Federal Reserve Banks Combined Quarterly Financial Report
Unaudited
March 31, 2016
PrintAbbreviations
- BAC
- Committee on Federal Reserve Bank Affairs
- FAST Act
- Fixing America’s Surface Transportation Act
- FRA
- Federal Reserve Act
- FOMC
- Federal OpenMarket Committee
- FRBNY
- Federal Reserve Bank of New York
- GSE
- Government-sponsored enterprise
- MBS
- Mortgage-backed securities
- ML
- Maiden Lane LLC
- LLC
- Limited liability company
- SOMA
- System Open Market Account
- VIE
- Variable interest entity
Combined Quarterly Financial Statements
| March 31, 2016 | December 31, 2015 | ||
|---|---|---|---|
| Assets | |||
| Gold certificates | $ 11,037 | $ 11,037 | |
| Special drawing rights certificates | 5,200 | 5,200 | |
| Coin | 1,885 | 1,890 | |
| Loans | Note 1 | 58 | 115 |
| System Open Market Account: | Note 2 | ||
| Treasury securities, net (of which $25,329 and $18,960 is lent as of March 31, 2016, and December 31, 2015, respectively) | 2,576,483 | 2,580,676 | |
| Government-sponsored enterprise debt securities, net (of which $58 and $146 is lent as of March 31, 2016, and December 31, 2015, respectively) | 29,950 | 33,748 | |
| Federal agency and government-sponsored enterprise mortgage-backed securities, net | 1,806,443 | 1,800,449 | |
| Foreign currency denominated investments, net | 20,681 | 19,567 | |
| Central bank liquidity swaps | 146 | 997 | |
| Accrued interest receivable | 24,465 | 25,418 | |
| Other assets | 12 | 14 | |
| Investments held by consolidated variable interest entities (of which $1,760 and $1,778 is measured at fair value as of March 31, 2016, and December 31, 2015, respectively) | Note 3 | 1,760 | 1,778 |
| Bank premises and equipment, net | 2,581 | 2,603 | |
| Items in process of collection | 190 | 210 | |
| Other assets | 1,012 | 1,063 | |
| Total assets | $ 4,481,903 | $ 4,484,765 | |
| Liabilities and capital | |||
| Federal Reserve notes outstanding, net | Note 4 | $ 1,397,482 | $ 1,379,551 |
| System Open Market Account: | |||
| Securities sold under agreements to repurchase | Note 2 | 550,546 | 712,401 |
| Other liabilities | 696 | 508 | |
| Liabilities of consolidated variable interest entities (of which $19 and $21 is measured at fair value as of March 31, 2016, and December 31, 2015, respectively) | 47 | 57 | |
| Deposits: | |||
| Depository institutions | Note 5 | 2,125,364 | 1,977,166 |
| Treasury, general account | Note 6 | 313,834 | 333,447 |
| Other deposits | 46,731 | 36,532 | |
| Interest payable to depository institutions | 30 | 252 | |
| Accrued benefit costs | 2,820 | 2,892 | |
| Deferred credit items | 1,368 | 246 | |
| Accrued remittances to the Treasury | 2,443 | 1,953 | |
| Other liabilities | 464 | 252 | |
| Total liabilities | 4,441,825 | 4,445,257 | |
| Capital paid-in | Note 7 | 30,078 | 29,508 |
| Surplus (including accumulated other comprehensive loss of $3,729 and $3,802 at March 31, 2016 and December 31, 2015, respectively) | Note 7 | 10,000 | 10,000 |
| Total capital | 40,078 | 39,508 | |
| Total liabilities and capital | $ 4,481,903 | $ 4,484,765 | |
| Three months ended | ||||
|---|---|---|---|---|
| March 31 2016 |
March 31 2015 |
|||
| Interest income | ||||
| System Open Market Account: | Note 8(B) | |||
| Treasury securities, net | 15,248 | 13,845 | ||
| Government-sponsored enterprise debt securities, net | 298 | 348 | ||
| Federal agency and government-sponsored enterprise mortgage-backed securities, net | 12,801 | 12,503 | ||
| Foreign currency denominated investments, net | 2 | 11 | ||
| Investments held by consolidated variable interest entities | Note 3 | 2 | (6) | |
| Total interest income | 28,351 | 26,701 | ||
| Interest expense | ||||
| System Open Market Account: | Note 8(B) | |||
| Securities sold under agreements to repurchase | 245 | 45 | ||
| Other | 1 | -- | ||
| Deposits: | ||||
