Basel Pillar 3 Regulatory Capital Disclosures

Pillar3RegulatoryCapitalDisclosures
StandardizedApproach
ForthequarterendedSeptember30,2015
Bank of America Pillar 3 Regulatory Capital Disclosures
TABLEOFCONTENTS
DISCLOSUREMAP........................................................................................................................................................................3
SCOPEOFAPPLICATION...............................................................................................................................................................4
CAPITALSTRUCTURE....................................................................................................................................................................5
CAPITALADEQUACY.....................................................................................................................................................................5
CREDITRISK..................................................................................................................................................................................7
COUNTERPARTYCREDITRISK......................................................................................................................................................8
CREDITRISKMITIGATION..........................................................................................................................................................10
SECURITIZATION........................................................................................................................................................................10
MARKETRISKOVERVIEW...........................................................................................................................................................13
EQUITYEXPOSURESNOTSUBJECTTOMARKETRISK..............................................................................................................19
INTERESTRATERISKFORNONTRADINGACTIVITIES................................................................................................................20
SUPPLEMENTARYLEVERAGERATIO..........................................................................................................................................20
APPENDIX...................................................................................................................................................................................22
ImportantPresentationInformation
These disclosures are required by regulatory capital rules promulgated by the Office of the Comptroller of the Currency, the Board of
Governors of the Federal Reserve System (Federal Reserve), and the Federal Deposit Insurance Corporation (FDIC) (collectively, U.S.
banking regulators) in alignment with the Basel 3 regulatory capital framework. These disclosures provide qualitative and quantitative
informationaboutregulatorycapitalandriskweightedassetsonatransitionbasisfortheStandardizedapproach,andshouldbereadin
conjunctionwithourForm10QfortheperiodendedSeptember30,2015,Form10KfortheyearendedDecember31,2014andthe
ConsolidatedFinancialStatementsforBankHoldingCompaniesFRY9CfortheperiodendedSeptember30,2015.
The Corporations Pillar 3 disclosures may include some financial information that has not been prepared under accounting principles
generallyacceptedintheUnitedStatesofAmerica(GAAP).CertaininformationcontainedinthePillar3disclosuresispreparedpursuant
toinstructionsintheU.S.Basel3FinalRule(Basel3).

U.S.bankingregulatorspermitcertainPillar3disclosurerequirementstobeaddressedbytheirinclusionintheConsolidatedFinancial
Statements of the Corporation. In such instances, incorporation into this report is made by reference to the relevant section(s) of the
most recent Forms 10Q and 10K filed with the Securities and Exchange Commission (SEC) of the United States. This Pillar 3 report
should be read in conjunction with the aforementioned reports as information regarding regulatory capital and risk management is
largelycontainedinthosefilings.Thetablebelowindicatesthelocationofsuchdisclosures.
DISCLOSUREMAP
Pillar3Report
pagereference
4
4
4
Pillar3Requirement
Description
Scopeof
Appl i ca ti on
Corpora teOvervi ew
Pri nci pl es ofCons ol i da ti ona ndBa s i s ofPres enta ti on
Ba s el 3Regul a toryCa pi ta l Sta nda rds a ndDi s cl os ures
Ca pi ta l Structure
Ca pi ta l Structure
Ca pi ta l Adequa cy
Regul a toryCa pi ta l Ra ti os
Ri s kWei ghtedAs s ets
Credi tRi s k
5
6
7
7
Credi tRi s kExpos ures
Ca pi ta l Adequa cy
Credi tRi s k
Counterpa rtyCredi tRi s k

Va l ua ti onAdjus tments
Counterpa rtyCredi t Ri s kMi ti ga ti on
Ri s k
Credi tLi mi ts
Col l a tera l Va l ua ti on
Counterpa rtyCredi tRi s kExpos ures
Credi tRi s k
Credi tRi s kMi ti ga ti on
Mi ti ga ti on
Securi ti za ti on
Ri s kMa na gement
Securi ti za ti on
Rol es wi thi nSecuri ti za ti onProces s es
Accounti ngPol i ci es
Securi ti za ti onExpos ures
Ma rketRi s kOvervi ew
Tra di ngBook
Model Ri s kMa na gement
Tra di ngRi s kMa na gement
Va l uea tRi s k
Regul a toryVa R
Ma rketRi s k
Ba cktes ti ng
Stres s edVa l uea tRi s k
Incrementa l Ri s kCha rge
Comprehens i veRi s kMea s ure
Securi ti za ti onActi vi tyWi thi ntheTra di ngBook
Tra di ngPortfol i oStres s Tes ti ng
Equi tyExpos ures Equi tyExpos ures NotSubjecttoMa rketRi s k
Accounti nga ndVa l ua ti on
NotSubjectto
Equi tyExpos ures
Ma rketRi s k
Interes tRa teRi s kForNontra di ngActi vi ti es
Interes tRa teRi s k
Ri s kMea s urement
i ntheBa nki ngBook
Ri s kMa na gement
Suppl ementa ry
Suppl ementa ryLevera geRa ti o
Levera geRa ti o
8
8
9
9
9
9
10
10
11
11
11
12
13
13
14
14
14
15
16
16
16
17
18
18
19
19
19
20
20
20
20
3Q15Form10Q
pagereference
4
138
57
2014Form10K
pagereference
2
149
59,228
57,61,135,193,203, 62,159,210,222,225,
204
228
56
59
61,64,228
59,60,65
60
61
55,75,108,156,175 8,55,70,95,175,190
20,24,75,108,140, 95,128,149,160,170,
151,156,175,198
175,190,213
150
70
105,140,151,207
93,169
104
92,150
55,75
55,70
150
149,207
140,195
160,208
75
70
177
192
177
149
113,118,207
9,99,105,241
113
113
99
100
100
116
103
177
55,118
192
58,104
207
149
118
118
119
105
105
105
59
64
SCOPEOFAPPLICATION
CorporateOverview
BankofAmericaCorporation(together,withitsconsolidatedsubsidiaries,BankofAmerica,weorus)isaDelawarecorporation,abank
holding company (BHC) and a financial holding company. When used in this report, the Corporation may refer to Bank of America
Corporation individually, Bank of America Corporation and its subsidiaries, or certain of Bank of America Corporations subsidiaries or
affiliates.AspartofoureffortstostreamlinetheCorporationsorganizationalstructureandreducecomplexityandcosts,theCorporation
hasreducedandintendstocontinuetoreducethenumberofitscorporatesubsidiaries,includingthroughintercompanymergers.Bank
of America is one of the worlds largest financial institutions, serving individual consumers, small and middlemarket businesses,
institutionalinvestors,largecorporationsandgovernmentswithafullrangeofbanking,investing,assetmanagementandotherfinancial
andriskmanagementproductsandservices.OurprincipalexecutiveofficesarelocatedintheBankofAmericaCorporateCenter,100
NorthTryonStreet,Charlotte,NorthCarolina28255.
PrinciplesofConsolidationandBasisofPresentation
TheConsolidatedFinancialStatementsincludetheaccountsoftheCorporationanditsmajorityownedsubsidiaries,andthosevariable
interestentities(VIEs)wheretheCorporationistheprimarybeneficiary.Intercompanyaccountsandtransactionshavebeeneliminated.
ResultsofoperationsofacquiredcompaniesareincludedfromthedatesofacquisitionandforVIEs,fromthedatesthattheCorporation
becametheprimarybeneficiary.AssetsheldinanagencyorfiduciarycapacityarenotincludedintheConsolidatedFinancialStatements.
TheCorporationaccountsforinvestmentsincompaniesforwhichitownsavotinginterestandforwhichithastheabilityto exercise
significant influence over operating and financing decisions using the equity method of accounting. These investments are included in
otherassets.EquitymethodinvestmentsaresubjecttoimpairmenttestingandtheCorporationsproportionateshareofincomeorlossis
includedinequityinvestmentincome.
The preparation of the Consolidated Financial Statements in conformity with GAAP requires management to make estimates and
assumptionsthataffectreportedamountsanddisclosures.Realizedresultscoulddifferfromthoseestimatesandassumptions.Thebasis
for consolidation for both financial and regulatory reporting is in accordance with GAAP. Basel rules are applied to those financial
statements and both on and offbalance sheet exposures. For additional information, refer to Note 1 Summary of Significant
AccountingPrinciplesintheSeptember30,2015Form10QandDecember31,2014Form10K.
Basel3RegulatoryCapitalStandardsandDisclosures
Basel3isaglobalregulatorycapitalframeworkdevelopedbytheBaselCommitteeonBankingSupervision.Basel3iscomposedofthree
parts,orpillars.Pillar1addressescapitaladequacyandprovidesminimumcapitalrequirements.Pillar2requiressupervisoryreviewof
capital adequacy assessments and strategies. Pillar 3 promotes market discipline through prescribed regulatory public disclosures on
capitalstructure,capitaladequacy,andriskweightedassets(RWA).
OnJanuary1,2014,theCorporationbecamesubjecttoBasel3,whichincludescertaintransitionprovisionsthroughJanuary1,2019.The
Corporation and its primary affiliated banking entity, Bank of America, National Association (BANA), are Advanced approaches
institutions under Basel 3. Basel 3 updated the composition of capital and established a Common equity tier 1 capital ratio. Basel 3
revised minimum capital ratios and buffer requirements, added a supplementary leverage ratio (SLR), and addressed the adequately
capitalized minimum requirements under the Prompt Corrective Action (PCA) framework. Finally, Basel 3 established two methods of
calculatingRWA,theStandardizedapproachandtheAdvancedapproaches.ThecompositionofregulatorycapitalunderBasel3issubject
toatransitionperiodasdescribedbelow.TheminimumcapitalratiorequirementsandrelatedbuffersarebeingphasedinfromJanuary
1,2014throughJanuary1,2019.
AsanAdvancedapproachesinstitution,underBasel3,wewererequiredtocompleteaqualificationperiod(parallelrun)todemonstrate
compliancewiththeBasel3AdvancedapproachestothesatisfactionofU.S.bankingregulators.Wereceivedapprovaltobeginusingthe
Advancedapproachescapitalframeworktodetermineriskbasedcapitalrequirementsbeginninginthefourthquarterof2015.Atthat
time,wewillberequiredtoreportregulatoryriskbasedcapitalratiosandRWAunderboththeStandardizedandAdvancedapproaches.
TheapproachthatyieldsthelowerratioistobeusedtoassesscapitaladequacyincludingunderthePCAframework.Priortothefourth
quarterof2015,wearerequiredtoreportourcapitaladequacyundertheStandardizedapproachonly.
Information contained in this report is presented in accordance with the Basel 3 rules for RWA and capital measurement under the
Standardized approach (Basel 3 Standardized Transition), and follows the Pillar 3 disclosure requirements for the quantitative and
qualitative presentation of data. Information presented herein may differ from similar information presented in the Consolidated
FinancialStatementsandotherpubliclyavailabledisclosures.Unlessspecifiedotherwise,allamountsandinformationarepresentedin
conformity with the definitions, rules, and requirements of Basel 3. For additional information on Basel 3 and management of the
4

