FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks October 5, 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 Oct 4, 2017 Federal Reserve Banks Oct 4, 2017 Sep 27, 2017 Oct 5, 2016 Reserve Bank credit 4,420,117 - 3,656 + 1,798 4,420,524 Securities held outright (1) 4,240,352 - 6,843 + 19,521 4,240,384 U.S. Treasury securities 2,465,435 + 1 + 1,973 2,465,467 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 3,746 2,337,326 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,284 109,412 Inflation compensation (3) 18,697 + 1 + 1,436 18,729 Federal agency debt securities (2) 6,757 0 - 13,735 6,757 Mortgage-backed securities (4) 1,768,160 - 6,844 + 31,283 1,768,160 Unamortized premiums on securities held outright (5) 162,394 - 468 - 14,517 162,278 Unamortized discounts on securities held outright (5) -14,437 + 24 + 1,026 -14,432 Repurchase agreements (6) 0 0 0 0 Loans 192 - 41 - 3 177 Primary credit 3 - 4 - 3 0 Secondary credit 0 0 0 0 Seasonal credit 189 - 37 0 176 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,707 - 1 - 1 1,707 Float -668 - 361 + 13 -629 Central bank liquidity swaps (8) 3,620 + 3,583 - 3,383 3,620 Other Federal Reserve assets (9) 26,956 + 450 - 861 27,419 Foreign currency denominated assets (10) 21,165 - 141 - 312 21,111 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,160 + 14 + 790 49,160 Total factors supplying reserve funds 4,506,683 - 3,782 + 2,275 4,507,035 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 Oct 4, 2017 Federal Reserve Banks Oct 4, 2017 Sep 27, 2017 Oct 5, 2016 Currency in circulation (11) 1,580,339 + 1,405 + 108,615 1,582,848 Reverse repurchase agreements (12) 481,765 + 74,082 - 111,426 409,354 Foreign official and international accounts 237,775 - 1,743 - 7,657 230,616 Others 243,989 + 75,824 - 103,770 178,738 Treasury cash holdings 198 + 11 + 55 204 Deposits with F.R. Banks, other than reserve balances 247,994 - 15,045 - 144,657 238,725 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 160,433 - 4,219 - 187,327 154,619 Foreign official 5,166 - 29 - 3 5,165 Other (13) 82,396 - 10,796 + 42,674 78,941 Other liabilities and capital (14) 47,172 - 741 + 408 47,387 Total factors, other than reserve balances, absorbing reserve funds 2,357,468 + 59,711 - 147,005 2,278,517 Reserve balances with Federal Reserve Banks 2,149,215 - 63,494 + 149,280 2,228,518 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 Oct 4, 2017 Oct 4, 2017 Sep 27, 2017 Oct 5, 2016 Securities held in custody for foreign official and international accounts 3,366,151 - 5,714 + 213,689 3,360,386 Marketable U.S. Treasury securities (1) 3,039,727 - 6,696 + 207,759 3,033,383 Federal agency debt and mortgage-backed securities (2) 262,985 + 783 + 2,228 263,018 Other securities (3) 63,439 + 198 + 3,702 63,985 Securities lent to dealers 24,219 - 60 - 2,446 21,572 Overnight facility (4) 24,219 - 60 - 2,446 21,572 U.S. Treasury securities 24,219 - 60 - 2,412 21,572 Federal agency debt securities 0 0 - 34 0 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, October 4, 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 9 167 0 0 0 ... 177 U.S. Treasury securities (1) Holdings 0 45,116 324,881 1,133,395 328,882 633,192 2,465,467 Weekly changes - 10,947 + 17,503 + 1,504 - 11,502 + 3,457 + 24 + 40 Federal agency debt securities (2) Holdings 0 2,366 1,982 62 0 2,347 6,757 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities (3) Holdings 0 0 1 121 17,465 1,750,572 1,768,160 Weekly changes 0 0 0 + 2 + 219 - 222 0 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 3,620 0 0 0 0 0 3,620 Reverse repurchase agreements (4) 409,354 0 ... ... ... ... 409,354 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 Oct 4, 2017 Mortgage-backed securities held outright (1) 1,768,160 Commitments to buy mortgage-backed securities (2) 30,473 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 7 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 Oct 4, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,707 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 June 30, 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 Oct 4, 2017 Wednesday Wednesday consolidation Sep 27, 2017 Oct 5, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,860 + 11 - 62 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,407 - 275 + 6,099 Securities held outright (1) 4,240,384 + 40 + 19,542 U.S. Treasury securities 2,465,467 + 40 + 1,994 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 3,650 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,188 Inflation compensation (3) 18,729 + 40 + 1,456 Federal agency debt securities (2) 6,757 0 - 13,735 Mortgage-backed securities (4) 1,768,160 0 + 31,283 Unamortized premiums on securities held outright (5) 162,278 - 275 - 14,463 Unamortized discounts on securities held outright (5) -14,432 + 16 + 1,016 Repurchase agreements (6) 0 0 0 Loans 177 - 56 + 4 Net portfolio holdings of Maiden Lane LLC (7) 1,707 0 - 1 Items in process of collection (0) 62 0 + 1 Bank premises 2,196 - 1 - 5 Central bank liquidity swaps (8) 3,620 + 3,583 - 3,383 Foreign currency denominated assets (9) 21,111 + 8 - 144 Other assets (10) 25,223 + 1,436 - 1,490 Total assets (0) 4,460,422 + 4,761 + 1,015 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 Oct 4, 2017 Wednesday Wednesday consolidation Sep 27, 2017 Oct 5, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,535,748 + 2,624 + 106,732 Reverse repurchase agreements (11) 409,354 - 45,719 - 127,234 Deposits (0) 2,467,243 + 47,756 + 20,486 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,228,518 + 49,677 + 165,135 U.S. Treasury, General Account 154,619 - 540 - 187,589 Foreign official 5,165 - 205 0 Other (12) (0) 78,941 - 1,176 + 42,940 Deferred availability cash items (0) 690 - 49 + 129 Other liabilities and accrued dividends (13) 6,197 + 145 - 113 Total liabilities (0) 4,419,233 + 4,757 + 2 Capital accounts Capital paid in 31,190 + 4 + 1,014 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,190 + 4 + 1,014 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, October 4, 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 1,860 50 51 183 132 263 199 296 31 51 107 191 306 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,407 85,499 2,470,976 113,302 127,255 257,109 258,312 184,591 58,552 34,300 62,252 175,678 560,580 Securities held outright (1) 4,240,384 82,618 2,387,726 109,485 122,967 248,447 249,605 178,345 56,545 33,060 60,138 169,755 541,693 U.S. Treasury securities 2,465,467 48,036 1,388,285 63,657 71,496 144,453 145,126 103,694 32,876 19,222 34,966 98,700 314,954 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,467 48,036 1,388,285 63,657 71,496 144,453 145,126 103,694 32,876 19,222 34,966 98,700 314,954 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,768,160 34,450 995,636 45,653 51,275 103,597 104,080 74,367 23,578 13,785 25,077 70,785 225,876 Unamortized premiums on securities held outright (5) 162,278 3,162 91,377 4,190 4,706 9,508 9,552 6,825 2,164 1,265 2,301 6,496 20,730 Unamortized discounts on securities held outright (5) -14,432 -281 -8,127 -373 -419 -846 -850 -607 -192 -113 -205 -578 -1,844 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 177 0 0 0 0 0 5 28 36 87 17 4 0 Net portfolio holdings of Maiden Lane LLC (7) 1,707 0 1,707 0 0 0 0 0 0 0 0 0 0 Items in process of collection 62 0 0 0 0 0 61 0 0 1 0 0 0 Bank premises 2,196 117 439 72 123 198 203 200 110 88 236 219 191 Central bank liquidity swaps (8) 3,620 157 1,159 195 295 782 211 152 40 15 35 46 533 Foreign currency denominated assets (9) 21,111 915 6,762 1,135 1,719 4,561 1,231 884 231 89 205 270 3,108 Other assets (10) 25,223 537 13,775 648 742 1,659 1,507 1,065 415 216 425 1,024 3,208 Interdistrict settlement account 0 - 10,162 - 65,773 + 1,897 - 694 + 736 + 9,426 + 46,971 - 533 + 2,968 + 6,964 + 9,643 - 1,443 Total assets 4,460,422 77,658 2,434,508 117,990 130,362 266,497 273,325 235,320 59,337 38,009 70,670 188,269 568,479 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, October 4, 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 1,720,621 56,162 560,449 55,039 85,136 121,394 231,257 116,093 52,282 31,149 48,261 142,405 220,993 Less: Notes held by F.R. Banks 184,872 6,673 47,063 6,797 10,220 14,449 25,444 12,039 5,599 3,391 5,896 19,304 27,998 Federal Reserve notes, net 1,535,748 49,489 513,386 48,243 74,916 106,945 205,814 104,054 46,683 27,758 42,365 123,101 192,995 Reverse repurchase agreements (11) 409,354 7,976 230,504 10,569 11,871 23,984 24,096 17,217 5,459 3,192 5,806 16,388 52,293 Deposits 2,467,243 18,244 1,674,562 56,643 39,990 126,159 40,549 111,971 6,550 6,099 21,935 47,989 316,552 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 2,228,518 18,238 1,494,378 56,641 39,987 125,796 40,540 53,826 6,547 6,099 21,934 47,988 316,545 U.S. Treasury, General Account 154,619 0 154,619 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) 78,941 3 20,428 0 0 355 7 58,143 3 0 1 0 1 Deferred availability cash items 690 0 0 0 0 0 67 0 0 623 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,497 27 843 30 36 49 119 61 36 14 30 75 178 Other liabilities and accrued dividends 4,700 153 2,128 185 200 490 309 268 142 135 130 202 358 Total liabilities 4,419,233 75,889 2,421,423 115,670 127,013 257,628 270,953 233,572 58,869 37,821 70,266 187,754 562,376 Capital Capital paid in 31,190 1,335 9,883 1,783 2,535 6,708 1,788 1,330 358 145 307 388 4,630 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 4,460,422 77,658 2,434,508 117,990 130,362 266,497 273,325 235,320 59,337 38,009 70,670 188,269 568,479 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, October 4, 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 Oct 4, 2017 Federal Reserve notes outstanding 1,720,621 Less: Notes held by F.R. Banks not subject to collateralization 184,872 Federal Reserve notes to be collateralized 1,535,748 Collateral held against Federal Reserve notes 1,535,748 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,519,512 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,240,384 Less: Face value of securities under reverse repurchase agreements 386,252 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,854,133 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.