Collateral posted subject to unilateral termination upon downgrade, second incremental notch

  
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 CollateralCertain 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.

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| 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 |  | SecondIncremental 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 DerivativesThe 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.

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| 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.

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| 61 Bank of America |  |  |


