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, 2016

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

NOTE 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings

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.



	Three Months Ended September 30								Nine Months Ended September 30
	Amount				Rate				Amount				Rate
(Dollars in millions)	2016		2015		2016		2015		2016		2015		2016		2015
Average during period
Federal funds sold and securities borrowed or purchased under agreements to resell	$	214,254	$	210,127	0.50	%	0.52	%	$	215,476	$	212,781	0.50	%	0.49	%

Federal funds purchased and securities loaned or sold under agreements to repurchase	$	177,883	$	219,613	0.93	%	0.83	%	$	184,500	$	218,112	1.00	%	0.92	%
Short-term borrowings	29,751		37,710		2.02		1.44		30,631		33,119		1.85		1.47
Total	$	207,634	$	257,323	1.09		0.92		$	215,131	$	251,231	1.12		0.99

Maximum month-end balance during period
Federal funds sold and securities borrowed or purchased under agreements to resell	$	222,489	$	217,701					$	225,015	$	226,502

Federal funds purchased and securities loaned or sold under agreements to repurchase	$	192,536	$	235,232					$	196,631	$	235,232
Short-term borrowings	31,935		40,110						33,051		40,110

Offsetting of Securities Financing Agreements

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 September 30, 2016 and December 31, 2015. 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.

The "Other" amount in the table, which is included on the Consolidated Balance Sheet in accrued expenses and other liabilities, 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.

Gross assets and liabilities in the table include activity where uncertainty exists as to the enforceability of certain master netting agreements under bankruptcy laws in some countries or industries and, accordingly, these are reported on a gross basis.

The column titled "Financial Instruments" in the table 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 the net balance sheet amount in this table to derive a net asset or liability. Securities collateral received or pledged where the legal enforceability of the master netting agreements is not certain is not included.



Securities Financing Agreements
	September 30, 2016
(Dollars in millions)	Gross Assets/Liabilities		Amounts Offset			Net Balance Sheet Amount		Financial Instruments			Net Assets/Liabilities
Securities borrowed or purchased under agreements to resell ⁽¹⁾	$	361,474	$	(142,664	)	$	218,810	$	(168,580	)	$	50,230

Securities loaned or sold under agreements to repurchase	$	320,847	$	(142,664	)	$	178,183	$	(148,316	)	$	29,867
Other	15,588		—			15,588		(15,588		)	—
Total	$	336,435	$	(142,664	)	$	193,771	$	(163,904	)	$	29,867

	December 31, 2015
Securities borrowed or purchased under agreements to resell ⁽¹⁾	$	347,281	$	(154,799	)	$	192,482	$	(144,332	)	$	48,150

Securities loaned or sold under agreements to repurchase	$	329,078	$	(154,799	)	$	174,279	$	(135,737	)	$	38,542
Other	13,235		—			13,235		(13,235		)	—
Total	$	342,313	$	(154,799	)	$	187,514	$	(148,972	)	$	38,542


⁽¹⁾	Excludes repurchase activity of $11.3 billion and $9.3 billion reported in loans and leases on the Consolidated Balance Sheet at September 30, 2016 and December 31, 2015.

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. At September 30, 2016 and December 31, 2015, the Corporation had no outstanding repurchase-to-maturity transactions.



Remaining Contractual Maturity
	September 30, 2016
(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	$	143,277	$	72,784	$	43,945	$	40,385	$	300,391
Securities loaned	15,372		1,458		1,804		1,822		20,456
Other	15,588		—		—		—		15,588
Total	$	174,237	$	74,242	$	45,749	$	42,207	$	336,435

	December 31, 2015
Securities sold under agreements to repurchase	$	126,694	$	86,879	$	43,216	$	27,514	$	284,303
Securities loaned	39,772		363		2,352		2,288		44,775
Other	13,235		—		—		—		13,235
Total	$	179,701	$	87,242	$	45,568	$	29,802	$	342,313


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



Class of Collateral Pledged
	September 30, 2016
(Dollars in millions)	Securities Sold Under Agreements to Repurchase		Securities Loaned		Other		Total
U.S. government and agency securities	$	177,348	$	—	$	137	$	177,485
Corporate securities, trading loans and other	8,724		1,475		326		10,525
Equity securities	20,517		11,261		15,089		46,867
Non-U.S. sovereign debt	85,885		7,720		36		93,641
Mortgage trading loans and ABS	7,917		—		—		7,917
Total	$	300,391	$	20,456	$	15,588	$	336,435

	December 31, 2015
U.S. government and agency securities	$	142,572	$	—	$	27	$	142,599
Corporate securities, trading loans and other	11,767		265		278		12,310
Equity securities	32,323		13,350		12,929		58,602
Non-U.S. sovereign debt	87,849		31,160		1		119,010
Mortgage trading loans and ABS	9,792		—		—		9,792
Total	$	284,303	$	44,775	$	13,235	$	342,313

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 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.