(Dollars in millions)		Nonperforming		Performing		Total		Nonperforming		Performing		Total
Residential mortgage (1, 2)		$	1,721	$	1,588	$	3,309	$	1,498	$	2,278	$	3,776
Home equity (3)		327		552		879		254		652		906
Total consumer real estate troubled debt restructurings		$	2,048	$	2,140	$	4,188	$	1,752	$	2,930	$	4,682

(1)At September 30, 2022 and December 31, 2021, residential mortgage TDRs deemed collateral dependent totaled $1.8 billion and $1.6 billion, and included $1.6 billion and $1.4 billion of loans classified as nonperforming and $187 million and $279 million of loans classified as performing.

(2)At September 30, 2022 and December 31, 2021, residential mortgage performing TDRs include $1.1 billion and $1.2 billion of loans that were fully-insured.

(3)At September 30, 2022 and December 31, 2021, home equity TDRs deemed collateral dependent totaled $413 million and $370 million, and include $290 million and $222 million of loans classified as nonperforming and $123 million and $148 million of loans classified as performing.

In addition to modifying consumer real estate loans, we work with customers who are experiencing financial difficulty by modifying credit card and other consumer loans. Credit card and other consumer loan modifications generally involve a reduction in the customer’s interest rate on the account and placing the customer on a fixed payment plan not exceeding 60 months.

Modifications of credit card and other consumer loans are made through programs utilizing direct customer contact, but may also utilize external programs. At September 30, 2022 and December 31, 2021, our credit card and other consumer TDR portfolio was $608 million and $672 million, of which $533 million and $599 million were current or less than 30 days past due under the modified terms.

Commercial Portfolio Credit Risk Management

Commercial credit risk is evaluated and managed with the goal that concentrations of credit exposure continue to be aligned with our risk appetite. We review, measure and manage concentrations of credit exposure by industry, product, geography, customer relationship and loan size. We also review, measure and manage commercial real estate loans by geographic location and property type. In addition, within our non-U.S. portfolio, we evaluate exposures by region and by country. Tables 31, 34 and 37 summarize our concentrations. We also utilize syndications of exposure to third parties, loan sales, hedging and other risk mitigation techniques to manage the size and risk profile of the commercial credit portfolio. For

more information on our industry concentrations, see Table 34 and Commercial Portfolio Credit Risk Management – Industry Concentrations on page 39.

For more information on our accounting policies regarding delinquencies, nonperforming status, net charge-offs and TDRs for the commercial portfolio, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Commercial Credit Portfolio

During the nine months ended September 30, 2022, commercial credit quality improved as charge-offs, nonperforming commercial loans and reservable criticized utilized exposure declined during this period. Due to the ongoing Russia/Ukraine conflict, all direct exposure to Russian counterparties was downgraded and reported as reservable criticized exposure, and expected credit losses have been incorporated into our estimate of the allowance for credit losses. Outstanding commercial loans and leases increased $38.2 billion during the nine months ended September 30, 2022 due to growth in commercial and industrial, primarily in Global Banking. This increase was partially offset by lower U.S. small business commercial loans due to repayments of PPP loans by the Small Business Administration (SBA) under the terms of the program. For more information on PPP loans, see Note 1 – Summary of Significant Accounting Principles to the


35 Bank of America

Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Credit quality of commercial real estate borrowers continued to stabilize as pandemic-impacted sectors are recovering. However, many real estate markets, while improving, are still experiencing disruptions in demand, supply chain challenges, tenant difficulties and challenging capital markets. Demand for office space continues to be uncertain as companies evaluate space needs with employment models that utilize a mix of remote and conventional office use.

The commercial allowance for loan and lease losses remained relatively unchanged at $5.4 billion at September 30, 2022, as asset quality improvement and reduced pandemic uncertainties were offset by a dampening macroeconomic outlook, loan growth and a reserve build related to Russian exposure. For more information, see Allowance for Credit Losses on page 42.

Total commercial utilized credit exposure increased $65.0 billion during the nine months ended September 30, 2022 to $718.6 billion primarily driven by higher loans and leases and derivative assets. The utilization rate for loans and leases, standby letters of credit (SBLCs) and financial guarantees, and commercial letters of credit, in the aggregate, was 57 percent and 56 percent at September 30, 2022 and December 31, 2021.

Table 27 presents commercial credit exposure by type for utilized, unfunded and total binding committed credit exposure. Commercial utilized credit exposure includes SBLCs and financial guarantees and commercial letters of credit that have been issued and for which we are legally bound to advance funds under prescribed conditions during a specified time period, and excludes exposure related to trading account assets. Although funds have not yet been advanced, these exposure types are considered utilized for credit risk management purposes.



Table 27	Commercial Credit Exposure by Type

		Commercial Utilized (1)				Commercial Unfunded (2, 3, 4)				Total Commercial Committed


(Dollars in millions)		September 30 2022		December 31 2021		September 30 2022		December 31 2021		September 30 2022		December 31 2021
Loans and leases		$	581,578	$	543,420	$	466,564	$	454,256	$	1,048,142	$	997,676
Derivative assets (5)		71,956		35,344		—		—		71,956		35,344
Standby letters of credit and financial guarantees		35,080		34,389		1,344		639		36,424		35,028
Debt securities and other investments		18,647		19,427		3,227		4,638		21,874		24,065
Loans held-for-sale		3,909		13,185		11,308		16,581		15,217		29,766
Operating leases		5,516		5,935		—		—		5,516		5,935
Commercial letters of credit		1,036		1,176		65		247		1,101		1,423
Other		838		652		—		—		838		652
Total		$	718,560	$	653,528	$	482,508	$	476,361	$	1,201,068	$	1,129,889

(1)Commercial utilized exposure includes loans of $4.5 billion and $7.2 billion accounted for under the fair value option at September 30, 2022 and December 31, 2021.

(2)Commercial unfunded exposure includes commitments accounted for under the fair value option with a notional amount of $3.5 billion and $4.8 billion at September 30, 2022 and December 31, 2021.

(3)Excludes unused business card lines, which are not legally binding.

(4)Includes the notional amount of unfunded legally binding lending commitments, net of amounts distributed (i.e., syndicated or participated) to other financial institutions. The distributed amounts were $10.4 billion and $10.7 billion at September 30, 2022 and December 31, 2021.

(5)Derivative assets are carried at fair value, reflect the effects of legally enforceable master netting agreements and have been reduced by cash collateral of $40.6 billion and $30.8 billion at September 30, 2022 and December 31, 2021. Not reflected in utilized and committed exposure is additional non-cash derivative collateral held of $59.3 billion and $44.8 billion at September 30, 2022 and December 31, 2021, which consists primarily of other marketable securities.

Nonperforming commercial loans decreased $355 million. Table 28 presents our commercial loans and leases portfolio and related credit quality information at September 30, 2022 and December 31, 2021.



Table 28	Commercial Credit Quality

		Outstandings				Nonperforming				Accruing Past Due 90 Days or More

(Dollars in millions)		September 30 2022		December 31 2021		September 30 2022		December 31 2021		September 30 2022		December 31 2021
Commercial and industrial:
U.S. commercial		$	355,370	$	325,936	$	640	$	825	$	300	$	171
Non-U.S. commercial		123,035		113,266		274		268		22		19
Total commercial and industrial		478,405		439,202		914		1,093		322		190
Commercial real estate		67,952		63,009		282		382		34		40
Commercial lease financing		12,956		14,825		11		80		12		8
		559,313		517,036		1,207		1,555		368		238
U.S. small business commercial (1)		17,769		19,183		16		23		252		87
Commercial loans excluding loans accounted for under the fair value option		$	577,082	$	536,219	$	1,223	$	1,578	$	620	$	325
Loans accounted for under the fair value option (2)		4,496		7,201
Total commercial loans and leases		$	581,578	$	543,420

(1)Includes card-related products.

(2)Commercial loans accounted for under the fair value option include U.S. commercial of $2.4 billion and $4.6 billion and non-U.S. commercial of $2.1 billion and $2.6 billion at September 30, 2022 and December 31, 2021. For more information on the fair value option, see Note 15 – Fair Value Option to the Consolidated Financial Statements.


						Bank of America 36

Table 29 presents net charge-offs and related ratios for our commercial loans and leases for the three and nine months ended September 30, 2022 and 2021.



Table 29	Commercial Net Charge-offs and Related Ratios

		Net Charge-offs								Net Charge-off Ratios (1)

		Three Months Ended September 30				Nine Months Ended September 30				Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)		2022		2021		2022		2021		2022		2021		2022		2021
Commercial and industrial:
U.S. commercial		$	23	$	15	$	24	$	(4)	0.03	%	0.02	%	0.01	%	—	%
Non-U.S. commercial		(6)		1		(10)		41		(0.02)		—		(0.01)		0.06
Total commercial and industrial		17		16		14		37		0.01		0.02		—		0.01
Commercial real estate		13		—		32		28		0.08		—		0.07		0.06
Commercial lease financing		(1)		(1)		3		(1)		(0.05)		—		0.03		—
		29		15		49		64		0.02		0.01		0.01		0.02
U.S. small business commercial		32		119		110		282		0.72		1.76		0.82		1.16
Total commercial		$	61	$	134	$	159	$	346	0.04		0.11		0.04		0.09

(1)Net charge-off ratios are calculated as annualized net charge-offs divided by average outstanding loans and leases, excluding loans accounted for under the fair value option.

Table 30 presents commercial reservable criticized utilized exposure by loan type. Criticized exposure corresponds to the Special Mention, Substandard and Doubtful asset categories as defined by regulatory authorities. Total commercial reservable criticized utilized exposure decreased $4.7 billion during the nine months ended September 30, 2022, which was broad-based across industries. At both September 30, 2022 and December 31, 2021, 87 percent of commercial reservable criticized utilized exposure was secured.



Table 30	Commercial Reservable Criticized Utilized Exposure (1, 2)




(Dollars in millions)		September 30, 2022				December 31, 2021
Commercial and industrial:
U.S. commercial		$	9,811	2.56	%	$	11,327	3.20	%
Non-U.S. commercial		2,683		2.06		2,582		2.17
Total commercial and industrial		12,494		2.43		13,909		2.94
Commercial real estate		4,532		6.52		7,572		11.72
Commercial lease financing		236		1.82		387		2.61
		17,262		2.90		21,868		3.96
U.S. small business commercial		397		2.23		513		2.67
Total commercial reservable criticized utilized exposure		$	17,659	2.88		$	22,381	3.91

(1)Total commercial reservable criticized utilized exposure includes loans and leases of $17.0 billion and $21.2 billion and commercial letters of credit of $662 million and $1.2 billion at September 30, 2022 and December 31, 2021.

(2)Percentages are calculated as commercial reservable criticized utilized exposure divided by total commercial reservable utilized exposure for each exposure category.

Commercial and Industrial

Commercial and industrial loans include U.S. commercial and non-U.S. commercial portfolios.

U.S. Commercial

At September 30, 2022, 64 percent of the U.S. commercial loan portfolio, excluding small business, was managed in Global Banking, 20 percent in Global Markets, 15 percent in GWIM (loans that provide financing for asset purchases, business investments and other liquidity needs for high net worth clients) and the remainder primarily in Consumer Banking. U.S. commercial loans increased $29.4 billion, or nine percent, during the nine months ended September 30, 2022 primarily driven by Global Banking. Reservable criticized utilized exposure decreased $1.5 billion, or 13 percent, driven by decreases across a broad range of industries.

Non-U.S. Commercial

At September 30, 2022, 66 percent of the non-U.S. commercial loan portfolio was managed in Global Banking, 33 percent in Global Markets and the remainder in GWIM. Non-U.S. commercial loans increased $9.8 billion, or nine percent, during the nine months ended September 30, 2022, as loan growth in Global Banking and Global Markets was partially offset by foreign currency valuation adjustments on foreign currency-denominated loans. Reservable criticized utilized exposure increased $101

million, or four percent, due to downgrades for direct exposure to Russian counterparties. For information on the non-U.S. commercial portfolio, see Non-U.S. Portfolio on page 41. For more information on the Russia/Ukraine conflict, see Recent Developments on page 3.

Commercial Real Estate

Commercial real estate primarily includes commercial loans secured by non-owner-occupied real estate and is dependent on the sale or lease of the real estate as the primary source of repayment. Outstanding loans increased $4.9 billion, or eight percent, during the nine months ended September 30, 2022 to $68.0 billion due to new originations outpacing paydowns and increased utilizations under existing credit facilities. Reservable criticized utilized exposure decreased $3.0 billion, or 40 percent, primarily driven by Hotels due to improving vacancy rates and reduced travel restrictions. The portfolio remains diversified across property types and geographic regions. California represented the largest state concentration at 20 percent and 21 percent of the commercial real estate portfolio at September 30, 2022 and December 31, 2021. The commercial real estate portfolio is predominantly managed in Global Banking and consists of loans made primarily to public and private developers, and commercial real estate firms.

For the three and nine months ended September 30, 2022 and 2021, we continued to see low default rates and varying


37 Bank of America

degrees of improvement in certain geographic regions and property types of the portfolio. We use a number of proactive risk mitigation initiatives to reduce adversely rated exposure in the commercial real estate portfolio, including transfers of deteriorating exposures for management by independent special asset officers and the pursuit of loan restructurings or asset

sales to achieve the best results for our customers and the Corporation.

Table 31 presents outstanding commercial real estate loans by geographic region, based on the geographic location of the collateral, and by property type.



Table 31	Outstanding Commercial Real Estate Loans


(Dollars in millions)		September 30 2022		December 31 2021
By Geographic Region
Northeast		$	16,630	$	14,318
California		13,424		13,145
Southwest		8,099		7,510
Southeast		7,170		6,758
Florida		5,304		4,367
Midwest		3,498		3,221
Illinois		3,223		2,878
Midsouth		2,359		2,289
Northwest		1,574		1,709
Non-U.S.		4,606		4,760
Other		2,065		2,054
Total outstanding commercial real estate loans		$	67,952	$	63,009
By Property Type
Non-residential
Office		$	18,245	$	18,309
Industrial / Warehouse		12,763		10,749
Multi-family rental		10,176		8,173
Shopping centers /Retail		6,017		6,502
Hotel / Motels		5,608		5,932
Unsecured		2,883		3,178
Multi-use		2,403		1,835

Other		8,534		7,238
Total non-residential		66,629		61,916
Residential		1,323		1,093
Total outstanding commercial real estate loans		$	67,952	$	63,009

U.S. Small Business Commercial

The U.S. small business commercial loan portfolio is comprised of small business card loans and small business loans primarily managed in Consumer Banking, and included $1.5 billion and $4.7 billion of PPP loans outstanding at September 30, 2022 and December 31, 2021. The decline of $3.2 billion in PPP loans during the nine months ended September 30, 2022 was primarily due to repayment of the loans by the SBA under the terms of the program. Excluding PPP, credit card-related products were 54 percent and 50 percent of the U.S. small business commercial portfolio at September 30, 2022 and December 31, 2021 and represented all of the net charge-offs for the three and nine months ended September 30, 2022 compared to 100 percent and 96 percent for the same periods in 2021. The increase of $165 million in accruing past due 90 days or more for the nine months ended September 30, 2022 was driven by PPP loans, which are fully guaranteed by the SBA.

Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity

Table 32 presents the nonperforming commercial loans, leases and foreclosed properties activity during the three and nine months ended September 30, 2022 and 2021. Nonperforming loans do not include loans accounted for under the fair value option. During the nine months ended September 30, 2022, nonperforming commercial loans and leases decreased $355 million to $1.2 billion. At September 30, 2022, 98 percent of commercial nonperforming loans, leases and foreclosed properties were secured and 56 percent were contractually current. Commercial nonperforming loans were carried at 86 percent of their unpaid principal balance, as the carrying value of these loans has been reduced to the estimated collateral value less costs to sell.


						Bank of America 38



Table 32	Nonperforming Commercial Loans, Leases and Foreclosed Properties Activity (1, 2)

		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)		2022			2021			2022		2021
Nonperforming loans and leases, beginning of period		$	1,298		$	1,863		$	1,578	$	2,227
Additions		307			275			811		1,250


Reductions:
Paydowns		(180)			(297)			(681)		(873)
Sales		(12)			(29)			(53)		(128)
Returns to performing status (3)		(148)			(82)			(299)		(169)
Charge-offs		(42)			(33)			(94)		(219)

Transfers to loans held-for-sale		—			—			(39)		(391)
Total net reductions to nonperforming loans and leases		(75)			(166)			(355)		(530)
Total nonperforming loans and leases, September 30		1,223			1,697			1,223		1,697






Foreclosed properties, September 30		48			30			48		30
Nonperforming commercial loans, leases and foreclosed properties, September 30		$	1,271		$	1,727		$	1,271	$	1,727
Nonperforming commercial loans and leases as a percentage of outstanding commercial loans and leases (4)		0.21		%	0.34		%
Nonperforming commercial loans, leases and foreclosed properties as a percentage of outstanding commercial loans, leases and foreclosed properties (4)		0.22			0.35

(1)Balances do not include nonperforming loans held-for-sale of $222 million and $279 million at September 30, 2022 and 2021.

(2)Includes U.S. small business commercial activity. Small business card loans are excluded as they are not classified as nonperforming.

(3)Commercial loans and leases may be returned to performing status when all principal and interest is current and full repayment of the remaining contractual principal and interest is expected, or when the loan otherwise becomes well-secured and is in the process of collection. TDRs are generally classified as performing after a sustained period of demonstrated payment performance.

(4)Outstanding commercial loans exclude loans accounted for under the fair value option.

Table 33 presents our commercial TDRs by product type and performing status. U.S. small business commercial TDRs are comprised of renegotiated small business card loans and small business loans. The renegotiated small business card loans are not classified as nonperforming as they are charged off no later

than the end of the month in which the loan becomes 180 days past due. Commercial TDRs increased $799 million, or 42 percent, during the nine months ended September 30, 2022 primarily due to commercial real estate loans that were modified as TDRs during the first half of the year.



Table 33	Commercial Troubled Debt Restructurings

		September 30, 2022						December 31, 2021
(Dollars in millions)		Nonperforming		Performing		Total		Nonperforming		Performing		Total
Commercial and industrial:
U.S. commercial		$	351	$	956	$	1,307	$	359	$	685	$	1,044
Non-U.S. commercial		102		105		207		72		8		80
Total commercial and industrial		453		1,061		1,514		431		693		1,124
Commercial real estate		78		1,052		1,130		244		437		681
Commercial lease financing		3		6		9		50		7		57
		534		2,119		2,653		725		1,137		1,862
U.S. small business commercial		—		46		46		—		38		38
Total commercial troubled debt restructurings		$	534	$	2,165	$	2,699	$	725	$	1,175	$	1,900

Industry Concentrations

Table 34 presents commercial committed and utilized credit exposure by industry. For information on net notional credit protection purchased to hedge funded and unfunded exposures for which we elected the fair value option, as well as certain other credit exposures, see Commercial Portfolio Credit Risk Management – Risk Mitigation.

Our commercial credit exposure is diversified across a broad range of industries. Total commercial committed exposure increased $71.2 billion, or six percent, during the nine months ended September 30, 2022 to $1.2 trillion. The increase in commercial committed exposure was concentrated in Asset managers and funds, Global commercial banks and Financial markets infrastructure (clearinghouses).

For information on industry limits, see Commercial Portfolio Credit Risk Management – Industry Concentrations in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Asset managers and funds, our largest industry concentration with committed exposure of $172.5 billion,

increased $35.6 billion, or 26 percent, during the nine months ended September 30, 2022, which was primarily driven by investment-grade exposures.

Real estate, our second largest industry concentration with committed exposure of $98.6 billion, increased $2.4 billion, or two percent, during the nine months ended September 30, 2022. For more information on the commercial real estate and related portfolios, see Commercial Portfolio Credit Risk Management – Commercial Real Estate on page 37.

Capital goods, our third largest industry concentration with committed exposure of $89.4 billion, increased $5.2 billion, or six percent, during the nine months ended September 30, 2022.

While the U.S. and global economies have shown signs of relief from the pandemic, uncertainty remains as a result of geopolitical and inflationary pressures, and a number of industries will likely continue to be adversely impacted due to these conditions. We continue to monitor all industries, particularly higher risk industries that are experiencing or could experience a more significant impact to their financial condition.


39 Bank of America



Table 34	Commercial Credit Exposure by Industry (1)

		Commercial Utilized				Total Commercial Committed (2)

(Dollars in millions)		September 30 2022		December 31 2021		September 30 2022		December 31 2021
Asset managers & funds		$	118,183	$	89,786	$	172,468	$	136,914
Real estate (3)		70,535		69,384		98,590		96,202
Capital goods		47,669		42,784		89,447		84,293
Finance companies		50,749		59,327		74,003		86,009
Healthcare equipment and services		32,693		32,003		57,834		58,195
Materials		26,552		25,133		55,599		53,652
Retailing		26,850		24,514		52,916		50,816
Government & public education		36,635		37,597		48,991		50,066
Food, beverage and tobacco		23,258		21,584		48,317		45,419
Consumer services		26,250		28,172		46,186		48,052
Individuals and trusts		34,976		29,752		44,640		39,869
Commercial services and supplies		23,010		22,390		43,769		42,451
Utilities		19,280		17,082		39,560		36,855
Energy		16,934		14,217		37,829		34,136
Transportation		21,671		21,079		34,033		32,015
Global commercial banks		30,209		20,062		32,482		21,390
Technology hardware and equipment		10,993		10,159		28,135		26,910
Media		12,282		12,495		27,331		26,318
Software and services		13,908		10,663		26,678		27,643
Consumer durables and apparel		10,251		9,740		21,167		21,226
Insurance		12,427		5,743		20,901		14,323
Vehicle dealers		11,788		11,030		19,698		15,678
Pharmaceuticals and biotechnology		7,722		5,608		18,779		19,439
Telecommunication services		8,530		10,056		16,608		21,270
Automobiles and components		7,529		9,236		15,685		17,052
Financial markets infrastructure (clearinghouses)		7,894		3,876		12,704		6,076
Food and staples retailing		7,046		6,902		11,728		12,226
Religious and social organizations		2,736		3,154		4,990		5,394

Total commercial credit exposure by industry		$	718,560	$	653,528	$	1,201,068	$	1,129,889

(1)Includes U.S. small business commercial exposure.

(2)Includes the notional amount of unfunded legally binding lending commitments, net of amounts distributed (i.e., syndicated or participated) to other financial institutions. The distributed amounts were $10.4 billion and $10.7 billion at September 30, 2022 and December 31, 2021.

(3)Industries are viewed from a variety of perspectives to best isolate the perceived risks. For purposes of this table, the real estate industry is defined based on the primary business activity of the borrowers or counterparties using operating cash flows and primary source of repayment as key factors.

Risk Mitigation

We purchase credit protection to cover the funded portion as well as the unfunded portion of certain credit exposures. To lower the cost of obtaining our desired credit protection levels, we may add credit exposure within an industry, borrower or counterparty group by selling protection.

At September 30, 2022 and December 31, 2021, net notional credit default protection purchased in our credit derivatives portfolio to hedge our funded and unfunded exposures for which we elected the fair value option, as well as certain other credit exposures, was $9.1 billion and $2.6 billion. We recorded net losses of $56 million and gains of $66 million for the three and nine months ended September 30, 2022 compared to net losses of $18 million and $86 million for the same periods in 2021. The gains and losses on these instruments were largely offset by gains and losses on the related exposures. The Value-at-Risk (VaR) results for these exposures are included in the fair value option portfolio information in Table 40. For more information, see Trading Risk Management on page 44.

Tables 35 and 36 present the maturity profiles and the credit exposure debt ratings of the net credit default protection portfolio at September 30, 2022 and December 31, 2021.



Table 35	Net Credit Default Protection by Maturity


		September 30 2022		December 31 2021
Less than or equal to one year		20	%	34	%
Greater than one year and less than or equal to five years		77		62
Greater than five years		3		4
Total net credit default protection		100	%	100	%



Table 36	Net Credit Default Protection by Credit Exposure Debt Rating

		Net Notional (1)		Percent of Total		Net Notional (1)		Percent of Total


(Dollars in millions)		September 30, 2022				December 31, 2021
Ratings (2, 3)
AAA		$	(379)	4.2	%	$	—	—	%
AA		(852)		9.4		—		—
A		(3,103)		34.1		(350)		13.4
BBB		(2,828)		31.1		(710)		27.1
BB		(1,050)		11.6		(809)		30.9
B		(748)		8.2		(659)		25.2
CCC and below		(79)		0.9		(35)		1.3
NR (4)		(48)		0.5		(55)		2.1
Total net credit default protection		$	(9,087)	100.0	%	$	(2,618)	100.0	%

(1)Represents net credit default protection purchased.

(2)Ratings are refreshed on a quarterly basis.

(3)Ratings of BBB- or higher are considered to meet the definition of investment grade.

(4)NR is comprised of index positions held and any names that have not been rated.


						Bank of America 40

For more information on credit derivatives and counterparty credit risk valuation adjustments, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Non-U.S. Portfolio

Our non-U.S. credit and trading portfolios are subject to country risk. We define country risk as the risk of loss from unfavorable economic and political conditions, currency fluctuations, social instability and changes in government policies. A risk management framework is in place to measure, monitor and manage non-U.S. risk and exposures. In addition to the direct risk of doing business in a country, we also are exposed to indirect country risks (e.g., related to the collateral received on secured financing transactions or related to client clearing

activities). These indirect exposures are managed in the normal course of business through credit, market and operational risk governance rather than through country risk governance. For more information on our non-U.S. credit and trading portfolios, see Non-U.S. Portfolio in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Table 37 presents our 20 largest non-U.S. country exposures at September 30, 2022. These exposures accounted for 89 percent of our total non-U.S. exposure at both September 30, 2022 and December 31, 2021. Net country exposure for these 20 countries increased $1.8 billion during the nine months ended September 30, 2022 primarily driven by increases in Japan, the United Kingdom, Ireland and India, partially offset by reductions in France, Canada and Australia.



Table 37	Top 20 Non-U.S. Countries Exposure

(Dollars in millions)		Funded Loans and Loan Equivalents		Unfunded Loan Commitments		Net Counterparty Exposure		Securities/ Other Investments		Country Exposure at September 30 2022		Hedges and Credit Default Protection		Net Country Exposure at September 30 2022		Increase (Decrease) from December 31 2021
United Kingdom		$	32,150	$	14,730	$	10,068	$	2,300	$	59,248	$	(1,259)	$	57,989	$	3,020
Germany		22,653		7,101		2,146		2,468		34,368		(823)		33,545		(280)
Canada		10,632		9,144		1,868		3,561		25,205		(617)		24,588		(1,723)
Japan		16,988		1,840		1,816		1,062		21,706		(723)		20,983		3,721
Australia		12,404		4,078		1,434		2,059		19,975		(333)		19,642		(1,662)
France		8,683		7,342		1,450		2,863		20,338		(1,000)		19,338		(5,569)
Brazil		6,366		1,251		537		3,693		11,847		(88)		11,759		(991)
China		7,192		295		1,909		2,381		11,777		(299)		11,478		(1,104)
India		6,798		305		609		3,121		10,833		(114)		10,719		2,088
Netherlands		3,945		4,215		1,011		1,234		10,405		(651)		9,754		158
South Korea		5,983		860		1,351		1,369		9,563		(78)		9,485		1,333
Singapore		4,178		622		356		4,116		9,272		(36)		9,236		(1,429)
Switzerland		5,187		3,316		570		440		9,513		(298)		9,215		640
Ireland		6,965		961		175		263		8,364		(50)		8,314		2,775
Hong Kong		5,858		312		321		1,494		7,985		(25)		7,960		633
Mexico		4,516		1,661		254		521		6,952		(245)		6,707		245
Italy		3,066		2,352		294		879		6,591		(375)		6,216		1,012
Spain		2,146		1,778		750		1,496		6,170		(215)		5,955		35
Belgium		1,284		1,452		289		934		3,959		(179)		3,780		(1,251)
Saudi Arabia		2,366		932		300		32		3,630		(49)		3,581		108
Total top 20 non-U.S. countries exposure		$	169,360	$	64,547	$	27,508	$	36,286	$	297,701	$	(7,457)	$	290,244	$	1,759

Our largest non-U.S. country exposure at September 30, 2022 was the United Kingdom with net exposure of $58.0 billion, which represents a $3.0 billion increase from December 31, 2021. The increase was primarily driven by net counterparty exposure with financial institutions, partially offset by a reduction in deposits with the central bank. Our second

largest non-U.S. country exposure was Germany with net exposure of $33.5 billion at September 30, 2022, a $280 million decrease from December 31, 2021. The reduction was driven by a decrease in exposure with financial institutions and corporates, offset by an increase in deposits with the central bank.


41 Bank of America

Allowance for Credit Losses

The allowance for credit losses decreased $26 million from December 31, 2021 to $13.8 billion at September 30, 2022, which included a $171 million reserve decrease related to the consumer portfolio and a $145 million reserve increase related to the commercial portfolio. The decrease in the allowance was primarily driven by asset quality improvement and reduced

pandemic uncertainties, partially offset by reserve builds related to loan growth, a dampening macroeconomic outlook and Russian exposure.

Table 38 presents an allocation of the allowance for credit losses by product type at September 30, 2022 and December 31, 2021.



Table 38	Allocation of the Allowance for Credit Losses by Product Type


		Amount		Percent of Total		Percent of Loans and Leases Outstanding (1)			Amount		Percent of Total		Percent of Loans and Leases Outstanding (1)
(Dollars in millions)		September 30, 2022						December 31, 2021
Allowance for loan and lease losses
Residential mortgage		$	282	2.29	%	0.12	%		$	351	2.83	%	0.16	%
Home equity		102		0.83		0.38			206		1.66		0.74
Credit card		5,879		47.79		6.74			5,907		47.70		7.25

Direct/Indirect consumer		525		4.27		0.49			523		4.22		0.51
Other consumer		92		0.75		n/m			46		0.37		n/m
Total consumer		6,880		55.93		1.53			7,033		56.78		1.62
U.S. commercial (2)		3,018		24.53		0.81			3,019		24.37		0.87
Non-U.S. commercial		1,191		9.68		0.97			975		7.87		0.86
Commercial real estate		1,161		9.44		1.71			1,292		10.43		2.05
Commercial lease financing		52		0.42		0.40			68		0.55		0.46
Total commercial		5,422		44.07		0.94			5,354		43.22		1.00
Allowance for loan and lease losses		12,302		100.00	%	1.20			12,387		100.00	%	1.28


Reserve for unfunded lending commitments		1,515							1,456
Allowance for credit losses		$	13,817						$	13,843

(1)Ratios are calculated as allowance for loan and lease losses as a percentage of loans and leases outstanding excluding loans accounted for under the fair value option.

(2)Includes allowance for loan and lease losses for U.S. small business commercial loans of $864 million and $1.2 billion at September 30, 2022 and December 31, 2021.

n/m = not meaningful

Net charge-offs for the three and nine months ended September 30, 2022 were $520 million and $1.5 billion compared to $463 million and $1.9 billion for the same periods in 2021. During the three months ended September 30, 2022, net charge-offs increased $57 million, or 12 percent, primarily due to overdrafts charged off in other consumer. During the nine months ended September 30, 2022, net charge-offs decreased $398 million, or 21 percent, primarily driven by lower credit card losses, as loss rates remained near historic lows. The provision for credit losses increased $1.5 billion to an expense of $898 million, and $5.6 billion to an expense of $1.5 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The provision for credit losses for the three months ended September 30, 2022 was primarily driven by loan growth and a dampening macroeconomic outlook, and the nine-month period was driven by the same factors as well as a reserve build related to Russian exposure, partially offset by asset quality improvement and reduced pandemic uncertainties. For the same periods in the prior year, the benefit in the provision for credit losses was due to an improved macroeconomic outlook. The provision for credit losses for the

consumer portfolio, including unfunded lending commitments, increased $641 million to an expense of $722 million and $2.5 billion to an expense of $1.1 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The provision for credit losses for the commercial portfolio, including unfunded lending commitments, increased $881 million to an expense of $176 million and $3.0 billion to an expense of $304 million for the three and nine months ended September 30, 2022 compared to the same periods in 2021.

