FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks February 4, 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 Feb 3, 2016 Federal Reserve Banks Feb 3, 2016 Jan 27, 2016 Feb 4, 2015 Reserve Bank credit 4,444,886 - 6,412 - 16,603 4,445,059 Securities held outright (1) 4,236,798 - 6,631 - 188 4,236,766 U.S. Treasury securities 2,461,301 - 60 + 581 2,461,269 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,346,639 0 - 72 2,346,639 Notes and bonds, inflation-indexed (2) 98,534 0 + 65 98,534 Inflation compensation (3) 16,129 - 59 + 589 16,097 Federal agency debt securities (2) 31,318 0 - 6,270 31,318 Mortgage-backed securities (4) 1,744,179 - 6,571 + 5,501 1,744,179 Unamortized premiums on securities held outright (5) 187,792 - 574 - 17,738 187,656 Unamortized discounts on securities held outright (5) -16,420 + 35 + 1,820 -16,411 Repurchase agreements (6) 0 0 0 0 Loans 73 + 33 + 23 10 Primary credit 65 + 39 + 21 2 Secondary credit 0 0 0 0 Seasonal credit 8 - 6 + 3 9 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,722 + 4 + 36 1,722 Float -77 + 80 + 305 -7 Central bank liquidity swaps (8) 91 - 11 + 91 91 Other Federal Reserve assets (9) 34,906 + 651 - 953 35,232 Foreign currency denominated assets (10) 19,706 - 24 - 622 20,001 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 47,637 + 14 + 1,162 47,637 Total factors supplying reserve funds 4,528,470 - 6,421 - 16,063 4,528,938 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 Feb 3, 2016 Federal Reserve Banks Feb 3, 2016 Jan 27, 2016 Feb 4, 2015 Currency in circulation (11) 1,413,736 + 636 + 82,658 1,415,646 Reverse repurchase agreements (12) 321,629 + 27,476 + 36,301 292,271 Foreign official and international accounts 232,150 + 12,951 + 109,947 229,810 Others 89,478 + 14,524 - 73,648 62,461 Treasury cash holdings 264 - 13 + 62 249 Deposits with F.R. Banks, other than reserve balances 371,498 - 13,806 + 190,706 333,108 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 350,858 + 8,862 + 183,586 312,633 Foreign official 5,276 + 36 - 48 5,539 Other (13) 15,364 - 22,704 + 7,168 14,936 Other liabilities and capital (14) 46,372 + 67 - 16,498 46,387 Total factors, other than reserve balances, absorbing reserve funds 2,153,499 + 14,360 + 293,229 2,087,662 Reserve balances with Federal Reserve Banks 2,374,971 - 20,781 - 309,292 2,441,276 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 Feb 3, 2016 Feb 3, 2016 Jan 27, 2016 Feb 4, 2015 Securities held in custody for foreign official and international accounts 3,273,513 + 6,422 + 15,630 3,262,262 Marketable U.S. Treasury securities (1) 2,962,229 + 6,464 + 33,651 2,950,910 Federal agency debt and mortgage-backed securities (2) 263,414 - 537 - 23,372 263,492 Other securities (3) 47,870 + 495 + 5,350 47,860 Securities lent to dealers 15,488 + 2,059 + 6,589 13,122 Overnight facility (4) 15,488 + 2,059 + 6,589 13,122 U.S. Treasury securities 15,421 + 2,067 + 6,967 13,079 Federal agency debt securities 68 - 8 - 378 43 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, February 3, 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 2 9 0 0 0 ... 10 U.S. Treasury securities (1) Holdings 4,868 83,192 136,537 1,118,233 485,029 633,410 2,461,269 Weekly changes + 2,957 + 22,503 - 20,019 - 2,118 - 3,350 - 45 - 72 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 0 699 8,873 1,734,608 1,744,179 Weekly changes 0 0 0 + 105 - 105 0 0 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 91 0 0 0 0 0 91 Reverse repurchase agreements (4) 292,271 0 ... ... ... ... 292,271 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 Feb 3, 2016 Mortgage-backed securities held outright (1) 1,744,179 Commitments to buy mortgage-backed securities (2) 30,948 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 4 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 Feb 3, 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 Feb 3, 2016 Wednesday Wednesday consolidation Jan 27, 2016 Feb 4, 2015 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,999 + 28 + 44 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,408,021 - 529 - 16,057 Securities held outright (1) 4,236,766 - 72 - 154 U.S. Treasury securities 2,461,269 - 72 + 617 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,346,639 0 - 72 Notes and bonds, inflation-indexed (2) 98,534 0 + 65 Inflation compensation (3) 16,097 - 71 + 625 Federal agency debt securities (2) 31,318 0 - 6,270 Mortgage-backed securities (4) 1,744,179 0 + 5,499 Unamortized premiums on securities held outright (5) 187,656 - 369 - 17,715 Unamortized discounts on securities held outright (5) -16,411 + 26 + 1,816 Repurchase agreements (6) 0 0 0 Loans 10 - 114 - 4 Net portfolio holdings of Maiden Lane LLC (7) 1,722 0 + 36 Items in process of collection (0) 191 - 4 + 81 Bank premises 2,230 - 8 - 23 Central bank liquidity swaps (8) 91 - 11 + 91 Foreign currency denominated assets (9) 20,001 + 267 - 395 Other assets (10) 