FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks September 14, 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 13, 2017 Federal Reserve Banks Sep 13, 2017 Sep 6, 2017 Sep 14, 2016 Reserve Bank credit 4,417,339 + 4,765 - 5,876 4,431,256 Securities held outright (1) 4,241,900 + 2,295 + 9,069 4,254,571 U.S. Treasury securities 2,465,476 + 181 + 1,907 2,465,468 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,326 + 200 - 4,321 2,337,326 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,859 109,412 Inflation compensation (3) 18,738 - 19 + 1,369 18,730 Federal agency debt securities (2) 6,757 0 - 15,735 6,757 Mortgage-backed securities (4) 1,769,667 + 2,114 + 22,898 1,782,346 Unamortized premiums on securities held outright (5) 163,177 - 169 - 14,719 163,562 Unamortized discounts on securities held outright (5) -14,528 + 28 + 1,035 -14,515 Repurchase agreements (6) 0 0 0 0 Loans 216 + 7 + 21 220 Primary credit 2 - 1 - 4 2 Secondary credit 0 0 0 0 Seasonal credit 214 + 8 + 24 218 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 1,708 Float -249 + 165 + 91 -340 Central bank liquidity swaps (8) 87 + 52 + 81 87 Other Federal Reserve assets (9) 25,029 + 2,389 - 1,455 25,963 Foreign currency denominated assets (10) 21,685 + 178 + 293 21,431 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,134 + 14 + 819 49,134 Total factors supplying reserve funds 4,504,398 + 4,957 - 4,765 4,518,062 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 13, 2017 Federal Reserve Banks Sep 13, 2017 Sep 6, 2017 Sep 14, 2016 Currency in circulation (11) 1,579,484 + 4,368 + 108,034 1,580,720 Reverse repurchase agreements (12) 360,014 - 26,668 + 37,074 366,719 Foreign official and international accounts 240,472 - 4,131 - 6,649 241,051 Others 119,542 - 22,537 + 43,723 125,668 Treasury cash holdings 171 + 2 + 66 173 Deposits with F.R. Banks, other than reserve balances 156,886 + 33,261 - 141,039 161,328 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 70,232 + 32,669 - 172,850 73,220 Foreign official 5,165 - 3 - 71 5,165 Other (13) 81,488 + 595 + 31,882 82,942 Other liabilities and capital (14) 48,911 + 1,190 + 658 48,932 Total factors, other than reserve balances, absorbing reserve funds 2,145,466 + 12,154 + 4,793 2,157,872 Reserve balances with Federal Reserve Banks 2,358,933 - 7,196 - 9,558 2,360,190 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 13, 2017 Sep 13, 2017 Sep 6, 2017 Sep 14, 2016 Securities held in custody for foreign official and international accounts 3,372,367 + 6,616 + 207,822 3,370,216 Marketable U.S. Treasury securities (1) 3,046,531 + 6,523 + 205,115 3,045,235 Federal agency debt and mortgage-backed securities (2) 264,024 - 45 + 1,034 262,686 Other securities (3) 61,812 + 138 + 1,672 62,295 Securities lent to dealers 25,140 - 2,392 + 1,161 24,695 Overnight facility (4) 25,140 - 2,392 + 1,161 24,695 U.S. Treasury securities 25,140 - 2,392 + 1,177 24,695 Federal agency debt securities 0 0 - 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 13, 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 47 173 0 0 0 ... 220 U.S. Treasury securities (1) Holdings 0 38,559 323,378 1,144,904 325,435 633,193 2,465,468 Weekly changes 0 0 - 1 - 3 + 196 - 12 + 179 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 1,764,644 1,782,346 Weekly changes 0 0 0 0 0 + 14,792 + 14,793 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 87 0 0 0 0 0 87 Reverse repurchase agreements (4) 366,719 0 ... ... ... ... 366,719 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 13, 2017 Mortgage-backed securities held outright (1) 1,782,346 Commitments to buy mortgage-backed securities (2) 23,072 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 1 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 13, 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 13, 2017 Wednesday Wednesday consolidation Sep 6, 2017 Sep 14, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,829 - 5 - 96 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,403,838 + 15,314 - 8,768 Securities held outright (1) 4,254,571 + 14,972 + 5,054 U.S. Treasury securities 2,465,468 + 179 + 1,915 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,326 + 200 - 4,321 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,859 Inflation compensation (3) 18,730 - 21 + 