| Depository institutions | Note 8(C) | 3,068 | 1,637 | |
| Term Deposit Facility | 6 | 66 | ||
| Total interest expense | 3,320 | 1,748 | ||
| Net interest income | 25,031 | 24,953 | ||
| Non-interest income | ||||
| System Open Market Account: | ||||
| Federal agency and government-sponsored enterprise mortgage-backed securities gains, net | 6 | 23 | ||
| Foreign currency translation gains (losses), net | 1,122 | (1,491) | ||
| Other | 5 | 4 | ||
| Consolidated variable interest entities gains (losses), net | Note 3 | (9) | 11 | |
| Income from services | 109 | 107 | ||
| Reimbursable services to government agencies | 164 | 149 | ||
| Other | 16 | 15 | ||
| Total non-interest income (loss) | 1,413 | (1,182) | ||
| Operating expenses | Note 8(D) | |||
| Salaries and benefits | 745 | 710 | ||
| Occupancy | 78 | 78 | ||
| Equipment | 41 | 42 | ||
| Net periodic pension expense | 99 | 72 | ||
| Other | 144 | 134 | ||
| Assessments: | ||||
| Board of Governors operating expenses and currency costs | 303 | 281 | ||
| Bureau of Consumer Financial Protection | 160 | 92 | ||
| Total operating expenses | 1,570 | 1,409 | ||
| Net income before providing for remittances to the Treasury | 24,874 | 22,362 | ||
| Earnings remittances to the Treasury | ||||
| Interest on Federal Reserve notes | -- | 21,723 | ||
| Required by the Federal Reserve Act | 24,762 | -- | ||
| Total earnings remittances to the Treasury | 24,762 | 21,723 | ||
| Net income after providing for remittances to the Treasury | 112 | 639 | ||
| Change in prior service costs related to benefit plans | 21 | 19 | ||
| Change in actuarial gains related to benefit plans | 52 | 22 | ||
| Total other comprehensive income | 73 | 41 | ||
| Comprehensive income | $ 185 | $ 680 | ||
| Capital paid-in | Surplus | Total capital | |||
|---|---|---|---|---|---|
| Net income retained | Accumulated other comprehensive (loss) |
Total surplus | |||
| Balance at January 1, 2015 (571,435,966 shares) | $ 28,572 | $ 32,740 | $ (4,168) | $ 28,572 | $ 57,144 |
| Net change in capital stock issued (18,730,089 shares) | 936 | -- | -- | -- | 936 |
| Comprehensive income: | |||||
| Net (loss) | -- | (17,195) | -- | (17,195) | (17,195) |
| Other comprehensive income | -- | -- | 366 | 366 | 366 |
| Dividends on capital stock | -- | (1,743) | -- | (1,743) | (1,743) |
| Net change in capital | 936 | (18,938) | 366 | (18,572) | (17,636) |
| Balance at December 31, 2015 (590,166,055 shares) | $ 29,508 | $ 13,802 | $ (3,802) | $ 10,000 | $ 39,508 |
| Net change in capital stock issued (11,385,575 shares) | 570 | -- | 570 | ||
| Comprehensive income: | |||||
| Net income | 112 | 112 | 112 | ||
| Other comprehensive income | 73 | 73 | 73 | ||
| Dividends on capital stock | (185) | (185) | (185) | ||
| Net change in capital | 570 | (73) | 73 | -- | 570 |
| Balance at March 31, 2016 (601,551,630 shares) | $ 30,078 | $ 13,729 | $ (3,729) | $ 10,000 | $ 40,078 |
Supplemental Financial Information
Jump to:
(1) Loans
Loans to Depository Institutions
The Reserve Banks offer primary, secondary, and seasonal loans to eligible borrowers (depository institutions that maintain reservable transaction accounts or nonpersonal time deposits and have established discount window borrowing privileges). The remaining maturity distribution of loans to depository institutions outstanding as of March 31, 2016, and December 31, 2015, was as follows:
| Within 15 days | 16 to 90 days | Total | |
|---|---|---|---|
| March 31, 2016 | $ 49 | $9 | $ 58 |
| December 31, 2016 | $ 104 | $ 11 | $ 115 |
At March 31, 2016, and December 31, 2015, the Reserve Banks did not have any loans that were impaired, restructured, past due, or on non-accrual status, and no allowance for loan losses was required. There were no impaired loans during the period ended March 31, 2016, and year ended December 31, 2015.
