FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks May 12, 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 May 11, 2016 Federal Reserve Banks May 11, 2016 May 4, 2016 May 13, 2015 Reserve Bank credit 4,438,168 + 1,107 - 1,066 4,438,854 Securities held outright (1) 4,233,486 + 120 + 14,885 4,233,528 U.S. Treasury securities 2,461,562 + 119 + 1,284 2,461,605 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,342,292 0 - 4,351 2,342,292 Notes and bonds, inflation-indexed (2) 103,134 0 + 4,600 103,134 Inflation compensation (3) 16,137 + 119 + 1,036 16,179 Federal agency debt securities (2) 27,096 0 - 8,799 27,096 Mortgage-backed securities (4) 1,744,827 0 + 22,399 1,744,827 Unamortized premiums on securities held outright (5) 183,225 - 359 - 17,196 183,103 Unamortized discounts on securities held outright (5) -16,063 + 15 + 1,699 -16,051 Repurchase agreements (6) 0 0 0 0 Loans 85 + 28 + 13 68 Primary credit 28 + 22 + 24 4 Secondary credit 0 0 0 0 Seasonal credit 57 + 7 - 11 64 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,714 0 + 26 1,713 Float -163 + 284 + 312 -189 Central bank liquidity swaps (8) 171 - 1,029 + 171 0 Other Federal Reserve assets (9) 35,713 + 2,048 - 976 36,682 Foreign currency denominated assets (10) 21,156 - 112 + 1,072 21,120 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 47,812 + 14 + 1,001 47,812 Total factors supplying reserve funds 4,523,378 + 1,010 + 1,007 4,524,027 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 May 11, 2016 Federal Reserve Banks May 11, 2016 May 4, 2016 May 13, 2015 Currency in circulation (11) 1,451,431 + 2,634 + 87,719 1,452,649 Reverse repurchase agreements (12) 267,900 - 21,975 + 28,356 269,589 Foreign official and international accounts 239,198 - 2,780 + 89,624 238,056 Others 28,701 - 19,195 - 61,270 31,533 Treasury cash holdings 129 - 16 - 94 108 Deposits with F.R. Banks, other than reserve balances 353,742 - 21,503 + 121,112 344,773 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 315,369 - 20,988 + 99,158 305,842 Foreign official 5,174 - 2 - 62 5,174 Other (13) 33,199 - 514 + 22,016 33,757 Other liabilities and capital (14) 48,496 + 1,189 - 18,449 47,139 Total factors, other than reserve balances, absorbing reserve funds 2,121,698 - 39,671 + 218,644 2,114,259 Reserve balances with Federal Reserve Banks 2,401,680 + 40,680 - 217,637 2,409,768 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. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 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 May 11, 2016 May 11, 2016 May 4, 2016 May 13, 2015 Securities held in custody for foreign official and international accounts 3,219,618 - 8,771 - 96,979 3,213,494 Marketable U.S. Treasury securities (1) 2,905,969 - 8,571 - 80,319 2,899,580 Federal agency debt and mortgage-backed securities (2) 264,728 - 164 - 20,495 264,842 Other securities (3) 48,920 - 38 + 3,834 49,072 Securities lent to dealers 17,192 - 795 + 5,937 15,407 Overnight facility (4) 17,192 - 795 + 5,937 15,407 U.S. Treasury securities 17,167 - 772 + 6,192 15,389 Federal agency debt securities 24 - 24 - 256 18 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, May 11, 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 9 59 0 0 0 ... 68 U.S. Treasury securities (1) Holdings 14,021 49,621 121,301 1,164,693 479,465 632,503 2,461,605 Weekly changes 0 + 3 + 3 + 18 + 18 + 72 + 116 Federal agency debt securities (2) Holdings 2,000 2,604 12,158 7,987 0 2,347 27,096 Weekly changes 0 0 + 1,495 - 1,495 0 0 0 Mortgage-backed securities (3) Holdings 0 0 0 896 8,903 1,735,028 1,744,827 Weekly changes 0 0 0 0 0 0 0 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 0 0 0 0 0 0 0 Reverse repurchase agreements (4) 269,589 0 ... ... ... ... 