Table 39 presents a rollforward of the allowance for credit losses, including certain loan and allowance ratios for the three and nine months ended September 30, 2022 and 2021. For more information on the Corporation’s credit loss accounting policies and activity related to the allowance for credit losses, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K and Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses to the Consolidated Financial Statements.


						Bank of America 42



Table 39	Allowance for Credit Losses

		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in millions)		2022			2021			2022			2021


Allowance for loan and lease losses, beginning of period		$	11,973		$	14,095		$	12,387		$	18,802
Loans and leases charged off
Residential mortgage		(5)			(7)			(155)			(27)
Home equity		(8)			(8)			(41)			(33)
Credit card		(487)			(495)			(1,452)			(1,956)
Direct/Indirect consumer		(63)			(59)			(184)			(229)
Other consumer		(146)			(72)			(371)			(217)
Total consumer charge-offs		(709)			(641)			(2,203)			(2,462)
U.S. commercial (1)		(85)			(159)			(239)			(509)
Non-U.S. commercial		(1)			(2)			(3)			(44)
Commercial real estate		(14)			(4)			(37)			(38)
Commercial lease financing		—			—			(5)			—
Total commercial charge-offs		(100)			(165)			(284)			(591)
Total loans and leases charged off		(809)			(806)			(2,487)			(3,053)
Recoveries of loans and leases previously charged off
Residential mortgage		8			14			82			44
Home equity		26			42			113			126
Credit card		159			174			504			513
Direct/Indirect consumer		54			77			167			225
Other consumer		3			5			13			19
Total consumer recoveries		250			312			879			927
U.S. commercial (2)		30			25			105			231
Non-U.S. commercial		7			1			13			3
Commercial real estate		1			4			5			10
Commercial lease financing		1			1			2			1
Total commercial recoveries		39			31			125			245
Total recoveries of loans and leases previously charged off		289			343			1,004			1,172
Net charge-offs		(520)			(463)			(1,483)			(1,881)

Provision for loan and lease losses		845			(475)			1,394			(3,766)
Other		4			(2)			4			—
Allowance for loan and lease losses, September 30		12,302			13,155			12,302			13,155




Reserve for unfunded lending commitments, beginning of period		1,461			1,687			1,456			1,878
Provision for unfunded lending commitments		53			(149)			57			(339)
Other		1			—			2			(1)
Reserve for unfunded lending commitments, September 30		1,515			1,538			1,515			1,538
Allowance for credit losses, September 30		$	13,817		$	14,693		$	13,817		$	14,693

Loan and allowance ratios (3) :
Loans and leases outstanding at September 30		$	1,027,615		$	920,170		$	1,027,615		$	920,170
Allowance for loan and lease losses as a percentage of total loans and leases outstanding at September 30		1.20		%	1.43		%	1.20		%	1.43		%
Consumer allowance for loan and lease losses as a percentage of total consumer loans and leases outstanding at September 30		1.53			1.70			1.53			1.70
Commercial allowance for loan and lease losses as a percentage of total commercial loans and leases outstanding at September 30		0.94			1.20			0.94			1.20
Average loans and leases outstanding		$	1,029,084		$	913,113		$	1,003,014		$	905,214
Annualized net charge-offs as a percentage of average loans and leases outstanding		0.20		%	0.20		%	0.20		%	0.28		%

Allowance for loan and lease losses as a percentage of total nonperforming loans and leases at September 30		309			279			309			279
Ratio of the allowance for loan and lease losses at September 30 to annualized net charge-offs		5.96			7.16			6.20			5.23

Amounts included in allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases at September 30 (4)		$	6,746		$	7,375		$	6,746		$	7,375
Allowance for loan and lease losses as a percentage of total nonperforming loans and leases, excluding the allowance for loan and lease losses for loans and leases that are excluded from nonperforming loans and leases at September 30 (4)		140		%	123		%	140		%	123		%

(1)Includes U.S. small business commercial charge-offs of $43 million and $150 million for the three and nine months ended September 30, 2022 compared to $137 million and $343 million for the same periods in 2021.

(2)Includes U.S. small business commercial recoveries of $11 million and $40 million for the three and nine months ended September 30, 2022 compared to $18 million and $61 million for the same periods in 2021.

(3)Ratios are calculated as allowance for loan and lease losses as a percentage of loans and leases outstanding excluding loans accounted for under the fair value option.

(4)Primarily includes amounts related to credit card and unsecured consumer lending portfolios in Consumer Banking.


43 Bank of America

Market Risk Management

For more information on our market risk management process, see Market Risk Management in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Market risk is the risk that changes in market conditions may adversely impact the value of assets or liabilities, or otherwise negatively impact earnings. This risk is inherent in the financial instruments associated with our operations, primarily within our Global Markets segment. We are also exposed to these risks in other areas of the Corporation (e.g., our ALM activities). In the event of market stress, these risks could have a material impact on our results.

Trading Risk Management

To evaluate risks in our trading activities, we focus on the actual and potential volatility of revenues generated by individual positions as well as portfolios of positions. VaR is a common statistic used to measure market risk. Our primary VaR statistic is equivalent to a 99 percent confidence level, which means that for a VaR with a one-day holding period, there should not be losses in excess of VaR, on average, 99 out of 100 trading days.

Table 40 presents the total market-based portfolio VaR, which is the combination of the total covered positions (and

less liquid trading positions) portfolio and the fair value option portfolio. For more information on the market risk VaR for trading activities, see Trading Risk Management in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

The total market-based portfolio VaR results in Table 40 include market risk to which we are exposed from all business segments, excluding credit valuation adjustment (CVA), DVA and related hedges. The majority of this portfolio is within the Global Markets segment.

Table 40 presents period-end, average, high and low daily trading VaR for the three months ended September 30, 2022, June 30, 2022 and September 30, 2021 using a 99 percent confidence level as well as average daily trading VaR for the nine months ended September 30, 2022 and 2021. The amounts disclosed in Table 40 and Table 41 align to the view of covered positions used in the Basel 3 capital calculations. Foreign exchange and commodity positions are always considered covered positions, regardless of trading or banking treatment for the trade, except for structural foreign currency positions that are excluded with prior regulatory approval.

The average of total covered positions and less liquid trading positions portfolio VaR for the three months ended September 30, 2022 compared to the prior quarter remained relatively unchanged.



Table 40	Market Risk VaR for Trading Activities

		Three Months Ended																							Nine Months Ended September 30

		September 30, 2022								June 30, 2022								September 30, 2021
(Dollars in millions)		Period End		Average		High (1)		Low (1)		Period End		Average		High (1)		Low (1)		Period End		Average		High (1)		Low (1)			2022 Average				2021 Average
Foreign exchange		$	24	$	19	$	32	$	12	$	21	$	17	$	22	$	12	$	12	$	13	$	21	$		9			$	18			$	13
Interest rate		35		34		55		25		36		36		56		24		33		32		48		20			36				42
Credit		90		68		95		54		71		73		106		53		72		66		80		54			68				68
Equity		22		16		23		12		21		22		33		19		32		24		32		19			20				24
Commodities		12		13		18		9		14		17		27		12		6		8		11		5			13				8
Portfolio diversification		(102)		(85)		n/a		n/a		(62)		(84)		n/a		n/a		(94)		(91)		n/a		n/a			(88)				(101)
Total covered positions portfolio		81		65		95		42		101		81		140		56		61		52		71		41			67				54
Impact from less liquid exposures (2)		82		52		n/a		n/a		48		37		n/a		n/a		40		26		n/a		n/a			38				22
Total covered positions and less liquid trading positions portfolio		163		117		173		84		149		118		236		76		101		78		123		51			105				76
Fair value option loans		59		50		60		37		47		53		65		39		50		45		54		31			52				50
Fair value option hedges		17		16		18		13		14		18		24		14		18		17		20		14			17				15
Fair value option portfolio diversification		(39)		(36)		n/a		n/a		(28)		(35)		n/a		n/a		(44)		(36)		n/a		n/a			(35)				(32)
Total fair value option portfolio		37		30		37		23		33		36		44		30		24		26		33		23			34				33
Portfolio diversification		(5)		(4)		n/a		n/a		(8)		(14)		n/a		n/a		(21)		(12)		n/a		n/a			(13)				(7)
Total market-based portfolio		$	195	$	143	203		103		$	174	$	140	287		91		$	104	$	92	141		60			$	126			$	102

(1)The high and low for each portfolio may have occurred on different trading days than the high and low for the components. Therefore the impact from less liquid exposures and the amount of portfolio diversification, which is the difference between the total portfolio and the sum of the individual components, is not relevant.

(2)Impact is net of diversification effects between the covered positions and less liquid trading positions portfolios.

n/a = not applicable

The following graph presents the daily covered positions and less liquid trading positions portfolio VaR for the previous five quarters, corresponding to the data in Table 40.


						Bank of America 44

Additional VaR statistics produced within our single VaR model are provided in Table 41 at the same level of detail as in Table 40. Evaluating VaR with additional statistics allows for an increased understanding of the risks in the portfolio, as the historical market data used in the VaR calculation does not necessarily follow a predefined statistical distribution. Table 41 presents average trading VaR statistics at 99 percent and 95 percent confidence levels for the three months ended September 30, 2022, June 30, 2022 and September 30, 2021.



Table 41	Average Market Risk VaR for Trading Activities – 99 percent and 95 percent VaR Statistics


		Three Months Ended
		September 30, 2022				June 30, 2022				September 30, 2021
(Dollars in millions)		99 percent		95 percent		99 percent		95 percent		99 percent		95 percent
Foreign exchange		$	19	$	11	$	17	$	10	$	13	$	9
Interest rate		34		18		36		18		32		16
Credit		68		26		73		27		66		20
Equity		16		8		22		12		24		11
Commodities		13		7		17		9		8		4
Portfolio diversification		(85)		(43)		(84)		(46)		(91)		(35)
Total covered positions portfolio		65		27		81		30		52		25
Impact from less liquid exposures		52		7		37		6		26		3
Total covered positions and less liquid trading positions portfolio		117		34		118		36		78		28
Fair value option loans		50		14		53		16		45		10
Fair value option hedges		16		10		18		11		17		9
Fair value option portfolio diversification		(36)		(13)		(35)		(15)		(36)		(9)
Total fair value option portfolio		30		11		36		12		26		10
Portfolio diversification		(4)		(7)		(14)		(8)		(12)		(6)
Total market-based portfolio		$	143	$	38	$	140	$	40	$	92	$	32

Backtesting

The accuracy of the VaR methodology is evaluated by backtesting, which compares the daily VaR results, utilizing a one-day holding period, against a comparable subset of trading revenue. For more information on our backtesting process, see Trading Risk Management – Backtesting in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

During the three and nine months ended September 30, 2022, there was one day where this subset of trading revenue had losses that exceeded our total covered portfolio VaR, utilizing a one-day holding period.

Total Trading-related Revenue

Total trading-related revenue, excluding brokerage fees, and CVA, DVA and funding valuation adjustment gains (losses), represents the total amount earned from trading positions, including market-based net interest income, which are taken in a diverse range of financial instruments and markets. For more information, see Trading Risk Management – Total Trading-related Revenue in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

The following histogram is a graphic depiction of trading volatility and illustrates the daily level of trading-related revenue for the three months ended September 30, 2022 compared to the three months ended June 30, 2022 and March 31, 2022. During the three months ended September 30, 2022, positive trading-related revenue was recorded for 100 percent of the trading days, of which 94 percent were daily trading gains of over $25 million. This compares to the three months ended June 30, 2022 where positive trading-related revenue was recorded for 98 percent of the trading days, of which 85 percent were daily trading gains of over $25 million. During the three months ended March 31, 2022, positive trading-related revenue was recorded for 100 percent of the trading days, of which 95 percent were daily trading gains of over $25 million.

Trading Portfolio Stress Testing

Because the very nature of a VaR model suggests results can exceed our estimates and it is dependent on a limited historical window, we also stress test our portfolio using scenario analysis. This analysis estimates the change in the value of our trading portfolio that may result from abnormal market movements. For more information, see Trading Risk Management – Trading Portfolio Stress Testing in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Interest Rate Risk Management for the Banking Book

The following discussion presents net interest income for banking book activities. For more information, see Interest Rate Risk Management for the Banking Book in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

Table 42 presents the spot and 12-month forward rates used in our baseline forecasts at September 30, 2022 and December 31, 2021.


45 Bank of America



Table 42	Forward Rates

		September 30, 2022
		Federal Funds		Three-month LIBOR		10-Year Swap
Spot rates		3.25	%	3.75	%	3.88	%
12-month forward rates		4.50		4.56		3.76

		December 31, 2021
Spot rates		0.25	%	0.21	%	1.58	%
12-month forward rates		1.00		1.07		1.84

Table 43 shows the pretax impact to forecasted net interest income over the next 12 months from September 30, 2022 and December 31, 2021 resulting from instantaneous parallel and non-parallel shocks to the market-based forward curve. Periodically, we evaluate the scenarios presented so that they are meaningful in the context of the current rate environment. The interest rate scenarios also assume U.S. dollar interest rates are floored at zero. Depending on the level of interest rates, Down-rate scenarios may not receive the full impact of the rate shock, particularly in low rate environments.

During the nine months ended September 30, 2022, the overall decrease in asset sensitivity of our balance sheet to Up-rate scenarios was primarily due to an increase in long-end and short-end rates. We continue to be asset sensitive to a parallel upward move in interest rates with the majority of that impact coming from the short end of the yield curve. Additionally, higher interest rates negatively impact the fair value of our debt securities classified as available for sale and adversely affect accumulated OCI and thus capital levels under the Basel 3 capital rules. Under instantaneous upward parallel shifts, the near-term adverse impact to Basel 3 capital would be reduced over time by offsetting positive impacts to net interest income generated from the banking book activities. For more information on Basel 3, see Capital Management – Regulatory Capital on page 23.



Table 43	Estimated Banking Book Net Interest Income Sensitivity to Curve Changes

		Short Rate (bps)	Long Rate (bps)

(Dollars in millions)				September 30, 2022		December 31, 2021

Parallel Shifts
+100 bps instantaneous shift		+100	+100	$	4,220	$	6,542

-100 bps instantaneous shift		-100	-100	(5,419)		n/m
Flatteners
Short-end instantaneous change		+100	—	4,039		4,982

Long-end instantaneous change		—	-100	(210)		n/m
Steepeners

Short-end instantaneous change		-100	—	(5,209)		n/m
Long-end instantaneous change		—	+100	186		1,646

n/m = not meaningful

The sensitivity analysis in Table 43 assumes that we take no action in response to these rate shocks and does not assume any change in other macroeconomic variables normally correlated with changes in interest rates. As part of our ALM activities, we use securities, certain residential mortgages, and interest rate and foreign exchange derivatives in managing interest rate sensitivity.

The behavior of our deposit portfolio in the baseline forecast and in alternate interest rate scenarios is a key assumption in

our projected estimates of net interest income. The sensitivity analysis in Table 43 assumes no change in deposit portfolio size or mix from the baseline forecast in alternate rate environments. In higher rate scenarios, any customer activity resulting in the replacement of low-cost or noninterest-bearing deposits with higher yielding deposits or market-based funding would reduce our benefit in those scenarios.

Interest Rate and Foreign Exchange Derivative Contracts

We use interest rate and foreign exchange derivative contracts in our ALM activities to manage our interest rate and foreign exchange risks. Specifically, we use those derivatives to manage both the variability in cash flows and changes in fair value of various assets and liabilities arising from those risks. Our interest rate derivative contracts are generally non-leveraged swaps tied to various benchmark interest rates and foreign exchange basis swaps, options, futures and forwards, and our foreign exchange contracts include cross-currency interest rate swaps, foreign currency futures contracts, foreign currency forward contracts and options.

The derivatives used in our ALM activities can be split into two broad categories: designated accounting hedges and other risk management derivatives. Designated accounting hedges are primarily used to manage our exposure to interest rates as described in the Interest Rate Risk Management for the Banking Book section and are included in the sensitivities presented in Table 43. The Corporation also uses foreign currency derivatives in accounting hedges to manage substantially all of the foreign exchange risk of our foreign operations. By hedging the foreign exchange risk of our foreign operations, the Corporation's market risk exposure in this area is not significant.

Risk management derivatives are predominantly used to hedge foreign exchange risks related to various foreign currency-denominated assets and liabilities and eliminate substantially all foreign currency exposures in the cash flows of the Corporation’s non-trading foreign currency-denominated financial instruments. These foreign exchange derivatives are sensitive to other market risk exposures such as cross-currency basis spreads and interest rate risk. However, as these features are not a significant component of these foreign exchange derivatives, the market risk related to this exposure is not significant. For more information on the accounting for derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements.

Mortgage Banking Risk Management

We originate, fund and service mortgage loans, which subject us to credit, liquidity and interest rate risks, among others. We determine whether loans will be held for investment or held for sale at the time of commitment and manage credit and liquidity risks by selling or securitizing a portion of the loans we originate.

Changes in interest rates impact the value of interest rate lock commitments (IRLCs) and the related residential first mortgage loans held-for-sale (LHFS), as well as the value of the MSRs. Because the interest rate risks of these hedged items offset, we combine them into one overall hedged item with one combined economic hedge portfolio consisting of derivative contracts and securities. For more information on IRLCs and the related residential mortgage LHFS, see Mortgage Banking Risk Management in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K.

There were no significant gains or losses related to the change in fair value of MSR, IRLCs and LHFS, net of gains and


						Bank of America 46

losses on the hedge portfolio, for the three and nine months ended September 30, 2022 and 2021. For more information on MSRs, see Note 14 – Fair Value Measurements to the Consolidated Financial Statements.

Climate Risk Management

Climate-related risks are divided into two major categories: (1) risks related to the transition to a low-carbon economy, which may entail extensive policy, legal, technology and market changes, and (2) 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. These changes and events can have broad impacts on operations, supply chains, distribution networks, customers and markets and are otherwise referred to, respectively, as transition risk and physical risk. These risks can impact both financial and nonfinancial risk types. The impacts of transition risk can lead to and amplify credit risk or market risk by reducing our customers’ operating income or the value of their assets as well as expose us to reputational and/or litigation risk due to increased regulatory scrutiny or negative public sentiment. Physical risk can lead to increased credit risk by diminishing borrowers’ repayment capacity or impacting the value of collateral. In addition, it could pose increased operational risk to our facilities and people.

In 2021, we publicly announced our commitment to achieve net zero greenhouse gas emissions in our financing activities, operations, and supply chain before 2050 (Net Zero Goal) and set 2030 emissions targets for our operations and supply chain. In connection with our Net Zero Goal, we committed to reduce emissions by 2030 associated with our financing activities related to auto manufacturing, energy, and power generation (2030 Targets). In our September 2022 Task Force on Climate-related Financial Disclosures report, we disclosed our 2019 and 2020 financed emissions and emissions intensity metrics for these sectors, with 2019 serving as the baseline for our 2030 Targets.

In line with our participation in the Net Zero Banking Alliance, we plan to disclose the financed emissions for additional portions of our business loan portfolio in 2023, and we expect to set financing activity emission reduction targets for other key sectors by April 2024. These reduction targets are intended to align with the International Energy Agency Net Zero Emissions 2050 global pathway to limit warming to 1.5 degrees Celsius.

Achieving our climate--related goals and targets, including our Net Zero Goal and 2030 Targets, will require technological advances, clearly defined roadmaps for industry sectors, public policies, including those that improve the cost of capital for

net zero transition and better emissions data reporting, as

well as ongoing, strong and active engagement with customers, suppliers, investors, government officials and other stakeholders.

Given the extended period of these and other climate-related goals we have established, our initiatives have not resulted in a significant effect on our results of operations or financial condition in the relevant periods presented herein, and are not expected to have a significant effect on our results of operations or financial condition in the near-term.

For more information on our governance framework and climate risk management process, see the Managing Risk and Climate Risk Management sections in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K. For more information on climate risk, see Item 1A. Risk Factors – Other of the Corporation’s 2021 Annual Report on Form 10-K. For more information about climate-related matters and the Corporation’s climate-related goals and commitments, including our plans to achieve our Net Zero Goal and progress on our sustainable finance goals, see the Corporation’s website and the 2021 Annual Report to shareholders available on the Investor Relations portion of our website. The contents of the Corporation’s website and the 2021 Annual Report to shareholders are not incorporated by reference into this Quarterly Report on Form 10-Q.

The foregoing discussion and our discussion in the 2021 Annual Report to shareholders regarding our goals and commitments with respect to climate risk management, including environmental transition considerations, include “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are not guarantees of future results or performance and involve certain known and unknown risks, uncertainties and assumptions that are difficult to predict and are often beyond the Corporation’s control. Actual outcomes and results may differ materially from those expressed in, or implied by, any of these forward-looking statements.

Complex Accounting Estimates

Our significant accounting principles, are essential in understanding the MD&A. Many of our significant accounting principles require complex judgments to estimate the values of assets and liabilities. We have procedures and processes in place to facilitate making these judgments. For more information, see Complex Accounting Estimates in the MD&A of the Corporation’s 2021 Annual Report on Form 10-K and Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.


47 Bank of America

Non-GAAP Reconciliations

Table 44 provides reconciliations of certain non-GAAP financial measures to the most closely related GAAP financial measures.



Table 44	Average and Period-end Supplemental Financial Data and Reconciliations to GAAP Financial Measures (1)

		Average

		Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)		2022		2021		2022		2021













































Shareholders’ equity		$	271,017	$	275,484	$	269,514	$	274,726
Goodwill		(69,022)		(69,023)		(69,022)		(68,999)
Intangible assets (excluding MSRs)		(2,107)		(2,185)		(2,127)		(2,181)
Related deferred tax liabilities		920		915		925		916
Tangible shareholders’ equity		$	200,808	$	205,191	$	199,290	$	204,462
Preferred stock		(29,134)		(23,441)		(28,094)		(23,837)
Tangible common shareholders’ equity		$	171,674	$	181,750	$	171,196	$	180,625

		Period-end
		September 30 2022		June 30 2022		March 31 2022		December 31 2021		September 30 2021
(Dollars in millions)
Shareholders’ equity		$	269,524	$	269,118	$	266,617	$	270,066	$	272,464
Goodwill		(69,022)		(69,022)		(69,022)		(69,022)		(69,023)
Intangible assets (excluding MSRs)		(2,094)		(2,114)		(2,133)		(2,153)		(2,172)
Related deferred tax liabilities		915		920		926		929		913
Tangible shareholders’ equity		$	199,323	$	198,902	$	196,388	$	199,820	$	202,182
Preferred stock		(29,134)		(29,134)		(27,137)		(24,708)		(23,441)
Tangible common shareholders’ equity		$	170,189	$	169,768	$	169,251	$	175,112	$	178,741

Total assets		$	3,072,953	$	3,111,606	$	3,238,223	$	3,169,495	$	3,085,446
Goodwill		(69,022)		(69,022)		(69,022)		(69,022)		(69,023)
Intangible assets (excluding MSRs)		(2,094)		(2,114)		(2,133)		(2,153)		(2,172)
Related deferred tax liabilities		915		920		926		929		913
Tangible assets		$	3,002,752	$	3,041,390	$	3,167,994	$	3,099,249	$	3,015,164

(1)For more information on non-GAAP financial measures and ratios we use in assessing the results of the Corporation, see Supplemental Financial Data on page 8.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

See Market Risk Management on page 44 in the MD&A and the sections referenced therein for Quantitative and Qualitative Disclosures about Market Risk.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

As of the end of the period covered by this report, the Corporation’s management, including the Chief Executive Officer and Chief Financial Officer, conducted an evaluation of the effectiveness and design of the Corporation’s disclosure controls and procedures (as that term is defined in Rule 13a-15(e) of the Exchange Act). Based upon that evaluation, the Corporation’s Chief Executive Officer and Chief Financial Officer concluded that the Corporation’s disclosure controls and procedures were effective, as of the end of the period covered by this report.

Changes in Internal Control Over Financial Reporting

There have been no changes in the Corporation’s internal control over financial reporting (as defined in Rule 13a-15(f) of the Exchange Act) during the three months ended September 30, 2022, that have materially affected, or are reasonably likely to materially affect, the Corporation’s internal control over financial reporting.


						Bank of America 48

Part I. Financial Information

Item 1. Financial Statements

Bank of America Corporation and Subsidiaries



Consolidated Statement of Income

	Three Months Ended September 30				Nine Months Ended September 30
(In millions, except per share information)	2022		2021		2022		2021
Net interest income
Interest income	$	19,621	$	12,336	$	47,490	$	35,118
Interest expense	5,856		1,242		9,709		3,594
Net interest income	13,765		11,094		37,781		31,524

Noninterest income
Fees and commissions	8,001		9,915		25,477		29,156
Market making and similar activities	3,068		2,005		9,023		7,360
Other income	(332)		(248)		(1,863)		(987)
Total noninterest income	10,737		11,672		32,637		35,529
Total revenue, net of interest expense	24,502		22,766		70,418		67,053

Provision for credit losses	898		(624)		1,451		(4,105)

Noninterest expense
Compensation and benefits	8,887		8,714		27,286		27,103
Occupancy and equipment	1,777		1,764		5,285		5,353
Information processing and communications	1,546		1,416		4,621		4,289
Product delivery and transaction related	892		987		2,749		2,940
Professional fees	525		434		1,493		1,263
Marketing	505		347		1,365		1,528
Other general operating	1,171		778		3,096		2,524


Total noninterest expense	15,303		14,440		45,895		45,000
Income before income taxes	8,301		8,950		23,072		26,158
Income tax expense	1,219		1,259		2,676		1,193
Net income	$	7,082	$	7,691	$	20,396	$	24,965
Preferred stock dividends	503		431		1,285		1,181
Net income applicable to common shareholders	$	6,579	$	7,260	$	19,111	$	23,784

Per common share information
Earnings	$	0.81	$	0.86	$	2.35	$	2.77
Diluted earnings	0.81		0.85		2.34		2.75

Average common shares issued and outstanding	8,107.7		8,430.7		8,122.2		8,583.1
Average diluted common shares issued and outstanding	8,160.8		8,492.8		8,173.3		8,702.2



Consolidated Statement of Comprehensive Income

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Net income	$	7,082	$	7,691	$	20,396	$	24,965
Other comprehensive income (loss), net-of-tax:
Net change in debt securities	(1,112)		(153)		(6,381)		(1,243)
Net change in debit valuation adjustments	462		27		1,298		292
Net change in derivatives	(3,703)		(431)		(10,890)		(1,130)
Employee benefit plan adjustments	37		50		97		170
Net change in foreign currency translation adjustments	(37)		(26)		(47)		(29)
Other comprehensive income (loss)	(4,353)		(533)		(15,923)		(1,940)
Comprehensive income (loss)	$	2,729	$	7,158	$	4,473	$	23,025

See accompanying Notes to Consolidated Financial Statements.


49 Bank of America

Bank of America Corporation and Subsidiaries



Consolidated Balance Sheet

		September 30 2022		December 31 2021
(Dollars in millions)
Assets
Cash and due from banks		$	27,802	$	29,222
Interest-bearing deposits with the Federal Reserve, non-U.S. central banks and other banks		177,174		318,999
Cash and cash equivalents		204,976		348,221
Time deposits placed and other short-term investments		7,449		7,144
Federal funds sold and securities borrowed or purchased under agreements to resell (includes $165,521 and $150,665 measured at fair value)		275,247		250,720
Trading account assets (includes $112,374 and $103,434 pledged as collateral)		293,458		247,080
Derivative assets		71,956		35,344
Debt securities:
Carried at fair value		236,245		308,073
Held-to-maturity, at cost (fair value – $527,553 and $665,890)		643,713		674,554
Total debt securities		879,958		982,627
Loans and leases (includes $4,851 and $7,819 measured at fair value)		1,032,466		979,124
Allowance for loan and lease losses		(12,302)		(12,387)
Loans and leases, net of allowance		1,020,164		966,737
Premises and equipment, net		11,117		10,833
Goodwill		69,022		69,022
Loans held-for-sale (includes $2,395 and $4,455 measured at fair value)		7,629		15,635
Customer and other receivables		76,211		72,263
Other assets (includes $7,326 and $12,144 measured at fair value)		155,766		163,869
Total assets		$	3,072,953	$	3,169,495

Liabilities
Deposits in U.S. offices:
Noninterest-bearing		$	696,976	$	784,189
Interest-bearing (includes $453 and $408 measured at fair value)		1,143,317		1,165,914
Deposits in non-U.S. offices:
Noninterest-bearing		21,630		27,457
Interest-bearing		76,174		86,886
Total deposits		1,938,097		2,064,446
Federal funds purchased and securities loaned or sold under agreements to repurchase (includes $165,390 and $139,641 measured at fair value)		215,627		192,329
Trading account liabilities		84,768		100,690
Derivative liabilities		50,156		37,675
Short-term borrowings (includes $1,993 and $4,279 measured at fair value)		21,044		23,753
Accrued expenses and other liabilities (includes $6,764 and $11,489 measured at fair value and $1,515 and $1,456 of reserve for unfunded lending commitments)		224,615		200,419
Long-term debt (includes $27,531 and $29,708 measured at fair value)		269,122		280,117
Total liabilities		2,803,429		2,899,429
Commitments and contingencies (Note 6 – Securitizations and Other Variable Interest Entities and Note 10 – Commitments and Contingencies)
Shareholders’ equity
Preferred stock, $0.01 par value; authorized – 100,000,000 shares; issued and outstanding – 4,117,652 and 3,939,686 shares		29,134		24,708
Common stock and additional paid-in capital, $0.01 par value; authorized – 12,800,000,000 shares; issued and outstanding – 8,024,450,244 and 8,077,831,463 shares		59,460		62,398
Retained earnings		201,957		188,064
Accumulated other comprehensive income (loss)		(21,027)		(5,104)

Total shareholders’ equity		269,524		270,066
Total liabilities and shareholders’ equity		$	3,072,953	$	3,169,495

	Assets of consolidated variable interest entities included in total assets above (isolated to settle the liabilities of the variable interest entities)
	Trading account assets	$	2,794	$	5,004


	Loans and leases	16,073		17,135
	Allowance for loan and lease losses	(802)		(958)
	Loans and leases, net of allowance	15,271		16,177

	All other assets	93		189
	Total assets of consolidated variable interest entities	$	18,158	$	21,370
	Liabilities of consolidated variable interest entities included in total liabilities above
	Short-term borrowings (includes $33 and $51 of non-recourse short-term borrowings)	$	82	$	247
	Long-term debt (includes $3,240 and $3,587 of non-recourse debt)	3,240		3,587
	All other liabilities (includes $9 and $7 of non-recourse liabilities)	9		7
	Total liabilities of consolidated variable interest entities	$	3,331	$	3,841

See accompanying Notes to Consolidated Financial Statements.


