FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks May 18, 2017 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 17, 2017 Federal Reserve Banks May 17, 2017 May 10, 2017 May 18, 2016 Reserve Bank credit 4,439,125 + 5,137 - 7,901 4,428,020 Securities held outright (1) 4,254,590 + 8,939 + 8,926 4,251,580 U.S. Treasury securities 2,464,658 - 148 + 2,980 2,464,638 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,339,568 - 172 - 2,724 2,339,540 Notes and bonds, inflation-indexed (2) 106,803 0 + 3,669 106,803 Inflation compensation (3) 18,286 + 23 + 2,033 18,295 Federal agency debt securities (2) 10,120 - 1,709 - 16,690 8,834 Mortgage-backed securities (4) 1,779,813 + 10,797 + 22,637 1,778,109 Unamortized premiums on securities held outright (5) 167,990 + 162 - 15,292 167,838 Unamortized discounts on securities held outright (5) -14,845 - 4 + 1,236 -14,879 Repurchase agreements (6) 9 0 + 9 0 Loans 66 + 25 - 11 67 Primary credit 22 + 21 + 15 23 Secondary credit 0 0 0 0 Seasonal credit 43 + 2 - 26 44 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 4 1,709 Float -358 - 56 - 178 -419 Central bank liquidity swaps (8) 36 + 1 - 970 36 Other Federal Reserve assets (9) 29,929 - 3,929 - 1,616 22,087 Foreign currency denominated assets (10) 20,242 + 29 - 688 20,538 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 48,824 + 14 + 955 48,824 Total factors supplying reserve funds 4,524,432 + 5,180 - 7,634 4,513,622 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 17, 2017 Federal Reserve Banks May 17, 2017 May 10, 2017 May 18, 2016 Currency in circulation (11) 1,547,389 + 845 + 95,875 1,548,437 Reverse repurchase agreements (12) 397,037 - 7,485 + 120,119 407,581 Foreign official and international accounts 234,982 - 6,638 - 14,612 240,311 Others 162,055 - 847 + 134,731 167,270 Treasury cash holdings 248 - 6 + 141 247 Deposits with F.R. Banks, other than reserve balances 291,119 + 3,792 - 48,396 261,993 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 186,080 - 12,933 - 109,259 172,891 Foreign official 5,166 - 5 - 22 5,164 Other (13) 99,873 + 16,730 + 60,885 83,937 Other liabilities and capital (14) 48,310 - 105 + 512 47,691 Total factors, other than reserve balances, absorbing reserve funds 2,284,104 - 2,957 + 168,252 2,265,949 Reserve balances with Federal Reserve Banks 2,240,327 + 8,136 - 175,887 2,247,673 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 securities, Federal agency debt securities, and 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 17, 2017 May 17, 2017 May 10, 2017 May 18, 2016 Securities held in custody for foreign official and international accounts 3,234,198 + 12,363 + 14,326 3,233,820 Marketable U.S. Treasury securities (1) 2,921,912 + 16,568 + 17,679 2,922,061 Federal agency debt and mortgage-backed securities (2) 250,786 - 4,527 - 15,901 250,340 Other securities (3) 61,500 + 322 + 12,547 61,419 Securities lent to dealers 24,602 + 2,816 + 7,970 22,730 Overnight facility (4) 24,602 + 2,816 + 7,970 22,730 U.S. Treasury securities 24,576 + 2,819 + 7,960 22,704 Federal agency debt securities 26 - 3 + 11 26 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 17, 2017 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 66 0 0 0 0 ... 67 U.S. Treasury securities (1) Holdings 11,910 44,608 230,777 1,195,573 349,054 632,716 2,464,638 Weekly changes - 8,573 + 6,746 + 7,573 + 24,999 - 35,890 + 4,969 - 177 Federal agency debt securities (2) Holdings 0 737 3,706 2,044 0 2,347 8,834 Weekly changes - 2,995 0 0 0 0 0 - 2,995 Mortgage-backed securities (3) Holdings 0 0 0 564 11,404 1,766,142 1,778,109 Weekly changes 0 0 0 + 364 + 86 + 8,643 + 9,093 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 36 0 0 0 0 0 36 Reverse repurchase agreements (4) 407,581 0 ... ... ... ... 