FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks August 24, 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 Aug 23, 2017 Federal Reserve Banks Aug 23, 2017 Aug 16, 2017 Aug 24, 2016 Reserve Bank credit 4,424,515 - 5,362 - 13,034 4,423,764 Securities held outright (1) 4,251,480 + 5,133 + 2,436 4,250,730 U.S. Treasury securities 2,465,264 + 26 + 1,760 2,465,273 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,565 0 - 5,039 2,337,565 Notes and bonds, inflation-indexed (2) 108,973 0 + 5,377 108,973 Inflation compensation (3) 18,726 + 27 + 1,422 18,735 Federal agency debt securities (2) 7,906 - 191 - 14,586 6,757 Mortgage-backed securities (4) 1,778,311 + 5,298 + 15,264 1,778,699 Unamortized premiums on securities held outright (5) 164,276 - 165 - 15,137 164,153 Unamortized discounts on securities held outright (5) -14,609 - 17 + 1,047 -14,598 Repurchase agreements (6) 0 0 0 0 Loans 230 + 1 + 18 236 Primary credit 7 - 11 + 1 5 Secondary credit 0 0 0 0 Seasonal credit 224 + 13 + 18 231 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,708 - 2 + 1 1,708 Float -244 + 87 + 27 -469 Central bank liquidity swaps (8) 36 0 + 14 36 Other Federal Reserve assets (9) 21,636 - 10,400 - 1,443 21,967 Foreign currency denominated assets (10) 21,386 + 14 - 295 21,440 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,084 + 14 + 829 49,084 Total factors supplying reserve funds 4,511,227 - 5,334 - 12,499 4,510,530 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 Aug 23, 2017 Federal Reserve Banks Aug 23, 2017 Aug 16, 2017 Aug 24, 2016 Currency in circulation (11) 1,565,416 - 295 + 101,438 1,566,641 Reverse repurchase agreements (12) 374,023 + 45,504 + 25,060 407,823 Foreign official and international accounts 238,897 - 1,654 - 5,406 238,030 Others 135,126 + 47,158 + 30,466 169,793 Treasury cash holdings 176 + 9 + 57 177 Deposits with F.R. Banks, other than reserve balances 164,298 - 72,590 - 140,395 150,514 Term deposits held by depository institutions 0 - 14,733 0 0 U.S. Treasury, General Account 82,077 - 48,877 - 172,299 67,930 Foreign official 5,165 - 3 - 10 5,165 Other (13) 77,055 - 8,978 + 31,914 77,418 Other liabilities and capital (14) 47,674 - 1,214 - 161 47,207 Total factors, other than reserve balances, absorbing reserve funds 2,151,587 - 28,586 - 14,001 2,172,361 Reserve balances with Federal Reserve Banks 2,359,640 + 23,252 + 1,502 2,338,169 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 Aug 23, 2017 Aug 23, 2017 Aug 16, 2017 Aug 24, 2016 Securities held in custody for foreign official and international accounts 3,341,685 + 9,046 + 134,990 3,341,485 Marketable U.S. Treasury securities (1) 3,018,338 + 9,005 + 136,035 3,015,899 Federal agency debt and mortgage-backed securities (2) 261,972 + 398 - 2,903 264,186 Other securities (3) 61,374 - 357 + 1,856 61,400 Securities lent to dealers 23,153 + 1,393 + 47 21,883 Overnight facility (4) 23,153 + 1,393 + 47 21,883 U.S. Treasury securities 23,153 + 1,393 + 58 21,883 Federal agency debt securities 0 0 - 11 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, August 23, 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 200 36 0 0 0 ... 236 U.S. Treasury securities (1) Holdings 3,197 30,691 310,315 1,163,479 324,394 633,197 2,465,273 Weekly changes 0 + 11,043 - 11,042 + 4 + 12,210 - 12,189 + 26 Federal agency debt securities (2) Holdings 0 2,366 1,982 62 0 2,347 6,757 Weekly changes - 1,340 + 2,366 - 2,366 0 0 0 - 1,340 Mortgage-backed securities (3) Holdings 0 0 0 808 13,350 1,764,541 1,778,699 Weekly changes 0 0 0 0 - 5 + 730 + 724 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 36 0 0 0 0 0 36 Reverse repurchase agreements (4) 407,823 0 ... ... ... ... 407,823 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 Aug 23, 2017 Mortgage-backed securities held outright (1) 1,778,699 Commitments to buy mortgage-backed securities (2) 19,833 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 42 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 Aug 23, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,708 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 Aug 23, 2017 Wednesday Wednesday consolidation Aug 16, 2017 Aug 24, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,872 + 25 - 63 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,400,521 - 850 - 8,220 Securities held outright (1) 4,250,730 - 589 + 5,680 U.S. Treasury securities 2,465,273 + 26 + 1,735 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,565 0 - 5,039 Notes and bonds, inflation-indexed (2) 108,973 0 + 5,377 Inflation compensation (3) 18,735 + 26 + 1,397 Federal agency debt securities (2) 6,757 - 1,340 - 15,735 Mortgage-backed securities (4) 1,778,699 + 724 + 19,679 Unamortized premiums on securities held outright (5) 164,153 - 314 - 14,954 Unamortized discounts on securities held outright (5) -14,598 + 30 + 1,045 Repurchase agreements (6) 0 0 0 Loans 236 + 23 + 8 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 Items in process of collection (0) 53 - 20 - 153 Bank premises 2,199 + 3 - 14 Central bank liquidity swaps (8) 36 0 + 14 Foreign currency denominated assets (9) 21,440 + 236 - 155 Other assets (10) 19,770 + 1,572 - 1,414 Total assets (0) 