						Bank of America 50

Bank of America Corporation and Subsidiaries



Consolidated Statement of Changes in Shareholders’ Equity

	Preferred Stock		Common Stock and Additional Paid-in Capital			Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Total Shareholders’ Equity
(In millions)			Shares	Amount
Balance, June 30, 2022	$	29,134	8,035.2	$	59,499	$	197,159	$	(16,674)	$	269,118


Net income						7,082				7,082
Net change in debt securities								(1,112)		(1,112)
Net change in debit valuation adjustments								462		462
Net change in derivatives								(3,703)		(3,703)
Employee benefit plan adjustments								37		37
Net change in foreign currency translation adjustments								(37)		(37)
Dividends declared:
Common						(1,780)				(1,780)
Preferred						(503)				(503)


Common stock issued under employee plans, net, and other			2.5	411		(1)				410
Common stock repurchased			(13.2)	(450)						(450)
Balance, September 30, 2022	$	29,134	8,024.5	$	59,460	$	201,957	$	(21,027)	$	269,524



































Balance, December 31, 2021	$	24,708	8,077.8	$	62,398	$	188,064	$	(5,104)	$	270,066

Net income						20,396				20,396
Net change in debt securities								(6,381)		(6,381)
Net change in debit valuation adjustments								1,298		1,298
Net change in derivatives								(10,890)		(10,890)
Employee benefit plan adjustments								97		97
Net change in foreign currency translation adjustments								(47)		(47)
Dividends declared:
Common						(5,188)				(5,188)
Preferred						(1,285)				(1,285)
Issuance of preferred stock	4,426									4,426

Common stock issued under employee plans, net, and other			44.5	1,137		(30)				1,107
Common stock repurchased			(97.8)	(4,075)						(4,075)
Balance, September 30, 2022	$	29,134	8,024.5	$	59,460	$	201,957	$	(21,027)	$	269,524
































Balance, June 30, 2021	$	23,441	8,487.2	$	79,242	$	177,499	$	(3,063)	$	277,119

Net income						7,691				7,691
Net change in debt securities								(153)		(153)
Net change in debit valuation adjustments								27		27
Net change in derivatives								(431)		(431)
Employee benefit plan adjustments								50		50
Net change in foreign currency translation adjustments								(26)		(26)
Dividends declared:
Common						(1,749)				(1,749)
Preferred						(431)				(431)


Common stock issued under employee plans, net, and other			2.0	284		(3)				281
Common stock repurchased			(248.0)	(9,914)						(9,914)
Balance, September 30, 2021	$	23,441	8,241.2	$	69,612	$	183,007	$	(3,596)	$	272,464
Balance, December 31, 2020	$	24,510	8,650.8	$	85,982	$	164,088	$	(1,656)	$	272,924

Net income						24,965				24,965
Net change in debt securities								(1,243)		(1,243)
Net change in debit valuation adjustments								292		292
Net change in derivatives								(1,130)		(1,130)
Employee benefit plan adjustments								170		170
Net change in foreign currency translation adjustments								(29)		(29)
Dividends declared:
Common						(4,859)				(4,859)
Preferred						(1,181)				(1,181)
Issuance of preferred stock	902									902
Redemption of preferred stock	(1,971)									(1,971)

Common stock issued under employee plans, net, and other			42.2	1,223		(6)				1,217
Common stock repurchased			(451.8)	(17,593)						(17,593)
Balance, September 30, 2021	$	23,441	8,241.2	$	69,612	$	183,007	$	(3,596)	$	272,464

See accompanying Notes to Consolidated Financial Statements.


51 Bank of America

Bank of America Corporation and Subsidiaries



Consolidated Statement of Cash Flows

	Nine Months Ended September 30

(Dollars in millions)	2022		2021
Operating activities
Net income	$	20,396	$	24,965
Adjustments to reconcile net income to net cash provided by operating activities:
Provision for credit losses	1,451		(4,105)
Gains on sales of debt securities	(37)		(4)
Depreciation and amortization	1,476		1,403
Net amortization of premium/discount on debt securities	1,862		4,534
Deferred income taxes	620		(1,151)
Stock-based compensation	2,235		2,031

Loans held-for-sale:
Originations and purchases	(18,736)		(27,003)
Proceeds from sales and paydowns of loans originally classified as held for sale and instruments from related securitization activities	27,260		24,852
Net change in:
Trading and derivative assets/liabilities	(106,322)		(55,310)
Other assets	7,623		(34,337)
Accrued expenses and other liabilities	23,869		8,713
Other operating activities, net	978		3,568
Net cash used in operating activities	(37,325)		(51,844)
Investing activities
Net change in:
Time deposits placed and other short-term investments	(305)		28
Federal funds sold and securities borrowed or purchased under agreements to resell	(24,527)		42,124
Debt securities carried at fair value:
Proceeds from sales	58,888		3,732
Proceeds from paydowns and maturities	90,161		124,149
Purchases	(114,027)		(174,517)
Held-to-maturity debt securities:
Proceeds from paydowns and maturities	53,340		94,437
Purchases	(24,059)		(340,425)
Loans and leases:
Proceeds from sales of loans originally classified as held for investment and instruments from related securitization activities	20,544		7,767
Purchases	(4,618)		(3,363)
Other changes in loans and leases, net	(69,267)		(5,866)
Other investing activities, net	(3,039)		(2,450)
Net cash used in investing activities	(16,909)		(254,384)
Financing activities
Net change in:
Deposits	(126,434)		169,324
Federal funds purchased and securities loaned or sold under agreements to repurchase	23,298		37,105
Short-term borrowings	(2,709)		957
Long-term debt:
Proceeds from issuance	55,202		65,459
Retirement	(24,390)		(38,787)
Preferred stock:
Proceeds from issuance	4,426		902
Redemption	—		(1,971)
Common stock repurchased	(4,075)		(17,593)
Cash dividends paid	(6,471)		(6,090)
Other financing activities, net	(501)		(696)
Net cash provided by (used in) financing activities	(81,654)		208,610
Effect of exchange rate changes on cash and cash equivalents	(7,357)		(2,991)
Net decrease in cash and cash equivalents	(143,245)		(100,609)
Cash and cash equivalents at January 1	348,221		380,463
Cash and cash equivalents at September 30	$	204,976	$	279,854

See accompanying Notes to Consolidated Financial Statements.


						Bank of America 52

Bank of America Corporation and Subsidiaries

Notes to Consolidated Financial Statements

NOTE 1 Summary of Significant Accounting Principles

Bank of America Corporation, a bank holding company and a financial holding company, provides a diverse range of financial services and products throughout the U.S. and in certain international markets. The term “the Corporation” as used herein 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.

Principles 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, which include the Corporation’s interests in affordable housing and renewable energy partnerships, are recorded 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 requires management to make estimates and assumptions that affect reported amounts and

disclosures. Actual results could materially differ from those estimates and assumptions.

These unaudited Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements, and related notes thereto, of the Corporation’s 2021 Annual Report on Form 10-K.

The nature of the Corporation’s business is such that the results of any interim period are not necessarily indicative of results for a full year. In the opinion of management, all adjustments, which consist of normal recurring adjustments necessary for a fair statement of the interim period results, have been made. The Corporation evaluates subsequent events through the date of filing with the Securities and Exchange Commission (SEC). Certain prior-period amounts have been reclassified to conform to current-period presentation.

Accounting Standards Issued and Not Yet Adopted

Hedge Accounting

The FASB issued a new accounting standard effective on January 1, 2023, with early adoption permitted, that makes targeted improvements to the application of the fair value hedge accounting guidance for closed portfolios of financial assets. Upon adoption, the application of these hedge strategies would be applied prospectively.

Financial Instruments – Credit Losses

The FASB amended the accounting and disclosure requirements for expected credit losses by removing the recognition and measurement guidance on troubled debt restructurings (TDRs) and enhancing certain disclosures. The amendments are effective on January 1, 2023 with early adoption permitted. The effects of these changes on the Corporation’s financial statements are not expected to have a material impact on its consolidated financial position, results of operations or disclosures in the Notes to the Consolidated Financial Statements.


53 Bank of America

NOTE 2 Net Interest Income and Noninterest Income

The table below presents the Corporation’s net interest income and noninterest income disaggregated by revenue source for the three and nine months ended September 30, 2022 and 2021. For more information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. For a disaggregation of noninterest income by business segment and All Other, see Note 17 – Business Segment Information.



	Three Months Ended September 30	Nine Months Ended September 30
(Dollars in millions)			2022		2021		2022		2021
Net interest income
Interest income
Loans and leases			$	10,231	$	7,502	$	25,805	$	21,859
Debt securities			4,239		3,282		12,111		8,832
Federal funds sold and securities borrowed or purchased under agreements to resell (1)			1,446		6		1,835		(43)
Trading account assets			1,449		967		3,753		2,793
Other interest income			2,256		579		3,986		1,677
Total interest income			19,621		12,336		47,490		35,118

Interest expense
Deposits			1,235		133		1,719		394
Short-term borrowings (1)			2,264		(41)		2,705		(205)
Trading account liabilities			383		285		1,117		824
Long-term debt			1,974		865		4,168		2,581
Total interest expense			5,856		1,242		9,709		3,594
Net interest income			$	13,765	$	11,094	$	37,781	$	31,524

Noninterest income
Fees and commissions
Card income
Interchange fees (2)			$	1,060	$	1,154	$	3,067	$	3,431
Other card income			513		429		1,464		1,173
Total card income			1,573		1,583		4,531		4,604
Service charges
Deposit-related fees			1,162		1,619		4,109		4,671
Lending-related fees			304		309		907		923
Total service charges			1,466		1,928		5,016		5,594
Investment and brokerage services
Asset management fees			2,920		3,276		9,308		9,434
Brokerage fees			875		960		2,870		2,988
Total investment and brokerage services			3,795		4,236		12,178		12,422
Investment banking fees
Underwriting income			452		1,168		1,559		4,028
Syndication fees			283		346		896		1,047
Financial advisory services			432		654		1,297		1,461
Total investment banking fees			1,167		2,168		3,752		6,536
Total fees and commissions			8,001		9,915		25,477		29,156
Market making and similar activities			3,068		2,005		9,023		7,360
Other income (loss)			(332)		(248)		(1,863)		(987)
Total noninterest income			$	10,737	$	11,672	$	32,637	$	35,529

(1)For more information on negative interest, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

(2)Gross interchange fees and merchant income were $3.3 billion and $3.0 billion for the three months ended September 30, 2022 and 2021 and are presented net of $2.2 billion and $1.8 billion of expenses for rewards and partner payments as well as certain other card costs for the same periods. Gross interchange fees and merchant income were $9.5 billion and $8.3 billion for the nine months ended September 30, 2022 and 2021 and are presented net of $6.4 billion and $4.9 billion of expenses for rewards and partner payments as well as certain other card costs for the same periods.


						Bank of America 54

NOTE 3 Derivatives

Derivative Balances

Derivatives are entered into on behalf of customers, for trading or to support risk management activities. Derivatives used in risk management activities include derivatives that may or may not be designated in qualifying hedge accounting relationships. Derivatives that are not designated in qualifying hedge accounting relationships are referred to as other risk management derivatives. For more information on the Corporation’s derivatives and hedging activities, see Note 1 – Summary of Significant Accounting Principles and Note 3 –

Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at September 30, 2022 and December 31, 2021. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by cash collateral received or paid.



			September 30, 2022
			Gross Derivative Assets						Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional (1)		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	22,304.3	$	131.8	$	22.2	$	154.0	$	114.1	$	37.7	$	151.8
Futures and forwards	3,105.7		19.1		—		19.1		17.3		—		17.3
Written options	1,629.2		—		—		—		45.7		—		45.7
Purchased options	1,580.4		46.5		—		46.5		—		—		—
Foreign exchange contracts
Swaps	1,495.0		53.5		0.5		54.0		51.9		0.3		52.2
Spot, futures and forwards	4,521.9		85.0		0.9		85.9		87.4		—		87.4
Written options	443.8		—		—		—		11.9		—		11.9
Purchased options	430.4		12.7		—		12.7		—		—		—
Equity contracts
Swaps	376.0		22.0		—		22.0		17.9		—		17.9
Futures and forwards	101.2		2.9		0.1		3.0		1.1		—		1.1
Written options	761.4		—		—		—		48.8		—		48.8
Purchased options	681.2		50.1		—		50.1		—		—		—
Commodity contracts
Swaps	55.7		8.1		—		8.1		6.9		—		6.9
Futures and forwards	171.2		3.7		—		3.7		3.4		0.2		3.6
Written options	75.8		—		—		—		4.9		—		4.9
Purchased options	62.9		5.5		—		5.5		—		—		—
Credit derivatives (2)
Purchased credit derivatives:
Credit default swaps	354.1		4.5		—		4.5		1.4		—		1.4
Total return swaps/options	110.9		1.5		—		1.5		2.9		—		2.9
Written credit derivatives:
Credit default swaps	333.0		1.6		—		1.6		4.3		—		4.3
Total return swaps/options	120.3		4.9		—		4.9		1.4		—		1.4
Gross derivative assets/liabilities			$	453.4	$	23.7	$	477.1	$	421.3	$	38.2	$	459.5
Less: Legally enforceable master netting agreements							(364.5)						(364.5)
Less: Cash collateral received/paid							(40.6)						(44.8)
Total derivative assets/liabilities							$	72.0					$	50.2

(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.

(2)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $(2.9) billion and $312.4 billion at September 30, 2022.


55 Bank of America



			December 31, 2021
			Gross Derivative Assets						Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional (1)		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	18,068.1	$	150.5	$	8.9	$	159.4	$	156.4	$	4.4	$	160.8
Futures and forwards	2,243.2		1.1		—		1.1		1.0		—		1.0
Written options	1,616.1		—		—		—		28.8		—		28.8
Purchased options	1,673.6		33.1		—		33.1		—		—		—
Foreign exchange contracts
Swaps	1,420.9		28.6		0.2		28.8		30.5		0.2		30.7
Spot, futures and forwards	4,087.2		37.1		0.3		37.4		37.7		0.2		37.9
Written options	287.2		—		—		—		4.1		—		4.1
Purchased options	267.6		4.1		—		4.1		—		—		—
Equity contracts
Swaps	443.8		12.3		—		12.3		14.5		—		14.5
Futures and forwards	113.3		0.5		—		0.5		1.7		—		1.7
Written options	737.7		—		—		—		58.5		—		58.5
Purchased options	657.0		55.9		—		55.9		—		—		—
Commodity contracts
Swaps	47.7		3.1		—		3.1		6.0		—		6.0
Futures and forwards	101.5		2.3		—		2.3		0.3		1.1		1.4
Written options	44.4		—		—		—		2.6		—		2.6
Purchased options	38.3		3.2		—		3.2		—		—		—
Credit derivatives (2)
Purchased credit derivatives:
Credit default swaps	297.0		1.9		—		1.9		4.3		—		4.3
Total return swaps/options	85.3		0.2		—		0.2		1.1		—		1.1
Written credit derivatives:
Credit default swaps	279.8		4.2		—		4.2		1.6		—		1.6
Total return swaps/options	85.3		0.9		—		0.9		0.5		—		0.5
Gross derivative assets/liabilities			$	339.0	$	9.4	$	348.4	$	349.6	$	5.9	$	355.5
Less: Legally enforceable master netting agreements							(282.3)						(282.3)
Less: Cash collateral received/paid							(30.8)						(35.5)
Total derivative assets/liabilities							$	35.3					$	37.7

(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.

(2)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $2.3 billion and $258.4 billion at December 31, 2021.

Offsetting of Derivatives

The Corporation enters into International Swaps and Derivatives Association, Inc. (ISDA) master netting agreements or similar agreements with substantially all of the Corporation’s derivative counterparties. For more information, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2022 and December 31, 2021 by primary risk (e.g., interest rate risk) and the platform, where

applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements, which include reducing the balance for counterparty netting and cash collateral received or paid.

For more information on offsetting of securities financing agreements, see Note 9 – Securities Financing Agreements, Collateral and Restricted Cash.


						Bank of America 56



Offsetting of Derivatives (1)

	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
(Dollars in billions)	September 30, 2022				December 31, 2021
Interest rate contracts
Over-the-counter	$	149.0	$	140.3	$	171.3	$	166.3
Exchange-traded	0.5		0.1		0.2		—
Over-the-counter cleared	69.5		71.2		22.6		22.5
Foreign exchange contracts
Over-the-counter	147.6		147.2		67.9		70.5
Over-the-counter cleared	2.2		2.1		1.1		1.1
Equity contracts
Over-the-counter	33.8		28.3		29.2		32.9
Exchange-traded	40.4		37.8		38.3		38.4
Commodity contracts
Over-the-counter	13.1		12.2		6.1		7.6
Exchange-traded	3.1		2.6		1.4		1.3
Over-the-counter cleared	0.3		0.3		0.1		0.1
Credit derivatives
Over-the-counter	11.4		8.6		5.2		5.3
Over-the-counter cleared	0.9		1.0		1.8		1.8
Total gross derivative assets/liabilities, before netting
Over-the-counter	354.9		336.6		279.7		282.6
Exchange-traded	44.0		40.5		39.9		39.7
Over-the-counter cleared	72.9		74.6		25.6		25.5
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(295.1)		(298.9)		(250.3)		(254.6)
Exchange-traded	(38.5)		(38.5)		(37.8)		(37.8)
Over-the-counter cleared	(71.5)		(71.9)		(25.0)		(25.4)
Derivative assets/liabilities, after netting	66.7		42.4		32.1		30.0
Other gross derivative assets/liabilities (2)	5.3		7.8		3.2		7.7
Total derivative assets/liabilities	72.0		50.2		35.3		37.7
Less: Financial instruments collateral (3)	(26.0)		(5.8)		(11.8)		(10.6)
Total net derivative assets/liabilities	$	46.0	$	44.4	$	23.5	$	27.1

(1)Over-the-counter derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse. Exchange-traded derivatives include listed options transacted on an exchange.

(2)Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.

(3)Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities.

Derivatives Designated as Accounting Hedges

The Corporation uses various types of interest rate and foreign exchange derivative contracts to protect against changes in the fair value of its assets and liabilities due to fluctuations in interest rates and exchange rates (fair value hedges). The Corporation also uses these types of contracts to protect against changes in the cash flows of its assets and liabilities, and other forecasted transactions (cash flow hedges). The Corporation hedges its net investment in consolidated non-U.S.

operations determined to have functional currencies other than the U.S. dollar using forward exchange contracts and cross-currency basis swaps, and by issuing foreign currency-denominated debt (net investment hedges).

Fair Value Hedges

The table below summarizes information related to fair value hedges for the three and nine months ended September 30, 2022 and 2021.



Gains and Losses on Derivatives Designated as Fair Value Hedges



	Three Months Ended September 30, 2022				Three Months Ended September 30, 2021
(Dollars in millions)	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	(8,435)	$	8,437	$	(1,658)	$	1,660
Interest rate and foreign currency risk on long-term debt (2)	(77)		78		(49)		46
Interest rate risk on available-for-sale securities (3)	9,681		(9,707)		867		(859)

Total	$	1,169	$	(1,192)	$	(840)	$	847

`	Nine Months Ended September 30, 2022				Nine Months Ended September 30, 2021
	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	(27,458)	$	27,630	$	(6,237)	$	6,208
Interest rate and foreign currency risk on long-term debt (2)	(137)		137		(72)		67
Interest rate risk on available-for-sale securities (3)	24,816		(24,975)		4,245		(4,184)

Total	$	(2,779)	$	2,792	$	(2,064)	$	2,091

(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.

(2)For the three and nine months ended September 30, 2022, the derivative amount includes gains (losses) of $(6) million and $(40) million in interest expense, $(71) million and $(96) million in market making and similar activities, and $0 and $(1) million in accumulated other comprehensive income (OCI). For the same periods in 2021, the derivative amount includes gains (losses) of $(11) million and $(62) million in interest expense, $(33) million and $(2) million in market making and similar activities, and $(5) million and $(8) million in accumulated OCI. Line item totals are in the Consolidated Statement of Income and on the Consolidated Balance Sheet.

(3)Amounts are recorded in interest income in the Consolidated Statement of Income.


57 Bank of America

The table below summarizes the carrying value of hedged assets and liabilities that are designated and qualifying in fair value hedging relationships along with the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded in the current hedging relationships. These fair value hedging adjustments are open basis adjustments that are not subject to amortization as long as the hedging relationship remains designated.



Designated Fair Value Hedged Assets and Liabilities

	September 30, 2022				December 31, 2021
(Dollars in millions)	Carrying Value		Cumulative Fair Value Adjustments (1)		Carrying Value		Cumulative Fair Value Adjustments (1)

Long-term debt (2)	$	179,266	$	(21,897)	$	181,745	$	3,987
Available-for-sale debt securities (2, 3, 4)	175,943		(20,153)		209,038		(2,294)
Trading account assets (5)	11,872		680		2,067		32

(1)Increase (decrease) to carrying value.

(2)At September 30, 2022 and December 31, 2021, the cumulative fair value adjustments remaining on long-term debt and available-for-sale debt securities from discontinued hedging relationships resulted in a decrease of $103 million and an increase of $1.5 billion in the related liability and a decrease in the related asset of $5.2 billion and $1.0 billion, which are being amortized over the remaining contractual life of the de-designated hedged items.

(3)These amounts include the amortized cost of the prepayable financial assets used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship (i.e. last-of-layer hedging relationship). At September 30, 2022 and December 31, 2021, the amortized cost of the closed portfolios used in these hedging relationships was $22.0 billion and $21.1 billion, of which $9.2 billion and $6.9 billion was designated in the last-of-layer hedging relationship. At September 30, 2022 and December 31, 2021, the cumulative adjustment associated with these hedging relationships was a decrease of $488 million and $172 million.

(4)Carrying value represents amortized cost.

(5)Represents hedging activities related to certain commodities inventory.

Cash Flow and Net Investment Hedges

The table below summarizes certain information related to cash flow hedges and net investment hedges for the three and nine months ended September 30, 2022 and 2021. Of the $12.8 billion after-tax net loss ($17.0 billion pretax) on derivatives in accumulated OCI at September 30, 2022, losses of $3.7 billion after-tax ($4.9 billion pretax) related to both open and terminated cash flow hedges are expected to be reclassified into earnings in the next 12 months. These net losses

reclassified into earnings are expected to primarily decrease net interest income related to the respective hedged items. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. For terminated cash flow hedges, the time period over which the forecasted transactions will be recognized in interest income is approximately five years, with the aggregated amount beyond this time period being insignificant.



Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges



	Gains (Losses) Recognized in Accumulated OCI on Derivatives	Gains (Losses) in Income Reclassified from Accumulated OCI	Gains (Losses) Recognized in Accumulated OCI on Derivatives	Gains (Losses) in Income Reclassified from Accumulated OCI
(Dollars in millions, amounts pretax)					Three Months Ended September 30, 2022				Nine Months Ended September 30, 2022
Cash flow hedges
Interest rate risk on variable-rate assets (1)					$	(5,045)	$	(110)	$	(14,443)	$	(191)
Price risk on forecasted MBS purchases (1)					—		—		(129)		13
Price risk on certain compensation plans (2)					(13)		5		(107)		24
Total					$	(5,058)	$	(105)	$	(14,679)	$	(154)
Net investment hedges
Foreign exchange risk (3)					$	1,541	$	3	$	3,339	$	3

					Three Months Ended September 30, 2021				Nine Months Ended September 30, 2021
Cash flow hedges
Interest rate risk on variable-rate assets (1)					$	(539)	$	38	$	(1,115)	$	111
Price risk on forecasted MBS purchases (1)					29		5		(272)		20
Price risk on certain compensation plans (2)					(2)		14		57		40
Total					$	(512)	$	57	$	(1,330)	$	171
Net investment hedges
Foreign exchange risk (3)					$	642	$	—	$	1,145	$	—

(1)Amounts reclassified from accumulated OCI are recorded in interest income in the Consolidated Statement of Income.

(2)Amounts reclassified from accumulated OCI are recorded in compensation and benefits expense in the Consolidated Statement of Income.

(3)Amounts reclassified from accumulated OCI are recorded in other income in the Consolidated Statement of Income. For the three and nine months ended September 30, 2022, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $38 million and losses of $109 million. For the same periods in 2021, amounts excluded from effectiveness testing and recognized in market making and similar activities were losses of $36 million and $86 million.


						Bank of America 58

Other Risk Management Derivatives

Other risk management derivatives are used by the Corporation to reduce certain risk exposures by economically hedging various assets and liabilities. The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2022 and 2021. These gains (losses) are largely offset by the income or expense recorded on the hedged item.



Gains and Losses on Other Risk Management Derivatives

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Interest rate risk on mortgage activities (1, 2)	$	(64)	$	10	$	(321)	$	(49)
Credit risk on loans (2)	(30)		(9)		(17)		(40)
Interest rate and foreign currency risk on asset and liability management activities (3)	1,591		552		7,204		1,495
Price risk on certain compensation plans (4)	(192)		(23)		(1,283)		575

(1)Includes hedges of interest rate risk on mortgage servicing rights and interest rate lock commitments (IRLCs) to originate mortgage loans that will be held for sale.

(2)Gains (losses) on these derivatives are recorded in other income.

(3)Gains (losses) on these derivatives are recorded in market making and similar activities.

(4)Gains (losses) on these derivatives are recorded in compensation and benefits expense.

Transfers of Financial Assets with Risk Retained through Derivatives

The Corporation enters into certain transactions involving the transfer of financial assets that are accounted for as sales where substantially all of the economic exposure to the transferred financial assets is retained through derivatives (e.g., interest rate and/or credit), but the Corporation does not retain control over the assets transferred. At both September 30, 2022 and December 31, 2021, the Corporation had transferred $4.8 billion non-U.S. government-guaranteed mortgage-backed securities to a third-party trust and retained economic exposure to the transferred assets through derivative contracts. In connection with these transfers, the Corporation received gross cash proceeds of $4.9 billion and $4.8 billion at the transfer dates. At September 30, 2022 and December 31, 2021, the fair value of the transferred securities was $4.6 billion and $5.0 billion.

Sales and Trading Revenue

The Corporation enters into trading derivatives to facilitate client transactions and to manage risk exposures arising from trading

account assets and liabilities. It is the Corporation’s policy to include these derivative instruments in its trading activities, which include derivatives and non-derivative cash instruments. The resulting risk from these derivatives is managed on a portfolio basis as part of the Corporation’s Global Markets business segment. For more information on sales and trading revenue, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

The table below, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue in Global Markets, categorized by primary risk, for the three and nine months ended September 30, 2022 and 2021. This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 17 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on an FTE basis.



Sales and Trading Revenue

	Market making and similar activities		Net Interest Income		Other (1)		Total		Market making and similar activities		Net Interest Income		Other (1)		Total
(Dollars in millions)	Three Months Ended September 30, 2022								Nine Months Ended September 30, 2022
Interest rate risk	$	372	$	432	$	140	$	944	$	1,452	$	1,381	$	291	$	3,124
Foreign exchange risk	552		13		(54)		511		1,562		(13)		(51)		1,498
Equity risk	1,532		(399)		416		1,549		4,474		(694)		1,404		5,184
Credit risk	252		544		114		910		561		1,559		176		2,296
Other risk (2)	165		(62)		17		120		670		(138)		77		609
Total sales and trading revenue	$	2,873	$	528	$	633	$	4,034	$	8,719	$	2,095	$	1,897	$	12,711

	Three Months Ended September 30, 2021								Nine Months Ended September 30, 2021
Interest rate risk	$	180	$	442	$	43	$	665	$	590	$	1,350	$	141	$	2,081
Foreign exchange risk	345		(22)		2		325		1,082		(62)		7		1,027
Equity risk	1,196		(28)		433		1,601		3,657		7		1,389		5,053
Credit risk	248		458		158		864		1,491		1,263		446		3,200
Other risk (2)	45		(30)		45		60		627		(58)		91		660
Total sales and trading revenue	$	2,014	$	820	$	681	$	3,515	$	7,447	$	2,500	$	2,074	$	12,021

(1)Represents amounts in investment and brokerage services and other income that are recorded in Global Markets and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of $444 million and $1.5 billion for the three and nine months ended September 30, 2022 compared to $460 million and $1.5 billion for the same periods in 2021.

(2)Includes commodity risk.


59 Bank of America

Credit Derivatives

The Corporation enters into credit derivatives primarily to facilitate client transactions and to manage credit risk exposures. Credit derivatives are classified as investment and non-investment grade based on the credit quality of the underlying referenced obligation. The Corporation considers ratings of BBB- or higher as investment grade. Non-investment grade includes non-rated credit derivative instruments. The Corporation discloses internal categorizations of investment

grade and non-investment grade consistent with how risk is managed for these instruments. For more information on credit derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2022 and December 31, 2021 are summarized in the table below.



Credit Derivative Instruments

	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
	September 30, 2022
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	1	$	52	$	502	$	287	$	842
Non-investment grade	57		854		1,497		1,001		3,409
Total	58		906		1,999		1,288		4,251
Total return swaps/options:
Investment grade	146		249		—		—		395
Non-investment grade	902		6		86		6		1,000
Total	1,048		255		86		6		1,395
Total credit derivatives	$	1,106	$	1,161	$	2,085	$	1,294	$	5,646
Credit-related notes:
Investment grade	$	—	$	—	$	—	$	673	$	673
Non-investment grade	—		2		4		1,118		1,124
Total credit-related notes	$	—	$	2	$	4	$	1,791	$	1,797
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	32,510	$	66,961	$	96,170	$	42,448	$	238,089
Non-investment grade	14,613		28,393		40,136		11,781		94,923
Total	47,123		95,354		136,306		54,229		333,012
Total return swaps/options:
Investment grade	65,805		8,907		—		—		74,712
Non-investment grade	40,840		2,273		1,581		890		45,584
Total	106,645		11,180		1,581		890		120,296
Total credit derivatives	$	153,768	$	106,534	$	137,887	$	55,119	$	453,308

	December 31, 2021
	Carrying Value
Credit default swaps:
Investment grade	$	—	$	5	$	79	$	49	$	133
Non-investment grade	34		250		453		769		1,506
Total	34		255		532		818		1,639
Total return swaps/options:
Investment grade	35		388		—		—		423
Non-investment grade	105		—		16		—		121
Total	140		388		16		—		544
Total credit derivatives	$	174	$	643	$	548	$	818	$	2,183
Credit-related notes:
Investment grade	$	—	$	—	$	36	$	412	$	448
Non-investment grade	5		—		9		1,334		1,348
Total credit-related notes	$	5	$	—	$	45	$	1,746	$	1,796
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	34,503	$	66,334	$	73,444	$	17,844	$	192,125
Non-investment grade	16,119		29,233		34,356		7,961		87,669
Total	50,622		95,567		107,800		25,805		279,794
Total return swaps/options:
Investment grade	49,626		11,494		78		—		61,198
Non-investment grade	22,621		717		642		73		24,053
Total	72,247		12,211		720		73		85,251
Total credit derivatives	$	122,869	$	107,778	$	108,520	$	25,878	$	365,045


						Bank of America 60

The notional amount represents the maximum amount payable by the Corporation for most credit derivatives. However, the Corporation does not monitor its exposure to credit derivatives based solely on the notional amount because this measure does not take into consideration the probability of occurrence. As such, the notional amount is not a reliable indicator of the Corporation’s exposure to these contracts. Instead, a risk framework is used to define risk tolerances and establish limits so that certain credit risk-related losses occur within acceptable, predefined limits.

Credit-related notes in the preceding table include investments in securities issued by collateralized debt obligation (CDO), collateralized loan obligation and credit-linked note vehicles. These instruments are primarily classified as trading securities. The carrying value of these instruments equals the Corporation’s maximum exposure to loss. The Corporation is not obligated to make any payments to the entities under the terms of the securities owned.

