FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks October 19, 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 18, 2017 Federal Reserve Banks Oct 18, 2017 Oct 11, 2017 Oct 19, 2016 Reserve Bank credit 4,432,571 + 13,634 - 2,104 4,430,026 Securities held outright (1) 4,252,347 + 11,902 + 13,292 4,250,343 U.S. Treasury securities 2,465,609 + 81 + 2,097 2,465,641 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 3,650 2,337,326 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,188 109,412 Inflation compensation (3) 18,871 + 82 + 1,559 18,903 Federal agency debt securities (2) 6,757 0 - 13,164 6,757 Mortgage-backed securities (4) 1,779,981 + 11,821 + 24,358 1,777,945 Unamortized premiums on securities held outright (5) 162,210 + 96 - 14,787 162,045 Unamortized discounts on securities held outright (5) -14,378 + 34 + 1,016 -14,365 Repurchase agreements (6) 0 0 0 0 Loans 165 - 14 + 49 160 Primary credit 5 + 2 - 1 9 Secondary credit 0 0 0 0 Seasonal credit 159 - 16 + 49 151 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,706 - 1 - 3 1,705 Float -277 + 41 + 102 -437 Central bank liquidity swaps (8) 35 - 1 - 205 35 Other Federal Reserve assets (9) 30,763 + 1,576 - 1,568 30,542 Foreign currency denominated assets (10) 21,217 + 92 + 210 21,119 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,188 + 14 + 786 49,188 Total factors supplying reserve funds 4,519,218 + 13,742 - 1,108 4,516,574 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 18, 2017 Federal Reserve Banks Oct 18, 2017 Oct 11, 2017 Oct 19, 2016 Currency in circulation (11) 1,584,325 - 425 + 107,168 1,585,186 Reverse repurchase agreements (12) 326,774 - 26,140 - 66,848 348,297 Foreign official and international accounts 227,650 - 2,026 - 12,796 226,840 Others 99,124 - 24,113 - 54,052 121,457 Treasury cash holdings 214 + 9 + 42 216 Deposits with F.R. Banks, other than reserve balances 277,742 + 23,469 - 176,440 280,526 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 178,974 + 9,208 - 213,014 196,106 Foreign official 5,167 + 1 + 2 5,165 Other (13) 93,601 + 14,260 + 36,572 79,254 Other liabilities and capital (14) 48,870 + 34 + 893 47,246 Total factors, other than reserve balances, absorbing reserve funds 2,237,924 - 3,054 - 135,186 2,261,471 Reserve balances with Federal Reserve Banks 2,281,294 + 16,796 + 134,078 2,255,104 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 18, 2017 Oct 18, 2017 Oct 11, 2017 Oct 19, 2016 Securities held in custody for foreign official and international accounts 3,365,103 + 4,623 + 242,666 3,365,559 Marketable U.S. Treasury securities (1) 3,037,225 + 4,092 + 235,888 3,038,068 Federal agency debt and mortgage-backed securities (2) 263,353 + 302 + 1,999 262,959 Other securities (3) 64,525 + 229 + 4,780 64,532 Securities lent to dealers 23,736 - 997 + 687 20,090 Overnight facility (4) 23,736 - 997 + 687 20,090 U.S. Treasury securities 23,736 - 997 + 717 20,089 Federal agency debt securities 0 0 - 30 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, October 18, 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 139 21 0 0 0 ... 160 U.S. Treasury securities (1) Holdings 8,701 39,494 321,808 1,133,422 328,922 633,294 2,465,641 Weekly changes + 8,701 - 5,622 - 3,076 + 14 + 20 + 51 + 87 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 1 135 17,433 1,760,376 1,777,945 Weekly changes 0 0 0 + 14 - 32 + 9,804 + 9,785 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 35 0 0 0 0 0 35 Reverse repurchase agreements (4) 348,297 0 ... ... ... ... 348,297 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 18, 2017 Mortgage-backed securities held outright (1) 1,777,945 Commitments to buy mortgage-backed securities (2) 23,477 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 3 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 18, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,705 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 18, 2017 Wednesday Wednesday consolidation Oct 11, 2017 Oct 19, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,846 - 9 - 52 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,398,182 + 9,910 + 3,985 Securities held outright (1) 4,250,343 + 9,872 + 17,596 U.S. Treasury securities 2,465,641 + 87 + 2,121 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) 18,903 + 87 + 1,583 Federal agency debt securities (2) 6,757 0 - 11,736 Mortgage-backed securities (4) 1,777,945 + 9,785 + 27,212 Unamortized premiums on securities held outright (5) 162,045 - 1 - 14,690 Unamortized discounts on securities held outright (5) -14,365 + 38 + 1,014 Repurchase agreements (6) 0 0 0 Loans 160 + 2 + 66 Net portfolio holdings of Maiden Lane LLC (7) 1,705 - 1 - 4 Items in process of collection (0) 57 - 36 - 19 Bank premises 2,197 - 1 - 6 Central bank liquidity swaps (8) 35 - 1 - 145 Foreign currency denominated assets (9) 21,119 - 124 + 96 Other assets (10) 28,345 + 569 - 1,515 Total assets (0) 4,469,723 + 10,308 + 2,341 