FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks June 29, 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 28, 2017 Federal Reserve Banks Jun 28, 2017 Jun 21, 2017 Jun 29, 2016 Reserve Bank credit 4,431,065 + 819 - 5,021 4,423,721 Securities held outright (1) 4,249,680 + 297 + 10,229 4,243,422 U.S. Treasury securities 2,465,014 + 88 + 2,761 2,465,046 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) 18,671 + 88 + 1,643 18,703 Federal agency debt securities (2) 8,097 0 - 16,999 8,097 Mortgage-backed securities (4) 1,776,569 + 209 + 24,468 1,770,280 Unamortized premiums on securities held outright (5) 166,356 - 257 - 14,853 166,068 Unamortized discounts on securities held outright (5) -14,745 + 31 + 1,182 -14,733 Repurchase agreements (6) 0 0 0 0 Loans 133 + 32 + 1 192 Primary credit 30 + 12 + 23 84 Secondary credit 0 0 0 0 Seasonal credit 103 + 20 - 22 108 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 4 1,709 Float -284 - 21 - 5 -744 Central bank liquidity swaps (8) 35 - 7 + 33 35 Other Federal Reserve assets (9) 28,182 + 747 - 1,604 27,773 Foreign currency denominated assets (10) 20,629 + 29 - 627 20,734 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 48,949 + 14 + 930 48,949 Total factors supplying reserve funds 4,516,885 + 863 - 4,717 4,509,646 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 28, 2017 Federal Reserve Banks Jun 28, 2017 Jun 21, 2017 Jun 29, 2016 Currency in circulation (11) 1,555,877 + 1,167 + 97,272 1,559,134 Reverse repurchase agreements (12) 448,132 + 39,298 + 89,091 504,865 Foreign official and international accounts 239,395 - 3,020 - 13,510 241,166 Others 208,737 + 42,317 + 102,601 263,699 Treasury cash holdings 198 - 4 + 105 187 Deposits with F.R. Banks, other than reserve balances 302,397 + 8,434 - 97,458 280,028 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 208,365 - 3,910 - 128,728 197,597 Foreign official 5,165 - 11 - 157 5,165 Other (13) 88,867 + 12,355 + 31,428 77,266 Other liabilities and capital (14) 47,539 - 954 - 125 47,324 Total factors, other than reserve balances, absorbing reserve funds 2,354,143 + 47,941 + 88,885 2,391,538 Reserve balances with Federal Reserve Banks 2,162,742 - 47,078 - 93,602 2,118,108 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 28, 2017 Jun 28, 2017 Jun 21, 2017 Jun 29, 2016 Securities held in custody for foreign official and international accounts 3,307,944 + 17,916 + 82,947 3,311,175 Marketable U.S. Treasury securities (1) 2,985,481 + 19,435 + 73,426 2,988,792 Federal agency debt and mortgage-backed securities (2) 260,524 - 1,690 - 2,088 260,308 Other securities (3) 61,939 + 172 + 11,609 62,076 Securities lent to dealers 25,135 - 476 + 1,183 23,577 Overnight facility (4) 25,135 - 476 + 1,183 23,577 U.S. Treasury securities 25,134 - 476 + 1,196 23,576 Federal agency debt securities 0 0 - 14 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 28, 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 163 28 0 0 0 ... 192 U.S. Treasury securities (1) Holdings 12,885 34,924 256,069 1,174,374 353,845 632,949 2,465,046 Weekly changes 0 + 1 + 2 + 13 + 19 + 52 + 88 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 0 620 10,980 1,758,679 1,770,280 Weekly changes 0 0 0 - 181 - 424 - 10,216 - 10,819 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 35 0 0 0 0 0 35 Reverse repurchase agreements (4) 504,865 0 ... ... ... ... 504,865 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 28, 2017 Mortgage-backed securities held outright (1) 1,770,280 Commitments to buy mortgage-backed securities (2) 22,547 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 Jun 28, 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 28, 2017 Wednesday Wednesday consolidation Jun 21, 2017 Jun 29, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,819 0 - 34 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,394,948 - 11,212 - 1,056 Securities held outright (1) 4,243,422 - 10,732 + 12,482 U.S. Treasury securities 2,465,046 + 88 + 2,743 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) 18,703 + 88 + 1,626 Federal agency debt securities (2) 8,097 0 - 16,999 Mortgage-backed securities (4) 1,770,280 - 10,819 + 26,739 Unamortized premiums on securities held outright (5) 166,068 - 595 - 14,750 Unamortized discounts on securities held outright (5) -14,733 + 32 + 1,177 Repurchase agreements (6) 0 0 0 Loans 192 + 85 + 36 Net portfolio holdings of Maiden Lane LLC (7) 1,709 0 - 3 Items in process of collection (0) 93 + 32 - 44 Bank premises 2,197 - 1 - 23 Central bank liquidity swaps (8) 35 - 7 + 33 Foreign currency denominated assets (9) 20,734 + 197 - 513 Other assets (10) 25,576 + 81 - 1,494 Total assets (0) 4,463,347 - 10,910 - 3,135 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 28, 2017 Wednesday Wednesday consolidation Jun 21, 2017 