Credit-related Contingent Features and Collateral

Certain of the Corporation’s derivative contracts contain credit risk-related contingent features, primarily in the form of ISDA master netting agreements and credit support documentation that enhance the creditworthiness of these instruments compared to other obligations of the respective counterparty with whom the Corporation has transacted. These contingent features may be for the benefit of the Corporation as well as its counterparties with respect to changes in the Corporation’s creditworthiness and the mark-to-market exposure under the derivative transactions. At September 30, 2022 and December 31, 2021, the Corporation held cash and securities collateral of $120.0 billion and $91.4 billion and posted cash and securities collateral of $85.8 billion and $79.3 billion in the normal course of business under derivative agreements, excluding cross-product margining agreements where clients are permitted to margin on a net basis for both derivative and secured financing arrangements.

In connection with certain OTC derivative contracts and other trading agreements, the Corporation can be required to provide additional collateral or to terminate transactions with certain counterparties in the event of a downgrade of the senior debt ratings of the Corporation or certain subsidiaries. The amount of additional collateral required depends on the contract and is usually a fixed incremental amount and/or the market value of the exposure. For more information on credit-related contingent features and collateral, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

At September 30, 2022, the amount of collateral, calculated based on the terms of the contracts, that the Corporation and certain subsidiaries could be required to post to counterparties but had not yet posted to counterparties was $4.0 billion, including $2.5 billion for Bank of America, National Association (BANA).

Some counterparties are currently able to unilaterally terminate certain contracts, or the Corporation or certain

subsidiaries may be required to take other action such as find a suitable replacement or obtain a guarantee. At September 30, 2022 and December 31, 2021, the liability recorded for these derivative contracts was not significant.

The table below presents the amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at September 30, 2022 if the rating agencies had downgraded their long-term senior debt ratings for the Corporation or certain subsidiaries by one incremental notch and by an additional second incremental notch. The table also presents derivative liabilities that would be subject to unilateral termination by counterparties upon downgrade of the Corporation's or certain subsidiaries' long-term senior debt ratings.



Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade at September 30, 2022

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	430	$	1,043
Bank of America, N.A. and subsidiaries (1)	199		789

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	10	$	939
Collateral posted	—		629

(1)Included in Bank of America Corporation collateral requirements in this table.

Valuation Adjustments on Derivatives

The table below presents credit valuation adjustment (CVA), DVA and FVA gains (losses) on derivatives (excluding the effect of any related hedge activities), which are recorded in market making and similar activities, for the three and nine months ended September 30, 2022 and 2021. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.



Valuation Adjustments Gains (Losses) on Derivatives (1)

	Three Months Ended September 30
(Dollars in millions)	2022		2021
Derivative assets (CVA)	$	(44)	$	54
Derivative assets/liabilities (FVA)	67		19
Derivative liabilities (DVA)	103		(5)

	Nine Months Ended September 30
(Dollars in millions)	2022		2021
Derivative assets (CVA)	$	(217)	$	212
Derivative assets/liabilities (FVA)	147		34
Derivative liabilities (DVA)	444		(13)

(1)At September 30, 2022 and December 31, 2021, cumulative CVA reduced the derivative assets balance by $655 million and $438 million, cumulative FVA reduced the net derivative balance by $32 million and $179 million, and cumulative DVA reduced the derivative liabilities balance by $756 million and $312 million.


61 Bank of America

NOTE 4 Securities

The table below presents the amortized cost, gross unrealized gains and losses, and fair value of available-for-sale (AFS) debt securities, other debt securities carried at fair value and held-to-maturity (HTM) debt securities at September 30, 2022 and December 31, 2021.



Debt Securities

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
(Dollars in millions)	September 30, 2022								December 31, 2021
Available-for-sale debt securities
Mortgage-backed securities:
Agency	$	25,743	$	5	$	(2,144)	$	23,604	$	45,268	$	1,257	$	(186)	$	46,339
Agency-collateralized mortgage obligations	2,589		—		(220)		2,369		3,331		74		(25)		3,380
Commercial	6,248		24		(499)		5,773		19,036		647		(79)		19,604
Non-agency residential (1)	467		16		(83)		400		591		25		(33)		583
Total mortgage-backed securities	35,047		45		(2,946)		32,146		68,226		2,003		(323)		69,906
U.S. Treasury and government agencies	169,368		42		(1,797)		167,613		197,853		1,610		(318)		199,145
Non-U.S. securities	11,046		1		(44)		11,003		11,933		—		—		11,933

Other taxable securities	3,481		—		(76)		3,405		2,725		39		(3)		2,761

Tax-exempt securities	12,544		—		(372)		12,172		15,155		317		(39)		15,433
Total available-for-sale debt securities	231,486		88		(5,235)		226,339		295,892		3,969		(683)		299,178
Other debt securities carried at fair value (2)	10,223		54		(371)		9,906		8,873		105		(83)		8,895
Total debt securities carried at fair value	241,709		142		(5,606)		236,245		304,765		4,074		(766)		308,073
Held-to-maturity debt securities

Agency mortgage-backed securities	513,977		—		(94,111)		419,866		553,721		3,855		(10,366)		547,210




U.S. Treasury and government agencies	121,585		—		(21,089)		100,496		111,859		254		(2,395)		109,718


Other taxable securities	8,181		—		(990)		7,191		9,011		147		(196)		8,962


Total held-to-maturity debt securities	643,743		—		(116,190)		527,553		674,591		4,256		(12,957)		665,890
Total debt securities (3,4)	$	885,452	$	142	$	(121,796)	$	763,798	$	979,356	$	8,330	$	(13,723)	$	973,963

(1)At September 30, 2022 and December 31, 2021, the underlying collateral type included approximately 17 percent and 21 percent prime and 83 percent and 79 percent subprime.

(2)Primarily includes non-U.S. securities used to satisfy certain international regulatory requirements. Any changes in value are reported in market making and similar activities. For detail on the components, see Note 14 – Fair Value Measurements.

(3)Includes securities pledged as collateral of $103.1 billion and $111.9 billion at September 30, 2022 and December 31, 2021.

(4)The Corporation held debt securities from Fannie Mae (FNMA) and Freddie Mac (FHLMC) that each exceeded 10 percent of shareholders’ equity, with an amortized cost of $296.5 billion and $179.4 billion, and a fair value of $241.8 billion and $145.1 billion at September 30, 2022, and an amortized cost of $345.3 billion and $205.3 billion, and a fair value of $342.5 billion and $202.4 billion at December 31, 2021.

At September 30, 2022, the accumulated net unrealized loss on AFS debt securities, excluding the amount related to debt securities previously transferred to held to maturity, included in accumulated OCI was $3.9 billion, net of the related income tax benefit of $1.3 billion. At September 30, 2022 and December 31, 2021, nonperforming AFS debt securities held by the Corporation were not significant.

At September 30, 2022 and December 31, 2021, the Corporation had $199.3 billion and $268.5 billion in AFS debt securities, which were primarily U.S. agency and U.S. Treasury securities that have a zero credit loss assumption. For more information on the zero credit loss assumption, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. For the remaining $27.0 billion and $30.7 billion in AFS debt securities at September 30, 2022 and December 31, 2021, the amount of expected credit losses was not significant. At September 30, 2022 and December 31, 2021, the Corporation had $527.6 billion and $665.9 billion in HTM debt securities, which were substantially all U.S agency and U.S. Treasury securities that have a zero credit loss assumption.

At September 30, 2022 and December 31, 2021, the Corporation held equity securities at an aggregate fair value of

$620 million and $513 million and other equity securities, as valued under the measurement alternative, at a carrying value of $311 million and $266 million, both of which are included in other assets. At September 30, 2022 and December 31, 2021, the Corporation also held money market investments at a fair value of $682 million and $707 million, which are included in time deposits placed and other short-term investments.

The gross realized gains and losses on sales of AFS debt securities for the three and nine months ended September 30, 2022 and 2021 are presented in the table below.



Gains and Losses on Sales of AFS Debt Securities
	Three Months Ended September 30			Nine Months Ended September 30

(Dollars in millions)		2022		2021		2022		2021
Gross gains		$	540	$	4	$	1,243	$	19
Gross losses		(526)		—		(1,206)		(15)
Net gains on sales of AFS debt securities		$	14	$	4	$	37	$	4
Income tax expense attributable to realized net gains on sales of AFS debt securities		$	4	$	1	$	9	$	1


						Bank of America 62

The table below presents the fair value and the associated gross unrealized losses on AFS debt securities and whether these securities have had gross unrealized losses for less than 12 months or for 12 months or longer at September 30, 2022 and December 31, 2021.



Total AFS Debt Securities in a Continuous Unrealized Loss Position

	Less than Twelve Months				Twelve Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
(Dollars in millions)	September 30, 2022
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	20,518	$	(1,625)	$	2,937	$	(519)	$	23,455	$	(2,144)
Agency-collateralized mortgage obligations	1,342		(87)		989		(133)		2,331		(220)
Commercial	3,831		(264)		1,366		(235)		5,197		(499)
Non-agency residential	272		(60)		101		(23)		373		(83)
Total mortgage-backed securities	25,963		(2,036)		5,393		(910)		31,356		(2,946)
U.S. Treasury and government agencies	125,543		(1,129)		31,867		(668)		157,410		(1,797)
Non-U.S. securities	9,221		(23)		732		(21)		9,953		(44)

Other taxable securities	2,373		(20)		759		(56)		3,132		(76)

Tax-exempt securities	931		(98)		4,297		(274)		5,228		(372)



Total AFS debt securities in a continuous unrealized loss position	$	164,031	$	(3,306)	$	43,048	$	(1,929)	$	207,079	$	(5,235)

	December 31, 2021
Continuously unrealized loss-positioned AFS debt securities
Mortgage-backed securities:
Agency	$	11,733	$	(166)	$	815	$	(20)	$	12,548	$	(186)
Agency-collateralized mortgage obligations	1,427		(22)		122		(3)		1,549		(25)
Commercial	3,451		(41)		776		(38)		4,227		(79)
Non-agency residential	241		(13)		174		(20)		415		(33)
Total mortgage-backed securities	16,852		(242)		1,887		(81)		18,739		(323)
U.S. Treasury and government agencies	103,307		(272)		4,850		(46)		108,157		(318)


Other taxable securities	—		—		82		(3)		82		(3)

Tax-exempt securities	502		(16)		109		(23)		611		(39)



Total AFS debt securities in a continuous unrealized loss position	$	120,661	$	(530)	$	6,928	$	(153)	$	127,589	$	(683)


63 Bank of America

The remaining contractual maturity distribution and yields of the Corporation’s debt securities carried at fair value and HTM debt securities at September 30, 2022 are summarized in the table below. Actual duration and yields may differ as prepayments on the loans underlying the mortgage-backed securities (MBS) or other asset-backed securities (ABS) are passed through to the Corporation.



Maturities of Debt Securities Carried at Fair Value and Held-to-maturity Debt Securities

	Due in One Year or Less				Due after One Year through Five Years				Due after Five Years through Ten Years				Due after Ten Years				Total
(Dollars in millions)	Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)		Amount		Yield (1)
Amortized cost of debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—	—	%	$	5	5.20	%	$	40	4.88	%	$	25,698	3.36	%	$	25,743	3.36	%
Agency-collateralized mortgage obligations	—		—		15		2.60		—		—		2,574		2.91		2,589		2.91
Commercial	36		2.22		488		2.79		4,227		1.78		1,509		2.07		6,260		1.93
Non-agency residential	—		—		—		—		—		—		867		8.31		867		8.31
Total mortgage-backed securities	36		2.22		508		2.81		4,267		1.81		30,648		3.40		35,459		3.20
U.S. Treasury and government agencies	7,222		1.40		62,354		1.76		100,285		1.65		28		3.00		169,889		1.68
Non-U.S. securities	17,773		1.67		2,429		4.22		6		4.24		128		5.34		20,336		2.00

Other taxable securities	1,635		3.56		1,241		3.56		469		3.04		136		3.46		3,481		3.49

Tax-exempt securities	939		1.60		5,135		2.45		2,330		2.67		4,140		3.03		12,544		2.62
Total amortized cost of debt securities carried at fair value	$	27,605	1.71		$	71,667	1.93		$	107,357	1.68		$	35,080	3.36		$	241,709	2.01
Amortized cost of HTM debt securities

Agency mortgage-backed securities	$	—	—	%	$	—	—	%	$	14	2.71	%	$	513,963	2.13	%	$	513,977	2.13	%




U.S. Treasury and government agencies	—		—		4,539		1.80		117,046		1.37		—		—		121,585		1.39


Other taxable securities	37		9.52		1,064		2.13		433		2.93		6,647		2.49		8,181		2.49


Total amortized cost of HTM debt securities	$	37	—		$	5,603	1.86		$	117,493	1.37		$	520,610	2.13		$	643,743	1.99

Debt securities carried at fair value
Mortgage-backed securities:
Agency	$	—			$	5			$	40			$	23,559			$	23,604
Agency-collateralized mortgage obligations	—				15				—				2,354				2,369
Commercial	36				473				3,977				1,297				5,783
Non-agency residential	—				2				—				787				789
Total mortgage-backed securities	36				495				4,017				27,997				32,545
U.S. Treasury and government agencies	7,250				61,839				99,020				25				168,134
Non-U.S. securities	17,466				2,396				6				121				19,989

Other taxable securities	1,631				1,224				428				122				3,405

Tax-exempt securities	937				5,051				2,267				3,917				12,172
Total debt securities carried at fair value	$	27,320			$	71,005			$	105,738			$	32,182			$	236,245
Fair value of HTM debt securities

Agency mortgage-backed securities	$	—			$	—			$	13			$	419,853			$	419,866




U.S. Treasury and government agencies	—				4,129				96,367				—				100,496


Other taxable securities	37				993				401				5,760				7,191


Total fair value of HTM debt securities	$	37			$	5,122			$	96,781			$	425,613			$	527,553

(1)The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security. The average yield considers the contractual coupon and the amortization of premiums and accretion of discounts, excluding the effect of related hedging derivatives.


						Bank of America 64

NOTE 5 Outstanding Loans and Leases and Allowance for Credit Losses

The following tables present total outstanding loans and leases and an aging analysis for the Consumer Real Estate, Credit Card and Other Consumer, and Commercial portfolio segments, by class of financing receivables, at September 30, 2022 and December 31, 2021.



	30-59 Days Past Due (1)			60-89 Days Past Due (1)			90 Days or More Past Due (1)			Total Past Due 30 Days or More			Total Current or Less Than 30 Days Past Due (1)			Loans Accounted for Under the Fair Value Option			Total Outstandings
(Dollars in millions)	September 30, 2022
Consumer real estate






Residential mortgage	$	905		$	235		$	1,014		$	2,154		$	226,908					$	229,062
Home equity	79			27			232			338			26,507						26,845
Credit card and other consumer
Credit card	393			262			547			1,202			86,094						87,296

Direct/Indirect consumer (2)	199			53			33			285			106,874						107,159
Other consumer	—			—			—			—			171						171
Total consumer	1,576			577			1,826			3,979			446,554						450,533
Consumer loans accounted for under the fair value option (3)																$	355		355
Total consumer loans and leases	1,576			577			1,826			3,979			446,554			355			450,888
Commercial

U.S. commercial	519			327			447			1,293			354,077						355,370
Non-U.S. commercial	48			67			228			343			122,692						123,035
Commercial real estate (4)	299			36			74			409			67,543						67,952
Commercial lease financing	28			7			20			55			12,901						12,956
U.S. small business commercial (5)	196			143			253			592			17,177						17,769
Total commercial	1,090			580			1,022			2,692			574,390						577,082
Commercial loans accounted for under the fair value option (3)																4,496			4,496
Total commercial loans and leases	1,090			580			1,022			2,692			574,390			4,496			581,578
Total loans and leases (6)	$	2,666		$	1,157		$	2,848		$	6,671		$	1,020,944		$	4,851		$	1,032,466
Percentage of outstandings	0.26		%	0.11		%	0.28		%	0.65		%	98.88		%	0.47		%	100.00		%

(1)Consumer real estate loans 30-59 days past due includes fully-insured loans of $173 million and nonperforming loans of $101 million. Consumer real estate loans 60-89 days past due includes fully-insured loans of $72 million and nonperforming loans of $98 million. Consumer real estate loans 90 days or more past due includes fully-insured loans of $427 million. Consumer real estate loans current or less than 30 days past due includes $1.7 billion, and direct/indirect consumer includes $29 million of nonperforming loans.

(2)Total outstandings primarily includes auto and specialty lending loans and leases of $50.7 billion, U.S. securities-based lending loans of $52.6 billion and non-U.S. consumer loans of $2.9 billion.

(3)Consumer loans accounted for under the fair value option includes residential mortgage loans of $74 million and home equity loans of $281 million. Commercial loans accounted for under the fair value option includes U.S. commercial loans of $2.4 billion and non-U.S. commercial loans of $2.1 billion. For more information, see Note 14 – Fair Value Measurements and Note 15 – Fair Value Option.

(4)Total outstandings includes U.S. commercial real estate loans of $63.9 billion and non-U.S. commercial real estate loans of $4.0 billion.

(5)Includes Paycheck Protection Program loans.

(6)Total outstandings includes loans and leases pledged as collateral of $13.3 billion. The Corporation also pledged $163.6 billion of loans with no related outstanding borrowings to secure potential borrowing capacity with the Federal Reserve Bank and Federal Home Loan Bank.


65 Bank of America



	30-59 Days Past Due (1)			60-89 Days Past Due (1)			90 Days or More Past Due (1)			Total Past Due 30 Days or More			Total Current or Less Than 30 Days Past Due (1)			Loans Accounted for Under the Fair Value Option			Total Outstandings
(Dollars in millions)	December 31, 2021
Consumer real estate






Residential mortgage	$	1,005		$	297		$	1,571		$	2,873		$	219,090					$	221,963
Home equity	123			69			369			561			27,374						27,935
Credit card and other consumer
Credit card	298			212			487			997			80,441						81,438

Direct/Indirect consumer (2)	147			52			18			217			103,343						103,560
Other consumer	—			—			—			—			190						190
Total consumer	1,573			630			2,445			4,648			430,438						435,086
Consumer loans accounted for under the fair value option (3)																$	618		618
Total consumer loans and leases	1,573			630			2,445			4,648			430,438			618			435,704
Commercial

U.S. commercial	815			308			396			1,519			324,417						325,936
Non-U.S. commercial	148			20			83			251			113,015						113,266
Commercial real estate (4)	115			34			285			434			62,575						63,009
Commercial lease financing	104			28			13			145			14,680						14,825
U.S. small business commercial (5)	129			259			89			477			18,706						19,183
Total commercial	1,311			649			866			2,826			533,393						536,219
Commercial loans accounted for under the fair value option (3)																7,201			7,201
Total commercial loans and leases	1,311			649			866			2,826			533,393			7,201			543,420


Total loans and leases (6)	$	2,884		$	1,279		$	3,311		$	7,474		$	963,831		$	7,819		$	979,124
Percentage of outstandings	0.29		%	0.13		%	0.34		%	0.76		%	98.44		%	0.80		%	100.00		%

(1)Consumer real estate loans 30-59 days past due includes fully-insured loans of $164 million and nonperforming loans of $118 million. Consumer real estate loans 60-89 days past due includes fully-insured loans of $89 million and nonperforming loans of $100 million. Consumer real estate loans 90 days or more past due includes fully-insured loans of $633 million. Consumer real estate loans current or less than 30 days past due includes $1.4 billion, and direct/indirect consumer includes $55 million of nonperforming loans.

(2)Total outstandings primarily includes auto and specialty lending loans and leases of $48.5 billion, U.S. securities-based lending loans of $51.1 billion and non-U.S. consumer loans of $3.0 billion.

(3)Consumer loans accounted for under the fair value option includes residential mortgage loans of $279 million and home equity loans of $339 million. Commercial loans accounted for under the fair value option includes U.S. commercial loans of $4.6 billion and non-U.S. commercial loans of $2.6 billion. For more information, see Note 14 – Fair Value Measurements and Note 15 – Fair Value Option.

(4)Total outstandings includes U.S. commercial real estate loans of $58.2 billion and non-U.S. commercial real estate loans of $4.8 billion.

(5)Includes Paycheck Protection Program loans.

(6)Total outstandings includes loans and leases pledged as collateral of $13.0 billion. The Corporation also pledged $146.6 billion of loans with no related outstanding borrowings to secure potential borrowing capacity with the Federal Reserve Bank and Federal Home Loan Bank.

The Corporation has entered into long-term credit protection agreements with FNMA and FHLMC on loans totaling $9.7 billion and $10.5 billion at September 30, 2022 and December 31, 2021, providing full credit protection on residential mortgage loans that become severely delinquent. All of these loans are individually insured, and therefore the Corporation does not record an allowance for credit losses related to these loans.

Nonperforming Loans and Leases

Commercial nonperforming loans decreased to $1.2 billion at September 30, 2022 from $1.6 billion at December 31, 2021. Consumer nonperforming loans decreased to $2.8 billion at September 30, 2022 from $3.0 billion at December 31, 2021 primarily due to decreases from consumer real estate loan

sales, partially offset by increases from loans with expired deferrals that were modified in TDRs during the first quarter of 2022.

The following table presents the Corporation’s nonperforming loans and leases, including nonperforming TDRs, and loans accruing past due 90 days or more at September 30, 2022 and December 31, 2021. Nonperforming loans held-for-sale (LHFS) are excluded from nonperforming loans and leases as they are recorded at either fair value or the lower of cost or fair value. For more information on the criteria for classification as nonperforming, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.


						Bank of America 66



Credit Quality


	Nonperforming Loans and Leases						Accruing Past Due 90 Days or More

(Dollars in millions)	September 30 2022			December 31 2021			September 30 2022			December 31 2021
Residential mortgage (1)	$	2,187		$	2,284		$	427		$	634
With no related allowance (2)	1,942			1,950			—			—
Home equity (1)	532			630			—			—
With no related allowance (2)	394			414			—			—
Credit Card	n/a			n/a			547			487
Direct/indirect consumer	41			75			27			11

Total consumer	2,760			2,989			1,001			1,132
U.S. commercial	640			825			300			171
Non-U.S. commercial	274			268			22			19
Commercial real estate	282			382			34			40
Commercial lease financing	11			80			12			8
U.S. small business commercial	16			23			252			87
Total commercial	1,223			1,578			620			325
Total nonperforming loans	$	3,983		$	4,567		$	1,621		$	1,457
Percentage of outstanding loans and leases	0.39		%	0.47		%	0.16		%	0.15		%

(1)Residential mortgage loans accruing past due 90 days or more are fully-insured loans. At September 30, 2022 and December 31, 2021 residential mortgage includes $321 million and $444 million of loans on which interest had been curtailed by the Federal Housing Administration (FHA), and therefore were no longer accruing interest, although principal was still insured, and $106 million and $190 million of loans on which interest was still accruing.

(2)Primarily relates to loans for which the estimated fair value of the underlying collateral less any costs to sell is greater than the amortized cost of the loans as of the reporting date.

n/a = not applicable

Credit Quality Indicators

The Corporation monitors credit quality within its Consumer Real Estate, Credit Card and Other Consumer, and Commercial portfolio segments based on primary credit quality indicators. For more information on the portfolio segments, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. Within the Consumer Real Estate portfolio segment, the primary credit quality indicators are refreshed loan-to-value (LTV) and refreshed Fair Isaac Corporation (FICO) score. Refreshed LTV measures the carrying value of the loan as a percentage of the value of the property securing the loan, refreshed quarterly. Home equity loans are evaluated using combined loan-to-value (CLTV), which measures the carrying value of the Corporation’s loan and available line of credit combined with any outstanding senior liens against the property as a percentage of the value of the property securing the loan, refreshed quarterly. FICO score measures the creditworthiness of the borrower based on the financial obligations of the borrower and the borrower’s credit history. FICO scores are typically refreshed quarterly or more frequently. Certain borrowers (e.g., borrowers that have had debts discharged in a bankruptcy proceeding) may not have their FICO scores updated.

FICO scores are also a primary credit quality indicator for the Credit Card and Other Consumer portfolio segment and the business card portfolio within U.S. small business commercial. Within the Commercial portfolio segment, loans are evaluated using the internal classifications of pass rated or reservable criticized as the primary credit quality indicators. The term reservable criticized refers to those commercial loans that are internally classified or listed by the Corporation as Special Mention, Substandard or Doubtful, which are asset quality categories defined by regulatory authorities. These assets have an elevated level of risk and may have a high probability of default or total loss. Pass rated refers to all loans not considered reservable criticized. In addition to these primary credit quality indicators, the Corporation uses other credit quality indicators for certain types of loans.

The following tables present certain credit quality indicators for the Corporation's Consumer Real Estate, Credit Card and Other Consumer, and Commercial portfolio segments by class of financing receivables and year of origination for term loan balances at September 30, 2022, including revolving loans that converted to term loans without an additional credit decision after origination or through a TDR.


67 Bank of America



Residential Mortgage – Credit Quality Indicators By Vintage

















			Term Loans by Origination Year
(Dollars in millions)	Total as of September 30, 2022		2022		2021		2020		2019		2018		Prior
Residential Mortgage
Refreshed LTV
Less than or equal to 90 percent	$	215,122	$	35,371	$	82,564	$	37,941	$	19,347	$	5,900	$	33,999
Greater than 90 percent but less than or equal to 100 percent	1,446		803		513		87		15		9		19
Greater than 100 percent	562		331		119		39		18		10		45
Fully-insured loans	11,932		511		3,737		3,173		977		165		3,369
Total Residential Mortgage	$	229,062	$	37,016	$	86,933	$	41,240	$	20,357	$	6,084	$	37,432

Residential Mortgage
Refreshed FICO score
Less than 620	$	2,054	$	317	$	489	$	343	$	108	$	86	$	711
Greater than or equal to 620 and less than 680	4,933		903		1,356		836		371		240		1,227
Greater than or equal to 680 and less than 740	24,594		4,303		8,441		4,372		2,159		812		4,507
Greater than or equal to 740	185,549		30,982		72,910		32,516		16,742		4,781		27,618
Fully-insured loans	11,932		511		3,737		3,173		977		165		3,369
Total Residential Mortgage	$	229,062	$	37,016	$	86,933	$	41,240	$	20,357	$	6,084	$	37,432



Home Equity - Credit Quality Indicators

	Total		Home Equity Loans and Reverse Mortgages (1)		Revolving Loans		Revolving Loans Converted to Term Loans
(Dollars in millions)	September 30, 2022
Home Equity
Refreshed LTV
Less than or equal to 90 percent	$	26,662	$	1,406	$	19,805	$	5,451
Greater than 90 percent but less than or equal to 100 percent	68		25		24		19
Greater than 100 percent	115		41		37		37
Total Home Equity	$	26,845	$	1,472	$	19,866	$	5,507

Home Equity
Refreshed FICO score
Less than 620	$	689	$	177	$	175	$	337
Greater than or equal to 620 and less than 680	1,210		167		475		568
Greater than or equal to 680 and less than 740	4,228		355		2,550		1,323
Greater than or equal to 740	20,718		773		16,666		3,279
Total Home Equity	$	26,845	$	1,472	$	19,866	$	5,507

(1)Includes reverse mortgages of $1.2 billion and home equity loans of $450 million, which are no longer originated.



Credit Card and Direct/Indirect Consumer – Credit Quality Indicators By Vintage










	Direct/Indirect
					Term Loans by Origination Year												Credit Card
(Dollars in millions)	Total Direct/ Indirect as of September 30, 2022		Revolving Loans		2022		2021		2020		2019		2018		Prior		Total Credit Card as of September 30, 2022		Revolving Loans		Revolving Loans Converted to Term Loans (1)
Refreshed FICO score
Less than 620	$	730	$	12	$	140	$	262	$	108	$	90	$	48	$	70	$	3,442	$	3,277	$	165
Greater than or equal to 620 and less than 680	2,381		12		832		867		293		177		81		119		10,134		9,950		184
Greater than or equal to 680 and less than 740	8,723		53		3,290		3,036		1,116		619		254		355		30,181		30,012		169
Greater than or equal to 740	38,988		86		12,944		12,425		6,354		3,675		1,505		1,999		43,539		43,496		43
Other internal credit metrics (2,3)	56,337		55,534		168		292		79		56		39		169		—		—		—
Total credit card and other consumer	$	107,159	$	55,697	$	17,374	$	16,882	$	7,950	$	4,617	$	1,927	$	2,712	$	87,296	$	86,735	$	561

(1)Represents TDRs that were modified into term loans.

(2)Other internal credit metrics may include delinquency status, geography or other factors.

(3)Direct/indirect consumer includes $55.5 billion of securities-based lending, which is typically supported by highly liquid collateral with market value greater than or equal to the outstanding loan balance and therefore has minimal credit risk at September 30, 2022.


						Bank of America 68



Commercial – Credit Quality Indicators By Vintage (1)
			Term Loans
			Amortized Cost Basis by Origination Year

(Dollars in millions)	Total as of September 30, 2022		2022		2021		2020		2019		2018		Prior		Revolving Loans
U.S. Commercial
Risk ratings
Pass rated	$	346,130	$	51,059	$	42,706	$	19,446	$	17,967	$	9,431	$	31,503	$	174,018
Reservable criticized	9,240		176		636		665		831		1,320		918		4,694
Total U.S. Commercial	$	355,370	$	51,235	$	43,342	$	20,111	$	18,798	$	10,751	$	32,421	$	178,712

Non-U.S. Commercial
Risk ratings
Pass rated	$	120,431	$	19,045	$	21,046	$	5,827	$	4,393	$	2,964	$	5,185	$	61,971
Reservable criticized	2,604		60		387		241		315		194		483		924
Total Non-U.S. Commercial	$	123,035	$	19,105	$	21,433	$	6,068	$	4,708	$	3,158	$	5,668	$	62,895

Commercial Real Estate
Risk ratings
Pass rated	$	63,433	$	11,573	$	13,619	$	6,313	$	9,474	$	5,080	$	9,066	$	8,308
Reservable criticized	4,519		9		366		567		1,513		888		1,065		111
Total Commercial Real Estate	$	67,952	$	11,582	$	13,985	$	6,880	$	10,987	$	5,968	$	10,131	$	8,419

Commercial Lease Financing
Risk ratings
Pass rated	$	12,720	$	1,583	$	2,699	$	2,076	$	2,048	$	1,404	$	2,910	$	—
Reservable criticized	236		5		23		14		76		47		71		—
Total Commercial Lease Financing	$	12,956	$	1,588	$	2,722	$	2,090	$	2,124	$	1,451	$	2,981	$	—

U.S. Small Business Commercial (2)
Risk ratings
Pass rated	$	8,910	$	1,323	$	2,174	$	1,688	$	907	$	657	$	2,030	$	131
Reservable criticized	313		3		21		41		75		53		117		3
Total U.S. Small Business Commercial	$	9,223	$	1,326	$	2,195	$	1,729	$	982	$	710	$	2,147	$	134
Total	$	568,536	$	84,836	$	83,677	$	36,878	$	37,599	$	22,038	$	53,348	$	250,160

(1) Excludes $4.5 billion of loans accounted for under the fair value option at September 30, 2022.

(2) Excludes U.S. Small Business Card loans of $8.5 billion. Refreshed FICO scores for this portfolio are $244 million for less than 620; $786 million for greater than or equal to 620 and less than 680; $2.3 billion for greater than or equal to 680 and less than 740; and $5.2 billion greater than or equal to 740.


