Quarterly report pursuant to Section 13 or 15(d)

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

v3.10.0.1
Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash
6 Months Ended
Jun. 30, 2018
Federal Funds Sold, Securities Borrowed or Purchased Under Agreements to Resell and Short-term Borrowings [Abstract]  
Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash
Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash
The table below 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Amount
 
Rate
 
Amount
 
Rate
 
Amount
 
Rate
 
Amount
 
Rate
 
Three Months Ended June 30
 
Six Months Ended June 30
(Dollars in millions)
2018
 
2017
 
2018
 
2017
Federal funds sold and securities borrowed or purchased under agreements to resell
 

 
 
 
 

 
 

 
 
 
 
 
 
 
 
Average during period
$
251,880

 
1.13
%
 
$
226,700

 
0.77
%
 
$
250,110

 
1.07
%
 
$
221,579

 
0.72
%
Maximum month-end balance during period
264,923

 
n/a

 
237,064

 
n/a

 
264,923

 
n/a

 
237,064

 
n/a

Federal funds purchased and securities loaned or sold under agreements to repurchase
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
Average during period
$
194,298

 
1.85
%
 
$
208,760

 
1.21
%
 
$
194,953

 
1.63
%
 
$
200,265

 
1.08
%
Maximum month-end balance during period
199,419

 
n/a

 
218,017

 
n/a

 
199,419

 
n/a

 
218,017

 
n/a

Short-term borrowings
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
Average during period
40,542

 
5.61

 
42,881

 
2.65

 
43,422

 
4.75

 
41,468

 
2.39

Maximum month-end balance during period
44,382

 
n/a

 
46,202

 
n/a

 
52,480

 
n/a

 
46,202

 
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. The Corporation offsets securities financing transactions with the same counterparty on the Consolidated Balance Sheet where it has such a legally enforceable master netting agreement and the transactions have the same maturity date.
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 June 30, 2018 and December 31, 2017. Balances are presented on a gross basis, prior to the application of counterparty netting. Gross assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements. For more information on the offsetting of derivatives, see Note 3 – Derivatives.
 
 
 
 
 
 
 
 
 
 
Securities Financing Agreements
 
 
 
 
 
 
 
 
 
 
 
Gross Assets/Liabilities (1)
 
Amounts Offset
 
Net Balance Sheet Amount
 
Financial Instruments (2)
 
Net Assets/Liabilities
(Dollars in millions)
June 30, 2018
Securities borrowed or purchased under agreements to resell (3)
$
353,551

 
$
(127,065
)
 
$
226,486

 
$
(186,805
)
 
$
39,681

Securities loaned or sold under agreements to repurchase
$
304,968

 
$
(127,065
)
 
$
177,903

 
$
(147,798
)
 
$
30,105

Other (4)
21,063

 

 
21,063

 
(21,063
)
 

Total
$
326,031

 
$
(127,065
)
 
$
198,966

 
$
(168,861
)
 
$
30,105

 
 
 
 
 
 
 
 
 
 
 
December 31, 2017
Securities borrowed or purchased under agreements to resell (3)
$
348,472

 
$
(135,725
)
 
$
212,747

 
$
(165,720
)
 
$
47,027

Securities loaned or sold under agreements to repurchase
$
312,582

 
$
(135,725
)
 
$
176,857

 
$
(146,205
)
 
$
30,652

Other (4)
22,711

 

 
22,711

 
(22,711
)
 

Total
$
335,293

 
$
(135,725
)
 
$
199,568

 
$
(168,916
)
 
$
30,652


(1) 
Includes activity where uncertainty exists as to the enforceability of certain master netting agreements under bankruptcy laws in some countries or industries.
(2) 
Includes securities collateral received or pledged under repurchase or securities lending agreements where there is a legally enforceable master netting agreement. These amounts are not offset on the Consolidated Balance Sheet, but are shown as a reduction to derive a net asset or liability. Securities collateral received or pledged where the legal enforceability of the master netting agreements is uncertain is excluded from the table.
(3) 
Excludes repurchase activity of $11.5 billion and $10.2 billion reported in loans and leases on the Consolidated Balance Sheet at June 30, 2018 and December 31, 2017.
(4) 
Balance is reported in accrued expenses and other liabilities on the Consolidated Balance Sheet and relates to transactions where the Corporation acts as the lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. In these transactions, the Corporation recognizes an asset at fair value, representing the securities received, and a liability, representing the obligation to return those securities.
Repurchase Agreements and Securities Loaned Transactions Accounted for as Secured Borrowings
The following tables present securities sold under agreements to repurchase and securities loaned by remaining contractual term to maturity and class of collateral pledged. Included in “Other” are transactions where the Corporation acts as the lender in a securities lending agreement and receives securities that can be pledged as collateral or sold. Certain agreements contain a right to substitute collateral and/or terminate the agreement prior to maturity at the option of the Corporation or the counterparty. Such agreements are included in the table below based on the remaining contractual term to maturity.
 
 
 
 
 
 
 
 
 
 
Remaining Contractual Maturity
 
 
 
 
 
 
 
 
 
 
 
June 30, 2018
(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
$
125,778

 
$
81,805

 
$
32,591

 
$
44,612

 
$
284,786

Securities loaned
12,671

 
236

 
2,353

 
4,922

 
20,182

Other
21,063

 

 

 

 
21,063

Total
$
159,512

 
$
82,041

 
$
34,944

 
$
49,534

 
$
326,031

 
 
 
 
 
 
 
 
 
 
 
December 31, 2017
Securities sold under agreements to repurchase
$
125,956

 
$
79,913

 
$
46,091

 
$
38,935

 
$
290,895

Securities loaned
9,853

 
5,658

 
2,043

 
4,133

 
21,687

Other
22,711

 

 

 

 
22,711

Total
$
158,520

 
$
85,571

 
$
48,134

 
$
43,068

 
$
335,293

(1) 
No agreements have maturities greater than three years.
 
 
 
 
 
 
 
 
Class of Collateral Pledged
 
 
 
 
 
 
 
 
 
June 30, 2018
(Dollars in millions)
Securities Sold Under Agreements to Repurchase
 
Securities
Loaned
 
Other
 
Total
U.S. government and agency securities
$
153,756

 
$

 
$

 
$
153,756

Corporate securities, trading loans and other
13,093

 
2,246

 
348

 
15,687

Equity securities
19,408

 
14,288

 
20,663

 
54,359

Non-U.S. sovereign debt
94,054

 
3,648

 
52

 
97,754

Mortgage trading loans and ABS
4,475

 

 

 
4,475

Total
$
284,786

 
$
20,182

 
$
21,063

 
$
326,031

 
 
 
 
 
 
 
 
 
December 31, 2017
U.S. government and agency securities
$
158,299

 
$

 
$
409

 
$
158,708

Corporate securities, trading loans and other
12,787

 
2,669

 
624

 
16,080

Equity securities
23,975

 
13,523

 
21,628

 
59,126

Non-U.S. sovereign debt
90,857

 
5,495

 
50

 
96,402

Mortgage trading loans and ABS
4,977

 

 

 
4,977

Total
$
290,895

 
$
21,687

 
$
22,711

 
$
335,293


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 determine whether 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.
Restricted Cash
At both June 30, 2018 and December 31, 2017, the Corporation held restricted cash included within cash and cash equivalents on the Consolidated Balance Sheet of $18.8 billion, predominantly related to cash segregated in compliance with securities regulations and cash held on deposit with the Federal Reserve and non-U.S. central banks to meet reserve requirements.