Quarterly report pursuant to Section 13 or 15(d)

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

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Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash
6 Months Ended
Jun. 30, 2021
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 CashThe 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 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) 2021 2020 2021 2020
Federal funds sold and securities borrowed or purchased under agreements to resell
       
Average during period $ 270,443  (0.06) % $ 312,404  0.03  % $ 260,271  (0.04) % $ 295,599  0.57  %
Maximum month-end balance during period 278,300  n/a 451,179  n/a 278,300  n/a 451,179  n/a
Federal funds purchased and securities loaned or sold under agreements to repurchase
       
Average during period $ 218,535  0.25  % $ 187,180  0.38  % $ 207,880  0.25  % $ 193,359  1.01  %
Maximum month-end balance during period 218,628  n/a 194,870  n/a 218,628  n/a 206,493  n/a
Short-term borrowings        
Average during period 21,600  (0.11) 25,901  0.12  20,639  (0.12) 26,166  0.88 
Maximum month-end balance during period 23,333  n/a 27,315  n/a 23,333  n/a 30,118  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 finance inventory positions. For more information on the securities financing agreements and the offsetting of securities financing transactions, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash to the Consolidated Financial Statements of the Corporation’s 2020 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 June 30, 2021 and December 31, 2020. 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, 2021
Securities borrowed or purchased under agreements to resell (3)
$ 524,946  $ (256,352) $ 268,594  $ (241,909) $ 26,685 
Securities loaned or sold under agreements to repurchase $ 470,139  $ (256,352) $ 213,787  $ (202,435) $ 11,352 
Other (4)
15,071    15,071  (15,071)  
Total $ 485,210  $ (256,352) $ 228,858  $ (217,506) $ 11,352 
December 31, 2020
Securities borrowed or purchased under agreements to resell (3)
$ 492,387  $ (188,329) $ 304,058  $ (272,351) $ 31,707 
Securities loaned or sold under agreements to repurchase $ 358,652  $ (188,329) $ 170,323  $ (158,867) $ 11,456 
Other (4)
16,210  —  16,210  (16,210) — 
Total $ 374,862  $ (188,329) $ 186,533  $ (175,077) $ 11,456 
(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 $20.1 billion and $14.7 billion reported in loans and leases on the Consolidated Balance Sheet at June 30, 2021 and December 31, 2020.
(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. For more information on collateral requirements, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash to the Consolidated Financial Statements of the Corporation’s 2020 Annual Report on Form 10-K.
Remaining Contractual Maturity
Overnight and Continuous 30 Days or Less After 30 Days Through 90 Days
Greater than
90 Days (1)
Total
(Dollars in millions) June 30, 2021
Securities sold under agreements to repurchase $ 187,994  $ 164,693  $ 33,069  $ 44,846  $ 430,602 
Securities loaned 34,167  11  1,226  4,133  39,537 
Other 15,071        15,071 
Total $ 237,232  $ 164,704  $ 34,295  $ 48,979  $ 485,210 
December 31, 2020
Securities sold under agreements to repurchase $ 158,400  $ 122,448  $ 32,149  $ 22,684  $ 335,681 
Securities loaned 19,140  271  1,029  2,531  22,971 
Other 16,210  —  —  —  16,210 
Total $ 193,750  $ 122,719  $ 33,178  $ 25,215  $ 374,862 
(1)No agreements have maturities greater than three years.
Class of Collateral Pledged
Securities Sold Under Agreements to Repurchase Securities
Loaned
Other Total
(Dollars in millions) June 30, 2021
U.S. government and agency securities $ 231,210  $   $   $ 231,210 
Corporate securities, trading loans and other 15,674  2,843  1,160  19,677 
Equity securities 20,633  36,121  13,852  70,606 
Non-U.S. sovereign debt 161,345  573  59  161,977 
Mortgage trading loans and ABS 1,740      1,740 
Total $ 430,602  $ 39,537  $ 15,071  $ 485,210 
December 31, 2020
U.S. government and agency securities $ 195,167  $ $ —  $ 195,172 
Corporate securities, trading loans and other 8,633  1,628  1,217  11,478 
Equity securities 14,752  21,125  14,931  50,808 
Non-U.S. sovereign debt 113,142  213  62  113,417 
Mortgage trading loans and ABS 3,987  —  —  3,987 
Total $ 335,681  $ 22,971  $ 16,210  $ 374,862 
Restricted Cash
At June 30, 2021 and December 31, 2020, the Corporation held restricted cash included within cash and cash equivalents on the Consolidated Balance Sheet of $6.0 billion and $7.0 billion, predominantly related to cash segregated in compliance with securities regulations and cash held on deposit with central banks to meet reserve requirements.