(2) System Open Market Account (SOMA) Holdings
Treasury securities, government-sponsored enterprise (GSE) debt securities,
and federal agency and GSE mortgage-backed securities (MBS) are reported at amortized cost in the Combined statements of condition. SOMA portfolio holdings at March 31, 2016, and December 31, 2015, were as follows:
| March 31, 2016 | December 31, 2016 | |||||
|---|---|---|---|---|---|---|
| Amortized cost |
Fair value | Cumulative unrealized gains | Amortized cost |
Fair value | Cumulative unrealized gains | |
| Treasury Securities | ||||||
| Notes | $ 1,646,537 | $ 1,692,542 | $ 46,005 | $ 1,649,228 | $ 1,669,395 | $ 20,167 |
| Bonds | 929,946 | 1,064,769 | 134,823 | 931,448 | 1,006,514 | 75,066 |
| Total Treasury securities | $ 2,576,483 | $ 2,757,311 | $ 180,828 | $ 2,580,676 | $ 2,675,909 | $ 95,233 |
| GSE debt securities | 29,950 | 31,424 | 1,474 | 33,748 | 35,165 | 1,417 |
| Federal agency and GSE MBS | 1,806,443 | 1,843,399 | 36,956 | 1,800,449 | 1,810,256 | 9,807 |
| Total domestic SOMA portfolio securities holdings | $ 4,412,876 | $ 4,632,134 | $ 219,258 | $ 4,414,873 | $ 4,521,330 | $ 106,457 |
| Memorandum--Commitments for: | ||||||
| Purchases of Treasury securities | $ -- | $ -- | $ -- | $ -- | $ -- | $ -- |
| Purchases of federal agency and GSE MBS | 23,608 | 23,742 | 134 | 22,187 | 22,170 | (17) |
| Sales of federal agency and GSE MBS | -- | -- | -- | -- | -- | -- |
The following table provides additional information on the amortized cost and fair values of the federal agency and GSE MBS portfolio at March 31, 2016, and December 31, 2015:
| Distribution of MBS holdings by coupon rate | March 31, 2016 | December 31, 2015 | ||
|---|---|---|---|---|
| Amortized cost | Fair value | Amortized cost | Fair value | |
| 2.0% | $ 10,832 | $ 10,881 | $ 11,198 | $ 10,993 |
| 2.5% | 114,877 | 115,392 | 116,527 | 115,018 |
| 3.0% | 557,146 | 558,541 | 554,430 | 543,270 |
| 3.5% | 603,037 | 614,722 | 579,403 | 581,940 |
| 4.0% | 353,229 | 363,418 | 361,149 | 368,576 |
| 4.5% | 109,335 | 117,798 | 115,914 | 124,043 |
| 5.0% | 45,972 | 49,610 | 48,931 | 52,523 |
| 5.5% | 10,379 | 11,251 | 11,138 | 11,989 |
| 6.0% | 1,434 | 1,562 | 1,542 | 1,666 |
| 6.5% | 202 | 224 | 217 | 238 |
| Total | $ 1,806,443 | $ 1,843,399 | $ 1,800,449 | $ 1,810,256 |
The Federal Reserve Bank of New York (FRBNY) may engage in sales of securities under agreements to repurchase with primary dealers and with a set of expanded counterparties that includes banks, savings associations, GSEs, and domestic money market funds (primary dealer and expanded counterparties reverse repurchase agreements). Reverse repurchase transactions may also be executed with foreign official and international account holders as part of a service offering. Financial information related to securities sold under agreements to repurchase at March 31, 2016, and December 31, 2016, was as follows:
| March 31, 2016 | December 31, 2015 | |
|---|---|---|
| Primary dealers and expanded counterparties: | ||
| Contract amount outstanding, end of period | $ 303,849 | $ 474,592 |
| Securities pledged (par value), end of period | 271,794 | 437,961 |
| Securities pledged (fair value), end of period | 304,851 | 475,422 |
| Foreign official and international accounts: | ||
| Contract amount outstanding, end of period | $ 246,697 | $ 237,809 |
| Securities pledged (par value), end of period | 230,740 | 230,333 |
| Securities pledged (fair value), end of period | 246,914 | 237,825 |
| Total contract amount outstanding, end of period | $ 550,546 | $ 712,401 |
The remaining maturity distribution of Treasury securities, GSE debt securities, federal agency and GSE MBS bought outright, and securities sold under agreements to repurchase at March 31, 2016, and December 31, 2015, was as follows:
| Within 15 days | 16 days to 90 days | 91 days to 1 year | Over 1 year to 5 years | Over 5 years to 10 years | Over 10 years | Total | |