69 Bank of America

The following tables present certain credit quality indicators for the Corporation's Consumer Real Estate, Credit Card and Other Consumer, and Commercial portfolio segments by class of financing receivables and year of origination for term loan balances at December 31, 2021, including revolving loans that converted to term loans without an additional credit decision after origination or through a TDR.



Residential Mortgage – Credit Quality Indicators By Vintage




































			Term Loans by Origination Year
(Dollars in millions)	Total as of December 31, 2021		2021		2020		2019		2018		2017		Prior
Residential Mortgage
Refreshed LTV
Less than or equal to 90 percent	$	206,562	$	87,051	$	43,597	$	23,205	$	7,392	$	10,956	$	34,361
Greater than 90 percent but less than or equal to 100 percent	1,938		1,401		331		81		17		14		94
Greater than 100 percent	759		520		112		29		11		12		75
Fully-insured loans	12,704		3,845		3,486		1,150		216		235		3,772
Total Residential Mortgage	$	221,963	$	92,817	$	47,526	$	24,465	$	7,636	$	11,217	$	38,302

Residential Mortgage
Refreshed FICO score
Less than 620	$	2,451	$	636	$	442	$	140	$	120	$	104	$	1,009
Greater than or equal to 620 and less than 680	5,199		1,511		1,123		477		294		307		1,487
Greater than or equal to 680 and less than 740	24,532		8,822		5,454		2,785		1,057		1,434		4,980
Greater than or equal to 740	177,077		78,003		37,021		19,913		5,949		9,137		27,054
Fully-insured loans	12,704		3,845		3,486		1,150		216		235		3,772
Total Residential Mortgage	$	221,963	$	92,817	$	47,526	$	24,465	$	7,636	$	11,217	$	38,302



Home Equity - Credit Quality Indicators

		Total		Home Equity Loans and Reverse Mortgages (1)		Revolving Loans		Revolving Loans Converted to Term Loans
(Dollars in millions)	December 31, 2021
Home Equity
Refreshed LTV
Less than or equal to 90 percent		$	27,594	$	1,773	$	19,095	$	6,726
Greater than 90 percent but less than or equal to 100 percent		130		55		34		41
Greater than 100 percent		211		85		54		72
Total Home Equity		$	27,935	$	1,913	$	19,183	$	6,839

Home Equity
Refreshed FICO score
Less than 620		$	893	$	244	$	209	$	440
Greater than or equal to 620 and less than 680		1,434		222		495		717
Greater than or equal to 680 and less than 740		4,625		468		2,493		1,664
Greater than or equal to 740		20,983		979		15,986		4,018
Total Home Equity		$	27,935	$	1,913	$	19,183	$	6,839

(1)Includes reverse mortgages of $1.3 billion and home equity loans of $582 million, which are no longer originated.


						Bank of America 70



Credit Card and Direct/Indirect Consumer – Credit Quality Indicators By Vintage





















	Direct/Indirect
					Term Loans by Origination Year												Credit Card
(Dollars in millions)	Total Direct/Indirect as of December 31, 2021		Revolving Loans		2021		2020		2019		2018		2017		Prior		Total Credit Card as of December 31, 2021		Revolving Loans		Revolving Loans Converted to Term Loans (1)
Refreshed FICO score
Less than 620	$	685	$	13	$	179	$	115	$	129	$	79	$	101	$	69	$	3,017	$	2,857	$	160
Greater than or equal to 620 and less than 680	2,313		14		1,170		414		313		148		134		120		9,264		9,064		200
Greater than or equal to 680 and less than 740	8,530		60		4,552		1,659		1,126		466		314		353		28,347		28,155		192
Greater than or equal to 740	37,164		94		15,876		8,642		6,465		2,679		1,573		1,835		40,810		40,762		48
Other internal credit metrics (2, 3)	54,868		54,173		283		53		77		75		63		144		—		—		—
Total credit card and other consumer	$	103,560	$	54,354	$	22,060	$	10,883	$	8,110	$	3,447	$	2,185	$	2,521	$	81,438	$	80,838	$	600

(1)Represents TDRs that were modified into term loans.

(2)Other internal credit metrics may include delinquency status, geography or other factors.

(3)Direct/indirect consumer includes $54.2 billion of securities-based lending, which is typically supported by highly liquid collateral with market value greater than or equal to the outstanding loan balance and therefore has minimal credit risk at December 31, 2021.



Commercial – Credit Quality Indicators By Vintage (1)
			Term Loans
			Amortized Cost Basis by Origination Year

(Dollars in millions)	Total as of December 31, 2021		2021		2020		2019		2018		2017		Prior		Revolving Loans
U.S. Commercial
Risk ratings
Pass rated	$	315,618	$	55,862	$	25,012	$	23,373	$	11,439	$	10,426	$	23,877	$	165,629
Reservable criticized	10,318		598		687		1,308		1,615		514		1,072		4,524
Total U.S. Commercial	$	325,936	$	56,460	$	25,699	$	24,681	$	13,054	$	10,940	$	24,949	$	170,153

Non-U.S. Commercial
Risk ratings
Pass rated	$	110,787	$	25,749	$	8,703	$	7,133	$	4,521	$	3,016	$	3,062	$	58,603
Reservable criticized	2,479		223		324		487		275		257		216		697
Total Non-U.S. Commercial	$	113,266	$	25,972	$	9,027	$	7,620	$	4,796	$	3,273	$	3,278	$	59,300

Commercial Real Estate
Risk ratings
Pass rated	$	55,511	$	14,402	$	7,244	$	11,237	$	5,710	$	3,326	$	6,831	$	6,761
Reservable criticized	7,498		277		990		2,237		1,710		596		1,464		224
Total Commercial Real Estate	$	63,009	$	14,679	$	8,234	$	13,474	$	7,420	$	3,922	$	8,295	$	6,985

Commercial Lease Financing
Risk ratings
Pass rated	$	14,438	$	3,280	$	2,485	$	2,427	$	2,030	$	1,741	$	2,475	$	—
Reservable criticized	387		25		18		91		67		48		138		—
Total Commercial Lease Financing	$	14,825	$	3,305	$	2,503	$	2,518	$	2,097	$	1,789	$	2,613	$	—

U.S. Small Business Commercial (2)
Risk ratings
Pass rated	$	11,618	$	4,257	$	2,922	$	1,059	$	763	$	623	$	1,853	$	141
Reservable criticized	433		12		29		91		87		64		147		3
Total U.S. Small Business Commercial	$	12,051	$	4,269	$	2,951	$	1,150	$	850	$	687	$	2,000	$	144
Total	$	529,087	$	104,685	$	48,414	$	49,443	$	28,217	$	20,611	$	41,135	$	236,582

(1) Excludes $7.2 billion of loans accounted for under the fair value option at December 31, 2021.

(2) Excludes U.S. Small Business Card loans of $7.1 billion. Refreshed FICO scores for this portfolio are $192 million for less than 620; $618 million for greater than or equal to 620 and less than 680; $1.9 billion for greater than or equal to 680 and less than 740; and $4.4 billion greater than or equal to 740.


71 Bank of America

During the nine months ended September 30, 2022, commercial credit quality showed signs of stabilization. Commercial reservable criticized utilized exposure decreased to $17.7 billion at September 30, 2022 from $22.4 billion (to 2.88 percent from 3.91 percent of total commercial reservable utilized exposure) at December 31, 2021, which was broad-based across industries.

Troubled Debt Restructurings

Consumer Real Estate

Modifications of consumer real estate loans are classified as TDRs when the borrower is experiencing financial difficulties and a concession has been granted. Concessions may include reductions in interest rates, capitalization of past due amounts, principal and/or interest forbearance, payment extensions, principal and/or interest forgiveness, or combinations thereof. Prior to permanently modifying a loan, the Corporation may enter into trial modifications with certain borrowers under both government and proprietary programs. Trial modifications generally represent a three- to four-month period during which the borrower makes monthly payments under the anticipated modified payment terms. Upon successful completion of the trial period, the Corporation and the borrower enter into a permanent modification. Binding trial modifications are classified as TDRs when the trial offer is made and continue to be classified as TDRs regardless of whether the borrower enters into a permanent modification.

Consumer real estate loans of $224 million that have been discharged in Chapter 7 bankruptcy with no change in

repayment terms and not reaffirmed by the borrower were included in TDRs at September 30, 2022, of which $56 million were classified as nonperforming and $38 million were loans fully insured.

At September 30, 2022 and December 31, 2021, remaining commitments to lend additional funds to debtors whose terms have been modified in a consumer real estate TDR were not significant. Consumer real estate foreclosed properties totaled $125 million and $101 million at September 30, 2022 and December 31, 2021. The carrying value of consumer real estate loans, including fully-insured loans, for which formal foreclosure proceedings were in process at September 30, 2022 and December 31, 2021 was $946 million and $1.1 billion. During the nine months ended September 30, 2022 and 2021, the Corporation reclassified $151 million and $33 million of consumer real estate loans to foreclosed properties or, for properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans), to other assets. The reclassifications represent non-cash investing activities and, accordingly, are not reflected in the Consolidated Statement of Cash Flows.

The table below presents the September 30, 2022 and 2021 unpaid principal balance, carrying value, and average pre- and post-modification interest rates of consumer real estate loans that were modified in TDRs during the three and nine months ended September 30, 2022 and 2021. The following Consumer Real Estate portfolio segment tables include loans that were initially classified as TDRs during the period and also loans that had previously been classified as TDRs and were modified again during the period.



Consumer Real Estate – TDRs Entered into During the Three and Nine Months Ended September 30, 2022 and 2021

	Unpaid Principal Balance		Carrying Value		Pre-Modification Interest Rate		Post-Modification Interest Rate (1)		Unpaid Principal Balance		Carrying Value		Pre-Modification Interest Rate		Post-Modification Interest Rate (1)
(Dollars in millions)	Three Months Ended September 30, 2022								Nine Months Ended September 30, 2022

Residential mortgage	$	420	$	379	3.35	%	3.34	%	$	1,036	$	929	3.50	%	3.36	%
Home equity	99		86		4.58		4.83		216		176		4.20		4.31
Total	$	519	$	465	3.58		3.62		$	1,252	$	1,105	3.62		3.52

	Three Months Ended September 30, 2021								Nine Months Ended September 30, 2021

Residential mortgage	$	451	$	399	3.52	%	3.49	%	$	832	$	742	3.49	%	3.44	%
Home equity	61		45		3.51		3.51		97		73		3.56		3.58
Total	$	512	$	444	3.52		3.49		$	929	$	815	3.50		3.46

(1)The post-modification interest rate reflects the interest rate applicable only to permanently completed modifications, which exclude loans that are in a trial modification period.

The table below presents the September 30, 2022 and 2021 carrying value for consumer real estate loans that were modified in a TDR during the three and nine months ended September 30, 2022 and 2021, by type of modification.



Consumer Real Estate – Modification Programs

	TDRs Entered into During the
	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Modifications under government programs	$	—	$	—	$	—	$	4




Modifications under proprietary programs	420		417		999		740





Loans discharged in Chapter 7 bankruptcy (1)	4		9		12		29
Trial modifications	41		18		94		42
Total modifications	$	465	$	444	$	1,105	$	815

(1)Includes loans discharged in Chapter 7 bankruptcy with no change in repayment terms that are classified as TDRs.

The following table presents the carrying value of consumer real estate loans that entered into payment default during the three and nine months ended September 30, 2022 and 2021 that were modified in a TDR during the 12 months preceding payment default. A payment default for consumer real estate TDRs is recognized when a borrower has missed three monthly payments (not necessarily consecutively) since modification.


						Bank of America 72



Consumer Real Estate – TDRs Entering Payment Default that were Modified During the Preceding 12 Months

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Modifications under government programs	$	—	$	1	$	—	$	3
Modifications under proprietary programs	63		35		135		80
Loans discharged in Chapter 7 bankruptcy (1)	1		1		2		6
Trial modifications (2)	8		3		19		15
Total modifications	$	72	$	40	$	156	$	104

(1)Includes loans discharged in Chapter 7 bankruptcy with no change in repayment terms that are classified as TDRs.

(2)Includes trial modification offers to which the customer did not respond.

Credit Card and Other Consumer

The Corporation seeks to assist customers who are experiencing financial difficulty by modifying loans while ensuring compliance with federal and local laws and guidelines. Credit card and other consumer loan modifications generally involve reducing the interest rate on the account, placing the customer on a fixed payment plan not exceeding 60 months and canceling the customer’s available line of credit, all of which are considered TDRs. The Corporation makes loan modifications directly with borrowers for debt held only by the Corporation (internal programs). Additionally, the Corporation makes loan modifications for borrowers working with third-party renegotiation

agencies that provide solutions to customers’ entire unsecured debt structures (external programs). The Corporation classifies other secured consumer loans that have been discharged in Chapter 7 bankruptcy as TDRs, which are written down to collateral value and placed on nonaccrual status no later than the time of discharge.

The table below provides information on the Corporation’s Credit Card and Other Consumer TDR portfolio including the September 30, 2022 and 2021 unpaid principal balance, carrying value, and average pre- and post-modification interest rates of loans that were modified in TDRs during the three and nine months ended September 30, 2022 and 2021.



Credit Card and Other Consumer – TDRs Entered into During the Three and Nine Months Ended September 30, 2022 and 2021

	Unpaid Principal Balance		Carrying Value (1)		Pre-Modification Interest Rate		Post-Modification Interest Rate		Unpaid Principal Balance		Carrying Value (1)		Pre-Modification Interest Rate		Post-Modification Interest Rate
(Dollars in millions)	Three Months Ended September 30, 2022								Nine Months Ended September 30, 2022

Credit card	$	86	$	90	21.17	%	3.80	%	$	198	$	206	21.02	%	3.82	%

Direct/Indirect consumer	2		2		5.65		5.65		5		4		5.48		5.48

Total	$	88	$	92	20.87		3.83		$	203	$	210	20.69		3.86

	Three Months Ended September 30, 2021								Nine Months Ended September 30, 2021
Credit card	$	66	$	71	18.48	%	3.71	%	$	189	$	200	18.47	%	4.26	%

Direct/Indirect consumer	4		2		5.20		5.20		13		8		5.53		5.53

Total	$	70	$	73	18.06		3.76		$	202	$	208	17.99		4.31

(1)Includes accrued interest and fees.

The table below presents the September 30, 2022 and 2021 carrying value for Credit Card and Other Consumer loans that were modified in a TDR during the three and nine months ended September 30, 2022 and 2021 by program type.



Credit Card and Other Consumer – TDRs by Program Type (1)




	TDRs Entered into During the Three Months Ended September 30				TDRs Entered into During the Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Internal programs	$	77	$	60	$	174	$	166
External programs	13		11		32		37
Other	2		2		4		5
Total	$	92	$	73	$	210	$	208

(1) Includes accrued interest and fees.

Credit card and other consumer loans are deemed to be in payment default during the quarter in which a borrower misses the second of two consecutive payments. Payment defaults are one of the factors considered when projecting future cash flows in the calculation of the allowance for loan and lease losses for credit card and other consumer. Based on historical experience, the Corporation estimates that 12 percent of new credit card TDRs and 20 percent of new direct/indirect consumer TDRs may be in payment default within 12 months after modification.

Commercial Loans

Modifications of loans to commercial borrowers that are experiencing financial difficulty are designed to reduce the Corporation’s loss exposure while providing the borrower with an

opportunity to work through financial difficulties, often to avoid foreclosure or bankruptcy. Each modification is unique and reflects the individual circumstances of the borrower. Modifications that result in a TDR may include extensions of maturity at a concessionary (below market) rate of interest, payment forbearances or other actions designed to benefit the borrower while mitigating the Corporation’s risk exposure. Reductions in interest rates are rare. Instead, the interest rates are typically increased, although the increased rate may not represent a market rate of interest. Infrequently, concessions may also include principal forgiveness in connection with foreclosure, short sale or other settlement agreements leading to termination or sale of the loan.


73 Bank of America

At the time of restructuring, the loans are remeasured to reflect the impact, if any, on projected cash flows resulting from the modified terms. If a portion of the loan is deemed to be uncollectible, a charge-off may be recorded at the time of restructuring. Alternatively, a charge-off may have already been recorded in a previous period such that no charge-off is required at the time of modification.

During the three and nine months ended September 30, 2022, the carrying value of the Corporation’s commercial loans that were modified as TDRs was $745 million and $1.7 billion compared to $213 million and $1.1 billion for the same periods in 2021. At September 30, 2022 and December 31, 2021, the Corporation had commitments to lend $347 million and $283 million to commercial borrowers whose loans were classified as TDRs. The balance of commercial TDRs in payment default was $117 million and $262 million at September 30, 2022 and December 31, 2021.

Loans Held-for-sale

The Corporation had LHFS of $7.6 billion and $15.6 billion at September 30, 2022 and December 31, 2021. Cash and non-cash proceeds from sales and paydowns of loans originally classified as LHFS were $27.8 billion and $27.0 billion for the nine months ended September 30, 2022 and 2021. Cash used for originations and purchases of LHFS totaled $18.7 billion and $27.0 billion for the nine months ended September 30, 2022 and 2021. Also included were non-cash net transfers into LHFS of $2.1 billion for the nine months ended September 30, 2022, primarily driven by the transfer of a $1.6 billion affinity card loan portfolio to held for sale that was sold in October 2022, and $804 million for the nine months ended September 30, 2021.

Accrued Interest Receivable

Accrued interest receivable for loans and leases and loans held-for-sale at September 30, 2022 and December 31, 2021 was $3.0 billion and $2.2 billion and is reported in customer and other receivables on the Consolidated Balance Sheet.

Outstanding credit card loan balances include unpaid principal, interest and fees. Credit card loans are not classified as nonperforming but are charged off no later than the end of the month in which the account becomes 180 days past due, within 60 days after receipt of notification of death or bankruptcy, or upon confirmation of fraud. During the three and nine months ended September 30, 2022, the Corporation reversed $81 million and $241 million of interest and fee income against the income statement line item in which it was originally recorded upon charge-off of the principal balance of the loan compared to $87 million and $369 million for the same periods in 2021.

For the outstanding residential mortgage, home equity, direct/indirect consumer and commercial loan balances classified as nonperforming during the three and nine months ended September 30, 2022 and 2021, interest and fee income reversed at the time the loans were classified as nonperforming was not significant. For more information on the Corporation's nonperforming loan policies, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Allowance for Credit Losses

The allowance for credit losses is estimated using quantitative and qualitative methods that consider a variety of factors, such as historical loss experience, the current credit quality of the portfolio and an economic outlook over the life of the loan. Qualitative reserves cover losses that are expected but, in the

Corporation's assessment, may not be adequately reflected in the quantitative methods or the economic assumptions. The Corporation incorporates forward-looking information through the use of several macroeconomic scenarios in determining the weighted economic outlook over the forecasted life of the assets. These scenarios include key macroeconomic variables such as gross domestic product, unemployment rate, real estate prices and corporate bond spreads. The scenarios that are chosen each quarter and the weighting given to each scenario depend on a variety of factors including recent economic events, leading economic indicators, internal and third-party economist views, and industry trends. For more information on the Corporation's credit loss accounting policies including the allowance for credit losses, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

The September 30, 2022 estimate for allowance for credit losses was based on various economic outlooks that included a baseline scenario derived from consensus estimates, a moderate recession scenario, a downside scenario to account for persistent inflation and interest rates at levels above what is factored into the baseline, and a tail risk scenario. In addition, an upside scenario considers the potential for improvement in the consensus outlooks. The weighted economic outlook assumes that the U.S. average unemployment rate will be above five percent in the fourth quarter of 2023 and fall just below five percent by the end of 2024. Additionally, in this economic outlook, U.S. gross domestic product is forecasted to grow at 0.2 percent and 1.5 percent year-over-year in the fourth quarters of 2023 and 2024. While asset quality continues to improve and the pandemic appears to have largely dissipated, uncertainty remains regarding broader economic impacts as a result of inflationary pressures, rising rates and the current geopolitical situation and could lead to adverse impacts to credit quality metrics in future periods. As such, the Corporation has factored the aforementioned uncertainties into its allowance for credit losses.

The allowance for credit losses at September 30, 2022 was $13.8 billion, a decrease of $26 million compared to December 31, 2021. The decrease in the allowance for credit losses was primarily driven by asset quality improvement and reduced pandemic uncertainties, partially offset by reserve builds related to loan growth, a dampening macroeconomic outlook and Russian exposure. The change in the allowance for credit losses was comprised of a net decrease of $85 million in the allowance for loan and lease losses and a $59 million increase in the reserve for unfunded lending commitments. The decrease in the allowance for credit losses was attributed to $191 million in the consumer real estate portfolio, partially offset by an increase of $20 million in the credit card and other consumer portfolio, and an increase of $145 million in the commercial portfolio. The provision for credit losses increased $1.5 billion to an expense of $898 million, and $5.6 billion to an expense of $1.5 billion for the three and nine months ended September 30, 2022 compared to the same periods in 2021. The provision for credit losses for the three months ended September 30, 2022 was primarily driven by loan growth and a dampening macroeconomic outlook, and the nine-month period was driven by the same factors as well as a reserve build related to Russian exposure, partially offset by asset quality improvement and reduced pandemic uncertainties. For the same periods in the prior year, the benefit in the provision for credit losses was due to an improved macroeconomic outlook.


						Bank of America 74

Outstanding loans and leases excluding loans accounted for under the fair value option increased $56.3 billion during the nine months ended September 30, 2022 driven by commercial loans, which increased $40.9 billion, driven by broad-based

growth, and consumer loans, which increased $15.4 billion, primarily driven by residential mortgage and credit card.

The changes in the allowance for credit losses, including net charge-offs and provision for loan and lease losses, are detailed in the table below.



	Consumer Real Estate		Credit Card and Other Consumer		Commercial		Total
(Dollars in millions)	Three Months Ended September 30, 2022
Allowance for loan and lease losses, July 1	$	396	$	6,216	$	5,361	$	11,973
Loans and leases charged off	(13)		(696)		(100)		(809)
Recoveries of loans and leases previously charged off	34		216		39		289
Net charge-offs	21		(480)		(61)		(520)

Provision for loan and lease losses	(37)		760		122		845
Other	4		—		—		4
Allowance for loan and lease losses, September 30	384		6,496		5,422		12,302
Reserve for unfunded lending commitments, July 1	79		—		1,382		1,461
Provision for unfunded lending commitments	(1)		—		54		53
Other	—		—		1		1
Reserve for unfunded lending commitments, September 30	78		—		1,437		1,515
Allowance for credit losses, September 30	$	462	$	6,496	$	6,859	$	13,817

	Three Months Ended September 30, 2021
Allowance for loan and lease losses, July 1	$	597	$	6,835	$	6,663	$	14,095
Loans and leases charged off	(15)		(626)		(165)		(806)
Recoveries of loans and leases previously charged off	56		256		31		343
Net charge-offs	41		(370)		(134)		(463)

Provision for loan and lease losses	(85)		175		(565)		(475)
Other	2		(1)		(3)		(2)
Allowance for loan and lease losses, September 30	555		6,639		5,961		13,155


Reserve for unfunded lending commitments, July 1	107		—		1,580		1,687
Provision for unfunded lending commitments	(9)		—		(140)		(149)

Reserve for unfunded lending commitments, September 30	98		—		1,440		1,538
Allowance for credit losses, September 30	$	653	$	6,639	$	7,401	$	14,693

(Dollars in millions)	Nine Months Ended September 30, 2022
Allowance for loan and lease losses, January 1	$	557	$	6,476	$	5,354	$	12,387
Loans and leases charged off	(196)		(2,007)		(284)		(2,487)
Recoveries of loans and leases previously charged off	195		684		125		1,004
Net charge-offs	(1)		(1,323)		(159)		(1,483)
Provision for loan and lease losses	(179)		1,344		229		1,394
Other	7		(1)		(2)		4
Allowance for loan and lease losses, September 30	384		6,496		5,422		12,302
Reserve for unfunded lending commitments, January 1	96		—		1,360		1,456
Provision for unfunded lending commitments	(18)		—		75		57
Other	—		—		2		2
Reserve for unfunded lending commitments, September 30	78		—		1,437		1,515
Allowance for credit losses, September 30	$	462	$	6,496	$	6,859	$	13,817

	Nine Months Ended September 30, 2021
Allowance for loan and lease losses, January 1	$	858	$	9,213	$	8,731	$	18,802
Loans and leases charged off	(60)		(2,402)		(591)		(3,053)
Recoveries of loans and leases previously charged off	170		757		245		1,172
Net charge-offs	110		(1,645)		(346)		(1,881)
Provision for loan and lease losses	(414)		(929)		(2,423)		(3,766)
Other	1		—		(1)		—
Allowance for loan and lease losses, September 30	555		6,639		5,961		13,155
Reserve for unfunded lending commitments, January 1	137		—		1,741		1,878
Provision for unfunded lending commitments	(39)		—		(300)		(339)
Other	—		—		(1)		(1)
Reserve for unfunded lending commitments, September 30	98		—		1,440		1,538
Allowance for credit losses, September 30	$	653	$	6,639	$	7,401	$	14,693


75 Bank of America

NOTE 6 Securitizations and Other Variable Interest Entities

The Corporation utilizes VIEs in the ordinary course of business to support its own and its customers’ financing and investing needs. The tables in this Note present the assets and liabilities of consolidated and unconsolidated VIEs at September 30, 2022 and December 31, 2021 in situations where the Corporation has continuing involvement with transferred assets or if the Corporation otherwise has a variable interest in the VIE. The tables also present the Corporation’s maximum loss exposure at September 30, 2022 and December 31, 2021 resulting from its involvement with consolidated VIEs and unconsolidated VIEs in which the Corporation holds a variable interest. For more information on the Corporation’s use of VIEs and related maximum loss exposure, see Note 1 – Summary of Significant Accounting Principles and Note 6 – Securitizations and Other Variable Interest Entities to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

The Corporation invests in ABS issued by third-party VIEs with which it has no other form of involvement and enters into certain commercial lending arrangements that may also incorporate the use of VIEs, for example to hold collateral.

These securities and loans are included in Note 4 – Securities or Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses. In addition, the Corporation has used VIEs in connection with its funding activities.

The Corporation did not provide financial support to consolidated or unconsolidated VIEs during the three and nine months ended September 30, 2022 or the year ended December 31, 2021 that it was not previously contractually required to provide, nor does it intend to do so.

The Corporation had liquidity commitments, including written put options and collateral value guarantees, with certain unconsolidated VIEs of $908 million and $968 million at September 30, 2022 and December 31, 2021.

First-lien Mortgage Securitizations

As part of its mortgage banking activities, the Corporation securitizes a portion of the first-lien residential mortgage loans it originates or purchases from third parties. Except as described in Note 10 – Commitments and Contingencies, the Corporation does not provide guarantees or recourse to the securitization trusts other than standard representations and warranties.

The table below summarizes select information related to first-lien mortgage securitizations for the three and nine months ended September 30, 2022 and 2021.



First-lien Mortgage Securitizations

	Residential Mortgage - Agency								Commercial Mortgage
	Three Months Ended September 30				Nine Months Ended September 30				Three Months Ended September 30				Nine Months Ended September 30

(Dollars in millions)	2022		2021		2022		2021		2022		2021		2022		2021
Proceeds from loan sales (1)	$	3,259	$	2,153	$	7,000	$	5,047	$	779	$	3,122	$	5,194	$	5,961
Gains on securitizations (2)	—		3		8		8		13		41		39		105
Repurchases from securitization trusts (3)	21		156		46		512		—		—		—		—

(1)The Corporation transfers residential mortgage loans to securitizations sponsored primarily by the government-sponsored enterprises or Government National Mortgage Association (GNMA) in the normal course of business and primarily receives residential mortgage-backed securities in exchange. Substantially all of these securities are classified as Level 2 within the fair value hierarchy and are typically sold shortly after receipt.

(2)A majority of the first-lien residential mortgage loans securitized are initially classified as LHFS and accounted for under the fair value option. Gains recognized on these LHFS prior to securitization, which totaled $5 million and $35 million net of hedges, during the three and nine months ended September 30, 2022 and compared to $24 million and $97 million for the same periods in 2021, are not included in the table above.

(3)The Corporation may have the option to repurchase delinquent loans out of securitization trusts, which reduces the amount of servicing advances it is required to make. The Corporation may also repurchase loans from securitization trusts to perform modifications. Repurchased loans include FHA-insured mortgages collateralizing GNMA securities.

The Corporation recognizes consumer mortgage servicing rights (MSRs) from the sale or securitization of consumer real estate loans. The unpaid principal balance of loans serviced for investors, including residential mortgage and home equity loans, totaled $102.6 billion and $129.6 billion at September 30, 2022 and 2021. Servicing fee and ancillary fee income on serviced loans was $71 million and $215 million during the three and nine months ended September 30, 2022 compared to $101 million and $318 million for the same periods in 2021. Servicing advances on serviced loans, including loans serviced for others and loans held for investment, were $1.6 billion and $2.0 billion at September 30, 2022 and December 31, 2021.

For more information on MSRs, see Note 14 – Fair Value Measurements.

During the three and nine months ended September 30, 2022, the Corporation deconsolidated agency residential mortgage securitization trusts with total assets of $22 million and $585 million, with no significant deconsolidations during the three and nine months ended September 30, 2021.

The following table summarizes select information related to first-lien mortgage securitization trusts in which the Corporation held a variable interest at September 30, 2022 and December 31, 2021.


						Bank of America 76



First-lien Mortgage VIEs

	Residential Mortgage
					Non-agency
	Agency				Prime				Subprime				Alt-A				Commercial Mortgage

(Dollars in millions)	Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021
Unconsolidated VIEs
Maximum loss exposure (1)	$	9,465	$	11,600	$	108	$	121	$	757	$	908	$	12	$	14	$	1,560	$	1,445
On-balance sheet assets
Senior securities:
Trading account assets	$	347	$	175	$	3	$	8	$	28	$	44	$	10	$	12	$	58	$	21
Debt securities carried at fair value	3,142		5,009		—		—		430		537		—		—		—		—
Held-to-maturity securities	5,976		6,416		—		—		—		—		—		—		1,268		1,157
All other assets	—		—		3		3		25		29		2		2		102		93
Total retained positions	$	9,465	$	11,600	$	6	$	11	$	483	$	610	$	12	$	14	$	1,428	$	1,271
Principal balance outstanding (2)	$	83,659	$	93,142	$	4,123	$	4,710	$	5,110	$	6,179	$	11,856	$	13,627	$	83,475	$	85,540

Consolidated VIEs
Maximum loss exposure (1)	$	1,961	$	1,644	$	—	$	49	$	83	$	—	$	—	$	—	$	—	$	—
On-balance sheet assets
Trading account assets	$	1,961	$	1,644	$	—	$	—	$	83	$	—	$	—	$	—	$	—	$	—
Loans and leases, net	—		—		—		58		—		—		—		—		—		—



Total assets	$	1,961	$	1,644	$	—	$	58	$	83	$	—	$	—	$	—	$	—	$	—




Total liabilities	$	—	$	—	$	—	$	9	$	—	$	—	$	—	$	—	$	—	$	—

(1)Maximum loss exposure includes obligations under loss-sharing reinsurance and other arrangements for non-agency residential mortgage and commercial mortgage securitizations, but excludes the reserve for representations and warranties obligations and corporate guarantees and also excludes servicing advances and other servicing rights and obligations. For more information, see Note 10 – Commitments and Contingencies and Note 14 – Fair Value Measurements.

(2)Principal balance outstanding includes loans where the Corporation was the transferor to securitization VIEs with which it has continuing involvement, which may include servicing the loans.