Corporationsregulatorycapital,refertoCapitalManagementwithintheMD&AsectionintheSeptember30,2015Form10Qandthe
December31,2014Form10K,andNote16RegulatoryRequirementsandRestrictionsintheDecember31,2014Form10K.
CAPITALSTRUCTURE
UnderBasel3,Totalcapitalconsistsoftwotiersofcapital,Tier1andTier2.Tier1capitalisfurthercomposedofCommonequitytier1
capitalandadditionaltier1capital.Commonequitytier1capitalprimarilyincludescommonstock,retainedearningsandaccumulated
othercomprehensiveincome(AOCI).Goodwill,disallowedintangibleassetsandcertaindeferredtaxassetsareexcludedfromCommon
equitytier1capital.Additionaltier1capitalprimarilyincludesqualifyingnoncumulativepreferredstock,trustpreferredsecurities(Trust
Securities) subject to phaseout and certain minority interests. Certain deferred tax assets are also excluded. Tier 2 capital primarily
consistsofqualifyingsubordinateddebt,alimitedportionoftheallowanceforloanandleaselosses,TrustSecuritiessubjecttophaseout
and reserves for unfunded lending commitments. The Corporations Total capital is the sum of Tier 1 capital plus Tier 2 capital. For
additional information on the composition of regulatory capital, including regulatory adjustments and deductions made to Common
equity tier 1 capital, refer to Capital Management within the MD&A section in the September 30, 2015 Form 10Q and Note 16
RegulatoryRequirementsandRestrictionsintheDecember31,2014Form10K.
ThefollowingtablepresentsregulatorycapitalcompositionasmeasuredunderBasel3StandardizedTransitionatSeptember30,2015.
Table1CapitalCompositionunderBasel3StandardizedTransition
September30,2015
(Dollarsinmillions)
$233,632
Tota l commons ha rehol ders 'equi ty
Goodwi l l
(69,217)
Deferredta xa s s ets a ri s i ngfromnetopera ti ngl os s a ndta xcredi tca rryforwa rds
(3,703)
Una morti zednetperi odi cbenefi tcos ts recordedi na ccumul atedOCI,netofta x
1,964
Netunrea l i zed(ga i ns )l os s es onAFSdebta ndequi tys ecuri ti es a ndnet(gai ns )l os s es onderi va ti ves recordedi naccumul a tedOCI,netofta x 299
Inta ngi bl es ,othertha nmortga ges ervi ci ngri ghts a ndgoodwi l l
(1,102)
1
DVArel a tedtol i a bi l i ti es a ndderi va ti ves

152
Other
(376)
161,649
Commonequitytier1capital
22,273
Qua l i fyi ngpreferreds tock,netofi s s ua ncecos t
Deferredta xa s s ets a ri s i ngfromnetopera ti ngl os s a ndta xcredi tca rryforwa rds
(5,554)
Trus tpreferreds ecuri ti es
1,430
(470)
Defi nedbenefi tpens i onfunda s s ets
DVArel a tedtol i a bi l i ti es a ndderi va ti ves undertra ns i ti on
228
Other
(726)
TotalTier1capital
178,830
20,565
Longtermdebtqua l i fyi nga s Ti er2ca pi ta l
13,318
Qua l i fyi ngal lowa nceforcredi tl os s es
Nonqua l i fyi ngcapi ta l i ns truments s ubjecttopha s eoutfromTi er2ca pi ta l
4,803
Mi nori tyi nteres t
2,404
Other
(19)
Totalcapital
$219,901
1
Representslossonstructuredliabilitiesandderivatives,netoftax,thatisexcludedfromCommonequitytier1,Tier1andTotalcapitalforregulatorycapitalpurposes.
Fortermsandconditionsofcommonstockandpreferredstock,refertoNote11ShareholdersEquityintheSeptember30,2015Form
10Q.ForrelatedbreakdownofAOCI,referto Note12AccumulatedOther ComprehensiveIncome(Loss) in theSeptember30,2015
Form10Q.Foradditionalinformationongoodwillandintangibles,refertoNote8GoodwillandIntangibleAssetsintheSeptember30,
2015Form10Q.ForadditionalinformationonTrustSecurities,refertoNote11LongtermDebtintheDecember31,2014Form10K.
CAPITALADEQUACY
Capital adequacy is maintained as part of the capital management framework. This framework ensures sufficient capital is in place to
meetourbusinessneedsandcomplywithcurrentandfutureregulatorystandards.Capitalmanagementisintegratedintoourriskand
governanceprocesses,ascapitalisakeyconsiderationinthedevelopmentofourstrategicplan,riskappetiteandrisklimits.Weconduct
anInternalCapitalAdequacyAssessmentProcess(ICAAP)onaperiodicbasis.TheICAAPisaforwardlookingassessmentofourprojected
capitalneedsandresources,incorporatingearnings,balancesheetandriskforecastsunderbaselineandadverseeconomicandmarket
conditions.Weutilizeperiodicstressteststoassessthepotentialimpactstoourbalancesheet,earnings,regulatorycapitalandliquidity
underavarietyofstressscenarios.Weperformqualitativeriskassessmentstoidentifyandassessmaterialrisksnotfullycapturedinour
forecastsorstresstests.Foradditionalinformationonourcapitalmanagementandcapitalplanning,refertoCapitalManagementwithin
theMD&AsectionintheSeptember30,2015Form10Q.

TheFederalReserverequiresBHCstosubmitacapitalplanandrequestsforcapitalactionsonanannualbasis,consistentwiththerules
governingtheComprehensiveCapitalAnalysisandReview(CCAR)capitalplan.TheCCARcapitalplanisthecentralelementoftheFederal
ReservesapproachtoensurethatlargeBHCshaveadequatecapitalandrobustprocessesformanagingtheircapital.
RegulatoryCapitalRatios
Thefollowingtablepresentsriskbasedcapitalratiosandrelatedinformationaswellastheregulatoryminimumand"wellcapitalized"
ratio requirements under Basel 3 Standardized Transition for the Corporation, BANA and Bank of America California, National
Association(BACANA)atSeptember30,2015.
Table2RegulatoryCapital,Basel3Standardized
Bankof
America
Corporation
September30,2015
Bankof
Bankof
America
America,N.A. California,N.A.
(Dollarsinmillions)
RegulatoryCapital
Commonequi tyti er1ca pi ta l
Ti er1ca pi ta l
Total ca pi ta l
$161,649 $144,880 $2,912

178,830 144,880 2,912
219,901 160,331 3,033
Assets
Ri s kwei ghteda s s ets
$1,391,672 $1,160,684 $10,396
Adjus tedavera gea s s ets

CapitalRatios
Ti er1ca pi ta l
Total ca pi ta l
Ti er1l evera ge
2,091,628
1,553,269
23,570
11.6%
12.9
15.8
8.5
12.5%
12.5
13.8
9.3
28.0%
28.0
29.2
12.4
BankHoldingCompany
CapitalRatios
Ti er1ca pi ta l
Total ca pi ta l
Ti er1l evera ge
InsuredDepositoryInstitutions
Well
Well
Regulatory
Minimum
Capitalized
Regulatory
Minimum
Capitalized
4.5%
6.0
8.0
4.0
n/a
6.0%
10.0
n/a
4.5%
6.0
8.0
4.0
6.5%
8.0
10.0
5.0
1
Tobe"wellcapitalized"undercurrentU.S.bankingregulatoryagencydefinitions,abankholdingcompanymustmaintaintheseorhigherratiosandnotbesubjecttoaFederal
Reserveorderordirectivetomaintainhighercapitallevels.
2
Percentrequiredtomeetguidelinestobeconsidered"wellcapitalized"underthePromptCorrectiveActionframework.
n/a=notapplicable
AsofSeptember30,2015,BankofAmerica,allofitsU.S.bankingsubsidiaries,andotherregulatedsubsidiarieswerewellcapitalized
and met all capital requirements to which each was subject. The aggregate amount of surplus capital of subsidiaries engaged in the
insurancebusinesswas$255million.ForadditionalinformationonregulatorycapitalandcapitalratiosfortheCorporation,refertoTable
20BankofAmericaCorporationRegulatoryCapitalRatioRequirementsunderBasel3StandardizedTransitionandTable21Bankof
AmericaCorporationRegulatoryCapitalunderBasel3StandardizedTransition,andforBANA,refertoTable27BankofAmerica,N.A.
RegulatoryCapitalunderBasel3StandardizedTransitionwithintheMD&AsectionintheSeptember30,2015Form10Q.

RiskWeightedAssets
UndertheBasel3Standardizedapproach,RWAsarecalculatedbasedonproducttype(e.g.,mortgages,highvolatilitycommercialreal
estate)andobligortype(e.g.,sovereign,bank).ThefollowingtablepresentsRWAbyriskandexposuretypeunderBasel3Standardized
TransitionatSeptember30,2015.
September30,2015
Table3RWAbyRiskandExposureType
(Dollarsinmillions)
Wholesale
Soverei gn
GovernmentSectorEnti ties
Depos itoryIns ti tuti ons /ForeignBa nks /Credi tUnions
Publ i cSectorEnti ti es
Corporate
Hi ghVol a ti l i tyCommercia l Rea l Es tate
Retail
Res i denti al Mortga ge
Qua li fyi ngRevol vi ngExpos ures
OtherReta i l
Other
Pa s tDueLoa ns
Cl ea redTra ns acti ons
Defaul tFundContri butions
Uns ettl edTra ns actions
All Other
SecuritizationExposures
CounterpartyExposures
EquityExposures
MarketRisk
TotalRWA
$3,252
40,082
24,115
13,373
563,958
1,406
168,455
97,689
79,406
3,422
13,192
3,337
176
76,041
44,195
137,862
27,076
94,635
$1,391,672
CREDITRISK
Creditriskistheriskoflossarisingfromtheinabilityorfailureofaborrowerorcounterpartytomeetitsobligations.Economicormarket
disruptions, insufficient credit loss reserves or concentration of credit risk may result in an increase in the provision for credit losses,
whichcouldhaveanadverseeffectonourfinancialconditionandresultsofoperations.Anumberofourproductsexposeustocredit
risk, including loans and leases, letters of credit, derivatives, and assets heldforsale. The financial condition of our consumer and
commercialborrowersandcounterpartiescouldadverselyaffectourearnings.
Global and U.S. economic conditions may impact our credit portfolios. To the extent economic or market disruptions occur, such
disruptionswouldlikelyincreasetheriskthatborrowersorcounterpartieswoulddefaultorbecomedelinquentontheirobligationstous.
Increasesindelinquenciesanddefaultratescouldadverselyaffectourconsumerportfoliosthroughincreasedchargeoffsandprovision
forcreditlosses.Additionally,increasedcreditriskcouldadverselyaffectourcommercialloanportfolioswithweakenedcustomerand
collateral positions. For additional information on the assessment of credit risk as it relates to loans and leases, refer to Credit Risk
ManagementwithintheMD&AsectionintheSeptember30,2015Form10Q.
TheBoardofDirectors(Board)isresponsiblefortheoversightofthemanagementoftheCorporation.Aspartofitsoversight,theBoard
overseesthemanagementofthevarioustypesofriskfacedbytheCorporation.TheCreditCommitteeisaboardlevelcommitteeandis
responsibleforoversightofseniormanagementsidentificationandmanagementofcreditexposuresonanenterprisewidebasis,aswell
as the Corporations responses to trends affecting those exposures. The Management Risk Committee (MRC) is responsible for
managementoversightofallkeyrisksfacingtheCorporation.ForadditionalinformationontheCorporations creditriskmanagement
policy, refer to Managing Risk and Credit Risk Management within the MD&A section in the September 30, 2015 Form 10Q and the
December31,2014Form10K.
CreditRiskExposures
Creditriskexposures(calculatedaccordingtoexposuretype)asreportedunderGAAPcanbefoundwithintheCorporationsmostrecent
SECfilings.Foradditionalinformation,thespecificreferencesrelatedtocreditriskarelistedbelow.
Accounting Policies For information on internal policies governing past due and delinquency status, nonaccrual, allowance for credit
losses,andchargeoffofuncollectibleaccounts,refertoNote1SummaryofSignificantAccountingPrinciplesintheDecember31,2014
Form10K.