|---|---|---|---|---|---|---|---|
| March 31, 2016: | |||||||
| Treasury securities (par value) | $ 394 | $ 66,640 | $ 131,152 | $ 1,156,727 | $ 474,167 | $ 632,245 | $ 2,461,325 |
| GSE debt securities (par value) | -- | 4,161 | 11,767 | 10,982 | -- | 2,347 | 29,257 |
| Federal agency and GSE MBS (par value) 1 | -- | -- | -- | 755 | 8,846 | 1,743,486 | 1,753,087 |
| Securities sold under agreements to repurchase (contract amount) | 550,546 | -- | -- | -- | -- | -- | 550,546 |
| December 31, 2015: | |||||||
| Treasury securities (par value) | $ -- | $ 38,619 | $ 177,496 | $ 1,118,349 | $ 489,226 | $ 637,862 | $ 2,461,552 |
| GSE debt securities (par value) | -- | 3,687 | 13,077 | 13,833 | -- | 2,347 | 32,944 |
| Federal agency and GSE MBS (par value)1 | -- | -- | -- | 467 | 9,014 | 1,737,980 | 1,747,461 |
| Securities sold under agreements to repurchase (contract amount) | 712,401 | -- | -- | -- | -- | -- | 712,401 |
1. The par amount shown for federal agency and GSE MBS is the remaining principal balance of the securities. Return to table
Federal agency and GSE MBS are reported at stated maturity in table 5 above. The estimated weighted average remaining life of these securities, which differs from the stated maturity in table 5 primarily because it factors in scheduled payments and prepayment assumptions, was approximately 5.0 years and 6.5 years as of March 31, 2016, and December 31, 2015, respectively.
Information about transactions related to Treasury securities, GSE debt securities, and federal agency and GSE MBS during the three months ended March 31, 2016, and during the year ended December 31, 2015, is summarized as follows:
| Notes | Bonds | Total Treasury securities | GSE debt securities | Federal agency and GSE MBS | ||
|---|---|---|---|---|---|---|
| Balance December 31, 2014 | $ 1,654,901 | $ 941,340 | $ 2,596,241 | $ 39,990 | $ 1,789,083 | |
| Purchases 1 | 2,736 | 761 | 3,497 | -- | 356,976 | |
| Sales1 | -- | -- | -- | -- | (464) | |
| Realized gains, net 2 | -- | -- | -- | -- | 16 | |
| Principal payments and maturities | (2,977) | (543) | (3,520) | (5,733) | (333,441) | |
| Amortization of premiums and accretion of discounts, net | (5,485) | (10,253) | (15,738) | (509) | (11,721) | |
| Inflation adjustment on inflation-indexed securities | 53 | 143 | 196 | -- | -- | |
| Balance December 31, 2015 | $ 1,649,228 | $ 931,448 | $ 2,580,676 | $ 33,748 | $ 1,800,449 | |
| Purchases1 | 58,578 | 3,767 | 62,345 | -- | 72,297 | |
| Sales1 | -- | -- | -- | -- | -- | |
| Realized gains, net2 | -- | -- | -- | -- | -- | |
| Principal payments and maturities | (59,799) | (2,407) | (62,206) | (3,687) | (63,950) | |
| Amortization of premiums and accretion of discounts, net | (1,351) | (2,539) | (3,890) | (111) | (2,353) | |
| Inflation adjustment on inflation-indexed securities | (119) | (323) | (442) | -- | -- | |
| Balance March 31, 2016 | $ 1,646,537 | $ 929,946 | $ 2,576,483 | $ 29,950 | $ 1,806,443 | |
| Year ended December 31, 2015 | ||||||
| Supplemental information--par value of transactions: | ||||||
| Purchases 3 | $ 2,747 | $ 766 | $ 3,513 | $ -- | $ 344,505 | |
| Sales | -- | -- | -- | -- | (435) | |
| Nine months ended March 31, 2016 | ||||||
| Supplemental information--par value of transactions | ||||||
| Purchases3 | $ 58,674 | $ 3,746 | $ 62,420 | $ -- | $ 69,575 | |
| Sales | -- | -- | -- | -- | -- | |
1. Purchases and sales may include payments and receipts related to principal, premiums, discounts, and inflation compensation adjustments to the basis of inflation-indexed securities. The amount reported as sales includes the realized gains and losses on such transactions. Purchases and sales exclude MBS TBA transactions that are settled on a net basis. Return to table
2. Realized gains, net offset the amount of realized gains and losses included in the reported sales amount. Return to table