Other Asset-backed Securitizations

The table below summarizes select information related to home equity, credit card and other asset-backed VIEs in which the Corporation held a variable interest at September 30, 2022 and December 31, 2021.



Home Equity Loan, Credit Card and Other Asset-backed VIEs

	Home Equity (1)				Credit Card (2)				Resecuritization Trusts				Municipal Bond Trusts


(Dollars in millions)	Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021		Sep 30 2022		December 31 2021
Unconsolidated VIEs
Maximum loss exposure	$	124	$	152	$	—	$	—	$	5,228	$	6,089	$	3,138	$	4,094
On-balance sheet assets
Securities (3):
Trading account assets	$	—	$	—	$	—	$	—	$	1,271	$	1,030	$	—	$	—
Debt securities carried at fair value	1		1		—		—		1,340		1,903		—		—
Held-to-maturity securities	—		—		—		—		2,617		3,156		—		—


Total retained positions	$	1	$	1	$	—	$	—	$	5,228	$	6,089	$	—	$	—
Total assets of VIEs	$	344	$	430	$	—	$	—	$	16,379	$	18,633	$	3,634	$	4,655

Consolidated VIEs
Maximum loss exposure	$	35	$	45	$	10,264	$	10,279	$	341	$	680	$	59	$	210
On-balance sheet assets
Trading account assets	$	—	$	—	$	—	$	—	$	349	$	686	$	59	$	122

Loans and leases	105		140		14,025		14,434		—		—		—		—
Allowance for loan and lease losses	13		14		(812)		(970)		—		—		—		—

All other assets	2		3		58		70		—		—		—		88
Total assets	$	120	$	157	$	13,271	$	13,534	$	349	$	686	$	59	$	210
On-balance sheet liabilities
Short-term borrowings	$	—	$	—	$	—	$	—	$	—	$	—	$	49	$	196
Long-term debt	85		113		2,998		3,248		8		6		—		—
All other liabilities	—		—		9		7		—		—		—		—
Total liabilities	$	85	$	113	$	3,007	$	3,255	$	8	$	6	$	49	$	196

(1)For unconsolidated home equity loan VIEs, the maximum loss exposure includes outstanding trust certificates issued by trusts in rapid amortization, net of recorded reserves. For both consolidated and unconsolidated home equity loan VIEs, the maximum loss exposure excludes the reserve for representations and warranties obligations and corporate guarantees. For more information, see Note 10 – Commitments and Contingencies.

(2)At September 30, 2022 and December 31, 2021, loans and leases in the consolidated credit card trust included $4.2 billion and $4.3 billion of seller’s interest.

(3)The retained senior securities were valued using quoted market prices or observable market inputs (Level 2 of the fair value hierarchy).


77 Bank of America

Home Equity Loans

The Corporation retains interests, primarily senior securities, in home equity securitization trusts to which it transferred home equity loans. In addition, the Corporation may be obligated to provide subordinate funding to the trusts during a rapid amortization event. This obligation is included in the maximum loss exposure in the preceding table. The charges that will ultimately be recorded as a result of the rapid amortization events depend on the undrawn portion of the home equity lines of credit, performance of the loans, the amount of subsequent draws and the timing of related cash flows.

Credit Card Securitizations

The Corporation securitizes originated and purchased credit card loans. The Corporation’s continuing involvement with the securitization trust includes servicing the receivables, retaining an undivided interest (seller’s interest) in the receivables, and holding certain retained interests, including subordinate interests in accrued interest and fees on the securitized receivables and cash reserve accounts.

Senior debt securities totaling $1.0 billion were issued to third-party investors from the credit card securitization trust during the nine months ended September 30, 2022 and 2021.

At both September 30, 2022 and December 31, 2021, the Corporation held subordinate securities issued by the credit card securitization trust with a notional principal amount of $6.5 billion. These securities serve as a form of credit enhancement to the senior debt securities and have a stated interest rate of zero percent. There were $161 million of subordinate securities issued by the credit card securitization trust during the nine months ended September 30, 2022 and 2021.

Resecuritization Trusts

The Corporation transfers securities, typically MBS, into resecuritization VIEs generally at the request of customers seeking securities with specific characteristics. Generally, there are no significant ongoing activities performed in a

resecuritization trust, and no single investor has the unilateral ability to liquidate the trust.

The Corporation resecuritized $5.3 billion and $19.5 billion of securities during the three and nine months ended September 30, 2022 compared to $5.9 billion and $20.6 billion for the same periods in 2021. Securities transferred into resecuritization VIEs were measured at fair value with changes in fair value recorded in market making and similar activities prior to the resecuritization and, accordingly, no gain or loss on sale was recorded. During the three and nine months ended September 30, 2022 and 2021, resecuritization proceeds included securities with an initial fair value of $670 million and $2.4 billion compared to $1.0 billion and $1.6 billion, of which substantially all of the securities were classified as trading account assets for both periods and categorized as Level 2 within the fair value hierarchy.

Municipal Bond Trusts

The Corporation administers municipal bond trusts that hold highly-rated, long-term, fixed-rate municipal bonds. The trusts obtain financing by issuing floating-rate trust certificates that reprice on a weekly or other short-term basis to third-party investors.

The Corporation’s liquidity commitments to unconsolidated municipal bond trusts, including those for which the Corporation was transferor, totaled $3.1 billion and $4.1 billion at September 30, 2022 and December 31, 2021. The weighted-average remaining life of bonds held in the trusts at September 30, 2022 was 7.9 years. There were no significant write-downs or downgrades of assets or issuers during the nine months ended September 30, 2022 and 2021.

Other Variable Interest Entities

The table below summarizes select information related to other VIEs in which the Corporation held a variable interest at September 30, 2022 and December 31, 2021.



Other VIEs


	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total

(Dollars in millions)	September 30, 2022						December 31, 2021
Maximum loss exposure	$	2,133	$	28,835	$	30,968	$	4,819	$	27,790	$	32,609
On-balance sheet assets
Trading account assets	$	342	$	557	$	899	$	2,552	$	626	$	3,178
Debt securities carried at fair value	—		4		4		—		7		7
Loans and leases	1,943		86		2,029		2,503		47		2,550
Allowance for loan and lease losses	(3)		(11)		(14)		(2)		(12)		(14)


All other assets	33		27,606		27,639		28		26,628		26,656
Total	$	2,315	$	28,242	$	30,557	$	5,081	$	27,296	$	32,377
On-balance sheet liabilities

Short-term borrowings	$	33	$	—	$	33	$	51	$	—	$	51
Long-term debt	149		—		149		211		—		211
All other liabilities	—		7,009		7,009		—		6,548		6,548
Total	$	182	$	7,009	$	7,191	$	262	$	6,548	$	6,810
Total assets of VIEs	$	2,315	$	95,767	$	98,082	$	5,081	$	92,249	$	97,330


						Bank of America 78

Customer VIEs

Customer VIEs include credit-linked, equity-linked and commodity-linked note VIEs, repackaging VIEs and asset acquisition VIEs, which are typically created on behalf of customers who wish to obtain market or credit exposure to a specific company, index, commodity or financial instrument.

The Corporation’s maximum loss exposure to consolidated and unconsolidated customer VIEs totaled $999 million and $2.9 billion at September 30, 2022 and December 31, 2021, including the notional amount of derivatives to which the Corporation is a counterparty, net of losses previously recorded, and the Corporation’s investment, if any, in securities issued by the VIEs.

Collateralized Debt Obligation VIEs

The Corporation receives fees for structuring CDO VIEs, which hold diversified pools of fixed-income securities, typically corporate debt or ABS, which the CDO VIEs fund by issuing multiple tranches of debt and equity securities. CDOs are generally managed by third-party portfolio managers. The Corporation typically transfers assets to these CDOs, holds securities issued by the CDOs and may be a derivative counterparty to the CDOs. The Corporation’s maximum loss exposure to consolidated and unconsolidated CDOs totaled $111 million and $235 million at September 30, 2022 and December 31, 2021.

Investment VIEs

The Corporation sponsors, invests in or provides financing, which may be in connection with the sale of assets, to a variety of investment VIEs that hold loans, real estate, debt securities or other financial instruments and are designed to provide the desired investment profile to investors or the Corporation. At September 30, 2022 and December 31, 2021, the Corporation’s consolidated investment VIEs had total assets of $665 million and $1.0 billion. The Corporation also held investments in unconsolidated VIEs with total assets of $7.9 billion and $7.1 billion at September 30, 2022 and December 31, 2021. The Corporation’s maximum loss exposure associated with both consolidated and unconsolidated investment VIEs totaled $1.8 billion and $2.0 billion at September 30, 2022 and December 31, 2021 comprised primarily of on-balance sheet assets less non-recourse liabilities.

Leveraged Lease Trusts

The Corporation’s net investment in consolidated leveraged lease trusts totaled $1.3 billion and $1.5 billion at September 30, 2022 and December 31, 2021. The trusts hold long-lived equipment such as rail cars, power generation and distribution equipment, and commercial aircraft. The Corporation structures the trusts and holds a significant residual interest. The net investment represents the Corporation’s maximum loss exposure to the trusts in the unlikely event that the leveraged lease investments become worthless. Debt issued by the leveraged lease trusts is non-recourse to the Corporation.

Tax Credit VIEs

The Corporation holds investments in unconsolidated limited partnerships and similar entities that construct, own and operate affordable housing, wind and solar projects. An

unrelated third party is typically the general partner or managing member and has control over the significant activities of the VIE. The Corporation earns a return primarily through the receipt of tax credits allocated to the projects. The maximum loss exposure included in the Other VIEs table was $26.5 billion and $25.7 billion at September 30, 2022 and December 31, 2021. The Corporation’s risk of loss is generally mitigated by policies requiring that the project qualify for the expected tax credits prior to making its investment.

The Corporation’s investments in affordable housing partnerships, which are reported in other assets on the Consolidated Balance Sheet, totaled $13.4 billion and $12.6 billion, including unfunded commitments to provide capital contributions of $6.3 billion and $5.8 billion, at September 30, 2022 and December 31, 2021. The unfunded commitments are expected to be paid over the next five years. During the three and nine months ended September 30, 2022, the Corporation recognized tax credits and other tax benefits from investments in affordable housing partnerships of $409 million and $1.2 billion and reported pretax losses in other income of $311 million and $938 million. For the same periods in 2021, the Corporation recognized tax credits and other tax benefits of $350 million and $1.1 billion and reported pretax losses in other income of $282 million and $837 million. These tax credits are recognized as part of the Corporation’s annual effective tax rate used to determine tax expense in a given quarter. The Corporation may be asked to invest additional amounts to support a troubled affordable housing project. Such additional investments have not been and are not expected to be significant.

NOTE 7 Goodwill and Intangible Assets

Goodwill

The table below presents goodwill balances by business segment at September 30, 2022 and December 31, 2021. The reporting units utilized for goodwill impairment testing are the operating segments or one level below.



Goodwill


	September 30		December 31

(Dollars in millions)	2022		2021


Consumer Banking	$	30,137	$	30,137


Global Wealth & Investment Management	9,677		9,677



Global Banking	24,026		24,026
Global Markets	5,182		5,182

Total goodwill	$	69,022	$	69,022

Intangible Assets

At September 30, 2022 and December 31, 2021, the net carrying value of intangible assets was $2.1 billion and $2.2 billion. At both September 30, 2022 and December 31, 2021, intangible assets included $1.6 billion of intangible assets associated with trade names, substantially all of which had an indefinite life and, accordingly, are not being amortized. Amortization of intangibles expense was $20 million and $59 million for the three and nine months ended September 30, 2022 compared to $19 million and $56 million for the same periods in 2021.


79 Bank of America

NOTE 8 Leases

The Corporation enters into both lessor and lessee arrangements. For more information on lease accounting, see Note 1 – Summary of Significant Accounting Principles and Note 8 – Leases to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. For more information on lease financing receivables, see Note 5 – Outstanding Loans and Leases and Allowance for Credit Losses.

Lessor Arrangements

The Corporation’s lessor arrangements primarily consist of operating, sales-type and direct financing leases for equipment. Lease agreements may include options to renew and for the lessee to purchase the leased equipment at the end of the lease term.

The table below presents the net investment in sales-type and direct financing leases at September 30, 2022 and December 31, 2021.



Net Investment (1)



(Dollars in millions)	September 30 2022		December 31 2021
Lease receivables	$	14,937	$	16,806
Unguaranteed residuals	1,793		2,078
Total net investment in sales-type and direct financing leases	$	16,730	$	18,884

(1)In certain cases, the Corporation obtains third-party residual value insurance to reduce its residual asset risk. The carrying value of residual assets with third-party residual value insurance for at least a portion of the asset value was $6.6 billion and $7.1 billion at September 30, 2022 and December 31, 2021.

The table below presents lease income for the three and nine months ended September 30, 2022 and 2021.



Lease Income

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Sales-type and direct financing leases	$	149	$	152	$	428	$	468
Operating leases	241		235		704		689
Total lease income	$	390	$	387	$	1,132	$	1,157

Lessee Arrangements

The Corporation's lessee arrangements predominantly consist of operating leases for premises and equipment; the Corporation's financing leases are not significant.

The table below provides information on the right-of-use assets and lease liabilities at September 30, 2022 and December 31, 2021.



Lessee Arrangements


(Dollars in millions)	September 30 2022		December 31 2021
Right-of-use asset	$	9,743	$	10,233
Lease liabilities	10,310		10,858

NOTE 9 Securities Financing Agreements, Collateral and Restricted Cash

The Corporation enters into securities financing agreements which include securities borrowed or purchased under agreements to resell and securities loaned or sold under agreements to repurchase. These financing agreements (also referred to as “matched-book transactions”) are to accommodate customers, obtain securities to cover short positions and finance inventory positions. The Corporation elects to account for certain securities financing agreements under the fair value option. For more information on the fair value option, see Note 15 – Fair Value Option.

Offsetting of Securities Financing Agreements

The Securities Financing Agreements table presents securities financing agreements included on the Consolidated Balance Sheet in federal funds sold and securities borrowed or purchased under agreements to resell, and in federal funds purchased and securities loaned or sold under agreements to repurchase at September 30, 2022 and December 31, 2021. Balances are presented on a gross basis, prior to the application of counterparty netting. Gross assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements. For more information on the offsetting of derivatives, see Note 3 – Derivatives. For more information on the securities financing agreements and the offsetting of securities financing transactions, see Note 10 – Securities Financing Agreements, Short-term Borrowings and Restricted Cash to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.


						Bank of America 80



Securities Financing Agreements

	Gross Assets/Liabilities (1)		Amounts Offset		Net Balance Sheet Amount		Financial Instruments (2)		Net Assets/Liabilities
(Dollars in millions)	September 30, 2022
Securities borrowed or purchased under agreements to resell (3)	$	550,757	$	(275,510)	$	275,247	$	(251,549)	$	23,698

Securities loaned or sold under agreements to repurchase	$	491,137	$	(275,510)	$	215,627	$	(201,129)	$	14,498
Other (4)	6,564		—		6,564		(6,564)		—
Total	$	497,701	$	(275,510)	$	222,191	$	(207,693)	$	14,498

	December 31, 2021
Securities borrowed or purchased under agreements to resell (3)	$	527,054	$	(276,334)	$	250,720	$	(229,525)	$	21,195

Securities loaned or sold under agreements to repurchase	$	468,663	$	(276,334)	$	192,329	$	(181,860)	$	10,469
Other (4)	11,391		—		11,391		(11,391)		—
Total	$	480,054	$	(276,334)	$	203,720	$	(193,251)	$	10,469

(1)Includes activity where uncertainty exists as to the enforceability of certain master netting agreements under bankruptcy laws in some countries or industries.

(2)Includes securities collateral received or pledged under repurchase or securities lending agreements where there is a legally enforceable master netting agreement. These amounts are not offset on the Consolidated Balance Sheet, but are shown as a reduction to derive a net asset or liability. Securities collateral received or pledged where the legal enforceability of the master netting agreements is uncertain is excluded from the table.

(3)Excludes repurchase activity of $9.2 billion and $20.1 billion reported in loans and leases on the Consolidated Balance Sheet at September 30, 2022 and December 31, 2021.

(4)Balance is reported in accrued expenses and other liabilities on the Consolidated Balance Sheet and relates to transactions where the Corporation acts as the lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. In these transactions, the Corporation recognizes an asset at fair value, representing the securities received, and a liability, representing the obligation to return those securities.

Repurchase Agreements and Securities Loaned Transactions Accounted for as Secured Borrowings

The following tables present securities sold under agreements to repurchase and securities loaned by remaining contractual term to maturity and class of collateral pledged. Included in “Other” are transactions where the Corporation acts as the lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. Certain agreements

contain a right to substitute collateral and/or terminate the agreement prior to maturity at the option of the Corporation or the counterparty. Such agreements are included in the table below based on the remaining contractual term to maturity. For more information on collateral requirements, see Note 10 – Securities Financing Agreements, Short-term Borrowings and Restricted Cash to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.



Remaining Contractual Maturity


	Overnight and Continuous		30 Days or Less		After 30 Days Through 90 Days		Greater than 90 Days (1)		Total
(Dollars in millions)	September 30, 2022
Securities sold under agreements to repurchase	$	200,049	$	150,817	$	38,774	$	32,748	$	422,388
Securities loaned	63,666		417		627		4,039		68,749
Other	6,564		—		—		—		6,564
Total	$	270,279	$	151,234	$	39,401	$	36,787	$	497,701

	December 31, 2021
Securities sold under agreements to repurchase	$	148,023	$	194,964	$	36,939	$	36,501	$	416,427
Securities loaned	46,231		466		1,428		4,111		52,236
Other	11,391		—		—		—		11,391
Total	$	205,645	$	195,430	$	38,367	$	40,612	$	480,054

(1)No agreements have maturities greater than three years.


81 Bank of America



Class of Collateral Pledged


	Securities Sold Under Agreements to Repurchase		Securities Loaned		Other		Total
(Dollars in millions)	September 30, 2022
U.S. government and agency securities	$	206,265	$	—	$	—	$	206,265
Corporate securities, trading loans and other	13,544		1,939		245		15,728
Equity securities	6,338		66,727		6,319		79,384
Non-U.S. sovereign debt	194,281		83		—		194,364
Mortgage trading loans and ABS	1,960		—		—		1,960
Total	$	422,388	$	68,749	$	6,564	$	497,701

	December 31, 2021
U.S. government and agency securities	$	201,546	$	27	$	—	$	201,573
Corporate securities, trading loans and other	12,838		3,440		1,148		17,426
Equity securities	19,907		48,650		10,192		78,749
Non-U.S. sovereign debt	178,019		119		51		178,189
Mortgage trading loans and ABS	4,117		—		—		4,117
Total	$	416,427	$	52,236	$	11,391	$	480,054

Collateral

The Corporation accepts securities and loans as collateral that it is permitted by contract or practice to sell or repledge. At September 30, 2022 and December 31, 2021, the fair value of this collateral was $774.4 billion and $854.8 billion, of which $712.4 billion and $782.7 billion were sold or repledged. The primary source of this collateral is securities borrowed or purchased under agreements to resell. For more information on collateral, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Restricted Cash

At September 30, 2022 and December 31, 2021, the Corporation held restricted cash included within cash and cash equivalents on the Consolidated Balance Sheet of $6.6 billion and $5.9 billion, predominantly related to cash segregated in compliance with securities regulations and cash held on deposit with central banks to meet reserve requirements.

NOTE 10 Commitments and Contingencies

In the normal course of business, the Corporation enters into a number of off-balance sheet commitments. These commitments expose the Corporation to varying degrees of credit and market risk and are subject to the same credit and market risk limitation reviews as those instruments recorded on the Consolidated Balance Sheet. For more information on commitments and contingencies, see Note 12 – Commitments and Contingencies to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Credit Extension Commitments

The Corporation enters into commitments to extend credit such as loan commitments, standby letters of credit (SBLCs) and commercial letters of credit to meet the financing needs of its customers. The following table includes the notional amount of unfunded legally binding lending commitments net of amounts distributed (i.e., syndicated or participated) to other financial institutions. The distributed amounts were $10.4 billion and $10.7 billion at September 30, 2022 and December 31, 2021. The carrying value of the Corporation’s credit extension commitments at both September 30, 2022 and December 31, 2021, excluding commitments accounted for under the fair value option, were $1.5 billion, which predominantly related to the reserve for unfunded lending commitments. The carrying value of these commitments is classified in accrued expenses and other liabilities on the Consolidated Balance Sheet.

Legally binding commitments to extend credit generally have specified rates and maturities. Certain of these commitments have adverse change clauses that help to protect the Corporation against deterioration in the borrower’s ability to pay.

The following table includes the notional amount of commitments of $3.5 billion and $4.8 billion at September 30, 2022 and December 31, 2021 that are accounted for under the fair value option. However, the table excludes the cumulative net fair value for these commitments of $200 million and $97 million at September 30, 2022 and December 31, 2021, which is classified in accrued expenses and other liabilities. For more information regarding the Corporation’s loan commitments accounted for under the fair value option, see Note 15 – Fair Value Option.


						Bank of America 82



Credit Extension Commitments

	Expire in One Year or Less		Expire After One Year Through Three Years		Expire After Three Years Through Five Years		Expire After Five Years		Total
(Dollars in millions)	September 30, 2022
Notional amount of credit extension commitments
Loan commitments (1)	$	108,780	$	159,380	$	210,765	$	20,174	$	499,099
Home equity lines of credit	1,285		6,643		11,310		22,120		41,358
Standby letters of credit and financial guarantees (2)	23,186		10,561		2,762		449		36,958
Letters of credit	946		70		37		49		1,102
Other commitments (3)	25		65		43		1,161		1,294
Legally binding commitments	134,222		176,719		224,917		43,953		579,811
Credit card lines (4)	426,749		—		—		—		426,749
Total credit extension commitments	$	560,971	$	176,719	$	224,917	$	43,953	$	1,006,560

	December 31, 2021
Notional amount of credit extension commitments
Loan commitments (1)	$	102,464	$	190,687	$	174,978	$	26,635	$	494,764
Home equity lines of credit	890		5,097		10,268		24,276		40,531
Standby letters of credit and financial guarantees (2)	22,359		10,742		2,017		422		35,540
Letters of credit	1,145		124		56		98		1,423
Other commitments (3)	18		59		81		1,233		1,391
Legally binding commitments	126,876		206,709		187,400		52,664		573,649
Credit card lines (4)	406,169		—		—		—		406,169
Total credit extension commitments	$	533,045	$	206,709	$	187,400	$	52,664	$	979,818

(1) At September 30, 2022 and December 31, 2021, $3.2 billion and $4.6 billion of these loan commitments were held in the form of a security.

(2) The notional amounts of SBLCs and financial guarantees classified as investment grade and non-investment grade based on the credit quality of the underlying reference name within the instrument were $26.4 billion and $10.1 billion at September 30, 2022, and $26.3 billion and $8.7 billion at December 31, 2021. Amounts in the table include consumer SBLCs of $534 million and $512 million at September 30, 2022 and December 31, 2021.

(3) Primarily includes second-loss positions on lease-end residual value guarantees.

(4) Includes business card unused lines of credit.

Other Commitments

At September 30, 2022 and December 31, 2021, the Corporation had commitments to purchase loans (e.g., residential mortgage and commercial real estate) of $655 million and $181 million, which upon settlement will be included in trading account assets, loans or LHFS, and commitments to purchase commercial loans of $395 million and $518 million, which upon settlement will be included in trading account assets.

At September 30, 2022 and December 31, 2021, the Corporation had commitments to purchase commodities, primarily liquefied natural gas, of $253 million and $949 million, which upon settlement will be included in trading account assets.

At September 30, 2022 and December 31, 2021, the Corporation had commitments to enter into resale and forward-dated resale and securities borrowing agreements of $89.5 billion and $92.0 billion, and commitments to enter into forward-dated repurchase and securities lending agreements of $70.1 billion and $32.6 billion. These commitments generally expire within the next 12 months.

At September 30, 2022 and December 31, 2021, the Corporation had a commitment to originate or purchase up to $3.7 billion and $4.0 billion on a rolling 12-month basis, of auto loans and leases from a strategic partner. This commitment extends through November 2026 and can be terminated with 12 months prior notice.

At September 30, 2022 and December 31, 2021, the Corporation had unfunded equity investment commitments of $720 million and $395 million.

Other Guarantees

Bank-owned Life Insurance Book Value Protection

The Corporation sells products that offer book value protection to insurance carriers who offer group life insurance policies to

corporations, primarily banks. At September 30, 2022 and December 31, 2021, the notional amount of these guarantees totaled $4.4 billion and $6.3 billion. At September 30, 2022 and December 31, 2021, the Corporation’s maximum exposure related to these guarantees totaled $650 million and $928 million, with estimated maturity dates between 2033 and 2039.

Merchant Services

The Corporation in its role as merchant acquirer or as a sponsor of other merchant acquirers may be held liable for any reversed charges that cannot be collected from the merchants, due to, among other things, merchant fraud or insolvency. If charges are properly reversed after a purchase and cannot be collected from either the merchants or merchant acquirers, the Corporation may be held liable for these reversed charges. The ability to reverse a charge is primarily governed by the applicable payment network rules and regulations, which include, but are not limited to, the type of charge, type of payment used and time limits. The total amount of transactions subject to reversal under payment network rules and regulations processed for the preceding six-month period, which was approximately $509 billion, is an estimate of the Corporation’s maximum potential exposure as of September 30, 2022. The Corporation’s risk in this area primarily relates to circumstances where a cardholder has purchased goods or services for future delivery. The Corporation mitigates this risk by requiring cash deposits, guarantees, letters of credit or other types of collateral from certain merchants. The Corporation’s reserves for contingent losses and the losses incurred related to the merchant processing activity were not significant.

Representations and Warranties Obligations and Corporate Guarantees

For more information on representations and warranties obligations and corporate guarantees, see Note 12 – Commitments and Contingencies to the Consolidated Financial


83 Bank of America

Statements of the Corporation’s 2021 Annual Report on Form 10-K.

The reserve for representations and warranties obligations and corporate guarantees was $1.0 billion and $1.2 billion at September 30, 2022 and December 31, 2021 and is included in accrued expenses and other liabilities on the Consolidated Balance Sheet, and the related provision is included in other income in the Consolidated Statement of Income. The representations and warranties reserve represents the Corporation’s best estimate of probable incurred losses, is based on its experience in previous negotiations, and is subject to judgment, a variety of assumptions, and known or unknown uncertainties. Future representations and warranties losses may occur in excess of the amounts recorded for these exposures; however, the Corporation does not expect such amounts to be material to the Corporation's financial condition and liquidity. See Litigation and Regulatory Matters below for the Corporation's combined range of possible loss in excess of the reserve for representations and warranties and the accrued liability for litigation.

Fixed Income Clearing Corporation Sponsored Member Repo Program

The Corporation acts as a sponsoring member in a repo program whereby the Corporation clears certain eligible resale and repurchase agreements through the Government Securities Division of the Fixed Income Clearing Corporation on behalf of clients that are sponsored members in accordance with the Fixed Income Clearing Corporation’s rules. As part of this program, the Corporation guarantees the payment and performance of its sponsored members to the Fixed Income Clearing Corporation. The Corporation’s guarantee obligation is secured by a security interest in cash or high-quality securities collateral placed by clients with the clearinghouse and therefore, the potential for the Corporation to incur significant losses under this arrangement is remote. The Corporation’s maximum potential exposure, without taking into consideration the related collateral, was $38.6 billion and $42.0 billion at September 30, 2022 and December 31, 2021.

Other Guarantees

In the normal course of business, the Corporation periodically guarantees the obligations of its affiliates in a variety of transactions including ISDA-related transactions and non-ISDA related transactions such as commodities trading, repurchase agreements, prime brokerage agreements and other transactions.

Guarantees of Certain Long-term Debt

The Corporation, as the parent company, fully and unconditionally guarantees the securities issued by BofA Finance LLC, a consolidated finance subsidiary of the Corporation, and effectively provides for the full and unconditional guarantee of trust securities issued by certain statutory trust companies that are 100 percent owned finance subsidiaries of the Corporation.

Litigation and Regulatory Matters

The following disclosures supplement the disclosure in Note 12 – Commitments and Contingencies to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K (the prior commitments and contingencies disclosure).

In the ordinary course of business, the Corporation and its subsidiaries are routinely defendants in or parties to many pending and threatened legal, regulatory and governmental actions and proceedings. In view of the inherent difficulty of predicting the outcome of such matters, particularly where the claimants seek very large or indeterminate damages or where the matters present novel legal theories or involve a large number of parties, the Corporation generally cannot predict the eventual outcome of the pending matters, timing of the ultimate resolution of these matters, or eventual loss, fines or penalties related to each pending matter.

As a matter develops, the Corporation, in conjunction with any outside counsel handling the matter, evaluates whether such matter presents a loss contingency that is probable and estimable, and, for the matters below and the matters disclosed in the prior commitments and contingencies disclosure, whether a loss in excess of any accrued liability is reasonably possible in future periods. Once the loss contingency is deemed to be both probable and estimable, the Corporation will establish an accrued liability and record a corresponding amount of litigation-related expense. The Corporation continues to monitor the matter for further developments that could affect the amount of the accrued liability that has been previously established. Excluding expenses of internal and external legal service providers, litigation-related expense of $507 million and $1.1 billion was recognized for the three and nine months ended September 30, 2022 compared to $66 million and $155 million for the same periods in 2021.

For any matter disclosed in this Note and in the prior commitments and contingencies disclosure for which a loss in future periods is reasonably possible and estimable (whether in excess of an accrued liability or where there is no accrued liability) and for representations and warranties exposures, the Corporation’s estimated range of possible loss is $0 to $0.7 billion in excess of the accrued liability, if any, as of September 30, 2022.

The accrued liability and estimated range of possible loss are based upon currently available information and subject to significant judgment, a variety of assumptions and known and unknown uncertainties. The matters underlying the accrued liability and estimated range of possible loss are unpredictable and may change from time to time, and actual losses may vary significantly from the current estimate and accrual. The estimated range of possible loss does not represent the Corporation’s maximum loss exposure.

Information is provided below and in the prior commitments and contingencies disclosure regarding the nature of the litigation and, where specified, associated claimed damages. Based on current knowledge, and taking into account accrued liabilities, management does not believe that loss contingencies arising from pending matters, including the matters described below and in the prior commitments and contingencies disclosure, will have a material adverse effect on the consolidated financial condition or liquidity of the Corporation. However, in light of the significant judgment, variety of assumptions and uncertainties involved in those matters, some of which are beyond the Corporation’s control, and the very large or indeterminate damages sought in some of those matters, an adverse outcome in one or more of those matters could be material to the Corporation’s business or results of operations for any particular reporting period, or cause significant reputational harm.


						Bank of America 84

Ambac Bond Insurance Litigation

Ambac v. Countrywide I

Ambac v. Countrywide II

Ambac v. First Franklin

On October 6, 2022, the Corporation and certain wholly owned subsidiaries entered into an agreement with Ambac Assurance Corporation (together with its subsidiaries, “Ambac”) to resolve the above referenced matters. Under the terms of the agreement, in exchange for the Corporation’s payment of $1.84 billion, Ambac, among other things, caused these matters to be dismissed with prejudice, and released the Corporation and its subsidiaries from all outstanding claims related to Ambac’s issuance of bond insurance policies for certain of the Corporation’s and legacy entities’ securitized pools of residential mortgage loans.

