FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks January 28, 2016 1. Factors Affecting Reserve Balances of Depository Institutions Millions of dollars Reserve Bank credit, related items, and Averages of daily figures Wednesday reserve balances of depository institutions at Week ended Change from week ended Jan 27, 2016 Federal Reserve Banks Jan 27, 2016 Jan 20, 2016 Jan 28, 2015 Reserve Bank credit 4,451,298 - 4,916 - 17,451 4,443,941 Securities held outright (1) 4,243,429 - 4,758 - 538 4,236,838 U.S. Treasury securities 2,461,361 - 51 + 505 2,461,341 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,346,639 0 - 73 2,346,639 Notes and bonds, inflation-indexed (2) 98,534 0 + 65 98,534 Inflation compensation (3) 16,188 - 52 + 513 16,168 Federal agency debt securities (2) 31,318 - 1,161 - 6,270 31,318 Mortgage-backed securities (4) 1,750,750 - 3,545 + 5,226 1,744,179 Unamortized premiums on securities held outright (5) 188,366 - 478 - 17,713 188,025 Unamortized discounts on securities held outright (5) -16,455 + 33 + 1,818 -16,437 Repurchase agreements (6) 0 0 0 0 Loans 40 - 45 + 1 124 Primary credit 26 - 44 - 5 111 Secondary credit 0 0 0 0 Seasonal credit 14 0 + 5 14 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,718 + 1 + 37 1,722 Float -157 - 28 + 210 -271 Central bank liquidity swaps (8) 102 - 23 + 100 102 Other Federal Reserve assets (9) 34,255 + 382 - 1,364 33,838 Foreign currency denominated assets (10) 19,730 - 203 - 542 19,734 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 47,623 + 14 + 1,179 47,623 Total factors supplying reserve funds 4,534,891 - 5,105 - 16,815 4,527,538 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 1. Factors Affecting Reserve Balances of Depository Institutions (continued) Millions of dollars Reserve Bank credit, related items, and Averages of daily figures Wednesday reserve balances of depository institutions at Week ended Change from week ended Jan 27, 2016 Federal Reserve Banks Jan 27, 2016 Jan 20, 2016 Jan 28, 2015 Currency in circulation (11) 1,413,100 - 1,735 + 84,092 1,413,576 Reverse repurchase agreements (12) 294,153 - 14,473 + 36,671 309,105 Foreign official and international accounts 219,199 + 1,631 + 103,234 219,801 Others 74,954 - 16,104 - 66,563 89,304 Treasury cash holdings 277 - 3 + 61 267 Deposits with F.R. Banks, other than reserve balances 385,304 + 71,115 + 147,849 359,991 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 341,996 + 56,678 + 140,804 337,973 Foreign official 5,240 - 48 + 10 5,233 Other (13) 38,068 + 14,484 + 7,035 16,786 Other liabilities and capital (14) 46,305 - 991 - 16,086 45,333 Total factors, other than reserve balances, absorbing reserve funds 2,139,139 + 53,913 + 252,586 2,128,272 Reserve balances with Federal Reserve Banks 2,395,752 - 59,017 - 269,401 2,399,266 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements. 7. Refer to table 4 and the note on consolidation accompanying table 6. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also, includes Reserve Bank premises and equipment net of allowances for depreciation. 10. Revalued daily at current foreign currency exchange rates. 11. Estimated. 12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 13. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. 14. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury. 1A. Memorandum Items Millions of dollars Memorandum item Averages of daily figures Wednesday Week ended Change from week ended Jan 27, 2016 Jan 27, 2016 Jan 20, 2016 Jan 28, 2015 Securities held in custody for foreign official and international accounts 3,267,091 + 1,087 - 3,780 3,267,788 Marketable U.S. Treasury securities (1) 2,955,765 + 4,057 + 13,616 2,957,215 Federal agency debt and mortgage-backed securities (2) 263,951 - 3,053 - 22,317 263,235 Other securities (3) 47,375 + 83 + 4,921 47,339 Securities lent to dealers 13,429 + 1,083 + 3,092 13,339 Overnight facility (4) 13,429 + 1,083 + 3,092 13,339 U.S. Treasury securities 13,354 + 1,082 + 3,490 13,258 Federal agency debt securities 76 + 2 - 396 81 Note: Components may not sum to totals because of rounding. 1. Includes securities and U.S. Treasury STRIPS at face value, and inflation compensation on TIPS. Does not include securities pledged as collateral to foreign official and international account holders against reverse repurchase agreements with the Federal Reserve presented in tables 1, 5, and 6. 2. Face value of federal agency securities and current face value of mortgage-backed securities, which is the remaining principal balance of the securities. 