407,581 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 17, 2017 Mortgage-backed securities held outright (1) 1,778,109 Commitments to buy mortgage-backed securities (2) 22,007 Commitments to sell mortgage-backed securities (2) 109 Cash and cash equivalents (3) 15 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 17, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,709 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, 2017. 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 17, 2017 Wednesday Wednesday consolidation May 10, 2017 May 18, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,835 - 25 - 23 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,404,606 + 5,939 - 3,974 Securities held outright (1) 4,251,580 + 5,920 + 10,030 U.S. Treasury securities 2,464,638 - 177 + 2,917 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,339,540 - 200 - 2,752 Notes and bonds, inflation-indexed (2) 106,803 0 + 3,669 Inflation compensation (3) 18,295 + 23 + 2,000 Federal agency debt securities (2) 8,834 - 2,995 - 16,262 Mortgage-backed securities (4) 1,778,109 + 9,093 + 23,376 Unamortized premiums on securities held outright (5) 167,838 + 107 - 15,253 Unamortized discounts on securities held outright (5) -14,879 - 49 + 1,256 Repurchase agreements (6) 0 - 62 0 Loans 67 + 22 - 7 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 4 Items in process of collection (0) 59 - 3 - 120 Bank premises 2,198 + 2 - 22 Central bank liquidity swaps (8) 36 + 1 - 970 Foreign currency denominated assets (9) 20,538 + 474 - 306 Other assets (10) 19,890 - 12,740 - 1,214 Total assets (0) 4,467,108 - 6,351 - 6,633 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 17, 2017 Wednesday Wednesday consolidation May 10, 2017 May 18, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,501,692 + 20 + 95,109 Reverse repurchase agreements (11) 407,581 - 17,512 + 94,710 Deposits (0) 2,509,667 + 10,960 - 197,561 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,247,674 + 27,756 - 151,955 U.S. Treasury, General Account 172,891 - 15,365 - 104,398 Foreign official 5,164 - 1 - 39 Other (12) (0) 83,937 - 1,430 + 58,830 Deferred availability cash items (0) 477 + 64 + 86 Other liabilities and accrued dividends (13) 6,913 + 53 + 312 Total liabilities (0) 4,426,330 - 6,414 - 7,343 Capital accounts Capital paid in 30,778 + 62 + 710 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 40,778 + 62 + 710 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 securities, Federal agency debt securities, and 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 17, 2017 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 11,037 349 3,592 348 553 776 1,520 737 341 191 292 916 1,422 Special drawing rights certificate acct. 5,200 196 1,818 210 237 412 654 424 150 90 153 282 574 Coin 1,835 49 54 172 128 276 187 287 25 53 118 184 302 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,404,606 85,817 2,480,180 113,723 127,728 258,064 259,267 185,265 58,748 34,349 62,471 176,327 562,666 Securities held outright (1) 4,251,580 82,837 2,394,030 109,774 123,292 249,102 250,264 178,816 56,694 33,147 60,297 170,203 543,123 U.S. Treasury securities 2,464,638 48,020 1,387,817 63,636 71,472 144,404 145,078 103,659 32,865 19,216 34,954 98,667 314,848 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,464,638 48,020 1,387,817 63,636 71,472 144,404 145,078 103,659 32,865 19,216 34,954 98,667 314,848 Federal agency debt securities (2) 8,834 172 4,974 228 256 518 520 372 118 69 125 354 1,129 Mortgage-backed securities (4) 