Prepaid Debit Card Investigations

On July 14, 2022, BANA agreed to settle two separate proceedings with the Office of the Comptroller of the Currency (OCC) and Consumer Financial Protection Bureau (CFPB) related to BANA’s administration of prepaid debit cards to distribute unemployment benefits. The orders found that BANA’s fraud prevention measures and resolution of potentially unauthorized transactions improperly delayed or denied access by certain cardholders to account funds. Without admitting or denying the findings, BANA consented to orders requiring it to improve its processes, review accounts and compensate cardholders, and pay penalties of $125 million and $100 million to the OCC and CFPB, respectively. The Corporation continues to defend civil litigation, including putative class actions, concerning BANA’s administration of these prepaid debit card programs.

Record-keeping Investigations

Certain of the Corporation’s U.S. subsidiaries have been cooperating with investigations by the SEC and U.S. Commodity Futures Trading Commission (CFTC) regarding compliance by financial institutions with record-keeping obligations for broker-dealers, investment advisors, swap dealers and futures commission merchants pertaining to business-related electronic communications sent over unapproved electronic messaging channels. On September 27, 2022, these subsidiaries entered into resolutions with the SEC and CFTC to resolve their respective civil investigations. The SEC and CFTC found that BofA Securities, Inc. and Merrill Lynch, Pierce Fenner & Smith

Incorporated did not maintain copies of certain communications required to be maintained under their respective record-keeping rules, where such communications were sent or received by employees over electronic messaging channels that had not been approved for employee use. The CFTC resolution also includes BANA. The SEC and CFTC also found related supervision failures. Under these resolutions, a $125 million civil monetary penalty was paid to the SEC, and a $100 million civil monetary penalty was paid to the CFTC.

NOTE 11 Shareholders’ Equity

Common Stock

Declared Quarterly Cash Dividends on Common Stock (1)

Declaration Date

Record Date

Payment Date

Dividend Per Share

October 19, 2022

December 2, 2022

December 30, 2022

0.22

July 20, 2022

September 2, 2022

September 30, 2022

0.22

April 27, 2022

June 3, 2022

June 24, 2022

0.21

February 2, 2022

March 4, 2022

March 25, 2022

0.21

(1) In 2022, and through October 28, 2022.

On October 19 2022, the Board of Directors declared a quarterly common stock dividend of $0.22 per share.

During the three and nine months ended September 30, 2022, the Corporation repurchased and retired 13 million and 98 million shares of common stock, which reduced shareholders’ equity by $450 million and $4.1 billion.

During the nine months ended September 30, 2022, in connection with employee stock plans, the Corporation issued 73 million shares of its common stock and, to satisfy tax withholding obligations, repurchased 28 million shares of its common stock.

Preferred Stock

During the three months ended September 30, 2022, June 30, 2022 and March 31, 2022 the Corporation declared $503 million, $315 million and $467 million of cash dividends on preferred stock, or a total of $1.3 billion for the nine months ended September 30, 2022. For more information on the Corporation’s preferred stock, including liquidation preference, dividend requirements and redemption period, see Note 13 – Shareholders’ Equity to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

NOTE 12 Accumulated Other Comprehensive Income (Loss)

The table below presents the changes in accumulated OCI after-tax for the nine months ended September 30, 2022 and 2021.



(Dollars in millions)	Debt Securities		Debit Valuation Adjustments		Derivatives		Employee Benefit Plans		Foreign Currency		Total












Balance, December 31, 2020	$	5,122	$	(1,992)	$	426	$	(4,266)	$	(946)	$	(1,656)
Net change	(1,243)		292		(1,130)		170		(29)		(1,940)
Balance, September 30, 2021	$	3,879	$	(1,700)	$	(704)	$	(4,096)	$	(975)	$	(3,596)

Balance, December 31, 2021	$	3,045	$	(1,636)	$	(1,880)	$	(3,642)	$	(991)	$	(5,104)
Net change	(6,381)		1,298		(10,890)		97		(47)		(15,923)
Balance, September 30, 2022	$	(3,336)	$	(338)	$	(12,770)	$	(3,545)	$	(1,038)	$	(21,027)


85 Bank of America

The table below presents the net change in fair value recorded in accumulated OCI, net realized gains and losses reclassified into earnings and other changes for each component of OCI pre- and after-tax for the nine months ended September 30, 2022 and 2021.



	Pretax		Tax effect		After- tax		Pretax		Tax effect		After- tax
	Nine Months Ended September 30
(Dollars in millions)	2022						2021
Debt securities:



Net increase (decrease) in fair value	$	(8,417)	$	2,064	$	(6,353)	$	(1,650)	$	410	$	(1,240)



Net realized (gains) losses reclassified into earnings (1)	(37)		9		(28)		(4)		1		(3)
Net change	(8,454)		2,073		(6,381)		(1,654)		411		(1,243)




Debit valuation adjustments:
Net increase (decrease) in fair value	1,698		(411)		1,287		365		(82)		283
Net realized (gains) losses reclassified into earnings (1)	14		(3)		11		12		(3)		9

Net change	1,712		(414)		1,298		377		(85)		292
Derivatives:
Net increase (decrease) in fair value	(14,681)		3,673		(11,008)		(1,339)		334		(1,005)
Reclassifications into earnings:
Net interest income	182		(46)		136		(125)		30		(95)


Compensation and benefits expense	(24)		6		(18)		(40)		10		(30)
Net realized (gains) losses reclassified into earnings	158		(40)		118		(165)		40		(125)

Net change	(14,523)		3,633		(10,890)		(1,504)		374		(1,130)
Employee benefit plans:




Net actuarial losses and other reclassified into earnings (2)	135		(38)		97		209		(39)		170

Net change	135		(38)		97		209		(39)		170
Foreign currency:
Net increase (decrease) in fair value	726		(774)		(48)		240		(269)		(29)
Net realized (gains) losses reclassified into earnings (1)	—		1		1		—		—		—

Net change	726		(773)		(47)		240		(269)		(29)
Total other comprehensive income (loss)	$	(20,404)	$	4,481	$	(15,923)	$	(2,332)	$	392	$	(1,940)

(1) Reclassifications of pretax debt securities, DVA and foreign currency (gains) losses are recorded in other income in the Consolidated Statement of Income.

(2) Reclassifications of pretax employee benefit plan costs are recorded in other general operating expense in the Consolidated Statement of Income.

NOTE 13 Earnings Per Common Share

The calculation of earnings per common share (EPS) and diluted EPS for the three and nine months ended September 30, 2022 and 2021 is presented below. For more information on the calculation of EPS, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.



	Three Months Ended September 30				Nine Months Ended September 30
(In millions, except per share information)	2022		2021		2022		2021
Earnings per common share
Net income	$	7,082	$	7,691	$	20,396	$	24,965
Preferred stock dividends	(503)		(431)		(1,285)		(1,181)
Net income applicable to common shareholders	$	6,579	$	7,260	$	19,111	$	23,784


Average common shares issued and outstanding	8,107.7		8,430.7		8,122.2		8,583.1
Earnings per common share	$	0.81	$	0.86	$	2.35	$	2.77

Diluted earnings per common share

Net income applicable to common shareholders	$	6,579	$	7,260	$	19,111	$	23,784
Add preferred stock dividends due to assumed conversions	—		—		—		168
Net income allocated to common shareholders	$	6,579	$	7,260	$	19,111	$	23,952
Average common shares issued and outstanding	8,107.7		8,430.7		8,122.2		8,583.1
Dilutive potential common shares (1)	53.1		62.1		51.1		119.1
Total diluted average common shares issued and outstanding	8,160.8		8,492.8		8,173.3		8,702.2
Diluted earnings per common share	$	0.81	$	0.85	$	2.34	$	2.75

(1)Includes incremental dilutive shares from preferred stock, restricted stock units, restricted stock and warrants.

For both the three and nine months ended September 30, 2022, and the three months ended September 30, 2021, 62 million average dilutive potential common shares associated with the Series L preferred stock were antidilutive, whereas they were included in the diluted share count under the “if-converted” method for the nine months ended September 30, 2021.

NOTE 14 Fair Value Measurements

Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly

transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current marketplace. During the nine months ended September 30, 2022, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact


						Bank of America 86

on the Corporation’s consolidated financial position or results of operations.

For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. The Corporation accounts for certain financial

instruments under the fair value option. For more information, see Note 15 – Fair Value Option.

Recurring Fair Value

Assets and liabilities carried at fair value on a recurring basis at September 30, 2022 and December 31, 2021, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.



	September 30, 2022
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments (1)		Assets/Liabilities at Fair Value
Assets
Time deposits placed and other short-term investments	$	682	$	—	$	—	$	—	$	682
Federal funds sold and securities borrowed or purchased under agreements to resell	—		165,521		—		—		165,521
Trading account assets:
U.S. Treasury and government agencies	62,200		501		—		—		62,701
Corporate securities, trading loans and other	—		44,931		2,349		—		47,280
Equity securities	82,645		28,537		171		—		111,353
Non-U.S. sovereign debt	11,613		22,537		485		—		34,635
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		26,743		50		—		26,793
Mortgage trading loans, ABS and other MBS	—		9,283		1,413		—		10,696
Total trading account assets (2)	156,458		132,532		4,468		—		293,458
Derivative assets	20,236		453,548		3,286		(405,114)		71,956
AFS debt securities:
U.S. Treasury and government agencies	166,691		922		—		—		167,613
Mortgage-backed securities:
Agency	—		23,604		—		—		23,604
Agency-collateralized mortgage obligations	—		2,369		—		—		2,369
Non-agency residential	—		134		266		—		400
Commercial	—		5,773		—		—		5,773
Non-U.S. securities	7		10,579		417		—		11,003

Other taxable securities	—		3,405		—		—		3,405
Tax-exempt securities	—		12,120		52		—		12,172
Total AFS debt securities	166,698		58,906		735		—		226,339
Other debt securities carried at fair value:
U.S. Treasury and government agencies	520		—		—		—		520



Non-agency residential MBS	—		286		100		—		386



Non-U.S. and other securities	3,656		5,344		—		—		9,000
Total other debt securities carried at fair value	4,176		5,630		100		—		9,906
Loans and leases	—		4,654		197		—		4,851
Loans held-for-sale	—		2,123		272		—		2,395


Other assets (3)	4,660		861		1,805		—		7,326

Total assets (4)	$	352,910	$	823,775	$	10,863	$	(405,114)	$	782,434

Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	453	$	—	$	—	$	453
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		165,390		—		—		165,390
Trading account liabilities:
U.S. Treasury and government agencies	16,495		419		—		—		16,914
Equity securities	35,187		5,873		—		—		41,060
Non-U.S. sovereign debt	11,283		8,086		—		—		19,369
Corporate securities and other	—		7,412		13		—		7,425

Total trading account liabilities	62,965		21,790		13		—		84,768
Derivative liabilities	19,609		434,324		5,503		(409,280)		50,156
Short-term borrowings	—		1,987		6		—		1,993
Accrued expenses and other liabilities	5,652		1,049		63		—		6,764
Long-term debt	—		26,738		793		—		27,531
Total liabilities (4)	$	88,226	$	651,731	$	6,378	$	(409,280)	$	337,055

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes securities with a fair value of $17.7 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $918 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.

(3)Includes MSRs of $1.0 billion, which are classified as Level 3 assets.

(4)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 percent of total consolidated liabilities.


87 Bank of America



	December 31, 2021
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments (1)		Assets/Liabilities at Fair Value
Assets
Time deposits placed and other short-term investments	$	707	$	—	$	—	$	—	$	707
Federal funds sold and securities borrowed or purchased under agreements to resell	—		150,665		—		—		150,665
Trading account assets:
U.S. Treasury and government agencies	44,599		803		—		—		45,402
Corporate securities, trading loans and other	—		31,601		2,110		—		33,711
Equity securities	61,425		38,383		190		—		99,998
Non-U.S. sovereign debt	3,822		25,612		396		—		29,830
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed	—		25,645		109		—		25,754
Mortgage trading loans, ABS and other MBS	—		10,967		1,418		—		12,385
Total trading account assets (2)	109,846		133,011		4,223		—		247,080
Derivative assets	34,748		310,581		3,133		(313,118)		35,344
AFS debt securities:
U.S. Treasury and government agencies	198,071		1,074		—		—		199,145
Mortgage-backed securities:
Agency	—		46,339		—		—		46,339
Agency-collateralized mortgage obligations	—		3,380		—		—		3,380
Non-agency residential	—		267		316		—		583
Commercial	—		19,604		—		—		19,604
Non-U.S. securities	—		11,933		—		—		11,933

Other taxable securities	—		2,690		71		—		2,761
Tax-exempt securities	—		15,381		52		—		15,433
Total AFS debt securities	198,071		100,668		439		—		299,178
Other debt securities carried at fair value:
U.S. Treasury and government agencies	575		—		—		—		575


Non-agency residential MBS	—		343		242		—		585



Non-U.S. and other securities	2,580		5,155		—		—		7,735
Total other debt securities carried at fair value	3,155		5,498		242		—		8,895
Loans and leases	—		7,071		748		—		7,819
Loans held-for-sale	—		4,138		317		—		4,455
Other assets (3)	7,657		2,915		1,572		—		12,144

Total assets (4)	$	354,184	$	714,547	$	10,674	$	(313,118)	$	766,287

Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	408	$	—	$	—	$	408
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		139,641		—		—		139,641
Trading account liabilities:
U.S. Treasury and government agencies	19,826		313		—		—		20,139
Equity securities	41,744		6,491		—		—		48,235
Non-U.S. sovereign debt	10,400		13,781		—		—		24,181
Corporate securities and other	—		8,124		11		—		8,135
Total trading account liabilities	71,970		28,709		11		—		100,690
Derivative liabilities	35,282		314,380		5,795		(317,782)		37,675
Short-term borrowings	—		4,279		—		—		4,279
Accrued expenses and other liabilities	8,359		3,130		—		—		11,489
Long-term debt	—		28,633		1,075		—		29,708
Total liabilities (4)	$	115,611	$	519,180	$	6,881	$	(317,782)	$	323,890

(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

(2)Includes securities with a fair value of $10.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $752 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.

(3)Includes MSRs of $818 million, which are classified as Level 3 assets.

(4)Total recurring Level 3 assets were 0.34 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.24 percent of total consolidated liabilities.


						Bank of America 88

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2022 and 2021, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due

to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.



Level 3 – Fair Value Measurements (1)

	Balance July 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Three Months Ended September 30, 2022
Trading account assets:

Corporate securities, trading loans and other	$	2,367	$	(28)	$	(1)	$	176	$	(144)	$	—	$	(300)	$	329	$	(50)	$	2,349	$	(30)
Equity securities	179		(5)		—		13		(7)		—		—		3		(12)		171		(5)
Non-U.S. sovereign debt	470		39		(12)		11		(2)		—		(18)		2		(5)		485		39
Mortgage trading loans, MBS and ABS	1,386		(57)		—		166		(72)		—		(6)		113		(67)		1,463		(47)
Total trading account assets	4,402		(51)		(13)		366		(225)		—		(324)		447		(134)		4,468		(43)
Net derivative assets (liabilities) (4)	(1,682)		(266)		—		97		(238)		—		49		(62)		(115)		(2,217)		(293)
AFS debt securities:



Non-agency residential MBS	299		(1)		(11)		—		—		—		(8)		—		(13)		266		(1)




Non-U.S. and other taxable securities	200		2		(3)		—		—		—		(5)		224		(1)		417		(2)
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		—
Total AFS debt securities	551		1		(14)		—		—		—		(13)		224		(14)		735		(3)
Other debt securities carried at fair value – Non-agency residential MBS	112		(2)		—		—		—		—		(4)		—		(6)		100		(2)
Loans and leases (5)	256		(1)		—		—		—		—		(58)		—		—		197		(2)

Loans held-for-sale (5)	345		(27)		(2)		—		—		—		(44)		—		—		272		(27)
Other assets (6,7)	1,750		70		(20)		—		(2)		78		(68)		—		(3)		1,805		61

Trading account liabilities – Corporate securities and other	(14)		1		—		—		—		—		—		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	(63)		7		—		(7)		—		—		—		—		—		(63)		7
Long-term debt (5)	(812)		26		(12)		—		—		—		18		(13)		—		(793)		26

Three Months Ended September 30, 2021
Trading account assets:

Corporate securities, trading loans and other	$	1,764	$	(2)	$	—	$	89	$	(43)	$	—	$	(118)	$	239	$	(295)	$	1,634	$	(20)
Equity securities	260		(2)		—		18		(11)		—		—		20		(76)		209		(2)
Non-U.S. sovereign debt	414		4		(26)		16		—		—		(9)		—		—		399		4
Mortgage trading loans, MBS and ABS	1,498		(43)		—		97		(89)		—		(61)		180		(8)		1,574		(41)
Total trading account assets	3,936		(43)		(26)		220		(143)		—		(188)		439		(379)		3,816		(59)
Net derivative assets (liabilities) (4)	(2,884)		564		—		124		(168)		—		23		173		(157)		(2,325)		512
AFS debt securities:



Non-agency residential MBS	205		(1)		(2)		—		—		—		(12)		208		—		398		(4)



Non-U.S. and other taxable securities	85		(3)		(1)		—		—		—		2		—		—		83		—
Tax-exempt securities	51		2		—		—		—		—		—		—		—		53		2
Total AFS debt securities	341		(2)		(3)		—		—		—		(10)		208		—		534		(2)
Other debt securities carried at fair value – Non-agency residential MBS	281		(2)		—		—		—		—		(9)		26		—		296		(2)
Loans and leases (5)	857		(59)		—		—		—		—		(67)		—		(13)		718		(59)

Loans held-for-sale (5)	263		13		(7)		94		(1)		—		(22)		—		—		340		10
Other assets (6,7)	1,775		15		(6)		1		1		51		(95)		2		—		1,744		49

Trading account liabilities – Corporate securities and other	(17)		6		—		—		—		—		—		—		—		(11)		(1)


Long-term debt (5)	(1,060)		(65)		2		—		—		(9)		30		(25)		1		(1,126)		(65)

(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.

(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $60 million and $38 million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

(5)Amounts represent instruments that are accounted for under the fair value option.

(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.

(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.


89 Bank of America



Level 3 – Fair Value Measurements (1)

	Balance January 1		Total Realized/Unrealized Gains (Losses) in Net Income (2)		Gains (Losses) in OCI (3)		Gross								Gross Transfers into Level 3		Gross Transfers out of Level 3		Balance September 30		Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)							Purchases		Sales		Issuances		Settlements
Nine Months Ended September 30, 2022
Trading account assets:

Corporate securities, trading loans and other	$	2,110	$	(97)	$	(2)	$	943	$	(342)	$	—	$	(417)	$	849	$	(695)	$	2,349	$	(141)
Equity securities	190		2		—		41		(22)		—		(4)		29		(65)		171		(20)
Non-U.S. sovereign debt	396		58		8		18		(4)		—		(33)		52		(10)		485		55
Mortgage trading loans, MBS and ABS	1,527		(235)		—		373		(389)		—		(100)		429		(142)		1,463		(124)
Total trading account assets	4,223		(272)		6		1,375		(757)		—		(554)		1,359		(912)		4,468		(230)
Net derivative assets (liabilities) (4)	(2,662)		1,076		—		222		(589)		—		393		(241)		(416)		(2,217)		701
AFS debt securities:



Non-agency residential MBS	316		1		(33)		—		(8)		—		(71)		74		(13)		266		1



Non-U.S. and other taxable securities	71		5		(12)		126		—		—		(14)		311		(70)		417		1
Tax-exempt securities	52		—		—		—		—		—		—		—		—		52		(1)
Total AFS debt securities	439		6		(45)		126		(8)		—		(85)		385		(83)		735		1
Other debt securities carried at fair value – Non-agency residential MBS	242		(42)		—		—		—		—		(77)		—		(23)		100		(7)
Loans and leases (5)	748		(42)		—		—		(154)		—		(106)		—		(249)		197		(20)
Loans held-for-sale (5)	317		(3)		3		170		(6)		—		(217)		8		—		272		(11)
Other assets (6,7)	1,572		296		(25)		—		(1)		163		(201)		4		(3)		1,805		152



Trading account liabilities – Corporate securities and other	(11)		—		—		—		—		—		(2)		—		—		(13)		—
Short-term borrowings (5)	—		1		—		—		(4)		—		—		(3)		—		(6)		1
Accrued expenses and other liabilities (5)	—		(56)		—		(7)		—		—		—		—		—		(63)		(33)
Long-term debt (5)	(1,075)		(96)		67		—		14		(1)		35		(19)		282		(793)		(102)

Nine Months Ended September 30, 2021
Trading account assets:

Corporate securities, trading loans and other	$	1,359	$	23	$	—	$	515	$	(300)	$	—	$	(251)	$	697	$	(409)	$	1,634	$	(42)
Equity securities	227		20		—		71		(60)		—		—		98		(147)		209		(17)
Non-U.S. sovereign debt	354		24		(14)		18		—		—		(9)		26		—		399		27
Mortgage trading loans, MBS and ABS	1,440		(4)		—		344		(584)		1		(125)		624		(122)		1,574		(65)
Total trading account assets	3,380		63		(14)		948		(944)		1		(385)		1,445		(678)		3,816		(97)
Net derivative assets (liabilities) (4)	(3,468)		855		—		473		(517)		—		206		(18)		144		(2,325)		579
AFS debt securities:




Non-agency residential MBS	378		(16)		(96)		—		—		—		(37)		244		(75)		398		(7)


Non-U.S. and other taxable securities	89		(4)		(6)		8		—		—		(4)		—		—		83		—
Tax-exempt securities	176		19		—		—		—		—		—		—		(142)		53		18
Total AFS debt securities	643		(1)		(102)		8		—		—		(41)		244		(217)		534		11
Other debt securities carried at fair value – Non-agency residential MBS	267		—		—		—		—		—		(29)		58		—		296		—
Loans and leases (5)	717		45		—		—		—		70		(147)		46		(13)		718		52
Loans held-for-sale (5)	236		17		(4)		132		(1)		—		(62)		26		(4)		340		40
Other assets (6,7)	1,970		36		2		56		(144)		115		(300)		9		—		1,744		92


Trading account liabilities – Corporate securities and other	(16)		6		—		—		—		(1)		—		—		—		(11)		—


Long-term debt (5)	(1,164)		(83)		4		2		—		(11)		67		(57)		116		(1,126)		(54)

(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.

(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.

(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $2 million and $(45) million related to financial instruments still held at September 30, 2022 and 2021.

(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $3.8 billion and derivative liabilities of $5.5 billion and $6.2 billion at September 30, 2022 and 2021.

(5)Amounts represent instruments that are accounted for under the fair value option.

(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.

(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.


						Bank of America 90

The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2022 and December 31, 2021.

Quantitative Information about Level 3 Fair Value Measurements at September 30, 2022

(Dollars in millions)

Inputs

Financial Instrument

Fair
Value

Valuation
Technique

Significant Unobservable
Inputs

Ranges of
Inputs

Weighted Average (1)

Loans and Securities (2)

Instruments backed by residential real estate assets

787

Discounted cash flow, Market comparables

Yield

0% to 25%

Trading account assets – Mortgage trading loans, MBS and ABS

276

Prepayment speed

0% to 34% CPR

13% CPR

Loans and leases

145

Default rate

0% to 3% CDR

1% CDR

AFS debt securities – Non-agency residential

266

Price

$0 to $113

$28

Other debt securities carried at fair value – Non-agency residential

100

Loss severity

0% to 100%

Instruments backed by commercial real estate assets

346

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

282

Price

$0 to $101

$75

Trading account assets – Mortgage trading loans, MBS and ABS

Commercial loans, debt securities and other

4,468

Discounted cash flow, Market comparables

Yield

5% to 69%

Trading account assets – Corporate securities, trading loans and other

2,067

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

485

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

1,123

Loss severity

35% to 40%

AFS debt securities – Tax-exempt securities

Price

$0 to $158

$76

AFS debt securities – Non-U.S. and other taxable securities

417

Loans and leases

Loans held-for-sale

272

Other assets, primarily auction rate securities

780

Discounted cash flow, Market comparables

Price

$10 to $98

$95

Discount rate

n/a

MSRs

1,025

Discounted cash
flow

Weighted-average life, fixed rate (5)

0 to 14 years

6 years

Weighted-average life, variable rate (5)

0 to 11 years

3 years

Option-adjusted spread, fixed rate

7% to 14%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(793)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

20% to 69%

Equity correlation

0% to 92%

Price

$0 to $127

$91

Natural gas forward price

$3/MMBtu to $9/MMBtu

$5 /MMBtu

Net derivative assets (liabilities)

Credit derivatives

(33)

Discounted cash flow, Stochastic recovery correlation model

Credit spreads

2 to 94 bps

28 bps

Upfront points

0 to 100 points

78 points

Prepayment speed

15% CPR

n/a

Default rate

2% CDR

n/a

Credit correlation

20% to 55%

Price

$0 to $151

$61

Equity derivatives

(1,151)

Industry standard derivative pricing (3)

Equity correlation

0% to 99%

Long-dated equity volatilities

5% to 90%

Commodity derivatives

(380)

Discounted cash flow, Industry standard derivative pricing (3)

Natural gas forward price

$3/MMBtu to $9/MMBtu

$5 /MMBtu

Power forward price

$17 to $197

$50

Interest rate derivatives

(653)

Industry standard derivative pricing (4)

Correlation (IR/IR)

(35)% to 92%

Correlation (FX/IR)

11% to 58%

Long-dated inflation rates

(12)% to 51%

Long-dated inflation volatilities

3% to 7%

Interest rate volatilities

0% to 2%

Total net derivative assets (liabilities)

(2,217)

(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.

(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 87: Trading account assets – Corporate securities, trading loans and other of $2.3 billion, Trading account assets – Non-U.S. sovereign debt of $485 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.5 billion, AFS debt securities of $735 million, Other debt securities carried at fair value - Non-agency residential of $100 million, Other assets, including MSRs, of $1.8 billion, Loans and leases of $197 million and LHFS of $272 million.

(3)Includes models such as Monte Carlo simulation and Black-Scholes.

(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable


91 Bank of America

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2021

(Dollars in millions)

Inputs

Financial Instrument

Fair
Value

Valuation
Technique

Significant Unobservable
Inputs

Ranges of
Inputs

Weighted Average (1)

Loans and Securities (2)

Instruments backed by residential real estate assets

1,269

Discounted cash
flow, Market comparables

Yield

0% to 25%

Trading account assets – Mortgage trading loans, MBS and ABS

338

Prepayment speed

1% to 40% CPR

19% CPR

Loans and leases

373

Default rate

0% to 3% CDR

1% CDR

AFS debt securities - Non-agency residential

316

Price

$0 to $168

$92

Other debt securities carried at fair value - Non-agency residential

242

Loss severity

0% to 43%

Instruments backed by commercial real estate assets

298

Discounted cash
flow

Yield

0% to 25%

Trading account assets – Corporate securities, trading loans and other

138

Price

$0 to $101

$57

Trading account assets – Mortgage trading loans, MBS and ABS

AFS debt securities – Non-U.S. and other taxable securities

Loans held-for-sale

Commercial loans, debt securities and other

4,212

Discounted cash flow, Market comparables

Yield

0% to 19%

Trading account assets – Corporate securities, trading loans and other

1,972

Prepayment speed

10% to 20%

Trading account assets – Non-U.S. sovereign debt

396

Default rate

3% to 4%

Trading account assets – Mortgage trading loans, MBS and ABS

1,112

Loss severity

35% to 40%

AFS debt securities – Tax-exempt securities

Price

$0 to $189

$73

Loans and leases

375

Long-dated equity volatilities

45%

n/a

Loans held-for-sale

305

Other assets, primarily auction rate securities

754

Discounted cash flow, Market comparables

Price

$10 to $96

$91

Discount rate

n/a

MSRs

818

Discounted cash
flow

Weighted-average life, fixed rate (5)

0 to 14 years

4 years

Weighted-average life, variable rate (5)

0 to 10 years

3 years

Option-adjusted spread, fixed rate

7% to 14%

Option-adjusted spread, variable rate

9% to 15%

Structured liabilities

Long-term debt

(1,075)

Discounted cash flow, Market comparables, Industry standard derivative pricing (3)

Yield

0% to 19%

Equity correlation

3% to 100%

Long-dated equity volatilities

5% to 78%

Price

$0 to $125

$82

Natural gas forward price

$2/MMBtu to $8/MMBtu

$4/MMBtu

Net derivative assets (liabilities)

Credit derivatives

(104)

Discounted cash flow, Stochastic recovery correlation model

Credit spreads

7 to 155 bps

61 bps

Upfront points

16 to 100 points

68 points

Prepayment speed

15% CPR

n/a

Default rate

2% CDR

n/a

Credit correlation

20% to 60%

Price

$0 to $120

$53

Equity derivatives

(1,710)

Industry standard derivative pricing (3)

Equity correlation

3% to 100%

Long-dated equity volatilities

5% to 78%

Commodity derivatives

(976)

Discounted cash flow, Industry standard derivative pricing (3)

Natural gas forward price

$2/MMBtu to $8/MMBtu

$4/MMBtu

Correlation

65% to 85%

Power forward price

$11 to $103

$32

Volatilities

41% to 69%

Interest rate derivatives

128

Industry standard derivative pricing (4)

Correlation (IR/IR)

(1)% to 90%

Correlation (FX/IR)

(1)% to 58%

Long-dated inflation rates

G(10)% to 11%

Long-dated inflation volatilities

0% to 2%

Interest rates volatilities

0% to 2%

Total net derivative assets (liabilities)

(2,662)

(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.

(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 88: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.5 billion, AFS debt securities of $439 million, Other debt securities carried at fair value - Non-agency residential of $242 million, Other assets, including MSRs, of $1.6 billion, Loans and leases of $748 million and LHFS of $317 million.

(3)Includes models such as Monte Carlo simulation and Black-Scholes.

(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable

Uncertainty of Fair Value Measurements from Unobservable Inputs

For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.


						Bank of America 92

Nonrecurring Fair Value

The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three and nine months ended September 30, 2022 and 2021.



Assets Measured at Fair Value on a Nonrecurring Basis


	September 30, 2022				Three Months Ended September 30, 2022		Nine Months Ended September 30, 2022
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	1,752	$	398	$	119	$	87
Loans and leases (1)	—		152		(13)		(44)
Foreclosed properties (2, 3)	—		6		(2)		(3)
Other assets	80		48		—		(40)

	September 30, 2021				Three Months Ended September 30, 2021		Nine Months Ended September 30, 2021

Assets
Loans held-for-sale	$	124	$	20	$	(2)	$	4
Loans and leases (1)	—		182		(16)		(47)
Foreclosed properties (2, 3)	—		17		(3)		(4)
Other assets	354		2,101		(35)		(494)

(1)Includes $6 million and $17 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2022 compared to losses of $7 million and $18 million for the same periods in 2021.

(2)Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses recorded during the first 90 days after transfer of a loan to foreclosed properties.

(3)Excludes $75 million and $55 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at September 30, 2022 and 2021.

The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the nine months ended September 30, 2022 and the year ended December 31, 2021.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements

Inputs

Financial Instrument

Fair Value

Valuation
Technique

Significant Unobservable
Inputs

Ranges of
Inputs

Weighted

Average (1)

(Dollars in millions)

Nine Months Ended September 30, 2022

Loans held-for-sale

398

Market comparables

Price

$88 to $100

$91

Loans and leases (2)

152

Market comparables

OREO discount

10% to 66%

Costs to sell

8% to 24%

Other assets (3)

Discounted cash flow

Discount rate

n/a

Year Ended December 31, 2021

Loans and leases (2)

213

Market comparables

OREO discount

13% to 59%

Costs to sell

8% to 26%

Other assets (4)

1,875

Discounted cash flow

Discount rate

n/a

166

Market comparables

Estimated appraisal value

n/a

(1)The weighted average is calculated based upon the fair value of the loans.