AverageBalancesForaverageassetbalances,refertoTable15QuarterlyAverageBalancesandInterestRatesFTEBasisandTable
16YeartoDateAverageBalancesandInterestRatesFTEBasisintheSeptember30,2015Form10Q.
Outstanding Loans and Leases The Corporation utilizes a Consumer and Commercial portfolio segmentation approach to present
informationrelatedtoloansandleases.Foradditionalinformationonloansandleasesincludingnonperforming,pastdueandimpaired
loans,refertoNote4OutstandingLoansandLeasesandCreditRiskManagementwithintheMD&AsectionintheSeptember30,2015
Form10Q,andStatisticalTableIXSelectedLoanMaturityDataintheDecember31,2014Form10K.
AllowanceforCreditLossesForadditionalinformationonthechangeinallowanceforcreditlosses,includingchargeoffs,recoveries,
provision for credit losses, and a reconciliation of changes in allowance for loan and lease losses, refer to Allowance for Credit Losses
withintheMD&AsectionandNote5AllowanceforCreditLossesintheSeptember30,2015Form10Q.
InvestmentSecuritiesForadditionalinformationonsecurities,refertoNote3SecuritiesintheSeptember30,2015Form10Q.
DerivativesForadditionalinformationonthederivativepositionsoftheCorporation,refertoNote2DerivativesintheSeptember30,
2015Form10Q.Foradditionalinformationonpurchasedandsoldcreditderivatives,collateralheldandgrosspositivefairvalue,referto
ScheduleHCLDerivativesandOffBalanceSheetItemsinBankofAmericasSeptember30,2015ConsolidatedFinancialStatementsfor
BankHoldingCompaniesFRY9C.
OffBalance Sheet Exposures For additional information on the offbalance sheet exposures for the Corporation, refer to Note 10
CommitmentsandContingenciesintheSeptember30,2015Form10Q.
CreditExposuresbyGeographic/IndustryDistributionForadditionalinformationonthegeographicandindustrydistributionofcredit
exposures categorized by exposure type, refer to Credit Risk Management within the MD&A section in the September 30, 2015 Form
10Q.
COUNTERPARTYCREDITRISK
Counterpartycreditriskistheriskthatacounterpartytoatransactionmaydefaultbeforecompletingthesatisfactorysettlementofthe
transaction. This risk applies to overthecounter (OTC) derivatives, eligible margin loans, repostyle transactions, and cleared
transactions.Clearedtransactionsincludeexchangetradedderivatives,OTCderivativesandrepostyletransactionsthattheCorporation
clearsthroughacentralcounterparty.Aneconomiclossoccursifthetransactionorportfoliooftransactionswiththecounterpartyhasa
positivereplacementcostoroutstandingloanamountthatexceedsanycollateralpostedbythecounterpartybeforethetransaction(s)
couldbeunwound,inthecaseofcounterpartydefault.
We use the current exposure method (CEM) to calculate exposure amounts for the counterparty credit risk of derivatives under the
Standardizedapproach.UnderCEM,exposureatdefault(EAD)isdeterminedbyaddingtheCorporationscurrentexposureandpotential
future exposure (PFE), as defined in Basel 3.The EADis then adjusted to reflect the risk reduction associated with legally enforceable
masternettingagreementsandthevalueofeligiblecollateralreceivedorposted.Thecollateralbenefitforderivatives,eligiblemargin
loans,andrepostyletransactionsiscalculatedusingstandardsupervisoryhaircutsunderthecollateralhaircutapproach.
In connection with certain OTC derivative contracts and other trading agreements, the Corporation could be required to provide
additionalcollateralortoterminatetransactionswithcertaincounterpartiesintheeventofadowngradeoftheseniordebtratingsofthe
Corporation or certain subsidiaries. The amount of additional collateral required depends on the contract and is usually a fixed
incrementalamountand/orthemarketvalueoftheexposure.Foradditional informationontheimpactofacreditratingdowngrade,
refertoNote2DerivativesintheSeptember30,2015Form10Q.
ValuationAdjustments
We record credit valuation adjustments (CVA) on the Corporations derivative assets in order to properly reflect the credit risk of the
counterparty.CVAisbasedonamarketcreditspreadandamodeledexpectedexposurethatincorporatescurrentmarketriskfactors
includingchangesinmarketspreadsandnoncreditrelatedmarketfactorsthataffectthevalueofaderivative.Theexposurealsotakes
into consideration credit mitigants such as legally enforceable master netting agreements and collateral. We also record a funding
valuation adjustment (FVA) to include funding costs on uncollateralized derivatives and derivatives where the Corporation is not
permittedtoreusethecollateralitreceives.TheCorporationalsocalculatesadebitvaluationadjustment(DVA)toproperlyreflectour
owncreditriskexposureaspartofthefairvalueofderivativeliabilities.DVAisdeductedfromCommonequitytier1capitalifthereisa
gain,andaddedbackifitisaloss.Foradditionalinformation,refertoNote2DerivativesandNote14FairValueMeasurementsinthe
September30,2015Form10Q.

RiskMitigation
AnumberoftechniquesareusedbytheCorporationtomanagecounterpartycreditrisk.Theseincludebutarenotlimitedtonetting,
collateral agreements and credit enhancements. Substantially all of the Corporations derivative contracts contain credit risk related
contingencyfeatures.OTCderivativetransactionsaregenerallyexecutedunderanindustrystandardapprovedformofamasternetting
agreement primarily in the form of International Swaps and Derivatives Association, Inc. (ISDA) master agreements that provide the
Corporationtherighttooffsetamountsowedtothecounterpartyagainstamountsowedbythesamecounterpartyandprovidesother
rights such as the ability for the Corporation to terminate a transaction upon default. Secured financing transactions are generally
executedunderstandardMasterRepurchaseAgreements(MRA),SecuritiesLendingAgreements(SLA)andotheragreementsthatwould
servesimilarpurposeswithrespecttonettingandterminationprovisions.
Creditenhancementsincludeavarietyofprovisionsthatmaybeusedtoreducethecreditriskrelatedtoatransactionorcounterparty.
Eventssuchasacreditratingdowngrade(dependingontheresultingratinglevel)orabreachofcreditcovenantswouldtypicallyrequire
anincreaseintheamountofcollateralrequiredofthecounterpartyand/orallowtheCorporationtotakeadditionalprotectivemeasures
suchasearlyterminationofalltrades.ThesecontingencyfeaturesmaybeforthebenefitoftheCorporationaswellasitscounterparties
with respect to changes in the Corporations creditworthiness. For additional information on collateral, refer to Note 1 Summary of
SignificantAccountingPrinciplesintheDecember31,2014Form10K.
CreditLimits
Aspartoftheoverallcreditriskassessment,ourcommercialcreditexposuresareassignedariskratingandaresubjecttoapprovalbased
on defined credit approval standards. In making credit decisions, we consider risk rating, collateral, country, industry and single name
concentrationlimitswhilealsobalancingthiswiththetotalborrowerorcounterpartyrelationship.Ourbusinessandriskmanagement
personneluseavarietyoftoolstocontinuouslymonitortheabilityofaborrowerorcounterpartytoperformunderitsobligations.For
additionalinformationoncreditlimits,refertoManagingRiskandCreditRiskManagementwithintheMD&AsectionintheSeptember
30,2015Form10Q.
CollateralValuation
Manyofourderivativetransactionsareexecutedundercollateralagreements.Collateralconsistsofassetsthatarepledgedassecurityby
asinglecounterpartytoanotherasassuranceofpaymentorperformanceagainstanobligation.Collateralagreementsgenerallyprovide
the Corporation the right to liquidate collateral held as payment in the event of a counterparty default. Collateral is managed by a
centralizedteamandmostcontractsaresubjecttoadailymarktomarketprocess.Collateralmovementsaregenerallyexecuteddailyin
accordance with the Corporations standard bilateral agreement with the counterparty. Collateral permits the reduction of the overall
exposuretothecounterpartybynettingthepositivemarketvalueofatransactionagainstthemarketvalueofthecollateralheldafter
haircutadjustment.Foradditionalinformation,refertoNote2DerivativesandNote14FairValueMeasurementsintheSeptember
30,2015Form10Q.
The Corporations credit policy defines acceptable forms of collateral for OTC derivatives, repostyle transactions, and eligible margin
loans, and is generally limited to cash, U.S. Treasury securities, U.S. agency securities and select Government Sponsored Agency
mortgagebackedsecurities(MBS),andcertainhighqualitysovereignsecurities.Foradditionalinformation,refertoNote1Summaryof
SignificantAccountingPrinciplesintheDecember31,2014Form10K.
Forinformationoncollateralheld,refertoScheduleHCLDerivativesandOffBalanceSheetItemsinBankofAmericasSeptember30,
2015ConsolidatedFinancialStatementsforBankHoldingCompaniesFRY9C.
CounterpartyCreditRiskExposures
ThefollowingtablepresentstheEADofOTCderivatives,clearedtransactions,repostyletransactionsandeligiblemarginloansforthe
Corporation at September 30, 2015. For additional information, refer to Note 2 Derivatives and Note 9 Federal Funds Sold or
Purchased,SecuritiesFinancingAgreementsandShorttermBorrowingsintheSeptember30,2015Form10Q.
Table4EADandRWAofOTCDerivatives(inclusiveofclearedtransactions),RepoStyleTransactionsandEligibleMarginLoans
(Dollarsinmillions)
OTCderi va ti ves
Repos tyl etra ns a cti ons &El i gi bl ema rgi nl oa ns
Total
September30,2015
EAD
RWA
$280,997 $109,011
88,331 61,245
$369,329 $170,256
CREDITRISKMITIGATION
The Corporation manages credit risk based on the risk profile of the borrower or counterparty, repayment sources, the nature of
underlying collateral, hedging options available and other support given current events, conditions and expectations. The Corporation
proactively refines its underwriting and credit management practices, as well as credit standards, to meet the changing economic
environment.Aspartofitscreditriskandportfoliomanagementactivities,theCorporationpurchasescreditprotectionintheformof
guarantees,privatecreditriskinsuranceandcreditderivativestohedgeexposuresthatitpurchases,originatesorparticipatesinsuchas
loansandinvestmentsecurities.UnderBasel3,theCorporationrecognizestheriskmitigatingeffectofqualifyingcreditriskhedgeson
banking book wholesale exposures in its regulatory capital calculations. Eligible credit hedges that the Corporation typically uses to
mitigate credit risk that also provide regulatory capital relief include guarantees and credit protection purchased from third parties.
Eligiblecreditdefaultswapcounterpartiesservingasguarantorsofcreditrisksinthebankingbookincludecommercialbanks,investment
banksandinsurancecompanies.
Apartfromusingeligiblecredithedgestomitigatecreditriskofwholesaleexposuresasdescribedabove,theCorporationalsousesother
riskmitigationtechniquestomanagethesizeandriskprofileoftheloanportfoliosuchasloansales,includingsyndicationofexposures
tothirdparties,andportfolioriskdiversificationthroughloansizeandgeography.TheCorporationalsoreviews,measuresandmanages
commercialrealestateloansbygeographiclocationandpropertytype.
TheCorporationassessescreditriskusingcomprehensivetoolsandmeasurestoallowustoidentifyandmitigateemergingrisksbefore
theybecomematerial.Oneprocessutilizesan analysisofcommercialutilizedcreditexposurebyindustrybasedonStandard&Poors
(S&P) industry classifications. This analysis includes commercial loans and leases, standby letters of credit and financial guarantees,
derivative assets, assets heldforsale and commercial letters of credit. Additional analysis focuses on assessing concentrations for
outstanding commercial real estate loans by the geographic region where the property is located as well as the type of property. For
additionalinformationoncreditriskmitigation,refertoCreditRiskManagementwithintheMD&AsectionintheSeptember30,2015
Form10Q.
ThefollowingtablequantifiesthewholesaleportfolioscoveredbyeligiblecreditderivativesandguaranteesatSeptember30,2015.
Table5WholesaleEADandRWACoveredbyEligibleGuarantees/CreditDerivatives
(Dollarsinmillions)
Corporate
Depos itoryIns tituti ons /Forei gnBanks /CreditUnions
Sovereign
All Other
Total
September30,2015
EAD
RWA
$16,522 $2,982
50
24
405
699
141
$17,676 $3,147
SECURITIZATION
SecuritizationexposuresunderBasel3aredefinedasonoroffbalancesheetcreditexposuresthatarisefromatraditionalorsynthetic
securitization(includingcreditenhancingrepresentationsandwarranties).Traditionalsecuritizationexposuresarethosewhereallora
portionofthecreditriskofoneormoreunderlyingexposuresistransferredtooneormorethirdpartiesotherthanthroughtheuseof
creditderivativesorguarantees,whereassyntheticsecuritizationsutilizederivativesorguaranteestotransfertherisktoathirdparty.
Resecuritization is the process of repackaging existing securitization securities into new securities with credit enhanced tranches for
investors. Additionally, in all instances, securitizations reflect exposures where the credit risk has been separated into at least two
tranches reflecting differing levels of seniority; performance of the securitization depends on the performance of the underlying
exposures;andallorsubstantiallyalloftheunderlyingexposuresarefinancialexposures.U.S.agencymortgagebackedsecuritizations
(e.g.,FannieMae,FreddieMacandGinnieMae)thatissuepassthroughsecuritiesthatarenotbrokenintotwoormoretranchelevelsof
seniorityarenotconsideredsecuritizationsundertheBasel3definitionandarenotincludedinthediscussionthatfollows.
TheCorporationroutinelysecuritizesloansanddebtsecurities.ThesesecuritizationsareasourceoffundingfortheCorporationanda
means of transferring the economic risk of the loans or debt securities to third parties. In a securitization, various classes of debt
securitiesmaybeissuedandaregenerallycollateralizedbyasingleclassoftransferredassetswhichmostoftenconsistsofresidential
mortgages,butmayalsoincludecommercialmortgages,creditcardreceivables,homeequityloans,automobileloans,MBS,municipal
bonds or other securities. Loans that have been securitized may be serviced by the Corporation or by third parties. With each
securitization,theCorporationmayretainaportionofthesecurities,subordinatedtranches,interestonlystrips,subordinatedinterests
inaccruedinterestandfeesonthesecuritizedreceivablesor,insomecases,overcollateralizationandcashreserveaccounts,allofwhich
arereferredtoasretainedinterests.
TheCorporationfollowstheBasel3prescribedhierarchyofapproachesforcomputationofcapitalrelatedtosecuritizationexposuresand
applies the Simplified Supervisory Formula Approach (SSFA) provided the Corporation is able to meet the operational requirements
10

