FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks September 7, 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 Sep 6, 2017 Federal Reserve Banks Sep 6, 2017 Aug 30, 2017 Sep 7, 2016 Reserve Bank credit 4,412,574 - 825 - 5,949 4,413,031 Securities held outright (1) 4,239,605 - 1,580 + 9,516 4,239,599 U.S. Treasury securities 2,465,295 + 5 + 1,682 2,465,289 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,126 - 439 - 4,521 2,337,126 Notes and bonds, inflation-indexed (2) 109,412 + 439 + 4,859 109,412 Inflation compensation (3) 18,757 + 5 + 1,344 18,751 Federal agency debt securities (2) 6,757 0 - 15,735 6,757 Mortgage-backed securities (4) 1,767,553 - 1,585 + 23,569 1,767,553 Unamortized premiums on securities held outright (5) 163,346 - 345 - 14,734 163,260 Unamortized discounts on securities held outright (5) -14,556 + 21 + 1,037 -14,547 Repurchase agreements (6) 0 0 0 0 Loans 209 - 18 + 31 212 Primary credit 3 + 1 - 1 1 Secondary credit 0 0 0 0 Seasonal credit 206 - 19 + 32 212 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 1,708 Float -414 - 17 - 95 -654 Central bank liquidity swaps (8) 35 - 1 - 315 35 Other Federal Reserve assets (9) 22,640 + 1,115 - 1,391 23,417 Foreign currency denominated assets (10) 21,507 - 30 + 239 21,623 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,112 + 14 + 815 49,112 Total factors supplying reserve funds 4,499,433 - 842 - 4,896 4,500,007 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 Sep 6, 2017 Federal Reserve Banks Sep 6, 2017 Aug 30, 2017 Sep 7, 2016 Currency in circulation (11) 1,575,108 + 7,917 + 102,612 1,578,477 Reverse repurchase agreements (12) 386,682 + 16,197 + 53,901 391,923 Foreign official and international accounts 244,603 + 1,640 + 4,279 246,795 Others 142,079 + 14,557 + 49,622 145,128 Treasury cash holdings 169 - 4 + 58 170 Deposits with F.R. Banks, other than reserve balances 123,625 - 26,003 - 154,522 124,868 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 37,563 - 23,494 - 198,591 38,662 Foreign official 5,168 - 116 - 3 5,166 Other (13) 80,893 - 2,393 + 44,070 81,039 Other liabilities and capital (14) 47,721 - 532 + 737 47,521 Total factors, other than reserve balances, absorbing reserve funds 2,133,304 - 2,425 + 2,785 2,142,958 Reserve balances with Federal Reserve Banks 2,366,129 + 1,583 - 7,680 2,357,048 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 Sep 6, 2017 Sep 6, 2017 Aug 30, 2017 Sep 7, 2016 Securities held in custody for foreign official and international accounts 3,365,751 + 20,733 + 181,687 3,368,500 Marketable U.S. Treasury securities (1) 3,040,008 + 20,611 + 178,861 3,042,812 Federal agency debt and mortgage-backed securities (2) 264,069 - 93 + 1,215 263,993 Other securities (3) 61,674 + 215 + 1,612 61,695 Securities lent to dealers 27,532 + 1,733 + 2,992 28,350 Overnight facility (4) 27,532 + 1,733 + 2,992 28,350 U.S. Treasury securities 27,532 + 1,735 + 3,008 28,350 Federal agency debt securities 0 - 2 - 16 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, September 6, 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 48 164 0 0 0 ... 212 U.S. Treasury securities (1) Holdings 0 38,559 323,379 1,144,907 325,239 633,205 2,465,289 Weekly changes - 3,197 + 7,868 + 13,063 - 18,611 + 874 - 8 - 11 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 93 17,608 1,749,852 1,767,553 Weekly changes 0 0 + 1 + 2 + 4,652 - 4,655 0 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 35 0 0 0 0 0 35 Reverse repurchase agreements (4) 391,923 0 ... ... ... ... 391,923 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 Sep 6, 2017 Mortgage-backed securities held outright (1) 1,767,553 Commitments to buy mortgage-backed securities (2) 30,998 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 15 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 Sep 6, 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 Sep 6, 2017 Wednesday Wednesday consolidation Aug 30, 2017 Sep 7, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,834 - 24 - 85 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,524 - 285 - 4,128 Securities held outright (1) 4,239,599 - 11 + 9,524 U.S. Treasury securities 2,465,289 - 11 + 1,690 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,126 - 439 - 4,521 Notes and bonds, inflation-indexed (2) 109,412 + 439 + 4,859 Inflation compensation (3) 18,751 - 10 + 1,352 Federal agency debt securities (2) 6,757 0 - 15,735 Mortgage-backed securities (4) 1,767,553 0 + 23,569 Unamortized premiums on securities held outright (5) 163,260 - 282 - 14,713 Unamortized discounts on securities held outright (5) -14,547 + 19 + 1,036 Repurchase agreements (6) 0 0 0 Loans 212 - 11 + 24 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 Items in process of collection (0) 96 + 40 - 124 Bank premises 2,197 - 7 - 7 Central bank liquidity swaps (8) 35 - 1 - 315 Foreign currency denominated assets (9) 21,623 + 129 + 160 Other assets (10) 21,220 + 1,261 - 1,421 Total assets (0) 4,453,474 + 1,114 - 5,920 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 Sep 6, 2017 Wednesday Wednesday consolidation Aug 30, 2017 Sep 7, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,531,365 + 7,890 + 103,927 Reverse repurchase agreements (11) 391,923 + 3,215 + 72,144 Deposits (0) 2,481,916 - 9,326 - 182,637 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,357,048 + 25,092 - 24,980 U.S. Treasury, General Account 38,662 - 28,215 - 199,490 Foreign official 5,166 + 1 - 1 Other (12) (0) 81,039 - 6,205 + 41,834 Deferred availability cash items (0) 749 - 484 + 99 Other liabilities and accrued dividends (13) 6,418 - 298 - 412 Total liabilities (0) 4,412,371 + 997 - 6,878 Capital accounts Capital paid in 31,102 + 115 + 957 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,102 + 115 + 957 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, September 6, 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 1,834 45 52 182 130 259 192 295 30 50 111 186 303 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,524 85,501 2,471,023 113,304 127,257 257,114 258,320 184,588 58,568 34,323 62,254 175,681 560,591 Securities held outright (1) 4,239,599 82,603 2,387,284 109,465 122,945 248,401 249,558 178,312 56,534 33,054 60,127 169,724 541,593 U.S. Treasury securities 2,465,289 48,033 1,388,184 63,653 71,491 144,443 145,116 103,687 32,874 19,221 34,964 98,693 314,931 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,289 48,033 1,388,184 63,653 71,491 144,443 145,116 103,687 32,874 19,221 34,964 98,693 314,931 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,767,553 34,438 995,295 45,637 51,257 103,562 104,045 74,341 23,570 13,781 25,068 70,760 225,798 Unamortized premiums on securities held outright (5) 163,260 3,181 91,930 4,215 4,734 9,565 9,610 6,866 2,177 1,273 2,315 6,536 20,856 Unamortized discounts on securities held outright (5) -14,547 -283 -8,191 -376 -422 -852 -856 -612 -194 -113 -206 -582 -1,858 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 212 0 0 0 0 0 8 22 51 110 18 4 0 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 96 0 0 0 0 0 95 0 0 1 0 0 0 Bank premises 2,197 118 444 72 116 198 203 200 110 88 236 220 191 Central bank liquidity swaps (8) 35 2 11 2 3 8 2 1 0 0 0 0 5 Foreign currency denominated assets (9) 21,623 937 6,926 1,162 1,761 4,672 1,261 905 236 91 210 276 3,184 Other assets (10) 21,220 453 11,451 542 619 1,421 1,268 893 499 182 362 846 2,685 Interdistrict settlement account 0 - 2,893 - 69,499 - 2,220 - 1,409 - 3,495 + 1,666 + 44,496 + 351 + 3,268 + 7,923 + 8,219 + 13,594 Total assets 4,453,474 84,707 2,427,525 113,603 129,267 261,364 265,180 232,540 60,286 38,284 71,541 186,626 582,550 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, September 6, 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 1,706,291 56,430 549,160 55,287 85,360 121,595 227,588 115,097 52,289 31,280 48,397 142,785 221,021 Less: Notes held by F.R. Banks 174,926 6,391 45,385 6,813 10,023 13,809 23,402 11,604 5,566 3,056 5,500 16,920 26,455 Federal Reserve notes, net 1,531,365 50,039 503,775 48,473 75,337 107,786 204,186 103,493 46,722 28,224 42,897 125,865 194,566 Reverse repurchase agreements (11) 391,923 7,636 220,689 10,119 11,365 22,963 23,070 16,484 5,226 3,056 5,558 15,690 50,067 Deposits 2,481,916 25,069 1,686,898 52,503 38,969 121,172 34,966 110,487 7,704 6,073 22,529 44,283 331,262 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 2,357,048 25,062 1,619,164 52,500 38,966 120,890 34,957 53,681 7,689 6,073 22,528 44,282 331,256 U.S. Treasury, General Account 38,662 0 38,662 0 0 0 0 0 0 0 0 0 0 Foreign official 5,166 2 5,139 2 3 9 2 2 0 0 0 1 6 Other (12) 81,039 5 23,933 0 0 273 7 56,804 15 0 1 1 1 Deferred availability cash items 749 0 0 0 0 0 153 0 0 597 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,503 43 748 45 56 105 119 60 29 14 23 70 191 Other liabilities and accrued dividends 4,915 152 2,348 183 191 480 315 269 143 133 131 204 365 Total liabilities 4,412,371 82,939 2,414,458 111,324 125,919 252,506 262,809 230,792 59,826 38,097 71,139 186,112 576,452 Capital Capital paid in 31,102 1,334 9,865 1,741 2,533 6,697 1,789 1,329 351 145 305 386 4,625 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 4,453,474 84,707 2,427,525 113,603 129,267 261,364 265,180 232,540 60,286 38,284 71,541 186,626 582,550 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, September 6, 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 Sep 6, 2017 Federal Reserve notes outstanding 1,706,291 Less: Notes held by F.R. Banks not subject to collateralization 174,926 Federal Reserve notes to be collateralized 1,531,365 Collateral held against Federal Reserve notes 1,531,365 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,515,128 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,239,599 Less: Face value of securities under reverse repurchase agreements 370,401 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,869,198 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.