H.4.1 Factors Affecting Reserve Balances of Depository Institutions

FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks August 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 Aug 3, 2016 Federal Reserve Banks Aug 3, 2016 Jul 27, 2016 Aug 5, 2015 Reserve Bank credit 4,426,102 - 8,855 - 21,509 4,426,769 Securities held outright1 4,226,425 - 9,135 - 5,075 4,226,461 U.S. Treasury securities 2,462,830 + 108 + 1,272 2,462,865 Bills2 0 0 0 0 Notes and bonds, nominal2 2,342,204 0 - 4,437 2,342,204 Notes and bonds, inflation-indexed2 103,596 0 + 5,062 103,596 Inflation compensation3 17,030 + 108 + 647 17,065 Federal agency debt securities2 22,492 0 - 12,601 22,492 Mortgage-backed securities4 1,741,102 - 9,244 + 6,253 1,741,104 Unamortized premiums on securities held outright5 179,334 - 634 - 17,158 179,205 Unamortized discounts on securities held outright5 -15,732 + 31 + 1,642 -15,730 Repurchase agreements6 0 0 0 0 Loans 203 - 20 + 5 186 Primary credit 18 - 17 + 8 2 Secondary credit 0 0 0 0 Seasonal credit 185 - 4 - 3 184 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC7 1,704 - 7 + 2 1,705 Float -717 - 408 - 713 -250 Central bank liquidity swaps8 930 + 750 + 622 930 Other Federal Reserve assets9 33,953 + 567 - 834 34,263 Foreign currency denominated assets10 21,351 + 526 + 1,809 21,426 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding11 47,997 + 14 + 869 47,997 Total factors supplying reserve funds 4,511,690 - 8,316 - 18,831 4,512,433 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.

H.4.1 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 Aug 3, 2016 Federal Reserve Banks Aug 3, 2016 Jul 27, 2016 Aug 5, 2015 Currency in circulation11 1,462,842 + 1,675 + 89,527 1,464,930 Reverse repurchase agreements12 327,397 + 24,074 + 55,821 311,254 Foreign official and international accounts 241,930 - 5,418 + 78,076 243,179 Others 85,467 + 29,492 - 22,255 68,075 Treasury cash holdings 78 - 2 - 34 105 Deposits with F.R. Banks, other than reserve balances 340,780 - 46,048 + 119,485 285,666 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 298,813 - 26,686 + 95,312 245,682 Foreign official 5,197 - 18 - 47 5,197 Other13 36,770 - 19,343 + 24,220 34,787 Other liabilities and capital14 47,833 + 1,234 - 17,862 47,415 Total factors, other than reserve balances, absorbing reserve funds 2,178,930 - 19,067 + 246,938 2,109,369 Reserve balances with Federal Reserve Banks 2,332,761 + 10,753 - 265,768 2,403,064 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements. 7. Refer to table 4 and the note on consolidation accompanying table 6. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also, includes Reserve Bank premises and equipment net of allowances for depreciation. 10. Revalued daily at current foreign currency exchange rates. 11. Estimated. 12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 13. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 14. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury.

H.4.1 1A. Memorandum Items Millions of dollars Averages of daily figures Wednesday Memorandum item Week ended Change from week ended Aug 3, 2016 Aug 3, 2016 Jul 27, 2016 Aug 5, 2015 Securities held in custody for foreign official and international accounts 3,219,154 - 1,251 - 136,496 3,212,086 Marketable U.S. Treasury securities1 2,896,038 - 2,074 - 119,190 2,888,834 Federal agency debt and mortgage-backed securities2 264,865 + 474 - 30,988 264,846 Other securities3 58,251 + 349 + 13,682 58,406 Securities lent to dealers 22,932 + 1,251 + 10,890 24,498 Overnight facility4 22,932 + 1,251 + 10,890 24,498 U.S. Treasury securities 22,913 + 1,246 + 10,935 24,474 Federal agency debt securities 19 + 6 - 45 24 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, August 3, 2016 Millions of dollars Within 15 16 days to 91 days to Over 1 year Over 5 year Over 10 Remaining Maturity All days 90 days 1 year to 5 years to 10 years years Loans 27 159 0 0 0 ... 186 U.S. Treasury securities1 Holdings 6,351 20,332 152,989 1,190,620 454,273 638,301 2,462,865 Weekly changes - 842 + 179 + 5,269 - 6,531 + 1,964 + 64 + 102 Federal agency debt securities2 Holdings 0 3,999 10,396 5,750 0 2,347 22,492 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities3 Holdings 0 0 0 1,198 9,988 1,729,917 1,741,104 Weekly changes 0 0 0 + 175 - 111 - 52 + 13 Repurchase agreements4 0 0 ... ... ... ... 0 Central bank liquidity swaps5 930 0 0 0 0 0 930 Reverse repurchase agreements4 311,254 0 ... ... ... ... 311,254 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.