related to data and modeling as required by these methodologies. The Corporation applies a 1,250 percent risk weight to those
securitizationexposureswhereSSFAcannotbeapplied.
RiskManagement
Where we are exposed to credit and market risk related to securitization and resecuritization positions, including portfolio risk and
sellersrisk,theCorporationmanagestheserisksaccordingtotheCorporationsRiskFramework.Methodstomonitorcreditandmarket
riskmayvarybasedonthetypeofsecuritizationportfolio.
Creditriskmanagementisresponsibleforapprovingcreditexposuretonewandongoingsecuritizationandresecuritizationexposures.
Initial and ongoing reviews include consideration of underlying collateral quality, credit enhancement levels and structural features.
Portfoliomanagementisresponsibleformonitoringperiodicservicerreportsagainstanyloanperformancetriggersorcovenants,aswell
asoverallperformancetrendsinthecontextofeconomic,sectorandservicerdevelopments.
TheCorporationperformsduediligenceforeachsecuritizationandresecuritization,anddocumentssuchduediligencewithinthreedays
ofacquiringeachpositionandonanongoingbasisatleastevery90daysasrequiredbyBasel3.TheCorporationsduediligencefocuses
on each positions structural features and credit metrics of the underlying assets of the securitization and resecuritization that would
materiallyaffecttheperformanceoftheposition.
For information on risk mitigation for securitizations, refer to Note 6 Securitizations and Other Variable Interest Entities in the
September30,2015Form10Q.
RoleswithinSecuritizationProcesses
Throughitsbrokerdealersubsidiaries,theCorporationmaystructureandunderwritetraditionalorsyntheticsecuritizationvehiclesfor
usebyothersubsidiariesoftheCorporationorthirdparties.
The Corporation may serve as originator, investor and servicer/collateral manager of assets transferred into traditional securitization
vehicles.TheCorporationmayalsoprovidecreditenhancementorserveasliquidityprovidertosecuritizationvehicles.Asaninvestor,
theCorporationanditssubsidiariesholdsecuritizationpositionsfromthirdpartyoriginateddealsandinsomeinstancesfrominternally
originateddeals.
AccountingPolicies
The Corporations accounting policies as they relate to securitization and securitization vehicles are in accordance with GAAP. For
additionalinformation,refertoNote6SecuritizationsandOtherVariableInterestEntitiesintheSeptember30,2015Form10Qand
Note1SummaryofSignificantAccountingPrinciplesintheDecember31,2014Form10K.
11

SecuritizationExposures
ThefollowingtablepresentsthetotaloutstandingprincipalamountofassetssecuritizedbytheCorporationasofSeptember30,2015
(excludingassetsinconsolidatedsecuritizationVIEs)forwhichtheCorporationretainsanexposurethatisnotsubjecttotheMarketRisk
Final Rule. Thirdparty assets held in Bank of Americasponsored vehicles are shown separately from securitized assets that were
originatedorpurchasedbytheCorporation.Assetsthatare90daysormorepastdueorinnonaccrualstatusareshownbelowinthelast
column.
Table6PrincipalAmountOutstandingandExposuresPastDuebyUnderlyingCollateralType
(Dollarsinmillions)
September30,2015
PrincipalAmountOutstanding
BACassetsheldin Thirdpartyassets
traditional heldintraditional
securitizations
securitizations
CollateralType:
Res i denti a lMortga ge
Muni ci pal Bonds
Total
BACassetsheldin
synthetic
securitizations
Assetsimpaired
orpastdue
$89,646 $2,121 $ $22,982

2,915
$92,561 $2,121
$ $22,982
The following table presents the amount of on and offbalance sheet securitization exposures by underlying exposure type as of
September30,2015.
Table7TotalSecuritizationEADandRWA
(Dollarsinmillions)
September30,2015
EAD
OnBalanceSheet OffBalanceSheet
Res i denti a lMortga ge

Commerci a lMortga ge
Commerci a la ndIndus tri al
Cons umerAuto
StudentLoans
Muni ci pal Bonds
Other
Total
$17,543
916
10,531
7,305
1,698
6,105
$44,097
$1,592
24
2,822
2,840
489
1,671
4,191
$13,629
Total
$19,134
940
13,353
10,146
2,187
1,671
10,296
$57,726
RWA
$24,231
478
12,740
2,468
608
450
3,220
$44,195
As of September 30, 2015 $617 million of banking book securitization exposures were deducted from the Corporations regulatory
capital.
ThefollowingtablepresentsnondeductedsecuritizationexposuresbyriskweightbandsasofSeptember30,2015.
Table8SecuritizationEADandRWAbyRiskWeights
(Dollarsinmillions)
SSFA
EAD
September30,2015
Total
1,250%
RWA
EAD
RWA
EAD
RWA
Securitization
=0%20%
>20%a nd50%
>50%a nd100%
>100%a nd<1,250%
=1,250%
$41,934
2,566
3,017
6,026
141
$8,387
722
2,556
21,151
1,757
371
4,635
$41,934
2,566
3,017
6,026
511
$8,387
722
2,556
21,151
6,391
Resecuritization
=0%20%
>20%50%
>50%100%
>100%<1,250%
=1,250%
TotalSecuritization
952
776
501
812
36
$56,760
190
266
412
3,670
448
$39,560
$371
$4,635
952
776
501
812
36
$57,131
190
266
412
3,670
448
$44,195
The credit risk mitigation benefit for securitization exposures was $200 million in aggregate, and no credit risk mitigation benefit was
appliedtoresecuritizationexposuresasofSeptember30,2015.
The total amount of banking book exposures intended to be securitized as of September 30, 2015 was $1.3billion in commercial real
estate.
12

