FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks July 27, 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 Jul 26, 2017 Federal Reserve Banks Jul 26, 2017 Jul 19, 2017 Jul 27, 2016 Reserve Bank credit 4,435,384 - 5,051 + 427 4,425,732 Securities held outright (1) 4,250,726 - 4,512 + 15,166 4,242,265 U.S. Treasury securities 2,465,161 + 25 + 2,439 2,465,170 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,338,887 + 730 - 3,317 2,338,887 Notes and bonds, inflation-indexed (2) 107,651 - 619 + 4,055 107,651 Inflation compensation (3) 18,622 - 88 + 1,700 18,631 Federal agency debt securities (2) 8,097 0 - 14,395 8,097 Mortgage-backed securities (4) 1,777,468 - 4,537 + 27,122 1,768,999 Unamortized premiums on securities held outright (5) 165,379 - 429 - 14,589 165,024 Unamortized discounts on securities held outright (5) -14,648 + 36 + 1,115 -14,636 Repurchase agreements (6) 0 0 0 0 Loans 173 + 6 - 50 197 Primary credit 4 - 4 - 31 13 Secondary credit 0 0 0 0 Seasonal credit 169 + 10 - 20 185 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,710 + 1 - 1 1,710 Float -247 + 56 + 62 -396 Central bank liquidity swaps (8) 85 + 44 - 95 85 Other Federal Reserve assets (9) 32,206 - 252 - 1,180 31,482 Foreign currency denominated assets (10) 21,097 + 273 + 272 21,031 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,016 + 14 + 867 49,016 Total factors supplying reserve funds 4,521,739 - 4,763 + 1,568 4,512,020 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 Jul 26, 2017 Federal Reserve Banks Jul 26, 2017 Jul 19, 2017 Jul 27, 2016 Currency in circulation (11) 1,560,536 - 1,366 + 99,203 1,561,976 Reverse repurchase agreements (12) 354,999 - 28,481 + 51,676 343,796 Foreign official and international accounts 245,315 + 4,058 - 2,033 240,485 Others 109,684 - 32,539 + 53,709 103,311 Treasury cash holdings 162 - 7 + 82 163 Deposits with F.R. Banks, other than reserve balances 277,826 - 164 - 109,002 265,953 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 191,404 + 11,004 - 134,095 183,534 Foreign official 5,175 + 7 - 40 5,190 Other (13) 81,247 - 11,175 + 25,134 77,229 Other liabilities and capital (14) 47,650 - 1,220 + 1,051 46,517 Total factors, other than reserve balances, absorbing reserve funds 2,241,174 - 31,236 + 43,011 2,218,404 Reserve balances with Federal Reserve Banks 2,280,565 + 26,473 - 41,443 2,293,616 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements. 7. Refer to table 4 and the note on consolidation accompanying table 6. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also, includes Reserve Bank premises and equipment net of allowances for depreciation. 10. Revalued daily at current foreign currency exchange rates. 11. Estimated. 12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 13. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 14. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury. 1A. Memorandum Items Millions of dollars Memorandum item Averages of daily figures Wednesday Week ended Change from week ended Jul 26, 2017 Jul 26, 2017 Jul 19, 2017 Jul 27, 2016 Securities held in custody for foreign official and international accounts 3,325,296 + 5,962 + 104,891 3,329,200 Marketable U.S. Treasury securities (1) 3,002,144 + 5,394 + 104,032 3,005,658 Federal agency debt and mortgage-backed securities (2) 261,790 + 1,131 - 2,601 262,166 Other securities (3) 61,362 - 563 + 3,460 61,375 Securities lent to dealers 20,009 - 3,194 - 1,672 22,087 Overnight facility (4) 20,009 - 3,194 - 1,672 22,087 U.S. Treasury securities 20,009 - 3,194 - 1,658 22,087 Federal agency debt securities 0 0 - 13 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, July 26, 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 161 36 0 0 0 ... 197 U.S. Treasury securities (1) Holdings 11,794 32,799 276,684 1,152,633 357,353 633,907 2,465,170 Weekly changes 0 0 0 + 4 + 6 + 15 + 25 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 0 782 11,261 1,756,956 1,768,999 Weekly changes 0 0 0 - 18 - 275 - 10,103 - 10,395 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 85 0 0 0 0 0 85 Reverse repurchase agreements (4) 343,796 0 ... ... ... ... 343,796 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 Jul 26, 2017 Mortgage-backed securities held outright (1) 1,768,999 Commitments to buy mortgage-backed securities (2) 18,968 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 29 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 Jul 26, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,710 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 Jul 26, 2017 Wednesday Wednesday consolidation Jul 19, 2017 Jul 27, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,833 + 12 - 66 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,392,851 - 10,968 + 2,396 Securities held outright (1) 4,242,265 - 10,372 + 15,920 U.S. Treasury securities 2,465,170 + 25 + 2,407 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,338,887 0 - 3,317 Notes and bonds, inflation-indexed (2) 107,651 0 + 4,055 Inflation compensation (3) 18,631 + 24 + 1,668 Federal agency debt securities (2) 8,097 0 - 14,395 Mortgage-backed securities (4) 1,768,999 - 10,395 + 27,908 Unamortized premiums on securities held outright (5) 165,024 - 609 - 14,533 Unamortized discounts on securities held outright (5) -14,636 + 33 + 1,108 Repurchase agreements (6) 0 0 0 