H.4.1 3. Supplemental Information on Mortgage-Backed Securities Millions of dollars Wednesday Account name Aug 3, 2016 Mortgage-backed securities held outright1 1,741,104 Commitments to buy mortgage-backed securities2 41,181 Commitments to sell mortgage-backed securities2 0 Cash and cash equivalents3 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 Wednesday Account name Aug 3, 2016 Net portfolio holdings of Maiden Lane LLC1 1,705 Outstanding principal amount of loan extended by the Federal Reserve Bank of New York2 0 Accrued interest payable to the Federal Reserve Bank of New York2 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 June 30, 2016. Any assets purchased after this valuation date are initially recorded at cost until their estimated fair value as of the purchase date becomes available. 2. Book value. This amount was eliminated when preparing the Federal Reserve Bank of New York’s statement of condition consistent with consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 6. 3. Book value. The fair value of these obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in table 5 and table 6. Note: On June 26, 2008, the Federal Reserve Bank of New York (FRBNY) extended credit to Maiden Lane LLC under the authority of section 13(3) of the Federal Reserve Act. This limited liability company was formed to acquire certain assets of Bear Stearns and to manage those assets through time to maximize repayment of the credit extended and to minimize disruption to financial markets. The remaining outstanding balances of the senior loan from FRBNY to Maiden Lane LLC, and the subordinated loan from JPMorgan Chase & Co. to Maiden Lane LLC were repaid in full, with interest.

H.4.1 5. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Change since Eliminations from Wednesday Assets, liabilities, and capital Wednesday Wednesday consolidation Aug 3, 2016 Jul 27, 2016 Aug 5, 2015 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,900 + 1 + 22 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,390,121 - 334 - 20,588 Securities held outright1 4,226,461 + 116 - 5,096 U.S. Treasury securities 2,462,865 + 102 + 1,262 Bills2 0 0 0 Notes and bonds, nominal2 2,342,204 0 - 4,437 Notes and bonds, inflation-indexed2 103,596 0 + 5,062 Inflation compensation3 17,065 + 102 + 636 Federal agency debt securities2 22,492 0 - 12,601 Mortgage-backed securities4 1,741,104 + 13 + 6,243 Unamortized premiums on securities held outright5 179,205 - 352 - 17,106 Unamortized discounts on securities held outright5 -15,730 + 14 + 1,628 Repurchase agreements6 0 0 0 Loans 186 - 111 - 14 Net portfolio holdings of Maiden Lane LLC7 1,705 + 3 + 3 Items in process of collection (0) 210 - 15 - 13 Bank premises 2,210 - 4 - 25 Central bank liquidity swaps8 930 + 750 + 622 Foreign currency denominated assets9 21,426 + 575 + 2,074 Other assets10 32,054 + 1,319 - 1,630 Total assets (0) 4,466,793 + 2,295 - 19,536 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.

H.4.1 5. Consolidated Statement of Condition of All Federal Reserve Banks (continued) Millions of dollars Change since Eliminations from Wednesday Assets, liabilities, and capital Wednesday Wednesday consolidation Aug 3, 2016 Jul 27, 2016 Aug 5, 2015 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,418,934 + 2,356 + 88,863 Reverse repurchase agreements11 311,254 + 2,228 + 62,204 Deposits (0) 2,688,729 - 3,245 - 153,172 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,403,064 + 70,827 - 220,948 U.S. Treasury, General Account 245,682 - 70,556 + 46,927 Foreign official 5,197 - 72 - 47 Other12 (0) 34,787 - 3,443 + 20,897 Deferred availability cash items (0) 460 - 300 + 140 Other liabilities and accrued dividends13 7,307 + 1,239 + 486 Total liabilities (0) 4,426,685 + 2,279 - 1,478 Capital accounts Capital paid in 30,108 + 16 + 1,025 Surplus 10,000 0 - 19,083 Other capital accounts 0 0 0 Total capital 40,108 + 16 - 18,057 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. 7. Refer to table 4 and the note on consolidation accompanying table 6. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Revalued daily at current foreign currency exchange rates. 10. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. 11. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 12. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 13. Includes the liability for earnings remittances due to the U.S. Treasury.