33,002 + 1,402 - 632 Total assets (0) 4,483,495 + 1,146 - 16,853 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 Feb 3, 2016 Wednesday Wednesday consolidation Jan 27, 2016 Feb 4, 2015 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,370,254 + 2,067 + 79,482 Reverse repurchase agreements (11) 292,271 - 16,834 + 26,621 Deposits (0) 2,774,384 + 15,126 - 106,094 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,441,276 + 42,009 - 267,535 U.S. Treasury, General Account 312,633 - 25,340 + 155,383 Foreign official 5,539 + 306 + 326 Other (12) (0) 14,936 - 1,850 + 5,732 Deferred availability cash items (0) 198 - 268 - 378 Other liabilities and accrued dividends (13) 6,881 + 1,052 + 1,221 Total liabilities (0) 4,443,989 + 1,144 + 853 Capital accounts Capital paid in 29,506 + 2 + 900 Surplus 10,000 0 - 18,606 Other capital accounts 0 0 0 Total capital 39,506 + 2 - 17,706 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, February 3, 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 1,999 50 77 133 144 312 203 291 33 58 158 208 332 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,408,021 111,741 2,646,182 109,636 105,979 239,415 248,224 163,781 45,969 26,812 57,262 141,996 511,023 Securities held outright (1) 4,236,766 107,400 2,543,382 105,375 101,862 230,114 238,581 157,415 44,183 25,766 55,038 136,480 491,170 U.S. Treasury securities 2,461,269 62,392 1,477,529 61,216 59,175 133,680 138,599 91,447 25,667 14,968 31,973 79,286 285,336 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,461,269 62,392 1,477,529 61,216 59,175 133,680 138,599 91,447 25,667 14,968 31,973 79,286 285,336 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) 187,656 4,757 112,652 4,667 4,512 10,192 10,567 6,972 1,957 1,141 2,438 6,045 21,755 Unamortized discounts on securities held outright (5) -16,411 -416 -9,852 -408 -395 -891 -924 -610 -171 -100 -213 -529 -1,903 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 10 0 0 2 0 0 0 4 0 5 0 0 0 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 191 0 0 0 0 0 190 0 0 0 0 0 0 Bank premises 2,230 124 434 74 105 211 206 203 117 91 240 226 198 Central bank liquidity swaps (8) 91 4 29 5 7 21 5 2 1 0 1 1 13 Foreign currency denominated assets (9) 20,001 907 6,449 1,117 1,559 4,589 1,138 537 186 84 210 288 2,936 Other assets (10) 33,002 878 19,281 830 811 1,983 1,884 1,244 444 232 482 1,092 3,842 Interdistrict settlement account 0 - 17,732 - 108,937 + 11,909 + 12,718 + 9,278 + 2,959 + 250 + 11,973 + 4,656 + 2,399 + 16,650 + 53,876 Total assets 4,483,495 96,515 2,570,764 124,256 122,065 257,003 257,062 167,467 59,173 32,196 61,193 161,635 574,166 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, February 3, 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 1,548,776 49,502 496,166 49,115 82,434 106,131 219,886 102,537 51,419 26,773 40,490 126,190 198,133 Less: Notes held by F.R. Banks 178,522 6,220 59,207 6,116 9,746 11,770 22,625 11,191 4,698 2,881 5,025 14,027 25,016 Federal Reserve notes, net 1,370,254 43,282 436,959 42,999 72,687 94,361 197,261 91,346 46,722 23,892 35,465 112,164 173,117 Reverse repurchase agreements (11) 292,271 7,409 175,454 7,269 7,027 15,874 16,458 10,859 3,048 1,777 3,797 9,415 33,883 Deposits 2,774,384 43,864 1,941,854 71,572 39,084 137,268 40,591 63,889 8,854 6,136 21,376 39,283 360,612 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 2,441,276 43,860 1,616,533 71,570 39,081 137,215 40,582 56,194 8,846 6,136 21,375 39,282 360,602 U.S. Treasury, General Account 312,633 0 312,633 0 0 0 0 0 0 0 0 0 0 Foreign official 5,539 2 5,512 2 3 9 2 1 0 0 0 1 6 Other (12) 14,936 2 7,175 0 0 44 7 7,694 8 0 1 1 5 Deferred availability cash items 198 0 0 0 0 0 114 0 0 84 0 0 0 Earnings remittances due to the U.S. Treasury (13) 2,141 56 1,203 54 65 154 135 77 28 13 46 67 242 Other liabilities and accrued dividends 4,741 147 2,337 179 175 473 295 236 125 125 109 188 352 Total liabilities 4,443,989 94,757 2,557,807 122,073 119,038 248,130 254,855 166,407 58,777 32,028 60,793 161,117 568,207 Capital Capital paid in 29,506 1,304 9,735 1,624 2,248 6,578 1,639 791 303 126 295 374 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 4,483,495 96,515 2,570,764 124,256 122,065 257,003 257,062 167,467 59,173 32,196 61,193 161,635 574,166 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, February 3, 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 Feb 3, 2016 Federal Reserve notes outstanding 1,548,776 Less: Notes held by F.R. Banks not subject to collateralization 178,522 Federal Reserve notes to be collateralized 1,370,254 Collateral held against Federal Reserve notes 1,370,254 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,354,018 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,236,766 Less: Face value of securities under reverse repurchase agreements 270,429 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,966,337 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.