For additional information on securitization exposures, including exposures securitized by the Corporation, gains (losses) recognized
duringtheperiod,andsecuritizationactivity,refertoNote6SecuritizationsandOtherVariableInterestEntitiesintheSeptember30,
2015Form10Q.
MARKETRISKOVERVIEW
Marketriskistheriskthatvaluesofassetsandliabilitiesorrevenueswillbeadverselyaffectedbychangesinmarketconditions.Thisrisk
is inherent in the financial instruments associated with our operations, primarily within our Global Markets segment. We are also
exposedtotheserisksinotherareasoftheCorporation(e.g.,ourAssetLiabilityManagement(ALM)activities).Intheeventofmarket
stress, these risks could have a material impact on the results of the Corporation. For additional information, refer to Market Risk
ManagementwithintheMD&AsectionintheSeptember30,2015Form10QandtheDecember31,2014Form10K.
Ourtraditionalbankingloananddepositproductsarenontradingpositionsandaregenerallyreportedatamortizedcostforassetsorthe
amount owed for liabilities (historical cost). However, these positions are still subject to changes in economic value based on varying
marketconditions,withoneoftheprimaryrisksbeingchangesinthelevelsofinterestrates.Theriskofadversechangesintheeconomic
value of our nontrading positions arising from changes in interest rates is managed through our ALM activities. For additional
information,refertoInterestRateRiskforNontradingActivitiesonpage20.
Wehaveelectedtoaccountforcertainassetsandliabilitiesunderthefairvalueoption.Foradditionalinformationonthefairvalueof
certainfinancialassetsandliabilities,refertoNote14FairValueMeasurementsintheSeptember30,2015Form10Q.
TradingBook
Our trading positions are reported at fair value with changes reflected in income. Trading positions are subject to various changes in
marketbasedriskfactors.Themajorityofthisriskisgeneratedbyouractivitiesintheinterestrate,foreignexchange,credit,equityand
commoditiesmarkets.Inaddition,thevaluesofassetsandliabilitiescouldchangeduetomarketliquidity,correlationsacrossmarkets
andexpectationsofmarketvolatility.Weseektomanagetheseriskexposuresbyusingavarietyoftechniquesthatencompassabroad
rangeoffinancialinstruments.ThekeyriskmanagementtechniquesarediscussedinmoredetailinTradingRiskManagementwithinthe
MD&Asection oftheSeptember30,201510Q.
GlobalMarketsRiskManagementisresponsibleforprovidingseniormanagementwithaclearandcomprehensiveunderstandingofthe
trading risks to which the Corporation is exposed. These responsibilities include ownership of market risk policy, developing and
maintaining quantitative risk models, calculating aggregated risk measures, establishing and monitoring position limits consistent with
risk appetite, conducting daily reviews and analysis of trading inventory, approving material risk exposures and fulfilling regulatory
requirements.MarketrisksthatimpactbusinessesoutsideofGlobalMarketsaremonitoredandgovernedbytheirrespectivegovernance
functions.
TheU.S.bankingregulatorsissuedrevisedmarketriskcapitalguidelines(MarketRiskFinalRule),whichbecameeffectiveonJanuary1,
2013.TheseruleswereincorporatedintoBasel3withminimalchanges.TheMarketRiskFinalRuleintroducednewmeasuresofmarket
riskincludingachargerelatedtoStressedValueatRisk(SVaR,orStressedVaR),anincrementalriskcharge(IRC)andthecomprehensive
risk measure (CRM), as well as other technical modifications including the requirements for covered positions.The calculation of
regulatory capital under the Market Risk Final Rule, which was adopted in Basel 3, is determined through the use of multiple risk
measuresandisapplicabletocoveredpositions.Thesemeasuresarethenaggregatedtoarriveatthetotalmarketriskregulatorycapital.
Covered positions are defined by regulatory standards as trading assets and liabilities, both on and offbalance sheet, that meet a
definedsetofspecifications.Thesespecificationsidentifythemostliquidtradingpositionswhichareintendedtobeheldforashortterm
horizonandwheretheCorporationisabletohedgethematerialriskelementsinatwowaymarket.Positionsinlessliquidmarkets,or
where there are restrictions on the ability to trade the positions, typically do not qualify as covered positions. Foreign exchange and
commoditypositionsarealwaysconsideredcoveredpositions,exceptforstructuralforeigncurrencypositionsthatwechoosetoexclude
with prior regulatory approval. The characterization of an exposure as a trading asset or liability under GAAP does not necessarily
determineitstreatmentunderBasel3.Tradingassetsorliabilitiesthatdonotmeettheregulatorydefinitionofacoveredpositionare
excluded from market risk capital treatment and subjected to the credit risk capital rules as noncovered exposures. The Corporation
maintainspoliciesandproceduresfordeterminationofexposuresmeetingthecoveredpositiondefinition.
13

ThefollowingtablepresentsthecomponentsoftotalBasel3MarketRiskRWAasofSeptember30,2015.
September30,2015
Table9MarketRiskRWA
(Dollarsinmillions)
Regul a toryVa R10da yhol di ngperi od
Stres s edVa R10da yhol di ngperi od
Capital
RWA
$596 $7,455
Incrementa l ri s kcha rge

Comprehens i veri s kmea s ure
a .Sta nda rds peci fi cri s kcha rges
b.Securi ti za ti onfra mework
Sta nda rds peci fi cri s k
2
Othercha rges
Demi ni mi s coveredpos i ti ons
Total
1,821
22,768
450
1,305
1,787
1,383
3,170
228
0
$7,571
5,628
16,314
22,339
17,282
39,620
2,845
4
$94,635
Amultiplierof3.5isusedtodetermineVaRandStressedVaRcapitalnumbersbasedona60dayaverageasofSeptember30,2015.
2
Otherchargesarecomprisedofmodeledspecificriskandothermodeledcharges,asapprovedbytheU.S.bankingregulators.
ModelRiskManagement
Quantitative risk models, such as ValueatRisk (VaR), are an essential component in evaluating the market risks within a portfolio. A
subcommitteeoftheMRCisresponsibleforprovidingmanagementoversightandapprovalofmodelriskmanagementandgovernance
(Risk Management,orRMsubcommittee).TheRMsubcommitteedefinesmodelriskstandards,consistentwiththeCorporationsRisk
Framework and risk appetite, prevailing regulatory guidance and industry best practice. Models must meet certain validation criteria,
includingeffectivechallengeofthemodeldevelopmentprocessandasufficientdemonstrationofdevelopmentalevidenceincorporating
a comparison of alternative theories and approaches. The RM subcommittee ensures model standards are consistent with model risk
requirements and monitors the effective challenge in the model validation process across the Corporation. In addition, the relevant
stakeholders must agree on any required actions or restrictions to the models and maintain a stringent monitoring process to ensure
continuedcompliance.
TradingRiskManagement
Toevaluateriskinourtradingactivities,wefocusontheactualandpotentialvolatilityofrevenuesgeneratedbyindividualpositionsas
wellasportfoliosofpositions.Varioustechniquesandproceduresareutilizedtoenablethemostcompleteunderstandingoftheserisks.
Quantitative measures of market risk are evaluated on a daily basis from a single position to the portfolio of the Corporation. These
measuresincludesensitivitiesofpositionstovariousmarketriskfactors,suchasthepotentialimpactonrevenuefromaonebasispoint
change in interest rates, and statistical measures utilizing both actual and hypothetical market moves, such as VaR and stress testing.
Periodsofextrememarketstressinfluencethereliabilityofthesetechniquestovaryingdegrees.Qualitativeevaluationsofmarketrisk
utilize the suite of quantitative risk measures while understanding each of their respective limitations. Additionally, risk managers
independently evaluate the risk of the portfolios under the current market environment and potential future environments. For
additionalinformation,refertoTradingRiskManagementwithintheMD&AsectionintheSeptember30,2015Form10Q.
ValueatRisk
VaRisacommonstatisticusedtomeasuremarketriskasitallowstheaggregationofmarketriskfactors,includingtheeffectsofportfolio
diversification.AVaRmodelsimulatesthevalueofaportfoliounderarangeofscenariosinordertogenerateadistributionofpotential
gainsandlosses.VaRrepresentsthelossaportfolioisnotexpectedtoexceedmorethanacertainnumberoftimesperperiod,basedon
a specified holding period, confidence level and window of historical data. We use one VaR model consistently across the trading
portfolios and it uses a historical simulation approach based on a threeyear window of historical data. Our primary VaR statistic is
equivalenttoa99percentconfidencelevel.ThismeansthatforaVaRwithaonedayholdingperiod,thereshouldnotbelossesinexcess
ofVaR,onaverage,99outof100tradingdays.
WithinanyVaRmodel,therearesignificantandnumerousassumptionsthatwilldifferfromcompanytocompany.TheaccuracyofaVaR
model depends on the availability and quality of historical data for each of the risk factors in the portfolio. A VaR model may require
additionalmodelingassumptionsfornewproductsthatdonothavethenecessaryhistoricalmarketdataorforlessliquidpositionsfor
which accurate daily prices are not consistently available. For positions with insufficient historical data for the VaR calculation, the
processforestablishinganappropriateproxyisbasedonfundamentalandstatisticalanalysisofthenewproductorlessliquidposition.
Thisanalysisidentifiesreasonablealternativesthatreplicateboththeexpectedvolatilityandcorrelationtoothermarketriskfactorsthat
themissingdatawouldbeexpectedtoexperience.
VaRmaynotbeindicativeofrealizedrevenuevolatilityaschangesinmarketconditionsorinthecompositionoftheportfoliocanhavea
material impact on the results. In particular, the historical data used for the VaR calculation might indicate higher or lower levels of
14

portfolio diversification than will be experienced. In order for the VaR model to reflect current market conditions, we update the
historicaldataunderlyingourVaRmodelonaweeklybasis,ormorefrequentlyduringperiodsofmarketstress,andregularlyreviewthe
assumptionsunderlyingthemodel.ArelativelyminorportionofrisksrelatedtoourtradingpositionsisnotincludedinVaR.Theserisks
arereviewedaspartofourICAAP.
GlobalMarketsRiskManagementcontinuallyreviews,evaluatesandenhancesourVaRmodelsothatitreflectsthematerialrisksinour
tradingportfolio.ChangestotheVaRmodelarereviewedandapprovedpriortoimplementationandanymaterialchangesarereported
tomanagementthroughtheappropriatemanagementcommittees.
TheVaRstatisticusedfortheregulatorycapitalcalculationshowninTable10isdefinedbyregulatorystandards(RegulatoryVaR)andit
differs from the VaR statistic disclosed in the Corporations SEC disclosures (Disclosure VaR) due to differences in the population and
holdingperiod.RegulatorystandardsrequirethatRegulatoryVaRonlyincludethecoveredpositionportfolio,whiletheDisclosureVaR
includesotherpositionsthatarenotconsideredcoveredpositions.TheholdingperiodforRegulatoryVaRistendayswhileforDisclosure
VaRitisoneday.BothRegulatoryVaRandDisclosureVaRutilizethesameprocessandmethodology.
Withinthetablesbelow,theVaRforeachoftheriskfactorscapturestheexpectedlosswitha99percentconfidencelevel,similartoa
stress scenario for each discrete risk factor. For example, the VaR for the interest rate risk factor identifies the potential loss the
Corporationisnotexpectedtoexceedmorethanoneoutofevery100daysbasedonthepreviousthreeyearsofhistoricaldataforjust
theinterestrateriskintheCorporationsportfolio.Thehistoricaldaysthatgeneratethesehypotheticallossesmightbedifferentthanthe
historical days that generate the hypothetical losses for the credit spread risk factor or for the Corporations total portfolio. The
combination of the potentially different historical days that generate the hypothetical losses for each risk factor is what produces the
diversificationbenefitacrosstheportfolio.Asaresult,thesumoftheVaRsbyriskfactorisgreaterthanthetotalRegulatoryVaR.
RegulatoryVaRdoesnotincorporatethevaluethatcoveredpositionswouldgainorlose,intheabsenceofmarketmoves,astheymove
towardexpiration,whichisknownastimedecay.Therefore,forcertainportfoliosthedistributionofpotentialgainsandlossesestimated
bytheVaRmodelcanproduceaRegulatoryVaRresultthatisnotaloss.
RegulatoryVaR
ThemarketriskrelatedtoallcoveredpositionstowhichtheCorporationisexposedisincludedinthetotalRegulatoryVaRresults.The
majorityofthisportfolioiswithintheGlobalMarketssegment.ThetablebelowpresentstheRegulatoryVaRresultsbyriskfactorsforthe
period end, average, high and low results. The values shown in the table below include all trading days for the three months ended
September 30, 2015 whereas the average Regulatory VaR used for the capital calculation is based on the 60 trading days ending
September 30, 2015. Therefore the values used for the capital calculation in the preceding table can be different than the values
presentedinthefollowingtable.
Table10MarketRiskTotalRegulatoryVaR
(Dollarsinmillions)
September30,2015
RegulatoryVaR
10dayHoldingPeriod
Average
$28
99
145
21
Forei gnexcha nge

