Bank of America (BAC) Stress test presentation summary

Capital planning process

• Capital planning integrates risk identification, measurement, and loss estimation across scenarios, overseen by a senior management committee.

• The process includes standalone impact analysis for risks not fully captured in stress testing.

• Capital resources, sources, and uses are projected across scenarios to assess adequacy against management triggers.

• Comprehensive capital policy, contingency planning, and robust internal controls are maintained.

• Effective oversight and governance ensure process integrity.

Stress test scenario and assumptions

• The scenario assumes a severe global recession, 7.8% RGDP decline, 10% peak unemployment, and 33.4% home price drop.

• Commercial real estate prices fall 30%, equity markets drop 50%, and Treasury yields reach historic lows.

• Instantaneous global market shocks are applied to trading and counterparty exposures.

• Results include specified capital actions and comply with FRB methodologies.

• Stress test covers exposures as of December 31, 2024, with market shocks as of October 10, 2024.

BAC (Holding Company) stress test results

• Projects a $23.9B cumulative pre-tax loss over nine quarters under the severely adverse scenario.

• Major losses: $42.0B loan/lease, $10.1B provision, $7.6B trading/counterparty, $3.0B other; offset by $38.9B PPNR.

• Risk-weighted assets rise due to commercial loan draws and trading book stress.

• Minimum stressed capital ratios: CET1 9.2%, Tier 1 10.4%, Total 12.5%, Leverage 6.1%, Supplementary Leverage 5.1%.

• Deferred tax assets from losses are generally disallowed for regulatory capital.