3. Includes non-marketable U.S. Treasury securities, supranationals, corporate bonds, asset-backed securities, and commercial paper at face value. 4. Face value. Fully collateralized by U.S. Treasury securities. 2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, January 27, 2016 Millions of dollars Remaining Maturity Within 15 16 days to 91 days to Over 1 year Over 5 year Over 10 All days 90 days 1 year to 5 years to 10 years years Loans 124 0 0 0 0 ... 124 U.S. Treasury securities (1) Holdings 1,911 60,689 156,556 1,120,351 488,379 633,455 2,461,341 Weekly changes 0 0 - 3 - 9 - 8 - 34 - 55 Federal agency debt securities (2) Holdings 0 4,222 10,916 13,833 0 2,347 31,318 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities (3) Holdings 0 0 0 594 8,978 1,734,608 1,744,179 Weekly changes 0 0 0 - 19 - 179 - 5,897 - 6,096 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 102 0 0 0 0 0 102 Reverse repurchase agreements (4) 309,105 0 ... ... ... ... 309,105 Term deposits 0 0 0 ... ... ... 0 Note: Components may not sum to totals because of rounding. ...Not applicable. 1. Face value. For inflation-indexed securities, includes the original face value and compensation that adjusts for the effect of inflation on the original face value of such securities. 2. Face value. 3. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 4. Cash value of agreements. 5. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 3. Supplemental Information on Mortgage-Backed Securities Millions of dollars Account name Wednesday Jan 27, 2016 Mortgage-backed securities held outright (1) 1,744,179 Commitments to buy mortgage-backed securities (2) 23,946 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 6 1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 2. Current face value. Generally settle within 180 days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. 3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 5 and table 6. 4. Information on Principal Accounts of Maiden Lane LLC Millions of dollars Account name Wednesday Jan 27, 2016 Net portfolio holdings of Maiden Lane LLC (1) 1,722 Outstanding principal amount of loan extended by the Federal Reserve Bank of New York (2) 0 Accrued interest payable to the Federal Reserve Bank of New York (2) 0 Outstanding principal amount and accrued interest on loan payable to JPMorgan Chase & Co. (3) 0 1. Fair value. Fair value reflects an estimate of the price that would be received upon selling an asset if the transaction were to be conducted in an orderly market on the measurement date. Revalued quarterly. This table reflects valuations as of December 31, 2015. Any assets purchased after this valuation date are initially recorded at cost until their estimated fair value as of the purchase date becomes available. 2. Book value. This amount was eliminated when preparing the Federal Reserve Bank of New York's statement of condition consistent with consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 6. 3. Book value. The fair value of these obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in table 5 and table 6. Note: On June 26, 2008, the Federal Reserve Bank of New York (FRBNY) extended credit to Maiden Lane LLC under the authority of section 13(3) of the Federal Reserve Act. This limited liability company was formed to acquire certain assets of Bear Stearns and to manage those assets through time to maximize repayment of the credit extended and to minimize disruption to financial markets. The remaining outstanding balances of the senior loan from FRBNY to Maiden Lane LLC, and the subordinated loan from JPMorgan Chase & Co. to Maiden Lane LLC were repaid in full, with interest. 5. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Jan 27, 2016 Wednesday Wednesday consolidation Jan 20, 2016 Jan 28, 2015 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,971 + 21 + 20 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,408,550 - 6,526 - 16,028 Securities held outright (1) 4,236,838 - 6,151 - 226 U.S. Treasury securities 2,461,341 - 55 + 537 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,346,639 0 - 73 Notes and bonds, inflation-indexed (2) 98,534 0 + 65 Inflation compensation (3) 16,168 - 55 + 544 Federal agency debt securities (2) 31,318 0 - 6,270 Mortgage-backed securities (4) 1,744,179 - 6,096 + 5,507 Unamortized premiums on securities held outright (5) 188,025 - 520 - 17,717 Unamortized discounts on securities held outright (5) -16,437 + 40 + 1,821 Repurchase agreements (6) 0 0 0 Loans 124 + 104 + 94 Net portfolio holdings of Maiden Lane LLC (7) 1,722 + 5 + 36 Items in process of