Interes tra te
Credi t
Equi ti es
PeriodEnd
$34
104
159
38
High
$57
168
181
70
Low
$12
66
126
(2)
Commodi ti es
Portfol i odi vers i fi ca ti on
TotalRegulatoryVaR
10 12 19
(191) (135)
$154 $170 $224
$97
1 The high and low for the total portfolio may have occurred during different trading days than the high and low for the individual components. Therefore the amount of
portfoliodiversification,whichisthedifferencebetweenthetotalportfolioandthesumoftheindividualcomponents,isnotrelevantfortheHighandLowresults.
Tradinglimitsonquantitativeriskmeasures,includingVaR,areindependentlysetbyGlobalMarketsRiskManagementandreviewedon
a regular basis to ensure they remain relevantand within our overall risk appetite for market risks. Trading limits are reviewed in the
contextofmarketliquidity,volatilityandstrategicbusinesspriorities.Tradinglimitsaresetatbothagranularleveltoensureextensive
coverageofrisksaswellasataggregatedportfoliostoaccountforcorrelationsamongriskfactors.Alltradinglimitsareapprovedatleast
annually. Approved trading limits are stored and tracked in a centralized limits management system. Trading limit excesses are
communicatedtomanagementforreview.Certainquantitativemarketriskmeasuresandcorrespondinglimitshavebeenidentifiedas
criticalintheCorporations RiskAppetiteStatement.Theseriskappetitelimits arereportedonadailybasisandareapprovedatleast
annuallybytheEnterpriseRiskCommitteeandtheBoard.TheCorporationsriskappetitelimitsformarketriskwerenotexceededduring
thethreemonthsendedSeptember30,2015.
15

In periods of market stress, Global Markets senior leadership communicates daily to discuss losses, key risk positions and any limit
excesses.Asaresultofthisprocess,thebusinessesmayselectivelyreducerisk.
Backtesting
The accuracy of the VaR methodology is evaluated by backtesting, which compares the daily VaR results, utilizing a oneday holding
period, against a comparable subset of trading revenue. A backtesting excess occurs when a trading loss exceeds the VaR for the
correspondingday.Theseexcessesareevaluatedtounderstandthepositionsandmarketmovesthatproducedthetradinglossandto
ensurethattheVaRmethodologyaccuratelyrepresentsthoselosses.AsourprimaryVaRstatisticusedforbacktestingisbasedona99
percentconfidencelevelandaonedayholdingperiod,weexpectonetradinglossinexcessofVaRevery100days,orbetweentwoto
three trading losses in excess of VaR over the course of a year. The number of backtesting excesses observed can differ from the
statisticallyexpectednumberofexcessesifthecurrentlevelofmarketvolatilityismateriallydifferentthanthelevelofmarketvolatility
thatexistedduringthethreeyearsofhistoricaldatausedintheVaRcalculation.
We conduct daily backtesting on our portfolios, ranging from the total Regulatory VaR to individual trading areas. Additionally, we
conductdailybacktestingontheVaRresultsforkeylegalentities,regionsandriskfactors.Theseresultsarereportedtoseniormarket
riskmanagement.Seniormanagementregularlyreviewsandevaluatestheresultsofthesetests.
ThetradingrevenueusedforbacktestingisdefinedbyregulatoryagenciesinordertomostcloselyalignwiththeVaRcomponentofthe
regulatorycapitalcalculation.Thisrevenuediffersfromtotaltradingrelatedrevenueinthatitexcludesrevenuefromtradingactivities
thateitherdonotgeneratemarketriskorthemarketriskcannotbeincludedinVaR.Someexamplesofthetypesofrevenueexcludedfor
backtestingarefees,commissions,reserves,netinterestincomeandintradaytradingrevenues.
BacktestingexcessesforourtotalRegulatoryVaRresults,utilizingaonedayholdingperiod,occurredonceduringthethreemonthsprior
toSeptember30,2015,andonsixdaysinthetwelvemonthspriortoSeptember30,2015.Thebacktestingexcessinthethirdquarterof
2015wasaresultofmarketvolatility.
StressedValueatRisk
Stressed VaR isa variation of VaR in which the historical window is not the previous three years but is calibrated to a continuous 12
month window that reflects a period of significant financial stress appropriate to the Corporations current portfolio. Stressed VaR is
calculateddailybasedona99percentconfidencelevel,atendayholdingperiodandthesamepopulationofexposuresastheRegulatory
VaR.TheCorporationutilizesasinglemodelandprocesstocalculateallRegulatoryVaR,StressedVaR,andDisclosureVaRstatistics.
ThefollowingtablepresentstheStressedVaRresultsfortheperiodend,average,highandlowcalculatedoveratendayholdingperiod.
ThevaluesshowninthefollowingtableincludealltradingdaysforthethreemonthsendedSeptember30,2015whereastheaverage
RegulatoryStressedVaRusedforthecapitalcalculationisbasedonthe60tradingdaysendingSeptember30,2015.Thereforethevalues
used for the capital calculation presented in Table 9 Market Risk RWA can be different than the values presented in the following
table.
Table11MarketRiskTotalRegulatoryStressedVaR
(Dollarsinmillions)
September30,2015
PeriodEnd
$657
Tota l Regul a toryStres s edVa R
10dayHoldingPeriod
Average
High
$516
$680
Low
$365
IncrementalRiskCharge
The IRC model is one component of the regulatory capital calculation for market risk. The model is intended to capture the potential
lossesthatnonsecuritizedcoveredpositioncreditproductsinthetradingportfoliomightexperienceoveraoneyearperiodoffinancial
stress from defaults, ratings migration and significant basis risk factors. To calculate potential losses at the required 99.9 percent
confidencelevel,theCorporationutilizesaMonteCarlosimulationcalibratedusingrelevant,availablehistoricaldataforeachriskfactor
inordertosamplepotentialmarketscenarios.Themodelreflectstheimpactofconcentratedrisks,includingissuer,sector,regionand
productbasisrisks,andassignsahigherpotentiallosstoaconcentratedportfoliothanamorediversifiedportfoliowithasimilarcredit
profile. The model framework also captures the broad relationships between the different risk factors and is flexible enough to allow
additional dependencies or risk factors to be incorporated in the future. The IRC model assumes a constant position and a liquidity
horizonofoneyear.
16

Thefollowingtablepresentstheperiodend,average,highandlowIRCovertheperiodasofSeptember30,2015.TheIRCvalueusedfor
theregulatorycapitalcalculationisbasedonthehigheroftheperiodendvalueortheaveragevalueofthepreceding12weeks.
Table12MarketRiskIncrementalRiskCharge
(Dollarsinmillions)
September30,2015
PeriodEnd
Average
High
Low
$450 $269 $450 $164
Total i ncrementa lris kcharge
ComprehensiveRiskMeasure
TheCorporationsCRMisanothercomponentoftheregulatorycapitalcalculationformarketrisk.TheCRMiscomprisedofamodeled
component and a surcharge for the eligible positions in the correlation trading portfolio, primarily tranches on index and bespoke
portfolios,andtheircorrespondinghedges.
ThemodeledcomponentoftheCRMtakesintoaccountalloftheriskfactorsthatmateriallyimpactthevalueofthepositionswithinthe
correlation trading portfolio. The model captures the complexity of these positions including the nonlinear nature of the trade
valuations,particularlyduringperiodsofmarketstress,andtheimpactofthejointevolutionoftheriskfactors.Themodeledcomponent
of the CRM utilizes the same MonteCarlo simulation framework as our IRC model with the additional risk factors required for the
correlationproductsinordertocalculatethepotentiallossesattherequired99.9percentconfidencelevel.Themodeledcomponentof
theCRM,liketheIRCmodel,assumesaconstantpositionandaliquidityhorizonofoneyear.
The CRM surcharge is calculated using two components. The first is the assessment made using the SSFA, which calculates capital on
securitizationexposuresbasedontheamountandthelevelofsubordinationavailableascreditsupporttoeachexposure.Thesecond
componentofthesurchargeisthecapitalforhedgesofthecorrelationportfoliowhichare calculatedunderthespecificriskstandard
chargeframework.Thesurchargeisequaltoeightpercentofthelargerofthenetlongsorshortsoftheseaggregatedcomponents.
Thefollowingtablepresentstheperiodend,average,highandlowvaluesfortheCRMovertheperiodasofSeptember30,2015.The
CRMvalueusedfortheregulatorycapitalcalculationisbasedonthehigheroftheperiodendvalueortheaveragevalueofthepreceding
12weeks.
Table13MarketRiskComprehensiveRiskMeasure
(Dollarsinmillions)
September30,2015
PeriodEnd
Average
High
Low
$1,305 $1,195 $1,305 $1,139
Total comprehens iveri s kmea s ure
ThefollowingtablepresentstheaggregatemodeledamountofcorrelationtradingpositionsasofSeptember30,2015.Hedgestothe
correlation trading positions that are included in the modeled component of CRM are considered part of the aggregate correlation
tradingpositionsandareincludedinthetablebelow.Thevaluesshowninthetablearefairvalues.
Table14MarketRiskCorrelationTradingPositions
(Dollarsinmillions)
Pos i ti ons s ubjecttocomprehens i veri s kmea s ure
Pos i ti ons s ubjecttos ecuri ti zati onfra mework
Totalcorrelationtradingpositions
September30,2015
CorrelationPositions
Hedges
$823 $153
6
$829 $153
The Corporation conducted an analysis to assess the validity of the IRC and CRM models and respective methodologies prior to being
grantedapprovalbytheU.S.bankingregulatorstoutilizethemodels.Thisanalysisconsistedofacomparisonofalternativetheoriesand
approachesalongwithanunderstandingofthenecessaryassumptionsandlimitationsofthemodels,aswellasassessingtheimpactof
stressingthecalibratedparameters.Thisanalysiswassharedanddiscussedwiththerelevantregulatoryagenciestoensurecompliance
withregulatoryguidelines.Themodelsarecontinuallymonitoredtoensurethattheimplementationandapplicabilityremainvalid.We
performstresstestsofthesemodelsonaregularbasis.Thecalibrationofthesemodelsisregularlyreviewed.Weincorporaterelevant
marketdataandchangingmarketconditionsonaregularbasis.Aswithourotherquantitativeriskmodels,StressedVaR,IRCandCRM
modelsfallundertheoversightoftheRMsubcommitteeandadheretoitsindependentanalysisandongoinggovernanceandstandards
policies.
17