H.4.1 6. Statement of Condition of Each Federal Reserve Bank, August 3, 2016 Millions of dollars Kansas San Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Dallas City Francisco Assets Gold certificate account 11,037 355 3,588 359 586 760 1,541 753 360 193 296 875 1,371 Special drawing rights certificate acct. 5,200 196 1,818 210 237 412 654 424 150 90 153 282 574 Coin 1,900 42 70 148 139 303 189 278 30 56 133 192 320 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,390,121 107,840 2,498,168 119,196 131,471 268,285 245,703 174,935 55,468 32,449 61,107 156,266 539,233 Securities held outright1 4,226,461 103,824 2,405,140 114,758 126,575 258,295 236,552 168,403 53,341 31,160 58,821 150,440 519,153 U.S. Treasury securities 2,462,865 60,501 1,401,535 66,872 73,759 150,515 137,845 98,133 31,083 18,158 34,277 87,665 302,523 Bills2 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds3 2,462,865 60,501 1,401,535 66,872 73,759 150,515 137,845 98,133 31,083 18,158 34,277 87,665 302,523 Federal agency debt securities2 22,492 553 12,799 611 674 1,375 1,259 896 284 166 313 801 2,763 Mortgage-backed securities4 1,741,104 42,771 990,805 47,275 52,143 106,405 97,448 69,374 21,974 12,836 24,232 61,974 213,867 Unamortized premiums on securities held outright5 179,205 4,402 101,980 4,866 5,367 10,952 10,030 7,140 2,262 1,321 2,494 6,379 22,012 Unamortized discounts on securities held outright5 -15,730 -386 -8,952 -427 -471 -961 -880 -627 -199 -116 -219 -560 -1,932 Repurchase agreements6 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 186 0 0 0 0 0 2 18 64 84 10 7 0 Net portfolio holdings of Maiden Lane LLC7 1,705 0 1,705 0 0 0 0 0 0 0 0 0 0 Items in process of collection 210 0 0 0 0 0 210 0 0 0 0 0 0 Bank premises 2,210 119 430 73 105 206 207 201 115 90 240 225 197 Central bank liquidity swaps8 930 41 307 51 71 207 52 25 10 4 9 12 141 Foreign currency denominated assets9 21,426 947 7,071 1,179 1,632 4,778 1,189 574 220 92 214 272 3,259 Other assets10 32,054 827 17,759 875 968 2,135 1,811 1,293 501 268 503 1,164 3,949 Interdistrict settlement account 0 - 19,139- 32,937 - 18,329+ 1,928- 12,055+ 8,267+ 3,538+ 926+ 294- 491+ 15,962 + 52,036 Total assets 4,466,793 91,228 2,497,978 103,762 137,137 265,032 259,824 182,021 57,780 33,536 62,165 175,249 601,081 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.

H.4.1 6. Statement of Condition of Each Federal Reserve Bank, August 3, 2016 (continued) Millions of dollars Kansas San Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Dallas City Francisco Liabilities Federal Reserve notes outstanding 1,602,229 50,017 519,810 50,065 81,848 112,105 221,770 105,868 50,318 27,735 41,218 133,492 207,981 Less: Notes held by F.R. Banks 183,295 5,817 57,618 5,948 9,082 13,234 27,208 11,642 5,133 2,822 5,029 15,340 24,423 Federal Reserve notes, net 1,418,934 44,200 462,192 44,117 72,767 98,871 194,562 94,227 45,185 24,913 36,189 118,153 183,558 Reverse repurchase agreements11 311,254 7,646 177,125 8,451 9,322 19,022 17,421 12,402 3,928 2,295 4,332 11,079 38,233 Deposits 2,688,729 37,417 1,841,925 48,769 51,722 137,597 44,911 73,564 8,069 5,804 21,104 45,231 372,617 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 2,403,064 37,410 1,563,378 48,766 51,719 137,453 44,902 66,652 8,040 5,804 21,103 45,230 372,608 U.S. Treasury, General Account 245,682 0 245,682 0 0 0 0 0 0 0 0 0 0 Foreign official 5,197 2 5,170 2 3 9 2 1 0 0 0 1 6 Other12 34,787 5 27,695 1 0 135 7 6,911 29 0 1 1 3 Deferred availability cash items 460 0 0 0 0 0 256 0 0 204 0 0 0 Earnings remittances due to the U.S. Treasury13 2,584 76 1,329 85 107 261 150 97 33 15 29 76 326 Other liabilities and accrued dividends 4,724 142 2,256 179 183 472 306 243 134 135 119 202 354 Total liabilities 4,426,685 89,482 2,484,826 101,602 134,099 256,223 257,606 180,532 57,349 33,366 61,772 174,741 595,088 Capital Capital paid in 30,108 1,305 9,853 1,611 2,276 6,579 1,662 1,221 328 128 293 381 4,472 Surplus 10,000 442 3,299 550 762 2,230 555 268 103 43 100 127 1,521 Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0 Total liabilities and capital 4,466,793 91,228 2,497,978 103,762 137,137 265,032 259,824 182,021 57,780 33,536 62,165 175,249 601,081 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.

H.4.1 6. Statement of Condition of Each Federal Reserve Bank, August 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. 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).

H.4.1 7. Collateral Held against Federal Reserve Notes: Federal Reserve Agents’ Accounts Millions of dollars Wednesday Federal Reserve notes and collateral Aug 3, 2016 Federal Reserve notes outstanding 1,602,229 Less: Notes held by F.R. Banks not subject to collateralization 183,295 Federal Reserve notes to be collateralized 1,418,934 Collateral held against Federal Reserve notes 1,418,934 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,402,697 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 4,226,461 Less: Face value of securities under reverse repurchase agreements 287,506 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,938,955 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.