Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings

Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings

9 Months Ended

Sep. 30, 2017

Federal Funds Sold, Securities Borrowed or Purchased Under Agreements to Resell and Short-term Borrowings [Abstract]

Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings

The following table presents federal funds sold or purchased, securities financing agreements, which include securities borrowed or purchased under agreements to resell and securities loaned or sold under agreements to repurchase, and short-term borrowings. The Corporation elects to account for certain securities financing agreements and short-term borrowings under the fair value option. For more information on the election of the fair value option, see Note 15 – Fair Value Option.




	Three Months Ended September 30								Nine Months Ended September 30
	2017				2016				2017				2016
(Dollars in millions)	Amount		Rate		Amount		Rate		Amount		Rate		Amount		Rate
Federal funds sold and securities borrowed or purchased under agreements to resell
Average during period	$	223,585	1.17	%	$	214,254	0.50	%	$	222,255	1.00	%	$	215,476	0.50	%
Maximum month-end balance during period	224,815		n/a		222,489		n/a		237,064		n/a		225,015		n/a
Federal funds purchased and securities loaned or sold under agreements to repurchase
Average during period	$	197,794	1.37	%	$	177,883	0.93	%	$	199,433	1.18	%	$	184,500	1.00	%
Maximum month-end balance during period	197,604		n/a		192,536		n/a		218,017		n/a		196,631		n/a
Short-term borrowings
Average during period	32,153		2.54		29,751		2.02		38,329		2.43		30,631		1.85
Maximum month-end balance during period	32,679		n/a		31,935		n/a		46,202		n/a		33,051		n/a

n/a = not applicable

Offsetting of Securities Financing Agreements

The Corporation enters into securities financing agreements to accommodate customers (also referred to as “matched-book transactions”), obtain securities to cover short positions, and to finance inventory positions. Substantially all of the Corporation’s securities financing activities are transacted under legally enforceable master repurchase agreements or legally enforceable master securities lending agreements that give the Corporation, in the event of default by the counterparty, the right to liquidate securities held and to offset receivables and payables with the same counterparty. For more information, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.

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, 2017 and December 31, 2016. 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 2 – Derivatives.




Securities Financing Agreements
	September 30, 2017
(Dollars in millions)	Gross Assets/Liabilities ⁽¹⁾		Amounts Offset			Net Balance Sheet Amount		Financial Instruments ⁽²⁾			Net Assets/Liabilities
Securities borrowed or purchased under agreements to resell ⁽³⁾	$	362,065	$	(144,851	)	$	217,214	$	(165,776	)	$	51,438

Securities loaned or sold under agreements to repurchase	$	334,627	$	(144,851	)	$	189,776	$	(161,131	)	$	28,645
Other ⁽⁴⁾	22,258		—			22,258		(22,258		)	—
Total	$	356,885	$	(144,851	)	$	212,034	$	(183,389	)	$	28,645

	December 31, 2016
Securities borrowed or purchased under agreements to resell ⁽³⁾	$	326,970	$	(128,746	)	$	198,224	$	(154,974	)	$	43,250

Securities loaned or sold under agreements to repurchase	$	299,028	$	(128,746	)	$	170,282	$	(140,774	)	$	29,508
Other ⁽⁴⁾	14,448		—			14,448		(14,448		)	—
Total	$	313,476	$	(128,746	)	$	184,730	$	(155,222	)	$	29,508


⁽¹⁾	Includes activity where uncertainty exists as to the enforceability of certain master netting agreements under bankruptcy laws in some countries or industries.

⁽²⁾

Financial instruments 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 $11.1 billion and $10.1 billion reported in loans and leases on the Consolidated Balance Sheet at September 30, 2017 and December 31, 2016.

⁽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 tables below 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.




Remaining Contractual Maturity
	September 30, 2017
(Dollars in millions)	Overnight and Continuous		30 Days or Less		After 30 Days Through 90 Days		Greater than 90 Days ⁽¹⁾		Total
Securities sold under agreements to repurchase	$	119,610	$	89,934	$	41,358	$	59,174	$	310,076
Securities loaned	16,027		404		1,989		6,131		24,551
Other	22,258		—		—		—		22,258
Total	$	157,895	$	90,338	$	43,347	$	65,305	$	356,885

	December 31, 2016
Securities sold under agreements to repurchase	$	129,853	$	77,780	$	31,851	$	40,752	$	280,236
Securities loaned	8,564		6,602		1,473		2,153		18,792
Other	14,448		—		—		—		14,448
Total	$	152,865	$	84,382	$	33,324	$	42,905	$	313,476


⁽¹⁾	No agreements have maturities greater than three years.




Class of Collateral Pledged
	September 30, 2017
(Dollars in millions)	Securities Sold Under Agreements to Repurchase		Securities Loaned		Other		Total
U.S. government and agency securities	$	169,501	$	—	$	281	$	169,782
Corporate securities, trading loans and other	8,933		1,339		443		10,715
Equity securities	30,483		17,892		21,479		69,854
Non-U.S. sovereign debt	95,997		5,320		55		101,372
Mortgage trading loans and ABS	5,162		—		—		5,162
Total	$	310,076	$	24,551	$	22,258	$	356,885

	December 31, 2016
U.S. government and agency securities	$	153,184	$	—	$	70	$	153,254
Corporate securities, trading loans and other	11,086		1,630		127		12,843
Equity securities	24,007		11,175		14,196		49,378
Non-U.S. sovereign debt	84,171		5,987		55		90,213
Mortgage trading loans and ABS	7,788		—		—		7,788
Total	$	280,236	$	18,792	$	14,448	$	313,476

The Corporation is required to post collateral with a market value equal to or in excess of the principal amount borrowed under repurchase agreements. For securities loaned transactions, the Corporation receives collateral in the form of cash, letters of credit or other securities. To help ensure that the market value of the underlying collateral remains sufficient, collateral is generally valued daily, and the Corporation may be required to deposit additional collateral or may receive or return collateral pledged when appropriate. Repurchase agreements and securities loaned transactions are generally either overnight, continuous (i.e., no stated term) or short-term. The Corporation manages liquidity risks related to these agreements by sourcing funding from a diverse group of counterparties, providing a range of securities collateral and pursuing longer durations, when appropriate.