SecuritizationActivitywithintheTradingBook
Through the normal course of business we buy and sell securitization and resecuritization exposures across a number of asset classes
such as residential real estate, commercial real estate, and consumer assetbacked securities. We are focused on making two way
marketsandintermediatingtransfersofriskbetweenclients.Wealsocontinuetomanagealegacyportfoliowiththeprimaryobjectiveof
managingtheriskwhilereducingtheexposures.
Therisksweassumeonsecuritizationandresecuritizationpositionsaredrivenbythestructuralfeaturesofthepositions,performanceof
theunderlyingassetsandothermarketriskfactors.Inordertogaugetheserisksandfulfillthesecuritizationduediligencerequirements
setforthinBasel3,thesefactorsareassessedpriortothepurchaseofeachsecuritizationposition.Thisassessmentisdocumentedwithin
threedaysofpurchaseandareassessmentismadeonaquarterlybasis.
Riskmanagementcloselymonitorsthesecuritizationinventoryandanalyzeschangesinpositions,thecompositionofportfolios,trading
activityandmarketriskfactorstoassesstheoveralllevelofmarketriskofsecuritizationsandresecuritizationstowhichtheCorporation
is exposed. For the purpose of managing the Corporations risk appetite in relation to securitization and resecuritizations, limits are
establishedandtrackeddailyinthecentralizedlimitsmanagementsystem.Theselimitsrangefromgranularmeasuressuchasfairvalue
andthesensitivitiestochangesinmarketriskfactorstoaggregatedportfoliomeasuressuchasVaRandstresstestingresults.
Themodelingframeworkforsecuritizationandresecuritizationriskisbasedonalookthroughapproachtotheunderlyingcollaterallevel
data. Models are used to project prepayment speeds, default rates and loss severity, which are key inputs in the valuation for both
governmentguaranteedandprivatelabelsecurities.Thesemodelsincorporatemarketvariablessuchasthelevelandvolatilityofinterest
rates and credit spreads, as well as macroeconomic variables such as gross domestic product, unemployment and housing prices.
Modelsarebacktestedperiodicallytomeasuretheaccuracyofthemodelforecastsagainstactualunderlyingcollateralperformance.
TheCorporationmanagesandmitigatestherisksinherentinsecuritizationandresecuritizationpositions,includingtheuseofoffsetting
positionsandportfoliodiversification.Theuseofoffsettingpositionsincludestheuseofbothmacroandpositionlevelhedgestoeither
reduceexposuretocertainriskfactorsorpotentialmarketstressevents.Inaddition, theCorporationmaintainsadiversifiedportfolio
acrosssecuritizedproducttypestoreduceitssensitivitytoindividualproducttypes,issuersandservicers.
Thestandardspecificriskportionoftheregulatorycapitalcalculationforsecuritizedandresecuritizedproductsisprimarilybasedonthe
SSFA.TheSSFAisusedtoassignaspecificriskweightingfactortoeachsecuritizationorresecuritizationpositionbytakingintoaccount
factorssuchasthelevelofseniorityofthepositionaswellasthetypeanddelinquencylevelsofitsunderlyingexposures.Positionsfor
whichweareunabletocollectrecentdatawithrespecttotheseinputsareassigneda1,250percentriskweight.
The following table presents the aggregate amount of the trading book securitization positions by exposure type as of September 30,
2015. The values shown reflect the Corporations view of the most meaningful representation of each corresponding exposure type
presented at fair value, except for derivatives referencing securitized products where bondequivalent fair value is used. This table
excludes the correlation trading positions that are defined as securitization positions, which are presented in the preceding table
(correlationtradingpositions).
September30,2015
Table15MarketRiskTradingBookSecuritizationPositions
(Dollarsinmillions)
Res identia l Rea lEs tate
Commercia l Rea lEs tate
Cons umerABS
Loans toCorpora ti ons
CDO
NonModeledCorrela ti on
TotalTradingBookSecuritizationPositions
$ 1,797
1,099
429
1
288
6
$3,620
TradingPortfolioStressTesting
BecausetheverynatureofaVaRmodelsuggestsresultscanexceedourestimatesanditisdependentonalimitedhistoricalwindow,we
alsostresstestourportfoliousingscenarioanalysis.Thisanalysisestimatesthechangeinvalueofourtradingportfoliothatmayresult
fromabnormalmarketmovements.
A set of scenarios, categorized as either historical or hypothetical, are computed daily for the overall trading portfolio and individual
businesses.Thesescenariosincludeshockstounderlyingmarketriskfactorsthatmaybewellbeyondtheshocksfoundinthehistorical
data used to calculate VaR. Historical scenarios simulate the impact of the market moves that occurred during a period of extended
historicalmarketstress.Generally,amultiweekperiodrepresentingthemostseverepointduringacrisisisselectedforeachhistorical
scenario. Hypothetical scenarios provide simulations of the estimated portfolio impact from potential future market stress events.
Scenariosarereviewedandupdatedinresponsetochangingpositionsandneweconomicorpoliticalinformation.Inaddition,neworad
18

hocscenariosaredevelopedtoaddressspecificpotentialmarketeventsorparticularvulnerabilitiesintheportfolio.Thestresstestsare
reviewedonaregularbasisandtheresultsarepresentedtoseniormanagement.
Stresstestingforthetradingportfolioisintegratedwithenterprisewidestresstestingandincorporatedintothelimitsframework.The
macroeconomicscenariosusedforenterprisewidestresstestingpurposesdifferfromthetypicaltradingportfolioscenariosinthatthey
havealongertimehorizonandtheresultsareforecastedovermultipleperiodsforuseinconsolidatedcapitalandliquidityplanning.For
additional information on enterprisewide stress testing, refer to Managing Risk within the MD&A section in the September 30, 2015
Form10Q.
EQUITYEXPOSURESNOTSUBJECTTOMARKETRISK
Equity exposures not subject to market risk are excluded from trading assets on the balance sheet. Equity exposures not subject to
marketriskarecomprisedofadiversifiedportfolioofinvestmentsinprivateequity,realestate,BankOwnedLifeInsurance(BOLI)and
otheralternativeinvestmentsandaregenerallyrecordedinotherassets.Thesepositionsareheldeitherindirectinvestmentsorthrough
afund,withrelatedincomerecordedinequityinvestmentincome.
AccountingandValuation
Marketable equity securities which are not subject to market risk are generally classified as availableforsale (AFS) securities and
measured at fair value with all changes in fair value recorded in AOCI. Certain equity investments in the portfolio are subject to
investmentcompany accounting under GAAP, and accordingly, are carried at fair value with changes in fair value reported in equity
investment income. At inception, the transaction price of an investment is generally considered to be the best indicator of fair value.
Thereafter, valuation is based on an assessment of each individual investment using methodologies that include publicly traded
comparable companies derived by multiplying a key performance metric (e.g., earnings before interest, taxes, depreciation and
amortization)oftheportfoliocompanybytherelevantvaluationmultipleobservedforcomparablecompanies,acquisitioncompanies,
entrylevel multiples and discounted cash flows, and are subject to appropriate discounts for lack of liquidity or marketability. Certain
factors that may influence changes in fair value include, but are not limited to, recapitalizations, subsequent rounds of financing and
offeringsintheequityordebtcapitalmarkets.Forfundinvestments,wegenerallyrecordthefairvalueofourproportionateinterestin
the funds capital as reported by the funds respective manager(s). The Corporation may elect to account for certain private equity
investmentsthatarenotinaninvestmentcompanyunderthefairvalueoptionasthismeasurementbasisisconsistentwithapplicable
accounting guidance for similar investments that qualify for investmentcompany accounting. Remaining nonmarketable equity
investmentsareaccountedforusingeithertheequitymethodorcostmethod,dependingonthesizeandnatureoftheCorporations
ownership interest. For additional information on fair value accounting and valuation techniques, refer to Note 14 Fair Value
Measurements in the September 30, 2015 Form 10Q and Note1 Summary of Significant Accounting Principles in the December 31,
2014Form10K.
UnderBasel3,approachestomeasuringexposuresforequityinvestmentsthatarenotsubjecttomarketriskvarybasedonthetypeof
exposure. If the equity exposure is to an investment fund, we use the simple modified lookthrough approach, the full lookthrough
approachorthealternativemodifiedlookthroughapproach.TheseassetsaretreatedasthoughtheyareheldbytheCorporationand
weightedaccordingtotheproportionalownershipoftheexposure.Allotherequityinvestmentsusethesimpleriskweightapproachand
applytheappropriatemultipliertotheinvestmentscarryingvalueaccordingtotheprescribedregulatorypercentages.
EquityExposures
ThefollowingtablepresentsthecarryingvaluesandfairvaluesoftheCorporationsequityinvestmentsatSeptember30,2015.
Table16EquitiesNotSubjecttoMarketRiskRuleCarryingValueandFairValueofEquityInvestments
(Dollarsinmillions)
1
$10,290
4,274
19,828
724
6,326
5,323
898
129
$47,790
Publ i cl ytra ded

Nonpubl i cl ytra ded
Ba nkownedl i fei ns ura nce
Moneyma rketmutua l fund
Communi tydevel opmentcorpora ti on
Federa l Res erveBa nks tock
Federa l HomeLoa nBa nks tock
Others
Total
1
CarryingValue
Nosharesthatarepubliclytradedcontainamaterialdifferencebetweenthecarryingvalueandthefairvalueofshares.
19
September30,2015
FairValue
$10,290
4,274
19,828
724
6,326
5,323
898
129
$47,790