269,589 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 May 11, 2016 Mortgage-backed securities held outright (1) 1,744,827 Commitments to buy mortgage-backed securities (2) 41,360 Commitments to sell mortgage-backed securities (2) 300 Cash and cash equivalents (3) 5 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 May 11, 2016 Net portfolio holdings of Maiden Lane LLC (1) 1,713 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 March 31, 2016. 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 May 11, 2016 Wednesday Wednesday consolidation May 4, 2016 May 13, 2015 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,877 + 7 + 57 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,400,648 - 171 - 22,766 Securities held outright (1) 4,233,528 + 116 - 6,541 U.S. Treasury securities 2,461,605 + 116 + 1,271 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,342,292 0 - 4,351 Notes and bonds, inflation-indexed (2) 103,134 0 + 4,600 Inflation compensation (3) 16,179 + 116 + 1,022 Federal agency debt securities (2) 27,096 0 - 8,799 Mortgage-backed securities (4) 1,744,827 0 + 987 Unamortized premiums on securities held outright (5) 183,103 - 327 - 17,908 Unamortized discounts on securities held outright (5) -16,051 + 31 + 1,699 Repurchase agreements (6) 0 0 0 Loans 68 + 8 - 17 Net portfolio holdings of Maiden Lane LLC (7) 1,713 - 1 + 16 Items in process of collection (0) 135 - 15 + 72 Bank premises 2,219 0 - 20 Central bank liquidity swaps (8) 0 - 1,200 0 Foreign currency denominated assets (9) 21,120 - 156 + 863 Other assets (10) 34,463 + 2,678 - 998 Total assets (0) 4,478,411 + 1,141 - 22,777 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 May 11, 2016 Wednesday Wednesday consolidation May 4, 2016 May 13, 2015 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,406,817 + 1,302 + 86,796 Reverse repurchase agreements (11) 269,589 - 7,206 + 25,820 Deposits (0) 2,754,541 + 7,246 - 113,852 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,409,768 + 26,399 - 234,077 U.S. Treasury, General Account 305,842 - 17,952 + 100,450 Foreign official 5,174 0 - 57 Other (12) (0) 33,757 - 1,202 + 19,832 Deferred availability cash items (0) 324 - 57 - 276 Other liabilities and accrued dividends (13) 7,098 - 147 - 3,230 Total liabilities (0) 4,438,369 + 1,138 - 4,742 Capital accounts Capital paid in 30,042 + 4 + 1,003 Surplus 10,000 0 - 19,039 Other capital accounts 0 0 0 Total capital 40,042 + 4 - 18,035 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. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 13. Includes the liability for earnings remittances due to the U.S. Treasury. 6. Statement of Condition of Each Federal Reserve Bank, May 11, 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 11,037 355 3,588 359 586 760 1,541 753 360 193 296 875 1,371 Special drawing rights certificate acct. 5,200 196 1,818 210 237 412 654 424 150 90 153 282 574 Coin 1,877 53 72 130 136 299 181 279 22 54 150 188 311 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,400,648 108,101 2,504,225 119,485 131,790 268,936 246,302 175,354 55,566 32,454 61,257 156,638 540,540 Securities held outright (1) 4,233,528 103,998 2,409,162 114,950 126,787 258,727 236,947 168,684 53,431 31,212 58,920 150,691 520,021 U.S. Treasury securities 2,461,605 60,470 1,400,818 66,838 73,721 150,438 137,774 98,082 31,067 18,148 34,259 87,620 302,368 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,461,605 60,470 1,400,818 66,838 73,721 150,438 137,774 98,082 31,067 18,148 34,259 87,620 302,368 Federal agency debt securities (2) 27,096 666 15,419 736 811 1,656 1,517 1,080 342 200 377 964 3,328 