1,778,109 34,644 1,001,239 45,910 51,564 104,180 104,666 74,785 23,711 13,863 25,218 71,183 227,147 Unamortized premiums on securities held outright (5) 167,838 3,270 94,508 4,333 4,867 9,834 9,880 7,059 2,238 1,309 2,380 6,719 21,441 Unamortized discounts on securities held outright (5) -14,879 -290 -8,378 -384 -431 -872 -876 -626 -198 -116 -211 -596 -1,901 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 67 0 20 0 0 0 0 16 14 9 5 0 3 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 1,709 0 0 0 0 0 0 0 0 0 0 Items in process of collection 59 0 0 0 0 0 58 0 0 0 0 0 0 Bank premises 2,198 119 442 72 109 202 204 200 112 88 236 221 194 Central bank liquidity swaps (8) 36 2 12 2 3 8 2 2 0 0 0 0 5 Foreign currency denominated assets (9) 20,538 890 6,578 1,104 1,673 4,438 1,198 860 225 87 199 263 3,024 Other assets (10) 19,890 438 10,682 515 585 1,357 1,182 837 367 179 353 867 2,527 Interdistrict settlement account 0 - 1,423 - 28,264 - 1,328 - 10,321 - 11,889 - 4,392 + 43,746 + 606 + 1,550 + 6,430 + 7,257 - 1,974 Total assets 4,467,108 86,437 2,476,802 114,818 120,695 253,644 259,881 232,357 60,574 36,588 70,253 186,317 568,740 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 17, 2017 (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 1,678,333 56,626 527,416 55,159 85,619 122,476 223,547 115,817 52,424 30,773 48,314 142,605 217,558 Less: Notes held by F.R. Banks 176,642 5,877 44,921 8,106 10,512 12,799 26,467 11,604 5,556 2,894 5,769 16,617 25,521 Federal Reserve notes, net 1,501,692 50,749 482,496 47,053 75,107 109,678 197,079 104,213 46,868 27,879 42,546 125,988 192,038 Reverse repurchase agreements (11) 407,581 7,941 229,506 10,524 11,819 23,880 23,992 17,142 5,435 3,178 5,780 16,317 52,067 Deposits 2,509,667 25,777 1,748,449 54,804 30,137 110,559 35,957 108,893 7,655 4,792 21,380 43,225 318,040 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 2,247,674 25,770 1,541,660 54,802 30,133 110,339 35,948 53,949 7,646 4,792 21,378 43,225 318,033 U.S. Treasury, General Account 172,891 0 172,891 0 0 0 0 0 0 0 0 0 0 Foreign official 5,164 2 5,137 2 3 9 2 2 0 0 0 1 6 Other (12) 83,937 5 28,761 0 0 211 7 54,942 9 0 1 0 1 Deferred availability cash items 477 0 0 0 0 0 53 0 0 424 0 0 0 Earnings remittances due to the U.S. Treasury (13) 2,074 54 1,035 65 88 192 138 82 30 16 22 79 272 Other liabilities and accrued dividends 4,839 163 2,297 186 194 480 308 273 132 128 125 196 357 Total liabilities 4,426,330 84,683 2,463,783 112,632 117,345 244,789 257,527 230,603 60,120 36,416 69,853 185,805 562,773 Capital Capital paid in 30,778 1,321 9,817 1,648 2,535 6,694 1,771 1,335 345 129 303 385 4,494 Surplus 10,000 434 3,202 538 815 2,161 583 419 109 42 97 128 1,473 Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0 Total liabilities and capital 4,467,108 86,437 2,476,802 114,818 120,695 253,644 259,881 232,357 60,574 36,588 70,253 186,317 568,740 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 17, 2017 (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 securities, Federal agency debt securities, and 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 17, 2017 Federal Reserve notes outstanding 1,678,333 Less: Notes held by F.R. Banks not subject to collateralization 176,642 Federal Reserve notes to be collateralized 1,501,692 Collateral held against Federal Reserve notes 1,501,692 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,485,455 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,251,580 Less: Face value of securities under reverse repurchase agreements 396,627 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,854,953 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.