3. Includes inflation compensation. Return to table
Information about foreign currency denominated investments valued at amortized cost and foreign currency market exchange rates at March 31, 2016, and December 31, 2015, was as follows:
| March 31, 2016 | December 31, 2015 | |
|---|---|---|
| Euro: | ||
| Foreign currency deposits | $ 6,520 | $ 6,218 |
| German government debt instruments | 2,377 | 2,261 |
| French government debt instruments | 3,478 | 3,325 |
| Japanese yen: | ||
| Foreign currency deposits | 3,128 | 2,568 |
| Japanese government debt instruments | 5,178 | 5,195 |
| Total | $ 20,681 | $ 19,567 |
The remaining maturity distribution of foreign currency denominated investments at March 31, 2016, and December 31, 2015, was as follows:
| Within 15 days | 16 days to 90 days | 91 days to 1 year | Over 1 year to 5 years | Over 5 years to 10 years | Total | |
|---|---|---|---|---|---|---|
| March 31, 2016: | ||||||
| Euro | $ 1,755 | $ 4,702 | $ 1,577 | $ 3,580 | $ 761 | $ 12,375 |
| Japanese yen | 3,328 | 336 | 1,713 | 2,929 | -- | 8,306 |
| Total | $ 5,083 | $ 5,038 | $ 3,290 | $ 6,509 | $ 761 | $ 20,681 |
| December 31, 2015: | ||||||
| Euro | $ 2,136 | $ 4,440 | $ 1,051 | $ 3,824 | $ 353 | $ 11,804 |
| Japanese yen | 2,734 | 350 | 1,604 | 3,075 | -- | 7,763 |
| Total | $ 4,870 | $ 4,790 | $ 2,655 | $ 6,899 | $ 353 | $ 19,567 |
At March 31, 2016, and December 31, 2015, the fair value of foreign currency denominated investments was $20,777 million and $19,630 million, respectively.
Because of the global character of bank funding markets, the Federal Reserve has at times coordinated with other central banks to provide liquidity. The Federal Open Market Committee (FOMC) authorized and directed the FRBNY to establish U.S. dollar liquidity and reciprocal foreign currency swap lines with the Bank of Canada, the Bank of England, the European Central Bank, the Bank of Japan, and the Swiss National Bank. The FRBNY holds amounts outstanding under these swap lines in the SOMA. These swap lines, which were originally established as temporary arrangements, were converted to standing arrangements on October 31, 2013, and will remain in place until further notice.
The remaining maturity distribution of U.S. dollar liquidity swaps at March 31, 2016, and December 31, 2015, was as follows:
| March 31, 2016 Within 15 days |
December 31, 2015 Within 15 days |
|
|---|---|---|
| Euro | $ 45 | $ 925 |
| Japanese yen | 101 | 72 |
| Total | $ 146 | $ 997 |
The following table presents the realized gains and the change in the cumulative unrealized gains (losses) related to SOMA domestic securities holdings during the periods ended March 31, 2016, and March 31, 2015:
| Three months ended March 31, 2016 |
Three months ended March 31, 2015 |
|||
|---|---|---|---|---|
| Realized gains 1 | Change in cumulative unrealized gains (losses) 2 | Realized gains1 | Change in cumulative unrealized gains (losses)2 | |
| Treasury securities | $ -- | $ 85,595 | $ -- | $ 42,526 |
| GSE debt securities | -- | 57 | -- | (80) |
| Federal agency and GSE MBS | 6 | 27,149 | 23 | 8,804 |
| Total | $ 6 | $ 112,801 | $ 23 | $ 51,250 |
1. Realized gains are reported in "Non-interest income: System Open Market Account: Federal agency and government-sponsored enterprise mortgage-backed securities gains, net" in the Combined Statements of Income and Comprehensive Income. Return to table
2. Because SOMA securities are recorded at amortized cost, the change in the cumulative unrealized gains (losses) are not reported in the Combined Statements of Income and Comprehensive Income. Return to table
(3) Consolidated Variable Interest Entities (VIEs)
The combined financial statements include the accounts and results of operations of a limited liability company (LLC), Maiden Lane LLC (ML), which is consolidated by the FRBNY. Intercompany balances and transactions are eliminated in consolidation.