(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.

(3)Represents the fair value of certain impaired renewable energy investments.

(4)Represents the fair value of certain impaired renewable energy investments and impaired assets related to the Corporation’s real estate rationalization.

n/a = not applicable

NOTE 15 Fair Value Option

The Corporation elects to account for certain financial instruments under the fair value option. For more information on the primary financial instruments for which the fair value option elections have been made, see Note 21 – Fair Value Option to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K. The following tables provide information about the fair value carrying amount and the

contractual principal outstanding of assets and liabilities accounted for under the fair value option at September 30, 2022 and December 31, 2021, and information about where changes in the fair value of assets and liabilities accounted for under the fair value option are included in the Consolidated Statement of Income for the three and nine months ended September 30, 2022 and 2021.


93 Bank of America



Fair Value Option Elections

	September 30, 2022						December 31, 2021
(Dollars in millions)	Fair Value Carrying Amount		Contractual Principal Outstanding		Fair Value Carrying Amount Less Unpaid Principal		Fair Value Carrying Amount		Contractual Principal Outstanding		Fair Value Carrying Amount Less Unpaid Principal
Federal funds sold and securities borrowed or purchased under agreements to resell	$	165,521	$	165,673	$	(152)	$	150,665	$	150,677	$	(12)
Loans reported as trading account assets (1)	10,100		17,358		(7,258)		10,864		18,895		(8,031)
Trading inventory – other	16,910		n/a		n/a		21,986		n/a		n/a
Consumer and commercial loans	4,851		4,988		(137)		7,819		7,888		(69)
Loans held-for-sale (1)	2,395		3,100		(705)		4,455		5,343		(888)

Other assets	560		n/a		n/a		544		n/a		n/a
Long-term deposits	453		509		(56)		408		401		7
Federal funds purchased and securities loaned or sold under agreements to repurchase	165,390		165,228		162		139,641		139,682		(41)
Short-term borrowings	1,993		1,797		196		4,279		4,127		152
Unfunded loan commitments	200		n/a		n/a		97		n/a		n/a

Long-term debt	27,531		33,867		(6,336)		29,708		30,903		(1,195)

(1)A significant portion of the loans reported as trading account assets and LHFS are distressed loans that were purchased at a deep discount to par, and the remainder are loans with a fair value near contractual principal outstanding.

n/a = not applicable



Gains (Losses) Related to Assets and Liabilities Accounted for Under the Fair Value Option

	Three Months Ended September 30
	2022						2021
(Dollars in millions)	Market making and similar activities		Other Income		Total		Market making and similar activities		Other Income		Total


Loans reported as trading account assets	$	(62)	$	—	$	(62)	$	5	$	—	$	5
Trading inventory – other (1)	(2,141)		—		(2,141)		(1,155)		—		(1,155)
Consumer and commercial loans	(16)		25		9		(56)		(11)		(67)
Loans held-for-sale (2)	—		(86)		(86)		—		53		53




Short-term borrowings	81		—		81		548		—		548
Unfunded loan commitments	—		27		27		—		8		8

Long-term debt (3)	1,562		(16)		1,546		225		(9)		216
Other (4)	12		(1)		11		7		—		7
Total	$	(564)	$	(51)	$	(615)	$	(426)	$	41	$	(385)


















	Nine Months Ended September 30
	2022						2021

Loans reported as trading account assets	$	(211)	$	—	$	(211)	$	288	$	—	$	288
Trading inventory – other (1)	(4,269)		—		(4,269)		419		—		419
Consumer and commercial loans	(86)		(53)		(139)		58		34		92
Loans held-for-sale (2)	—		(308)		(308)		—		64		64




Short-term borrowings	643		—		643		1,022		—		1,022
Unfunded loan commitments	—		(61)		(61)		—		2		2

Long-term debt (3)	5,049		(36)		5,013		(436)		(33)		(469)
Other (4)	6		23		29		18		(24)		(6)
Total	$	1,132	$	(435)	$	697	$	1,369	$	43	$	1,412

(1) The gains (losses) in market making and similar activities are primarily offset by (losses) gains on trading liabilities that hedge these assets.

(2) Includes the value of IRLCs on funded loans, including those sold during the period.

(3) The net gains (losses) in market making and similar activities relate to the embedded derivatives in structured liabilities and are typically offset by (losses) gains on derivatives and securities that hedge these liabilities. For the cumulative impact of changes in the Corporation’s own credit spreads and the amount recognized in accumulated OCI, see Note 12 – Accumulated Other Comprehensive Income (Loss). For more information on how the Corporation’s own credit spread is determined, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

(4) Includes gains (losses) on federal funds sold and securities borrowed or purchased under agreements to resell, other assets, long-term deposits and federal funds purchased and securities loaned or sold under agreements to repurchase.



Gains (Losses) Related to Borrower-specific Credit Risk for Assets and Liabilities Accounted for Under the Fair Value Option

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Loans reported as trading account assets	$	(123)	$	(21)	$	(434)	$	166
Consumer and commercial loans	19		(22)		(72)		10
Loans held-for-sale	(3)		37		(14)		35
Unfunded loan commitments	27		8		(61)		2


						Bank of America 94

NOTE 16 Fair Value of Financial Instruments

The following disclosures include financial instruments that are not carried at fair value or only a portion of the ending balance is carried at fair value on the Consolidated Balance Sheet. Certain loans, deposits, long-term debt, unfunded lending commitments and other financial instruments are accounted for under the fair value option. For more information, see Note 21 – Fair Value Option to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Fair Value of Financial Instruments

The carrying values and fair values by fair value hierarchy of certain financial instruments where only a portion of the ending balance was carried at fair value at September 30, 2022 and December 31, 2021 are presented in the following table.



Fair Value of Financial Instruments

			Fair Value
	Carrying Value		Level 2		Level 3		Total
(Dollars in millions)	September 30, 2022
Financial assets
Loans	$	1,002,181	$	49,561	$	930,927	$	980,488
Loans held-for-sale	7,629		5,158		2,587		7,745
Financial liabilities
Deposits (1)	1,938,097		1,937,724		—		1,937,724
Long-term debt	269,122		261,060		1,044		262,104
Commercial unfunded lending commitments (2)	1,716		137		7,796		7,933

	December 31, 2021
Financial assets
Loans	$	946,142	$	53,544	$	919,980	$	973,524
Loans held-for-sale	15,635		15,016		627		15,643
Financial liabilities
Deposits (1)	2,064,446		2,064,438		—		2,064,438
Long-term debt	280,117		286,802		1,288		288,090
Commercial unfunded lending commitments (2)	1,554		97		6,384		6,481

(1) Includes demand deposits of $930.3 billion and $1.0 trillion with no stated maturities at September 30, 2022 and December 31, 2021.

(2) The carrying value of commercial unfunded lending commitments is included in accrued expenses and other liabilities on the Consolidated Balance Sheet. The Corporation does not estimate the fair value of consumer unfunded lending commitments because, in many instances, the Corporation can reduce or cancel these commitments by providing notice to the borrower. For more information on commitments, see Note 10 – Commitments and Contingencies.

NOTE 17 Business Segment Information

The Corporation reports its results of operations through the following four business segments: Consumer Banking, Global Wealth & Investment Management, Global Banking and Global Markets, with the remaining operations recorded in All Other. For more information, see Note 23 – Business Segment Information to the Consolidated Financial Statements of the Corporation’s

2021 Annual Report on Form 10-K. The following tables present net income and the components thereto (with net interest income on an FTE basis for the business segments, All Other and the total Corporation) for the three and nine months ended September 30, 2022 and 2021, and total assets at September 30, 2022 and 2021 for each business segment, as well as All Other.


95 Bank of America



Results of Business Segments and All Other

At and for the three months ended September 30	Total Corporation (1)			Consumer Banking		Global Wealth & Investment Management
(Dollars in millions)		2022		2021		2022		2021		2022		2021
Net interest income		$	13,871	$	11,195	$	7,784	$	6,493	$	1,981	$	1,452
Noninterest income		10,737		11,672		2,120		2,345		3,448		3,858
Total revenue, net of interest expense		24,608		22,867		9,904		8,838		5,429		5,310
Provision for credit losses		898		(624)		738		247		37		(58)
Noninterest expense		15,303		14,440		5,097		4,558		3,816		3,744
Income before income taxes		8,407		9,051		4,069		4,033		1,576		1,624
Income tax expense		1,325		1,360		997		988		386		398
Net income		$	7,082	$	7,691	$	3,072	$	3,045	$	1,190	$	1,226
Period-end total assets		$	3,072,953	$	3,085,446	$	1,149,918	$	1,091,431	$	370,790	$	393,708

	Global Banking			Global Markets		All Other
		2022		2021		2022		2021		2022		2021
Net interest income		$	3,326	$	2,185	$	743	$	1,000	$	37	$	65
Noninterest income		2,265		3,060		3,740		3,519		(836)		(1,110)
Total revenue, net of interest expense		5,591		5,245		4,483		4,519		(799)		(1,045)
Provision for credit losses		170		(781)		11		16		(58)		(48)
Noninterest expense		2,651		2,534		3,023		3,252		716		352
Income before income taxes		2,770		3,492		1,449		1,251		(1,457)		(1,349)
Income tax expense		734		943		384		325		(1,176)		(1,294)
Net income		$	2,036	$	2,549	$	1,065	$	926	$	(281)	$	(55)
Period-end total assets		$	575,442	$	623,640	$	848,752	$	776,929	$	128,051	$	199,738

(1)There were no material intersegment revenues.



Results of Business Segments and All Other

At and for the nine months ended September 30	Total Corporation (1)					Consumer Banking			Global Wealth & Investment Management
(Dollars in millions)		2022		2021			2022		2021		2022		2021
Net interest income		$	38,096	$	31,846		$	21,551	$	18,386	$	5,451	$	4,137
Noninterest income		32,637		35,529			6,302		6,707		10,887		11,209
Total revenue, net of interest expense		70,733		67,375			27,853		25,093		16,338		15,346
Provision for credit losses		1,451		(4,105)			1,036		(1,067)		29		(185)
Noninterest expense		45,895		45,000			14,977		14,548		11,706		11,425
Income before income taxes		23,387		26,480			11,840		11,612		4,603		4,106
Income tax expense		2,991		1,515			2,901		2,845		1,128		1,006
Net income		$	20,396	$	24,965		$	8,939	$	8,767	$	3,475	$	3,100
Period-end total assets		$	3,072,953	$	3,085,446		$	1,149,918	$	1,091,431	$	370,790	$	393,708

	Global Banking					Global Markets			All Other
		2022		2021			2022		2021		2022		2021
Net interest income		$	8,304	$	6,150		$	2,717	$	2,980	$	73	$	193
Noninterest income		7,487		8,817			11,560		12,457		(3,599)		(3,661)
Total revenue, net of interest expense		15,791		14,967			14,277		15,437		(3,526)		(3,468)
Provision for credit losses		492		(2,738)			24		33		(130)		(148)
Noninterest expense		8,133		7,915			9,249		10,150		1,830		962
Income before income taxes		7,166		9,790			5,004		5,254		(5,226)		(4,282)
Income tax expense		1,899		2,643			1,326		1,366		(4,263)		(6,345)
Net income		$	5,267	$	7,147		$	3,678	$	3,888	$	(963)	$	2,063
Period-end total assets		$	575,442	$	623,640		$	848,752	$	776,929	$	128,051	$	199,738

(1) There were no material intersegment revenues.


						Bank of America 96

The tables below present noninterest income and the associated components for the three and nine months ended September 30, 2022 and 2021 for each business segment, All Other and the total Corporation. For more information, see Note 2 – Net Interest Income and Noninterest Income.



Noninterest Income by Business Segment and All Other

	Total Corporation				Consumer Banking					Global Wealth & Investment Management
	Three Months Ended September 30
(Dollars in millions)	2022		2021			2022		2021			2022		2021
Fees and commissions:
Card income
Interchange fees	$	1,060	$	1,154		$	834	$	905		$	4	$	11
Other card income	513		429			497		412			12		12
Total card income	1,573		1,583			1,331		1,317			16		23
Service charges
Deposit-related fees	1,162		1,619			597		935			18		18
Lending-related fees	304		309			—		—			—		—
Total service charges	1,466		1,928			597		935			18		18
Investment and brokerage services
Asset management fees	2,920		3,276			47		49			2,874		3,228
Brokerage fees	875		960			26		32			381		454
Total investment and brokerage services	3,795		4,236			73		81			3,255		3,682
Investment banking fees
Underwriting income	452		1,168			—		—			47		83
Syndication fees	283		346			—		—			—		—
Financial advisory services	432		654			—		—			—		—
Total investment banking fees	1,167		2,168			—		—			47		83
Total fees and commissions	8,001		9,915			2,001		2,333			3,336		3,806
Market making and similar activities	3,068		2,005			3		—			30		9
Other income (loss)	(332)		(248)			116		12			82		43
Total noninterest income	$	10,737	$	11,672		$	2,120	$	2,345		$	3,448	$	3,858


	Global Banking				Global Markets					All Other (1)
	Three Months Ended September 30
	2022		2021			2022		2021			2022		2021
Fees and commissions:
Card income
Interchange fees	$	204	$	180		$	18	$	59		$	—	$	(1)
Other card income	2		5			—		—			2		—
Total card income	206		185			18		59			2		(1)
Service charges
Deposit-related fees	524		633			24		30			(1)		3
Lending-related fees	247		256			57		53			—		—
Total service charges	771		889			81		83			(1)		3
Investment and brokerage services
Asset management fees	—		—			—		—			(1)		(1)
Brokerage fees	11		9			457		471			—		(6)
Total investment and brokerage services	11		9			457		471			(1)		(7)
Investment banking fees
Underwriting income	181		512			260		629			(36)		(56)
Syndication fees	148		177			135		170			—		(1)
Financial advisory services	397		608			35		45			—		1
Total investment banking fees	726		1,297			430		844			(36)		(56)
Total fees and commissions	1,714		2,380			986		1,457			(36)		(61)
Market making and similar activities	52		40			2,874		2,014			109		(58)
Other income (loss)	499		640			(120)		48			(909)		(991)
Total noninterest income	$	2,265	$	3,060		$	3,740	$	3,519		$	(836)	$	(1,110)

(1)All Other includes eliminations of intercompany transactions.


97 Bank of America



Noninterest Income by Business Segment and All Other

	Total Corporation				Consumer Banking					Global Wealth & Investment Management
	Nine Months Ended September 30
(Dollars in millions)	2022		2021			2022		2021			2022		2021
Fees and commissions:
Card income
Interchange fees	$	3,067	$	3,431		$	2,430	$	2,687		$	15	$	33
Other card income	1,464		1,173			1,406		1,131			36		29
Total card income	4,531		4,604			3,836		3,818			51		62
Service charges
Deposit-related fees	4,109		4,671			2,120		2,617			56		54
Lending-related fees	907		923			—		—			—		—
Total service charges	5,016		5,594			2,120		2,617			56		54
Investment and brokerage services
Asset management fees	9,308		9,434			149		136			9,164		9,298
Brokerage fees	2,870		2,988			83		100			1,231		1,312
Total investment and brokerage services	12,178		12,422			232		236			10,395		10,610
Investment banking fees
Underwriting income	1,559		4,028			—		—			154		305
Syndication fees	896		1,047			—		—			—		—
Financial advisory services	1,297		1,461			—		—			—		—
Total investment banking fees	3,752		6,536			—		—			154		305
Total fees and commissions	25,477		29,156			6,188		6,671			10,656		11,031
Market making and similar activities	9,023		7,360			5		1			66		31
Other income (loss)	(1,863)		(987)			109		35			165		147
Total noninterest income	$	32,637	$	35,529		$	6,302	$	6,707		$	10,887	$	11,209


	Global Banking				Global Markets					All Other (1)
	Nine Months Ended September 30
	2022		2021			2022		2021			2022		2021
Fees and commissions:
Card income
Interchange fees	$	573	$	503		$	49	$	208		$	—	$	—
Other card income	5		12			—		—			17		1
Total card income	578		515			49		208			17		1
Service charges
Deposit-related fees	1,849		1,877			80		117			4		6
Lending-related fees	741		760			166		163			—		—
Total service charges	2,590		2,637			246		280			4		6
Investment and brokerage services
Asset management fees	—		—			—		—			(5)		—
Brokerage fees	36		90			1,520		1,504			—		(18)
Total investment and brokerage services	36		90			1,520		1,504			(5)		(18)
Investment banking fees
Underwriting income	635		1,754			944		2,165			(174)		(196)
Syndication fees	466		547			430		500			—		—
Financial advisory services	1,197		1,341			99		119			1		1
Total investment banking fees	2,298		3,642			1,473		2,784			(173)		(195)
Total fees and commissions	5,502		6,884			3,288		4,776			(157)		(206)
Market making and similar activities	181		99			8,721		7,448			50		(219)
Other income (loss)	1,804		1,834			(449)		233			(3,492)		(3,236)
Total noninterest income	$	7,487	$	8,817		$	11,560	$	12,457		$	(3,599)	$	(3,661)

(1)All Other includes eliminations of intercompany transactions.


						Bank of America 98



Business Segment Reconciliations

	Three Months Ended September 30				Nine Months Ended September 30
(Dollars in millions)	2022		2021		2022		2021
Segments’ total revenue, net of interest expense	$	25,407	$	23,912	$	74,259	$	70,843
Adjustments (1):
Asset and liability management activities	(13)		3		(146)		(41)
Liquidating businesses, eliminations and other	(786)		(1,048)		(3,380)		(3,427)
FTE basis adjustment	(106)		(101)		(315)		(322)
Consolidated revenue, net of interest expense	$	24,502	$	22,766	$	70,418	$	67,053
Segments’ total net income	7,363		7,746		21,359		22,902
Adjustments, net-of-tax (1):
Asset and liability management activities	(24)		10		(106)		(20)
Liquidating businesses, eliminations and other	(257)		(65)		(857)		2,083
Consolidated net income	$	7,082	$	7,691	$	20,396	$	24,965

					September 30
					2022		2021
Segments’ total assets					$	2,944,902	$	2,885,708
Adjustments (1):
Asset and liability management activities, including securities portfolio					1,129,824		1,296,026
Elimination of segment asset allocations to match liabilities					(1,065,057)		(1,162,175)

Other					63,284		65,887
Consolidated total assets					$	3,072,953	$	3,085,446

(1)Adjustments include consolidated income, expense and asset amounts not specifically allocated to individual business segments.


99 Bank of America

Glossary

Alt-A Mortgage – A type of U.S. mortgage that is considered riskier than A-paper, or “prime,” and less risky than “subprime,” the riskiest category. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher LTVs.

Assets Under Management (AUM) – The total market value of assets under the investment advisory and/or discretion of GWIM which generate asset management fees based on a percentage of the assets’ market values. AUM reflects assets that are generally managed for institutional, high net worth and retail clients, and are distributed through various investment products including mutual funds, other commingled vehicles and separate accounts.

Banking Book – All on- and off-balance sheet financial instruments of the Corporation except for those positions that are held for trading purposes.

Brokerage and Other Assets – Non-discretionary client assets which are held in brokerage accounts or held for safekeeping.

Committed Credit Exposure – Any funded portion of a facility plus the unfunded portion of a facility on which the lender is legally bound to advance funds during a specified period under prescribed conditions.

Credit Derivatives – Contractual agreements that provide protection against a specified credit event on one or more referenced obligations.

Credit Valuation Adjustment (CVA) – A portfolio adjustment required to properly reflect the counterparty credit risk exposure as part of the fair value of derivative instruments.

Debit Valuation Adjustment (DVA) – A portfolio adjustment required to properly reflect the Corporation’s own credit risk exposure as part of the fair value of derivative instruments and/or structured liabilities.

Funding Valuation Adjustment (FVA) – A portfolio adjustment required to include funding costs on uncollateralized derivatives and derivatives where the Corporation is not permitted to use the collateral it receives.

Interest Rate Lock Commitment (IRLC) – Commitment with a loan applicant in which the loan terms are guaranteed for a designated period of time subject to credit approval.

Letter of Credit – A document issued on behalf of a customer to a third party promising to pay the third party upon presentation of specified documents. A letter of credit effectively substitutes the issuer’s credit for that of the customer.

Loan-to-value (LTV) – A commonly used credit quality metric. LTV is calculated as the outstanding carrying value of the loan divided by the estimated value of the property securing the loan.

Macro Products – Include currencies, interest rates and commodities products.

Margin Receivable – An extension of credit secured by eligible securities in certain brokerage accounts.

Matched Book – Repurchase and resale agreements or securities borrowed and loaned transactions where the overall asset and liability position is similar in size and/or maturity. Generally, these are entered into to accommodate customers where the Corporation earns the interest rate spread.

Mortgage Servicing Rights (MSR) – The right to service a mortgage loan when the underlying loan is sold or securitized. Servicing includes collections for principal, interest and escrow payments from borrowers and accounting for and remitting principal and interest payments to investors.

Nonperforming Loans and Leases – Includes loans and leases that have been placed on nonaccrual status, including nonaccruing loans whose contractual terms have been restructured in a manner that grants a concession to a borrower experiencing financial difficulties.

Prompt Corrective Action (PCA) – A framework established by the U.S. banking regulators requiring banks to maintain certain levels of regulatory capital ratios, comprised of five categories of capitalization: “well capitalized,” “adequately capitalized,” “undercapitalized,” “significantly undercapitalized” and “critically undercapitalized.” Insured depository institutions that fail to meet certain of these capital levels are subject to increasingly strict limits on their activities, including their ability to make capital distributions, pay management compensation, grow assets and take other actions.

Subprime Loans – Although a standard industry definition for subprime loans (including subprime mortgage loans) does not exist, the Corporation defines subprime loans as specific product offerings for higher risk borrowers.

Troubled Debt Restructurings (TDRs) – Loans whose contractual terms have been restructured in a manner that grants a concession to a borrower experiencing financial difficulties. Certain consumer loans for which a binding offer to restructure has been extended are also classified as TDRs.

Value-at-Risk (VaR) – VaR is a model that simulates the value of a portfolio under a range of hypothetical scenarios in order to generate a distribution of potential gains and losses. VaR represents the loss the portfolio is expected to experience with a given confidence level based on historical data. A VaR model is an effective tool in estimating ranges of potential gains and losses on our trading portfolios.


						Bank of America 100

Key Metrics

Active Digital Banking Users – Mobile and/or online active users over the past 90 days.

Active Mobile Banking Users – Mobile active users over the past 90 days.

Book Value – Ending common shareholders’ equity divided by ending common shares outstanding.

Common Equity Ratio - Ending common shareholders’ equity divided by ending total assets.

Deposit Spread – Annualized net interest income divided by average deposits.

Dividend Payout Ratio – Common dividends declared divided by net income applicable to common shareholders.

Efficiency Ratio – Noninterest expense divided by total revenue, net of interest expense.

Gross Interest Yield – Effective annual percentage rate divided by average loans.

Net Interest Yield – Net interest income divided by average total interest-earning assets.

Operating Margin – Income before income taxes divided by total revenue, net of interest expense.

Return on Average Allocated Capital – Adjusted net income divided by allocated capital.

Return on Average Assets – Net income divided by total average assets.

Return on Average Common Shareholders’ Equity – Net income applicable to common shareholders divided by average common shareholders’ equity.

Return on Average Shareholders’ Equity – Net income divided by average shareholders’ equity.

Risk-adjusted Margin – Difference between total revenue, net of interest expense, and net credit losses divided by average loans.


101 Bank of America

Acronyms


ABS			Asset-backed securities
AFS			Available-for-sale

ALM			Asset and liability management
ARR			Alternative reference rates
AUM			Assets under management


BANA			Bank of America, National Association
BHC			Bank holding company

BofAS			BofA Securities, Inc.
BofASE			BofA Securities Europe SA
bps			Basis points


CCAR			Comprehensive Capital Analysis and Review
CDO			Collateralized debt obligation
CDS			Credit default swap
CECL			Current expected credit losses
CET1			Common equity tier 1

CFTC			Commodity Futures Trading Commission


CLTV			Combined loan-to-value

CVA			Credit valuation adjustment

DVA			Debit valuation adjustment



EPS			Earnings per common share

ESG			Environmental, social and governance


FCA			Financial Conduct Authority
FDIC			Federal Deposit Insurance Corporation



FHA			Federal Housing Administration

FHLB			Federal Home Loan Bank
FHLMC			Freddie Mac
FICC			Fixed income, currencies and commodities
FICO			Fair Isaac Corporation (credit score)


FNMA			Fannie Mae
FTE			Fully taxable-equivalent
FVA			Funding valuation adjustment
GAAP			Accounting principles generally accepted in the United States of America

GLS			Global Liquidity Sources
GNMA			Government National Mortgage Association


















GWIM			Global Wealth & Investment Management
HELOC			Home equity line of credit
HQLA			High Quality Liquid Assets
HTM			Held-to-maturity


IRLC			Interest rate lock commitment

ISDA			International Swaps and Derivatives Association, Inc.
LCR			Liquidity Coverage Ratio

LHFS			Loans held-for-sale
LIBOR			London Interbank Offered Rate
LTV			Loan-to-value

MBS			Mortgage-backed securities
MD&A			Management’s Discussion and Analysis of Financial Condition and Results of Operations

MLI			Merrill Lynch International
MLPCC			Merrill Lynch Professional Clearing Corp
MLPF&S			Merrill Lynch, Pierce, Fenner & Smith Incorporated

MSA			Metropolitan Statistical Area
MSR			Mortgage servicing right


NSFR			Net Stable Funding Ratio

OCC			Office of the Comptroller of the Currency

OCI			Other comprehensive income
OREO			Other real estate owned


PCA			Prompt Corrective Action



PPP			Paycheck Protection Program


RWA			Risk-weighted assets

SBA			Small Business Administration
SBLC			Standby letter of credit

SCB			Stress capital buffer

SEC			Securities and Exchange Commission
SLR			Supplementary leverage ratio



TDR			Troubled debt restructurings
TLAC			Total loss-absorbing capacity



VaR			Value-at-Risk
VIE			Variable interest entity


						Bank of America 102

Part II. Other Information

Bank of America Corporation and Subsidiaries

Item 1. Legal Proceedings

See Litigation and Regulatory Matters in Note 10 – Commitments and Contingencies to the Consolidated Financial Statements, which is incorporated by reference in this Item 1, for litigation and regulatory disclosure that supplements the disclosure in Note 12 – Commitments and Contingencies to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.

Item 1A. Risk Factors

There are no material changes from the risk factors set forth under Part 1, Item 1A. Risk Factors of the Corporation’s 2021 Annual Report on Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

The table below presents share repurchase activity for the three months ended September 30, 2022. The primary source of funds for cash distributions by the Corporation to its shareholders is dividends received from its banking subsidiaries. Each of the banking subsidiaries is subject to various regulatory policies and requirements relating to the payment of dividends, including requirements to maintain capital above regulatory minimums. All of the Corporation’s preferred stock outstanding has preference over the Corporation’s common stock with respect to payment of dividends.



(Dollars in millions, except per share information; shares in thousands)	Total Common Shares Repurchased (1,2)	Weighted-Average Per Share Price		Total Shares Purchased as Part of Publicly Announced Programs (2)	Remaining Buyback Authority Amounts (3)
July 1 - 31, 2022	6	$	32.67	—	$	16,412
August 1 - 31, 2022	3,335	35.28		1,415	16,408
September 1 - 30, 2022	11,776	34.14		11,773	16,373
Three months ended September 30, 2022	15,117	34.39		13,188

(1)Includes 2 million shares of the Corporation’s common stock acquired by the Corporation in connection with satisfaction of tax withholding obligations on vested restricted stock or restricted stock units and certain forfeitures and terminations of employment-related awards and for potential re-issuance to certain employees under equity incentive plans.

(2)On October 20, 2021, the Corporation announced its Board of Directors (Board) authorized the repurchase of up to $25 billion of common stock over time (October 2021 Authorization). The Board also authorized repurchases to offset shares awarded under equity-based compensation plans. This October 2021 Authorization replaced the April 15, 2021 authorization for repurchases of up to $25 billion of common stock. During the three months ended September 30, 2022, pursuant to the Board’s authorization, the Corporation repurchased 13 million shares, or $450 million, of its common stock, predominantly offsetting shares awarded under equity-based compensation plans. For more information, see Capital Management - CCAR and Capital Planning in the MD&A on page 23 and Note 11 – Shareholders’ Equity to the Consolidated Financial Statements.

(3)Remaining Buyback Authority Amounts represents the remaining buyback authority of the October 2021 Authorization. Excludes repurchases to offset shares awarded under equity-based compensation plans.

The Corporation did not have any unregistered sales of equity securities during the three months ended September 30, 2022.

Item 5. Other Information

Pursuant to Section 13(r) of the Securities Exchange Act of 1934, as amended (Exchange Act), an issuer is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities designated pursuant to certain Executive Orders. Disclosure may be required even where the activities, transactions or dealings were conducted in compliance with applicable law. Except as set forth below, as of the date of this Quarterly Report on Form 10-Q, the Corporation is not aware of any other activity, transaction or dealing by any of its affiliates during the quarter ended September 30, 2022 that requires disclosure under Section 13(r) of the Exchange Act.

During the third quarter of 2022, Bank of America, National Association (BANA), a U.S. subsidiary of Bank of America Corporation, processed transactions pursuant to a specific license and a general license issued by the U.S. Department of

the Treasury’s Office of Foreign Assets Control (OFAC). First, pursuant to a specific license issued on April 21, 2022, BANA processed four authorized wire deposits totaling $883,806 on behalf of a U.S. client into its account at BANA. The wire deposits settled invoices owed to the U.S. client and were unblocked funds belonging to Jammal Trust Bank, which at the time of the deposits was designated pursuant to Executive Order 13224. Second, BANA processed one authorized payment pursuant to a general license issued by OFAC regarding the provision of legal services for or on behalf of persons designated pursuant to Executive Order 13324. BANA processed the payment, which totaled $178,901, for a U.S. client.

There was no measurable gross revenue or net profit to the Corporation relating to these transactions. The Corporation may in the future engage in similar transactions for its clients to the extent permitted by U.S. law.


103 Bank of America

Item 6. Exhibits



			Incorporated by Reference
Exhibit No.	Description	Notes	Form	Exhibit	Filing Date	File No.

3.1	Restated Certificate of Incorporation, as amended and in effect on the date hereof		10-Q	3.1	4/29/22	1-6523

3.2	Amended and Restated Bylaws of the Corporation as in effect on the date hereof		10-Q	3.2	4/29/22	1-6523

10.1	Amended Exhibit B to the Form of Aircraft Time Sharing Agreement (Multiple Aircraft) between Bank of America, N.A. and certain executive officers of the Corporation, including certain Named Executive Officers	1,2

22	Subsidiary Issuers of Guaranteed Securities		10-Q	22	10/29/21	1-6523

31.1	Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002	1

31.2	Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002	1

32.1	Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002	3

32.2	Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002	3

101.INS	Inline XBRL Instance Document	4

101.SCH	Inline XBRL Taxonomy Extension Schema Document	1

101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	1

101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	1

101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	1

101.DEF	Inline XBRL Taxonomy Extension Definitions Linkbase Document	1

104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

(1)Filed herewith.

(2)Exhibit is a management contract or compensatory plan or arrangement.

(3)Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.

(4)The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.

Signature

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Bank of America Corporation

Registrant

Date:

October 28, 2022

/s/ Rudolf A. Bless

Rudolf A. Bless
Chief Accounting Officer


						Bank of America 104