FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks June 22, 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 Jun 21, 2017 Federal Reserve Banks Jun 21, 2017 Jun 14, 2017 Jun 22, 2016 Reserve Bank credit 4,430,246 + 2,434 - 7,987 4,435,230 Securities held outright (1) 4,249,383 + 1,789 + 7,230 4,254,154 U.S. Treasury securities 2,464,926 + 87 + 2,808 2,464,958 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,338,216 0 - 1,070 2,338,216 Notes and bonds, inflation-indexed (2) 108,126 0 + 2,187 108,126 Inflation compensation (3) 18,583 + 87 + 1,691 18,615 Federal agency debt securities (2) 8,097 - 421 - 16,999 8,097 Mortgage-backed securities (4) 1,776,360 + 2,123 + 21,421 1,781,099 Unamortized premiums on securities held outright (5) 166,613 - 167 - 15,009 166,663 Unamortized discounts on securities held outright (5) -14,776 + 33 + 1,194 -14,765 Repurchase agreements (6) 0 0 0 0 Loans 101 + 29 - 46 107 Primary credit 18 + 11 - 21 9 Secondary credit 0 0 0 0 Seasonal credit 83 + 18 - 25 98 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 4 1,709 Float -263 + 61 - 124 -372 Central bank liquidity swaps (8) 42 + 6 + 42 42 Other Federal Reserve assets (9) 27,435 + 681 - 1,273 27,692 Foreign currency denominated assets (10) 20,600 - 119 - 659 20,537 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 48,935 + 14 + 940 48,935 Total factors supplying reserve funds 4,516,022 + 2,329 - 7,706 4,520,944 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 Jun 21, 2017 Federal Reserve Banks Jun 21, 2017 Jun 14, 2017 Jun 22, 2016 Currency in circulation (11) 1,554,710 + 122 + 98,567 1,555,694 Reverse repurchase agreements (12) 408,834 + 13,112 + 101,015 446,236 Foreign official and international accounts 242,415 + 4,670 - 317 247,467 Others 166,420 + 8,443 + 101,333 198,769 Treasury cash holdings 202 - 19 + 112 199 Deposits with F.R. Banks, other than reserve balances 293,963 + 54,306 - 55,696 305,851 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 212,275 + 58,629 - 104,563 225,126 Foreign official 5,176 - 37 - 158 5,165 Other (13) 76,512 - 4,286 + 49,025 75,560 Other liabilities and capital (14) 48,493 - 295 + 373 48,348 Total factors, other than reserve balances, absorbing reserve funds 2,306,202 + 67,225 + 144,371 2,356,329 Reserve balances with Federal Reserve Banks 2,209,820 - 64,896 - 152,077 2,164,616 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 Jun 21, 2017 Jun 21, 2017 Jun 14, 2017 Jun 22, 2016 Securities held in custody for foreign official and international accounts 3,290,028 + 19,699 + 51,535 3,294,618 Marketable U.S. Treasury securities (1) 2,966,046 + 20,079 + 41,046 2,972,599 Federal agency debt and mortgage-backed securities (2) 262,214 - 607 - 981 260,237 Other securities (3) 61,767 + 226 + 11,469 61,782 Securities lent to dealers 25,611 - 92 + 4,458 25,291 Overnight facility (4) 25,611 - 92 + 4,458 25,291 U.S. Treasury securities 25,610 - 92 + 4,467 25,290 Federal agency debt securities 0 - 1 - 10 1 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, June 21, 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 104 3 0 0 0 ... 107 U.S. Treasury securities (1) Holdings 12,885 34,923 256,067 1,174,361 353,826 632,897 2,464,958 Weekly changes + 12,885 - 12,884 + 2 + 14 + 20 + 51 + 87 Federal agency debt securities (2) Holdings 0 1,340 4,348 62 0 2,347 8,097 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities (3) Holdings 0 0 0 801 11,404 1,768,895 1,781,099 Weekly changes 0 0 0 + 220 + 176 - 1,897 - 1,502 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 42 0 0 0 0 0 42 Reverse repurchase agreements (4) 446,236 0 ... ... ... ... 446,236 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 Jun 21, 2017 Mortgage-backed securities held outright (1) 1,781,099 Commitments to buy mortgage-backed securities (2) 17,558 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 48 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 Jun 21, 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 Jun 21, 2017 Wednesday Wednesday consolidation Jun 14, 2017 Jun 22, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,819 + 5 - 44 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,406,160 - 1,670 - 5,432 Securities held outright (1) 4,254,154 - 1,415 + 8,382 U.S. Treasury securities 2,464,958 + 87 + 2,790 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,338,216 0 - 1,070 Notes and bonds, inflation-indexed (2) 108,126 0 + 2,187 Inflation compensation (3) 18,615 + 87 + 1,673 Federal agency debt securities (2) 8,097 0 - 16,999 Mortgage-backed securities (4) 1,781,099 - 1,502 + 22,591 Unamortized premiums on securities held outright (5) 166,663 - 318 - 14,971 Unamortized discounts on securities held outright (5) -14,765 + 33 + 1,193 Repurchase agreements (6) 0 0 0 Loans 107 + 30 - 37 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 4 Items in process of collection (0) 61 - 4 - 110 Bank premises 2,198 + 1 - 20 Central bank liquidity swaps (8) 42 + 6 + 42 Foreign currency denominated assets (9) 20,537 - 332 - 732 Other assets (10) 25,495 - 17 - 1,451 Total assets (0) 