collection (0) 195 - 32 + 57 Bank premises 2,238 + 1 - 24 Central bank liquidity swaps (8) 102 - 23 + 101 Foreign currency denominated assets (9) 19,734 - 215 - 568 Other assets (10) 31,600 + 278 - 1,312 Total assets (0) 4,482,349 - 6,491 - 17,715 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 5. Consolidated Statement of Condition of All Federal Reserve Banks (continued) Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Jan 27, 2016 Wednesday Wednesday consolidation Jan 20, 2016 Jan 28, 2015 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,368,187 - 864 + 82,370 Reverse repurchase agreements (11) 309,105 - 13,869 + 27,615 Deposits (0) 2,759,258 + 8,807 - 110,953 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,399,267 - 12,811 - 263,313 U.S. Treasury, General Account 337,973 + 19,224 + 143,662 Foreign official 5,233 + 2 + 22 Other (12) (0) 16,786 + 2,393 + 8,678 Deferred availability cash items (0) 466 + 43 - 19 Other liabilities and accrued dividends (13) 5,829 - 609 + 914 Total liabilities (0) 4,442,845 - 6,491 - 72 Capital accounts Capital paid in 29,504 0 + 931 Surplus 10,000 0 - 18,573 Other capital accounts 0 0 0 Total capital 39,504 0 - 17,643 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. 7. Refer to table 4 and the note on consolidation accompanying table 6. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Revalued daily at current foreign currency exchange rates. 10. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. 11. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 12. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. 13. Includes the liability for earnings remittances due to the U.S. Treasury. 6. Statement of Condition of Each Federal Reserve Bank, January 27, 2016 Millions of dollars Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas Dallas San City Francisco Assets Gold certificate account 11,037 347 3,709 340 505 783 1,600 734 299 171 288 891 1,370 Special drawing rights certificate acct. 5,200 196 1,818 210 237 412 654 424 150 90 153 282 574 Coin 1,971 48 78 132 140 309 198 287 34 58 155 207 325 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,408,550 111,751 2,646,431 109,645 105,989 239,437 248,248 163,806 45,973 26,815 57,272 142,010 511,172 Securities held outright (1) 4,236,838 107,402 2,543,425 105,377 101,864 230,118 238,585 157,417 44,184 25,767 55,039 136,482 491,179 U.S. Treasury securities 2,461,341 62,394 1,477,573 61,218 59,176 133,684 138,603 91,450 25,668 14,969 31,974 79,288 285,344 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,461,341 62,394 1,477,573 61,218 59,176 133,684 138,603 91,450 25,668 14,969 31,974 79,288 285,344 Federal agency debt securities (2) 31,318 794 18,801 779 753 1,701 1,764 1,164 327 190 407 1,009 3,631 Mortgage-backed securities (4) 1,744,179 44,214 1,047,052 43,381 41,934 94,733 98,218 64,804 18,189 10,607 22,658 56,186 202,204 Unamortized premiums on securities held outright (5) 188,025 4,766 112,874 4,676 4,521 10,212 10,588 6,986 1,961 1,143 2,443 6,057 21,798 Unamortized discounts on securities held outright (5) -16,437 -417 -9,867 -409 -395 -893 -926 -611 -171 -100 -214 -529 -1,906 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 124 0 0 0 0 0 0 14 0 5 4 0 101 Net portfolio holdings of Maiden Lane LLC (7) 1,722 0 1,722 0 0 0 0 0 0 0 0 0 0 Items in process of collection 195 0 0 0 0 0 195 0 0 0 0 0 0 Bank premises 2,238 125 436 75 106 210 207 204 118 92 240 226 199 Central bank liquidity swaps (8) 102 5 33 6 8 23 6 3 1 0 1 1 15 Foreign currency denominated assets (9) 19,734 895 6,363 1,103 1,538 4,528 1,123 530 184 83 208 284 2,897 Other assets (10) 31,600 843 18,429 795 772 1,894 1,787 1,191 412 216 461 1,127 3,674 Interdistrict settlement account 0 - 25,701 - 58,331 + 9,211 + 8,517 + 7,101 - 2,587 + 2,094 + 10,640 + 4,701 + 2,361 + 8,524 + 33,470 Total assets 4,482,349 88,508 2,620,687 121,515 117,812 254,698 251,430 169,273 57,811 32,227 61,139 153,553 553,696 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 6. Statement of Condition of Each Federal Reserve Bank, January 27, 2016 (continued) Millions of dollars Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas Dallas San City Francisco Liabilities Federal Reserve notes outstanding 1,545,721 49,584 496,936 49,168 82,492 106,109 217,258 102,394 51,482 26,697 40,523 125,597 197,481 Less: Notes held by F.R. Banks 177,534 6,015 60,464 6,001 9,392 11,692 22,252 10,845 4,730 2,695 4,712 13,702 25,033 Federal Reserve notes, net 1,368,187 43,569 436,472 43,167 73,100 94,417 195,006 91,549 46,751 24,003 35,810 111,895 172,448 Reverse repurchase