The classification of significant assets and liabilities of ML at March 31, 2016, and December 31, 2015, is summarized in the following table:
| Maiden Lane LLC | ||
|---|---|---|
| March 31, 2016 | December 31, 2015 | |
| Assets | ||
| Short-term investments | $ 1,099 | $ 1,496 |
| Swap contracts | 47 | 56 |
| Other investments | 13 | 13 |
| Subtotal | $ 1,159 | $ 1,565 |
| Cash, cash equivalents, accrued interest receivable, and other receivables | 601 | 213 |
| Total investments held by consolidated VIEs | $ 1,760 | $ 1,778 |
| Liabilities | ||
| Swap contracts | $ 20 | $ 21 |
| Cash collateral on swap contracts | 26 | 36 |
| Other liabilities | 1 | -- |
| Total liabilities held by consolidated VIEs | $ 47 | $ 57 |
ML incurred net losses of $8 million and net income of $4 million for the three months ended March 31, 2016, and March 31, 2015, respectively.
The FRBNY will continue to sell the remaining assets from the ML portfolio as market conditions warrant and if the sales represent good value for the public. In accordance with the ML agreements, proceeds from future asset sales will be distributed to the FRBNY as contingent interest after all derivative instruments in ML have been terminated and paid or sold from the portfolio.
(4) Federal Reserve Notes
Federal Reserve notes are the circulating currency of the United States. These notes, which are identified as issued to a specific Reserve Bank, must be fully collateralized. All of the Reserve Banks' assets are eligible to be pledged as collateral. At March 31, 2016, and December 31, 2015, all Federal Reserve notes were fully collateralized.
(5) Depository Institution Deposits
Depository institution deposits are primarily comprised of required reserve balances and excess reserve balances. Required reserve balances are those that a depository institution must hold to satisfy its reserve requirement. Reserve requirements are the amounts of funds that a depository institution must hold in reserve against specified deposit liabilities. Excess reserves are those held by the depository institutions in excess of their required reserve balances.
(6) Treasury Deposits
The Treasury holds deposits at the Reserve Banks in a general account pursuant the Reserve Banks' role as fiscal agent and depositary of the United States.
(7) Capital and Surplus
The Federal Reserve Act (FRA) requires that each member bank subscribe to the capital stock of the Reserve Bank in an amount equal to 6 percent of the capital and surplus of the member bank. These shares are nonvoting with a par value of $100 and may not be transferred or hypothecated. Currently, only one-half of the subscription is paid in and the remainder is subject to call. A member bank is liable for Reserve Bank liabilities up to twice the par value of stock subscribed by it.
The Fixing America's Surface Transportation Act (FAST Act), which was enacted on December 4, 2015, amended section 7 of the FRA related to Reserve Bank surplus and the semiannual payment of dividends to member banks.
Previously, by law, each Reserve Bank was required to pay each member bank an annual dividend of 6 percent on the paid-in capital stock. The FAST Act changed the dividend rate for member banks with more than $10 billion of consolidated assets, effective January 1, 2016, to the smaller of 6 percent or the rate equal to the high yield of the 10-year Treasury note auctioned at the last auction held prior to the payment of the dividend. The FAST Act did not change the 6 percent dividend rate for member banks with $10 billion or less of total consolidated assets.
Before the enactment of the FAST Act, the Board of Governors required the Reserve Banks to maintain a surplus equal to the amount of capital paid-in. On a daily basis, surplus was adjusted to equate the balance to capital paid-in. Effective December 4, 2015, the FAST Act limited aggregate Reserve Bank surplus to $10 billion.