4,474,257 - 2,012 - 7,752 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 Jun 21, 2017 Wednesday Wednesday consolidation Jun 14, 2017 Jun 22, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,508,773 + 212 + 97,600 Reverse repurchase agreements (11) 446,236 + 40,166 + 111,166 Deposits (0) 2,470,467 - 41,978 - 217,726 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,164,616 - 66,588 - 153,979 U.S. Treasury, General Account 225,126 + 61,185 - 106,286 Foreign official 5,165 - 87 - 31 Other (12) (0) 75,560 - 36,487 + 42,569 Deferred availability cash items (0) 433 - 311 + 140 Other liabilities and accrued dividends (13) 7,493 - 116 + 327 Total liabilities (0) 4,433,401 - 2,029 - 8,494 Capital accounts Capital paid in 30,856 + 16 + 742 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 40,856 + 16 + 742 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, June 21, 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 1,819 44 46 168 130 273 197 281 27 52 114 185 300 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,406,160 85,847 2,481,012 113,762 127,772 258,153 259,360 185,342 58,780 34,391 62,495 176,388 562,857 Securities held outright (1) 4,254,154 82,887 2,395,480 109,840 123,367 249,253 250,415 178,924 56,728 33,168 60,334 170,307 543,452 U.S. Treasury securities 2,464,958 48,027 1,387,998 63,644 71,482 144,423 145,096 103,673 32,870 19,218 34,959 98,680 314,889 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,464,958 48,027 1,387,998 63,644 71,482 144,423 145,096 103,673 32,870 19,218 34,959 98,680 314,889 Federal agency debt securities (2) 8,097 158 4,559 209 235 474 477 341 108 63 115 324 1,034 Mortgage-backed securities (4) 1,781,099 34,702 1,002,922 45,987 51,650 104,356 104,842 74,911 23,751 13,886 25,260 71,303 227,529 Unamortized premiums on securities held outright (5) 166,663 3,247 93,847 4,303 4,833 9,765 9,810 7,010 2,222 1,299 2,364 6,672 21,291 Unamortized discounts on securities held outright (5) -14,765 -288 -8,314 -381 -428 -865 -869 -621 -197 -115 -209 -591 -1,886 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 107 1 0 0 0 0 4 29 27 39 7 0 0 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 61 0 0 0 0 0 61 0 0 0 0 0 0 Bank premises 2,198 119 442 71 112 201 203 200 111 88 236 221 193 Central bank liquidity swaps (8) 42 2 13 2 3 9 2 2 0 0 0 1 6 Foreign currency denominated assets (9) 20,537 890 6,578 1,104 1,673 4,438 1,198 860 225 87 199 263 3,024 Other assets (10) 25,495 538 13,801 653 740 1,673 1,508 1,069 551 218 423 1,090 3,230 Interdistrict settlement account 0 + 2,866 - 26,862 - 2,788 - 4,417 + 3,386 - 8,359 + 40,226 - 174 + 2,005 + 6,595 + 4,578 - 17,056 Total assets 4,474,257 90,852 2,482,150 113,531 126,803 269,321 256,345 229,141 60,012 37,123 70,507 183,922 554,550 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, June 21, 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 1,680,298 57,090 525,870 55,923 85,925 122,283 223,040 115,837 52,691 31,484 48,718 143,054 218,383 Less: Notes held by F.R. Banks 171,525 5,863 42,255 7,580 10,034 12,655 27,457 11,011 5,421 2,690 5,542 16,234 24,783 Federal Reserve notes, net 1,508,773 51,227 483,615 48,343 75,891 109,628 195,582 104,826 47,270 28,794 43,176 126,819 193,600 Reverse repurchase agreements (11) 446,236 8,694 251,272 11,522 12,940 26,145 26,267 18,768 5,950 3,479 6,329 17,864 57,005 Deposits 2,470,467 28,968 1,730,440 51,207 34,361 124,067 31,608 103,405 6,165 4,142 20,433 38,412 297,259 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 2,164,616 28,963 1,480,523 51,204 34,357 123,903 31,600 47,669 6,161 4,142 20,431 38,411 297,252 U.S. Treasury, General Account 225,126 0 225,126 0 0 0 0 0 0 0 0 0 0 Foreign official 5,165 2 5,138 2 3 9 2 2 0 0 0 1 6 Other (12) 75,560 4 19,654 0 0 155 6 55,735 4 0 1 0 1 Deferred availability cash items 433 0 0 0 0 0 52 0 0 381 0 0 0 Earnings remittances due to the U.S. Treasury (13) 947 11 563 16 16 13 79 34 18 10 17 59 110 Other liabilities and accrued dividends 6,545 197 3,209 234 245 610 400 352 154 145 151 255 594 Total liabilities 4,433,401 89,098 2,469,100 111,321 123,453 260,464 253,989 227,384 59,557 36,952 70,105 183,410 548,568 Capital Capital paid in 30,856 1,321 9,848 1,672 2,535 6,696 1,773 1,338 345 129 305 385 4,509 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 4,474,257 90,852 2,482,150 113,531 126,803 269,321 256,345 229,141 60,012 37,123 70,507 183,922 554,550 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, June 21, 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 Jun 21, 2017 Federal Reserve notes outstanding 1,680,298 Less: Notes held by F.R. Banks not subject to collateralization 171,525 Federal Reserve notes to be collateralized 1,508,773 Collateral held against Federal Reserve notes 1,508,773 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,492,536 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,254,154 Less: Face value of securities under reverse repurchase agreements 432,274 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,821,881 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.