agreements (11) 309,105 7,836 185,560 7,688 7,432 16,789 17,406 11,485 3,224 1,880 4,015 9,957 35,835 Deposits 2,759,258 35,171 1,982,625 68,285 34,067 134,120 36,296 64,901 7,313 5,734 20,774 30,952 339,019 Term deposits held by depository institutions 0 0 0 0 0 0 0 0 0 0 0 0 0 Other deposits held by depository institutions 2,399,267 35,168 1,630,390 68,282 34,063 134,062 36,287 57,244 7,306 5,734 20,772 30,950 339,009 U.S. Treasury, General Account 337,973 0 337,973 0 0 0 0 0 0 0 0 0 0 Foreign official 5,233 2 5,205 2 3 9 2 1 0 0 0 1 6 Other (12) 16,786 2 9,057 0 0 50 7 7,656 7 0 1 2 5 Deferred availability cash items 466 0 0 0 0 0 150 0 0 316 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,431 32 947 27 22 37 85 52 11 5 13 49 152 Other liabilities and accrued dividends 4,398 142 2,127 167 165 462 280 227 116 121 126 183 284 Total liabilities 4,442,845 86,750 2,607,730 119,333 114,785 245,825 249,222 168,214 57,415 32,059 60,739 153,036 547,738 Capital Capital paid in 29,504 1,304 9,734 1,624 2,248 6,579 1,639 791 303 126 295 373 4,490 Surplus 10,000 453 3,223 559 780 2,295 569 269 93 42 105 144 1,469 Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0 Total liabilities and capital 4,482,349 88,508 2,620,687 121,515 117,812 254,698 251,430 169,273 57,811 32,227 61,139 153,553 553,696 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 6. Statement of Condition of Each Federal Reserve Bank, January 27, 2016 (continued) 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Includes the original face value of inflation-indexed securities and compensation that adjusts for the effect of inflation on the original face value of such securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. 7. Refer to table 4 and the note on consolidation below. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Revalued daily at current foreign currency exchange rates. 10. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. 11. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 12. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. 13. Represents the estimated weekly remittances due to U.S. Treasury. The amounts on this line represent the residual net earnings that the Federal Reserve Banks remit to the U.S. Treasury after providing for the costs of operations, payment of dividends, and the amount necessary to maintain a $10 billion surplus. Note on consolidation: On June 26, 2008, the Federal Reserve Bank of New York (FRBNY) extended a loan to Maiden Lane LLC (ML) under the authority of section 13(3) of the Federal Reserve Act. ML was formed to acquire certain assets of Bear Stearns. On June 14, 2012, the remaining outstanding balance of the senior loan from FRBNY to ML was repaid in full, with interest. On November 15, 2012, the remaining outstanding balance of the subordinated loan from JPMorgan Chase & Co. to ML was repaid in full, with interest. FRBNY was the primary beneficiary of ML because it received any residual returns and could have absorbed any residual losses should they have occurred. Consistent with generally accepted accounting principles, the assets and liabilities of ML were consolidated with the assets and liabilities of FRBNY in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the extension of credit from FRBNY to ML was eliminated, the net assets of ML appeared as assets on the previous page (and in table 1 and table 5), and the liabilities of ML to entities other than FRBNY, including those with recourse only to the ML portfolio holdings, were included in other liabilities in this table (and table 1 and table 5). 7. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts Millions of dollars Federal Reserve notes and collateral Wednesday Jan 27, 2016 Federal Reserve notes outstanding 1,545,721 Less: Notes held by F.R. Banks not subject to collateralization 177,534 Federal Reserve notes to be collateralized 1,368,187 Collateral held against Federal Reserve notes 1,368,187 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,351,950 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,236,838 Less: Face value of securities under reverse repurchase agreements 285,327 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,951,511 Note: Components may not sum to totals because of rounding. 1. Includes face value of U.S. Treasury, agency debt, and mortgage-backed securities held outright, compensation to adjust for the effect of inflation on the original face value of inflation-indexed securities, and cash value of repurchase agreements. 2. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A.