4,463,837 + 966 - 10,003 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 Aug 23, 2017 Wednesday Wednesday consolidation Aug 16, 2017 Aug 24, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,519,600 + 125 + 100,531 Reverse repurchase agreements (11) 407,823 + 70,500 + 71,963 Deposits (0) 2,488,684 - 69,064 - 183,273 Term deposits held by depository institutions 0 - 14,733 0 Other deposits held by depository institutions 2,338,170 - 26,802 - 3,052 U.S. Treasury, General Account 67,930 - 28,099 - 176,951 Foreign official 5,165 0 + 1 Other (12) (0) 77,418 + 569 - 3,273 Deferred availability cash items (0) 522 + 179 - 84 Other liabilities and accrued dividends (13) 6,231 - 778 + 28 Total liabilities (0) 4,422,861 + 964 - 10,835 Capital accounts Capital paid in 30,976 + 2 + 832 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 40,976 + 2 + 832 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, August 23, 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 1,872 46 56 179 130 260 203 298 32 50 114 193 311 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,400,521 85,734 2,477,765 113,613 127,604 257,815 259,027 185,108 58,728 34,420 62,423 176,161 562,123 Securities held outright (1) 4,250,730 82,820 2,393,551 109,752 123,267 249,053 250,214 178,780 56,683 33,141 60,285 170,169 543,015 U.S. Treasury securities 2,465,273 48,033 1,388,175 63,652 71,491 144,442 145,115 103,686 32,874 19,221 34,963 98,692 314,929 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,273 48,033 1,388,175 63,652 71,491 144,442 145,115 103,686 32,874 19,221 34,963 98,692 314,929 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,778,699 34,656 1,001,571 45,925 51,581 104,215 104,701 74,810 23,719 13,868 25,226 71,207 227,222 Unamortized premiums on securities held outright (5) 164,153 3,198 92,433 4,238 4,760 9,618 9,663 6,904 2,189 1,280 2,328 6,572 20,970 Unamortized discounts on securities held outright (5) -14,598 -284 -8,220 -377 -423 -855 -859 -614 -195 -114 -207 -584 -1,865 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 236 0 0 0 0 0 10 38 51 113 16 4 3 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 1,708 0 0 0 0 0 0 0 0 0 0 Items in process of collection 53 0 0 0 0 0 53 0 0 0 0 0 0 Bank premises 2,199 119 443 72 116 199 204 200 111 88 236 220 192 Central bank liquidity swaps (8) 36 2 12 2 3 8 2 2 0 0 0 0 5 Foreign currency denominated assets (9) 21,440 929 6,867 1,153 1,746 4,633 1,251 897 234 91 208 274 3,157 Other assets (10) 19,770 434 10,637 506 580 1,345 1,172 828 362 178 353 883 2,491 Interdistrict settlement account 0 - 4,434 - 25,817 - 1,039 - 2,128 - 11,998 - 791 + 44,944 - 871 + 2,500 + 6,349 + 2,552 - 9,268 Total assets 4,463,837 83,374 2,477,080 115,044 128,842 253,451 263,294 233,439 59,088 37,608 70,129 181,481 561,007 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, August 23, 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 1,701,061 56,544 544,862 55,381 85,421 121,782 226,864 115,036 52,256 31,329 48,379 142,320 220,887 Less: Notes held by F.R. Banks 181,460 6,475 46,554 7,176 9,987 13,666 25,973 12,216 5,683 3,157 5,424 17,567 27,581 Federal Reserve notes, net 1,519,600 50,069 498,308 48,205 75,434 108,116 200,891 102,819 46,572 28,172 42,954 124,753 193,306 Reverse repurchase agreements (11) 407,823 7,946 229,642 10,530 11,826 23,895 24,006 17,153 5,438 3,180 5,784 16,326 52,098 Deposits 2,488,684 23,396 1,733,180 53,805 37,982 111,986 35,534 111,367 6,464 5,459 20,836 39,618 309,057 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 2,338,170 23,391 1,639,898 53,803 37,979 111,674 35,525 54,500 6,440 5,459 20,834 39,617 309,050 U.S. Treasury, General Account 67,930 0 67,930 0 0 0 0 0 0 0 0 0 0 Foreign official 5,165 2 5,138 2 3 9 2 2 0 0 0 1 6 Other (12) 77,418 3 20,214 0 0 304 7 56,865 23 0 1 1 1 Deferred availability cash items 522 0 0 0 0 0 60 0 0 462 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,560 40 770 48 62 127 114 71 24 13 22 68 201 Other liabilities and accrued dividends 4,671 155 2,113 183 189 473 318 276 135 136 131 201 361 Total liabilities 4,422,861 81,606 2,464,013 112,771 125,494 244,597 260,923 231,686 58,634 37,422 69,727 180,966 555,023 Capital Capital paid in 30,976 1,334 9,865 1,735 2,533 6,693 1,788 1,334 345 145 305 386 4,511 Surplus 10,000 434 3,202 538 815 2,161 583 419 109 42 97 128 1,473 Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0 Total liabilities and capital 4,463,837 83,374 2,477,080 115,044 128,842 253,451 263,294 233,439 59,088 37,608 70,129 181,481 561,007 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, August 23, 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 Aug 23, 2017 Federal Reserve notes outstanding 1,701,061 Less: Notes held by F.R. Banks not subject to collateralization 181,460 Federal Reserve notes to be collateralized 1,519,600 Collateral held against Federal Reserve notes 1,519,600 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,503,364 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,250,730 Less: Face value of securities under reverse repurchase agreements 387,083 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,863,647 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.