Jun 29, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,512,186 + 3,413 + 95,438 Reverse repurchase agreements (11) 504,865 + 58,629 + 101,138 Deposits (0) 2,398,136 - 72,331 - 199,777 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,118,108 - 46,508 - 81,011 U.S. Treasury, General Account 197,597 - 27,529 - 149,035 Foreign official 5,165 0 - 29 Other (12) (0) 77,266 + 1,706 + 30,298 Deferred availability cash items (0) 836 + 403 - 570 Other liabilities and accrued dividends (13) 6,481 - 1,012 - 94 Total liabilities (0) 4,422,504 - 10,897 - 3,865 Capital accounts Capital paid in 30,843 - 13 + 730 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 40,843 - 13 + 730 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 28, 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 47 169 128 272 198 279 26 50 112 183 309 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,394,948 85,626 2,474,653 113,471 127,444 257,491 258,696 184,861 58,634 34,309 62,333 175,958 561,474 Securities held outright (1) 4,243,422 82,678 2,389,436 109,563 123,055 248,624 249,783 178,473 56,585 33,084 60,182 169,877 542,081 U.S. Treasury securities 2,465,046 48,028 1,388,047 63,646 71,484 144,428 145,102 103,677 32,871 19,219 34,960 98,683 314,900 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,046 48,028 1,388,047 63,646 71,484 144,428 145,102 103,677 32,871 19,219 34,960 98,683 314,900 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) 1,770,280 34,492 996,830 45,708 51,336 103,722 104,205 74,456 23,606 13,802 25,107 70,870 226,147 Unamortized premiums on securities held outright (5) 166,068 3,236 93,511 4,288 4,816 9,730 9,775 6,985 2,214 1,295 2,355 6,648 21,215 Unamortized discounts on securities held outright (5) -14,733 -287 -8,296 -380 -427 -863 -867 -620 -196 -115 -209 -590 -1,882 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 192 0 1 0 0 0 4 23 31 46 5 23 60 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 93 0 0 0 0 0 92 0 0 0 0 0 0 Bank premises 2,197 118 442 72 112 200 203 200 111 89 237 221 193 Central bank liquidity swaps (8) 35 2 11 2 3 8 2 1 0 0 0 0 5 Foreign currency denominated assets (9) 20,734 899 6,641 1,115 1,689 4,480 1,209 868 227 88 201 265 3,053 Other assets (10) 25,576 542 13,908 659 746 1,673 1,523 1,083 404 219 426 1,139 3,252 Interdistrict settlement account 0 + 1,122 - 63,113 - 1,686 + 2,691 + 9,507 - 808 + 41,964 + 1,121 + 3,088 + 5,976 + 4,541 - 4,402 Total assets 4,463,347 88,898 2,439,707 114,359 133,602 274,820 263,290 230,417 61,015 38,125 69,730 183,505 565,879 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 28, 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 1,682,809 57,039 528,878 55,875 85,977 122,224 223,093 115,680 52,733 31,455 48,769 142,884 218,201 Less: Notes held by F.R. Banks 170,624 5,944 43,527 7,438 9,946 12,477 26,807 10,918 5,319 2,764 5,494 15,727 24,262 Federal Reserve notes, net 1,512,186 51,094 485,350 48,437 76,031 109,748 196,286 104,763 47,414 28,691 43,275 127,157 193,940 Reverse repurchase agreements (11) 504,865 9,837 284,285 13,035 14,641 29,580 29,718 21,234 6,732 3,936 7,160 20,211 64,495 Deposits 2,398,136 26,003 1,654,083 50,429 39,309 125,960 34,423 102,319 6,266 4,416 18,720 35,348 300,860 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 2,118,108 25,998 1,430,754 50,427 39,306 125,819 34,414 45,794 6,263 4,415 18,718 35,347 300,853 U.S. Treasury, General Account 197,597 0 197,597 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) 77,266 3 20,595 0 0 132 6 56,524 2 0 1 1 1 Deferred availability cash items 836 0 0 0 0 0 57 0 0 760 19 0 0 Earnings remittances due to the U.S. Treasury (13) 1,534 36 792 46 61 119 107 60 10 13 20 68 201 Other liabilities and accrued dividends 4,947 174 2,145 202 211 559 342 294 139 137 135 207 403 Total liabilities 4,422,504 87,144 2,426,656 112,149 130,253 265,966 260,933 228,670 60,561 37,953 69,328 182,992 559,898 Capital Capital paid in 30,843 1,321 9,848 1,672 2,535 6,693 1,773 1,329 344 129 305 385 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 4,463,347 88,898 2,439,707 114,359 133,602 274,820 263,290 230,417 61,015 38,125 69,730 183,505 565,879 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 28, 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 28, 2017 Federal Reserve notes outstanding 1,682,809 Less: Notes held by F.R. Banks not subject to collateralization 170,624 Federal Reserve notes to be collateralized 1,512,186 Collateral held against Federal Reserve notes 1,512,186 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,495,949 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,243,422 Less: Face value of securities under reverse repurchase agreements 482,191 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,761,231 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.