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 18, 2017 Wednesday Wednesday consolidation Oct 11, 2017 Oct 19, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,538,055 - 331 + 107,366 Reverse repurchase agreements (11) 348,297 - 11,978 - 82,871 Deposits (0) 2,535,629 + 23,731 - 22,778 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,255,104 - 12,635 + 149,293 U.S. Treasury, General Account 196,106 + 40,799 - 213,587 Foreign official 5,165 - 1 0 Other (12) (0) 79,254 - 4,433 + 41,517 Deferred availability cash items (0) 494 + 51 - 9 Other liabilities and accrued dividends (13) 6,026 - 1,172 - 410 Total liabilities (0) 4,428,502 + 10,302 + 1,299 Capital accounts Capital paid in 31,220 + 5 + 1,041 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,220 + 5 + 1,041 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 18, 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 1,846 49 49 185 131 266 198 293 29 52 106 190 299 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,398,182 85,693 2,476,496 113,555 127,539 257,683 258,887 184,994 58,686 34,358 62,392 176,070 561,831 Securities held outright (1) 4,250,343 82,812 2,393,334 109,742 123,256 249,030 250,191 178,764 56,677 33,138 60,280 170,154 542,965 U.S. Treasury securities 2,465,641 48,040 1,388,382 63,662 71,501 144,463 145,137 103,702 32,879 19,223 34,969 98,707 314,976 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,641 48,040 1,388,382 63,662 71,501 144,463 145,137 103,702 32,879 19,223 34,969 98,707 314,976 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,777,945 34,641 1,001,146 45,906 51,559 104,171 104,656 74,778 23,709 13,862 25,215 71,176 227,126 Unamortized premiums on securities held outright (5) 162,045 3,157 91,246 4,184 4,699 9,494 9,539 6,815 2,161 1,263 2,298 6,487 20,701 Unamortized discounts on securities held outright (5) -14,365 -280 -8,089 -371 -417 -842 -846 -604 -192 -112 -204 -575 -1,835 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 160 3 5 0 0 0 3 18 39 69 18 4 0 Net portfolio holdings of Maiden Lane LLC (7) 1,705 0 1,705 0 0 0 0 0 0 0 0 0 0 Items in process of collection 57 0 0 0 0 0 57 0 0 0 0 0 0 Bank premises 2,197 117 441 72 119 198 203 203 110 88 236 219 191 Central bank liquidity swaps (8) 35 2 11 2 3 8 2 1 0 0 0 0 5 Foreign currency denominated assets (9) 21,119 915 6,764 1,135 1,720 4,563 1,232 884 231 89 205 270 3,110 Other assets (10) 28,345 601 15,509 728 830 1,841 1,681 1,189 456 239 472 1,199 3,600 Interdistrict settlement account 0 - 9,626 + 3,769 + 634 - 8,977 - 11,952 + 439 + 43,967 - 1,406 + 1,734 + 5,972 + 4,728 - 29,283 Total assets 4,469,723 78,296 2,510,155 116,869 122,155 253,794 264,873 232,691 58,597 36,841 69,828 183,875 541,749 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 18, 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 1,726,018 56,059 564,744 54,947 85,021 121,145 232,755 116,848 52,282 31,218 48,296 142,153 220,550 Less: Notes held by F.R. Banks 187,963 6,641 48,473 6,764 10,008 14,279 26,935 12,148 5,609 3,431 5,776 18,928 28,972 Federal Reserve notes, net 1,538,055 49,417 516,272 48,182 75,014 106,867 205,820 104,700 46,673 27,787 42,520 123,225 191,578 Reverse repurchase agreements (11) 348,297 6,786 196,123 8,993 10,100 20,407 20,502 14,649 4,644 2,716 4,940 13,943 44,494 Deposits 2,535,629 20,140 1,781,789 57,161 33,469 117,147 35,702 111,267 6,625 5,567 21,799 45,915 299,049 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 2,255,104 20,135 1,560,826 57,159 33,465 116,759 35,693 52,125 6,622 5,567 21,798 45,914 299,043 U.S. Treasury, General Account 196,106 0 196,106 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) 79,254 3 19,719 0 0 379 7 59,141 3 0 1 0 1 Deferred availability cash items 494 0 0 0 0 0 58 0 0 436 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,148 18 694 19 22 14 91 42 20 11 18 66 135 Other liabilities and accrued dividends 4,877 166 2,192 193 201 491 329 285 143 137 143 210 390 Total liabilities 4,428,502 76,527 2,497,069 114,549 118,806 244,925 262,501 230,943 58,105 36,654 69,420 183,358 535,645 Capital Capital paid in 31,220 1,336 9,883 1,783 2,535 6,708 1,788 1,330 382 145 311 389 4,631 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 4,469,723 78,296 2,510,155 116,869 122,155 253,794 264,873 232,691 58,597 36,841 69,828 183,875 541,749 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 18, 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 18, 2017 Federal Reserve notes outstanding 1,726,018 Less: Notes held by F.R. Banks not subject to collateralization 187,963 Federal Reserve notes to be collateralized 1,538,055 Collateral held against Federal Reserve notes 1,538,055 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,521,819 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,250,343 Less: Face value of securities under reverse repurchase agreements 332,096 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,918,247 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.