(8) Income and Expense
(A) Loans
Interest income on primary, secondary, and seasonal credit is accrued using the applicable rate established at least every 14 days by the Reserve Banks' boards of directors, subject to review and determination by the Board of Governors. For the three months ended March 31, 2016 and 2015, primary, secondary and season credit average daily balances were $40 million and $32 million, respectively, and average interest rates were 0.82 percent and 0.60 percent, respectively.
(B) SOMA Holdings
The amount reported as interest income on SOMA portfolio holdings includes the amortization of premiums and discounts. Supplemental information on interest income on SOMA portfolio holdings is as follows:
| Three months ended March 31, 2016 |
Three months ended March 31, 2015 |
|
|---|---|---|
| Interest income: | ||
| Treasury securities, net | $ 15,248 | $ 13,845 |
| GSE debt securities, net | 298 | 348 |
| Federal agency and GSE MBS, net | 12,801 | 12,503 |
| Foreign currency denominated investments, net | 2 | 11 |
| Central bank liquidity swaps | * | * |
| Total interest income | $ 28,349 | $ 26,707 |
| Average daily balance: | ||
| Treasury securities, net 1 | $ 2,578,280 | $ 2,593,447 |
| GSE debt securities, net1 | 32,005 | 38,605 |
| Federal agency and GSE MBS, net 2 | 1,805,635 | 1,795,004 |
| Foreign currency denominated investments, net 3 | 20,172 | 20,126 |
| Central bank liquidity swaps 4 | 150 | 175 |
| Average interest rate: | ||
| Treasury securities, net | 2.37% | 2.14% |
| GSE debt securities, net | 3.72% | 3.60% |
| Federal agency and GSE MBS, net | 2.84% | 2.79% |
| Foreign currency denominated investments, net | 0.04% | 0.22% |
| Central bank liquidity swaps | 0.85% | 0.62% |
* Less than $500 thousand.
1. Face value, net of unamortized premiums and discounts. Return to table
2. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value of the securities, which is the remaining principal balance of the securities, net of premiums and discounts. Return to table
3. Foreign currency denominated investments are revalued daily at market exchange rates. Return to table
4. 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. Return to table
Supplemental information on interest expense on securities sold under agreement to repurchase (reverse repurchase agreements) is as follows:
| Three months ended March 31, 2016 |
Three months ended March 31, 2015 |
|
|---|---|---|
| Interest expense: | ||
| Primary dealers and expanded counterparties 1 | $ 53 | $ 22 |
| Foreign official and international accounts 2 | 192 | 23 |
| Total interest expense | $ 245 | $ 45 |
| Average daily balance: | ||
| Primary dealers and expanded counterparties1 | $ 84,148 | $ 152,565 |
| Foreign official and international accounts2 | 234,612 | 125,202 |
| Average interest rate: | ||
| Primary dealers and expanded counterparties1 | 0.25% | 0.06% |
| Foreign official and international accounts2 | 0.33% | 0.07% |
1. Overnight and term reverse repurchase transactions arranged as open market operations are settled through a set of expanded counterparties that includes banks, savings associations, GSEs, and domestic money market funds. Return to table
2. Reverse repurchase transactions are executed with foreign official and international account holders as part of a service offering. Return to table
(C) Depository Institution Deposits
The Reserve Banks pay interest to depository institutions on qualifying balances held at the Reserve Banks. The interest rates paid on required reserve balances and excess balances are determined by the Board of Governors, based on a FOMC-established target range for the effective federal funds rate.
In May 2010, the Reserve Banks commenced the auction of term deposits to be offered through its Term Deposit Facility. The interest rate paid on these deposits is determined by auction.
(D) Operating Expenses
The Federal Reserve Banks have established procedures for budgetary control and monitoring of operating expenses as part of their efforts to ensure appropriate stewardship and accountability. Reserve Bank and Board governance bodies provide budget guidance for major functional areas for the upcoming budget year. The Board's Committee on Federal Reserve Bank Affairs (BAC) reviews the Banks' budgets and the BAC chair submits the budgets to Board members for review and final action. Throughout the year, Reserve Bank and Board staffs monitor actual performance and compare it with approved budgets and forecasts.
Additional information regarding Reserve Bank operating expenses is available on the Audit webpage of the Board's public website at www.federalreserve.gov/newsevents/reform_audit.htm.