Thefollowingtablepresentsthecapitalrequirements(charge)forequityinvestmentsallocatedbytheapplicableriskweightcategoryat
September30,2015.
Table17EquitiesNotSubjecttoMarketRiskRuleEADandRWAbyRiskWeightCategories
(Dollarsinmillions)
0%
20%
100%
600%
Ful l l ookthrougha pproa ch
Total
September30,2015
EAD
RWA
$5,323 $
898
180
21,650
21,650
14
85
20,522
5,162
$48,407 $27,076
Total cumulative net realized gains arising from the sale and liquidation of equity investments were $6 million for the quarter ended
September30,2015.
TotalpretaxnetunrealizedgainsonAFSequityinvestmentsrecognizedinAOCIwere$23million,ofwhich$6millionwereincludedin
bothTier1capitalandTier2capitalforthequarterendedSeptember30,2015.
INTERESTRATERISKFORNONTRADINGACTIVITIES
Interestrateriskrepresentsthemostsignificantmarketriskexposuretoournontradingbalancesheet.Interestrateriskismeasuredas
thepotentialchangeinnetinterestincomecausedbymovementsinmarketinterestrates.Clientfacingactivities,primarilylendingand
deposittaking,createinterestratesensitivepositionsonourbalancesheet.Interestrateriskfromtheseactivities,aswellastheimpact
ofchangingmarketconditions,ismanagedthroughourALMprogram.
RiskMeasurement
Theinterestratescenariosthatweanalyzeincorporatebalancesheetassumptionssuchasloananddepositgrowthandpricing,changes
in funding mix, product repricing and maturity characteristics. Our overall goal is to manage interest rate risk so that movements in
interestratesdonotsignificantlyadverselyaffectearningsandcapital.
We prepare forwardlooking forecasts of net interest income.The baseline forecast takes into consideration expected future business
growth,ALMpositioningandthedirectionofinterestratemovementsasimpliedbythemarketbasedforwardcurve.Wethenmeasure
andevaluatetheimpactthatalternateinterestratescenarioshaveonthebaselineforecastin ordertoassessinterestratesensitivity
undervariedconditions.Thenetinterestincomeforecastisfrequentlyupdatedforchangingassumptionsanddifferingoutlooksbased
oneconomictrends,marketconditionsandbusinessstrategies.Thus,wecontinuallymonitorourbalancesheetpositioninaneffortto
maintainalevelofexposuretointerestratechanges.
RiskManagement
The securities portfolio is an integral part of our interest rate risk management, which includes our ALM positioning, and is primarily
comprised of debt securities including MBS and U.S. Treasury securities. As part of our ALM positioning, we use derivatives to hedge
interestrateanddurationrisk.Ourinterestratecontractsaregenerallynonleveragedgenericinterestrateandforeignexchangebasis
swaps, options, futures and forwards. In addition, we use foreign exchange contracts, including crosscurrency interest rate swaps,
foreigncurrencyfuturescontracts, foreigncurrencyforwardcontractsandoptionstomitigatetheforeignexchangeriskassociatedwith
foreigncurrencydenominatedassetsandliabilities.
Foradditionalinformationoninterestrateriskfornontradingactivities,includingtheimpacttoearningsfromupwardanddownward
rateshocks,refertoInterestRateRiskManagementforNontradingActivitieswithintheMD&AsectionintheSeptember30,2015Form
10Q.
SUPPLEMENTARYLEVERAGERATIO
Basel3alsorequiresAdvancedapproachesinstitutionstodiscloseaSLR.ThenumeratoroftheSLRisquarterendBasel3Tier1capital
under transition provisions. The denominator is total leverage exposure based on the daily average of the sum of onbalance sheet
exposures less permitted Tier 1 deductions under transition provisions, as well as the simple average of certain offbalance sheet
exposures, as of the end of each month in a quarter. Offbalance sheet exposures primarily include undrawn lending commitments,
lettersofcredit,OTCderivativesandrepostyletransactions.Totalleverageexposureincludestheeffectivenotionalprincipalamountof
creditderivativesandsimilarinstrumentsthroughwhichcreditprotectionissold.Thecreditconversionfactors(CCFs)appliedtocertain
offbalance sheet exposures conform to the graduated CCF utilized under the Basel 3 Standardized approach, but are subject to a
20

minimum10percentCCF.EffectiveJanuary1,2018,theCorporationwillberequiredtomaintainaminimumSLRof3.0percent,plusa
supplementaryleveragebufferof2.0percent,otherwisewillbesubjecttocertainrestrictionsoncapitaldistributionsanddiscretionary
bonuses.InsureddepositoryinstitutionsubsidiariesofBHCs,includingBANA,willberequiredtomaintainaminimum6.0percentSLRto
beconsidered"wellcapitalized"underthePCAframework.
The following tables present the Corporations supplementary leverage ratio and related components under the Basel 3 Standardized
approach,asofSeptember30,2015.
Table18SummaryComparisonofAccountingAssetsandTotalLeverageExposure
September30,2015
(Dollarsinmillions)
1
Tota l cons oli da teda vera gea s s ets
$2,173,398
Adjus tmentforderi va ti veexpos ures
367,402
Adjus tmentforrepos tyl etra ns a cti ons
17,119
Adjus tmentforoffba la nces heetexpos ures (tha tis ,convers iontocredi tequiva l enta mounts ofoffba l a nces heetexpos ures ) 264,082
Othera djus tments
(81,147)
Totalleverageexposure
$2,740,854
1
Representsthedailyaverageofonbalancesheetassetsforthequarter.
September30,2015
Table19U.S.SupplementaryLeverageRatio
(Dollarsinmillions)
Onbalancesheetexposures
Onba l a nces heeta s s ets (excl udingonba l a nces heeta s s ets forrepos tyletra ns a cti ons a ndderiva tiveexpos ures ,but $1,907,347
i ncludi ngca s hcol la tera l recei vedi nderiva tivetra ns a cti ons )
LESS:Amounts deductedfromti er1ca pita l
81,147
Totalonbalancesheetexposures
1,826,200
Derivativeexposures
Repla cementcos tforderiva tiveexpos ures (tha tis ,netofca s hva ri a tionma rgin)
58,845
Addona mounts forpotentia l futureexpos ure(PFE)forderiva tiveexpos ures
225,489
609
Gros s upforca s hcol la tera l pos tedi fdeductedfromonba l a nces heeta s s ets ,exceptca s hva ri a ti onma rgi n
Effecti venoti ona l pri nci pa l a mountofs oldcreditprotecti on
1,056,496
LESS:Effecti venotiona l princi pa l a mountoffs ets a ndPFEa djus tments fors ol dcredi tprotecti on
918,111
Totalderivativeexposures
423,328
Repostyletransactions
Onba l a nces heeta s s ets forrepos tyletra ns a cti ons (i ncl udi nggros s va l ueofreceivables forrevers erepurcha s etra ns a ctions ) 351,119
LESS:Reductionofthegros s va l ueofreceiva bl es i nrevers erepurcha s etra ns a ctions byca s hpa ya bl es i nrepurcha s e 140,994
tra ns a ctions undernetti nga greements
Counterpa rtycredi tri s kfora l l repos tyletra ns a cti ons
17,119
Totalexposuresforrepostyletransactions
227,244
Otheroffbalancesheetexposures
Offba la nces heetexpos ures a tgros s notiona l a mounts
860,270
LESS:Adjus tments forconvers iontocredi tequiva l enta mounts
596,188
Otheroffbalancesheetexposures
264,082
CapitalandTotalLeverageExposure
178,830
Tier1ca pita l
Totalleverageexposure
$2,740,854
Supplementaryleverageratio
6.52%
21
APPENDIX
BankofAmericasForm10QandForm10KcontainpertinentinformationrelatedtotheBasel3disclosurerequirements.Asummaryof
thereferencesmadeintheprecedingdisclosurecanbefoundinthefollowingtable.
ReferencestoForm10Q
Section
BusinessOverview
AllowanceforCreditLosses
CapitalManagement
CreditRiskManagement
InterestRateRiskManagementforNontradingActivities
LiquidityRisk
ManagingRisk
MarketRiskManagement
TradingRiskManagement
QuarterlyAverageBalancesandInterestRatesFTEBasis
YeartoDateAverageBalancesandInterestRatesFTEBasis
BankofAmericaCorporationRegulatoryCapitalRatioRequirementsunderBasel3StandardizedTransition
BankofAmericaCorporationRegulatoryCapitalunderBasel3StandardizedTransition
CapitalCompositionunderBasel3StandardizedTransition
BankofAmerica,N.A.RegulatoryCapitalunderBasel3StandardizedTransition
ConsumerCreditQuality
ResidentialMortgageStateConcentrations
HomeEquityStateConcentrations
U.S.CreditCardStateConcentrations
Direct/IndirectStateConcentrations
CommercialLoansandLeases
OutstandingCommercialRealEstateLoans
CommercialCreditExposurebyIndustry
NetCreditDefaultProtectionbyCreditExposureDebtRating
Top20NonU.S.CountriesExposure
EstimatedNetInterestIncomeExcludingTradingrelatedNetInterestIncome
SummaryofSignificantAccountingPrinciples
Derivatives
CreditDerivativeInstrumentsTable
AdditionalCollateralRequiredtobePosteduponDowngradeTable
Securities
MaturitiesofDebtSecuritiesCarriedatFairValueandHeldtomaturityDebtSecuritiesTable
OutstandingLoansandLeases
ImpairedLoansConsumerRealEstateTable
ImpairedLoansCreditCardandOtherConsumerRenegotiatedTDRsTable
ImpairedLoansCommercialTable
AllowanceforCreditLosses
SecuritizationsandOtherVariableInterestEntities
GoodwillandIntangibleAssets
FederalFundsSoldorPurchased,SecuritiesFinancingAgreementsandShorttermBorrowings
CommitmentsandContingencies
ShareholdersEquity
AccumulatedOtherComprehensiveIncome(Loss)
FairValueMeasurements
FairValueofFinancialInstruments
ReferencestoForm10K
Section
Business
CreditRiskManagement
CapitalManagement
MarketRiskManagement
StatisticalTables
SelectedLoanMaturityData
SummaryofSignificantAccountingPrinciples
SecuritizationsandOtherVariableInterestEntities
LongtermDebt
RegulatoryRequirementsandRestrictions
Location
ExecutiveSummary
MD&A
MD&A
MD&A
MD&A
MD&A
MD&A
MD&A
MD&A
Table15
Table16
Table20
Table21
Table22
Table27
Table35
Table39
Table41
Table46
Table48
Table51
Table55
Table60
Table62
Table65
Table71
Note1
Note2
Note2
Note2
Note3
Note3
Note4
Note4
Note4
Note4
Note5
Note6
Note8
Note9
Note10
Note11
Note12
Note14
Note16
Location
PartI,Item1
MD&A
MD&A
MD&A
MD&A
StatisticalTableIX
Note1
Note6
Note11
Note16
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Bank of America Pillar 3 Regulatory Capital Disclosures

Credi tRi s kExpos ures

Counterpa rtyCredi tRi s k

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

DVArel a tedtol i a bi l i ti es a ndderi va ti ves

Bank of America Pillar 3 Regulatory Capital Disclosures

$161,649 $144,880 $2,912

$1,391,672 $1,160,684 $10,396

Adjus tedavera gea s s ets

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

$89,646 $2,121 $ $22,982

Res i denti a lMortga ge

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Incrementa l ri s kcha rge

Bank of America Pillar 3 Regulatory Capital Disclosures

Forei gnexcha nge

$154 $170 $224

Bank of America Pillar 3 Regulatory Capital Disclosures

Tota l Regul a toryStres s edVa R

Bank of America Pillar 3 Regulatory Capital Disclosures

Total i ncrementa lris kcharge

Total comprehens iveri s kmea s ure

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Publ i cl ytra ded

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

Bank of America Pillar 3 Regulatory Capital Disclosures

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