Loans 197 - 21 - 100 Net portfolio holdings of Maiden Lane LLC (7) 1,710 0 + 8 Items in process of collection (0) 56 - 12 - 169 Bank premises 2,198 + 1 - 16 Central bank liquidity swaps (8) 85 + 44 - 95 Foreign currency denominated assets (9) 21,031 + 100 + 180 Other assets (10) 29,283 - 796 - 1,452 Total assets (0) 4,465,284 - 11,619 + 786 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 Jul 26, 2017 Wednesday Wednesday consolidation Jul 19, 2017 Jul 27, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,514,951 + 91 + 98,373 Reverse repurchase agreements (11) 343,796 - 48,864 + 34,770 Deposits (0) 2,559,568 + 38,342 - 132,406 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,293,616 + 42,970 - 38,621 U.S. Treasury, General Account 183,534 - 5,748 - 132,704 Foreign official 5,190 + 26 - 79 Other (12) (0) 77,229 + 1,096 + 38,999 Deferred availability cash items (0) 452 + 1 - 308 Other liabilities and accrued dividends (13) 5,669 - 1,188 - 399 Total liabilities (0) 4,424,436 - 11,620 + 30 Capital accounts Capital paid in 30,848 + 1 + 756 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 40,848 + 1 + 756 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, July 26, 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 1,833 45 50 173 130 258 202 286 28 50 113 191 308 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,392,851 85,585 2,473,468 113,416 127,383 257,368 258,572 184,779 58,620 34,339 62,308 175,854 561,160 Securities held outright (1) 4,242,265 82,655 2,388,785 109,533 123,022 248,557 249,715 178,424 56,570 33,075 60,165 169,831 541,933 U.S. Treasury securities 2,465,170 48,031 1,388,117 63,650 71,488 144,436 145,109 103,682 32,872 19,220 34,962 98,688 314,916 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,170 48,031 1,388,117 63,650 71,488 144,436 145,109 103,682 32,872 19,220 34,962 98,688 314,916 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) 1,768,999 34,467 996,109 45,675 51,299 103,647 104,130 74,402 23,589 13,792 25,089 70,818 225,983 Unamortized premiums on securities held outright (5) 165,024 3,215 92,924 4,261 4,786 9,669 9,714 6,941 2,201 1,287 2,340 6,606 21,081 Unamortized discounts on securities held outright (5) -14,636 -285 -8,241 -378 -424 -858 -862 -616 -195 -114 -208 -586 -1,870 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 197 0 0 0 0 0 4 29 45 91 10 3 15 Net portfolio holdings of Maiden Lane LLC (7) 1,710 0 1,710 0 0 0 0 0 0 0 0 0 0 Items in process of collection 56 0 0 0 0 0 56 0 0 0 0 0 0 Bank premises 2,198 119 443 72 115 199 203 199 111 88 236 220 192 Central bank liquidity swaps (8) 85 4 27 5 7 18 5 4 1 0 1 1 13 Foreign currency denominated assets (9) 21,031 912 6,736 1,131 1,713 4,544 1,227 880 230 89 204 269 3,097 Other assets (10) 29,283 620 15,995 755 856 1,897 1,737 1,232 472 251 484 1,263 3,721 Interdistrict settlement account 0 - 7,617 - 900 - 6,906 - 6,335 - 5,246 - 7,337 + 50,134 - 1,357 + 1,723 + 5,576 + 116 - 21,850 Total assets 4,465,284 80,213 2,502,937 109,203 124,659 260,227 256,839 238,673 58,596 36,821 69,368 179,112 548,637 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, July 26, 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 1,692,336 56,789 536,845 55,541 85,793 121,918 225,169 115,327 52,530 31,412 48,621 142,541 219,850 Less: Notes held by F.R. Banks 177,385 6,298 46,237 7,072 10,140 13,393 27,145 11,653 5,457 2,871 5,450 16,001 25,668 Federal Reserve notes, net 1,514,951 50,491 490,608 48,469 75,653 108,525 198,024 103,673 47,073 28,542 43,171 126,540 194,182 Reverse repurchase agreements (11) 343,796 6,698 193,588 8,877 9,970 20,143 20,237 14,460 4,584 2,680 4,876 13,763 43,919 Deposits 2,559,568 21,085 1,803,036 49,435 35,461 122,186 35,767 118,481 6,333 4,891 20,775 38,045 304,074 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 2,293,616 21,080 1,594,887 49,432 35,458 122,084 35,758 60,813 6,329 4,890 20,773 38,044 304,067 U.S. Treasury, General Account 183,534 0 183,534 0 0 0 0 0 0 0 0 0 0 Foreign official 5,190 2 5,163 2 3 9 2 2 0 0 0 1 6 Other (12) 77,229 3 19,453 0 0 94 7 57,667 3 0 1 0 1 Deferred availability cash items 452 0 0 0 0 0 59 0 0 393 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,066 26 525 33 44 74 87 39 18 10 13 54 144 Other liabilities and accrued dividends 4,603 159 2,129 180 182 442 306 273 134 134 130 197 337 Total liabilities 4,424,436 78,459 2,489,887 106,993 121,309 251,370 254,481 236,925 58,142 36,650 68,965 178,599 542,655 Capital Capital paid in 30,848 1,321 9,848 1,672 2,535 6,696 1,775 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 4,465,284 80,213 2,502,937 109,203 124,659 260,227 256,839 238,673 58,596 36,821 69,368 179,112 548,637 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, July 26, 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 Jul 26, 2017 Federal Reserve notes outstanding 1,692,336 Less: Notes held by F.R. Banks not subject to collateralization 177,385 Federal Reserve notes to be collateralized 1,514,951 Collateral held against Federal Reserve notes 1,514,951 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,498,714 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,242,265 Less: Face value of securities under reverse repurchase agreements 331,131 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,911,134 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.