Mortgage-backed securities (4) 1,744,827 42,862 992,924 47,376 52,255 106,633 97,657 69,522 22,021 12,864 24,283 62,107 214,324 Unamortized premiums on securities held outright (5) 183,103 4,498 104,198 4,972 5,484 11,190 10,248 7,296 2,311 1,350 2,548 6,518 22,491 Unamortized discounts on securities held outright (5) -16,051 -394 -9,134 -436 -481 -981 -898 -640 -203 -118 -223 -571 -1,972 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 68 0 0 0 0 0 5 13 27 10 13 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,713 0 1,713 0 0 0 0 0 0 0 0 0 0 Items in process of collection 135 0 0 0 0 0 134 0 0 0 0 0 0 Bank premises 2,219 121 430 74 106 209 207 202 116 90 241 225 198 Central bank liquidity swaps (8) 0 0 0 0 0 0 0 0 0 0 0 0 0 Foreign currency denominated assets (9) 21,120 933 6,970 1,162 1,608 4,710 1,172 566 217 90 211 268 3,213 Other assets (10) 34,463 889 19,105 943 1,038 2,280 1,954 1,385 533 281 534 1,278 4,244 Interdistrict settlement account 0 - 30,390 + 25,212 - 2,180 - 7,032 - 20,382 + 10,486 - 313 + 104 - 648 - 3,371 + 7,531 + 20,982 Total assets 4,478,411 80,259 2,563,134 120,184 128,469 257,223 262,631 178,651 57,067 32,605 59,471 167,286 571,433 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, May 11, 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 1,574,656 49,010 502,718 49,373 81,794 108,727 222,739 105,343 50,911 27,342 40,043 131,062 205,595 Less: Notes held by F.R. Banks 167,838 5,016 56,122 5,693 8,678 11,729 23,020 9,599 4,859 2,461 4,855 13,185 22,622 Federal Reserve notes, net 1,406,817 43,994 446,596 43,680 73,116 96,998 199,719 95,744 46,052 24,881 35,188 117,877 182,973 Reverse repurchase agreements (11) 269,589 6,623 153,414 7,320 8,074 16,476 15,089 10,742 3,402 1,988 3,752 9,596 33,115 Deposits 2,754,541 27,701 1,946,244 66,791 44,023 134,349 45,126 70,349 7,038 5,169 19,980 39,031 348,739 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 2,409,768 27,696 1,609,021 66,789 44,020 134,114 45,117 63,076 7,030 5,169 19,979 39,030 348,728 U.S. Treasury, General Account 305,842 0 305,842 0 0 0 0 0 0 0 0 0 0 Foreign official 5,174 2 5,147 2 3 9 2 1 0 0 0 1 6 Other (12) 33,757 4 26,234 0 0 225 7 7,272 8 0 1 1 5 Deferred availability cash items 324 0 0 0 0 0 72 0 0 252 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,954 47 1,174 45 48 85 107 80 24 14 31 73 226 Other liabilities and accrued dividends 5,144 152 2,584 193 195 512 305 248 132 131 123 200 368 Total liabilities 4,438,369 78,517 2,550,012 118,029 125,455 248,419 260,418 177,163 56,648 32,435 59,074 166,776 565,421 Capital Capital paid in 30,042 1,300 9,822 1,604 2,252 6,573 1,657 1,220 316 128 296 383 4,491 Surplus 10,000 442 3,299 550 762 2,230 555 268 103 43 100 127 1,521 Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0 Total liabilities and capital 4,478,411 80,259 2,563,134 120,184 128,469 257,223 262,631 178,651 57,067 32,605 59,471 167,286 571,433 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, May 11, 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. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 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 May 11, 2016 Federal Reserve notes outstanding 1,574,656 Less: Notes held by F.R. Banks not subject to collateralization 167,838 Federal Reserve notes to be collateralized 1,406,817 Collateral held against Federal Reserve notes 1,406,817 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,390,581 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,233,528 Less: Face value of securities under reverse repurchase agreements 251,588 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,981,940 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.