1,378 Federal agency debt securities (2) 6,757 0 - 15,735 Mortgage-backed securities (4) 1,782,346 + 14,793 + 18,873 Unamortized premiums on securities held outright (5) 163,562 + 302 - 14,863 Unamortized discounts on securities held outright (5) -14,515 + 32 + 1,036 Repurchase agreements (6) 0 0 0 Loans 220 + 8 + 5 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 Items in process of collection (0) 82 - 14 - 131 Bank premises 2,197 0 - 7 Central bank liquidity swaps (8) 87 + 52 + 81 Foreign currency denominated assets (9) 21,431 - 192 - 13 Other assets (10) 23,765 + 2,545 - 1,528 Total assets (0) 4,471,174 + 17,700 - 10,461 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 13, 2017 Wednesday Wednesday consolidation Sep 6, 2017 Sep 14, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,533,584 + 2,219 + 109,162 Reverse repurchase agreements (11) 366,719 - 25,204 + 50,119 Deposits (0) 2,521,517 + 39,601 - 169,517 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,360,190 + 3,142 + 10,902 U.S. Treasury, General Account 73,220 + 34,558 - 179,471 Foreign official 5,165 - 1 - 1 Other (12) (0) 82,942 + 1,903 - 947 Deferred availability cash items (0) 422 - 327 - 339 Other liabilities and accrued dividends (13) 7,823 + 1,405 - 848 Total liabilities (0) 4,430,066 + 17,695 - 11,422 Capital accounts Capital paid in 31,109 + 7 + 962 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,109 + 7 + 962 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 13, 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 1,829 46 50 183 130 258 189 296 28 49 112 187 300 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,403,838 85,799 2,479,642 113,699 127,701 258,010 259,221 185,235 58,774 34,444 62,472 176,294 562,547 Securities held outright (1) 4,254,571 82,895 2,395,714 109,851 123,379 249,278 250,440 178,942 56,734 33,171 60,340 170,323 543,506 U.S. Treasury securities 2,465,468 48,036 1,388,285 63,657 71,496 144,453 145,127 103,694 32,876 19,222 34,966 98,700 314,954 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,468 48,036 1,388,285 63,657 71,496 144,453 145,127 103,694 32,876 19,222 34,966 98,700 314,954 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,782,346 34,727 1,003,625 46,019 51,686 104,429 104,915 74,963 23,767 13,896 25,278 71,353 227,688 Unamortized premiums on securities held outright (5) 163,562 3,187 92,100 4,223 4,743 9,583 9,628 6,879 2,181 1,275 2,320 6,548 20,894 Unamortized discounts on securities held outright (5) -14,515 -283 -8,174 -375 -421 -850 -854 -611 -194 -113 -206 -581 -1,854 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 220 0 1 0 0 0 8 25 52 111 18 4 1 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 82 0 0 0 0 0 81 0 0 0 0 0 0 Bank premises 2,197 118 444 72 116 198 203 200 110 88 236 220 191 Central bank liquidity swaps (8) 87 4 28 5 7 19 5 4 1 0 1 1 13 Foreign currency denominated assets (9) 21,431 929 6,863 1,152 1,746 4,631 1,250 897 234 91 208 274 3,156 Other assets (10) 23,765 501 12,876 607 691 1,569 1,422 999 525 200 400 969 3,007 Interdistrict settlement account 0 - 2,661 - 59,947 - 5,665 - 3,300 - 3,258 + 3,563 + 51,674 - 756 + 2,121 + 6,132 + 4,332 + 7,766 Total assets 4,471,174 85,280 2,447,075 110,610 127,882 262,615 268,108 240,466 59,407 37,274 70,006 183,475 578,975 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 13, 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 1,709,585 56,366 552,663 55,223 85,308 121,531 227,489 115,401 52,290 31,252 48,391 142,837 220,833 Less: Notes held by F.R. Banks 176,001 6,495 44,363 6,763 10,225 13,493 21,677 12,149 5,632 3,275 5,896 18,364 27,669 Federal Reserve notes, net 1,533,584 49,871 508,300 48,461 75,083 108,038 205,812 103,252 46,659 27,977 42,495 124,473 193,164 Reverse repurchase agreements (11) 366,719 7,145 206,497 9,469 10,635 21,486 21,586 15,424 4,890 2,859 5,201 14,681 46,847 Deposits 2,521,517 26,292 1,715,113 50,152 38,555 123,628 37,800 119,656 7,220 5,738 21,731 43,488 332,144 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 2,360,190 26,287 1,614,008 50,150 38,552 123,206 37,791 59,888 7,217 5,737 21,729 43,488 332,137 U.S. Treasury, General Account 73,220 0 73,220 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) 82,942 3 22,747 0 0 413 7 59,767 3 0 1 0 1 Deferred availability cash items 422 0 0 0 0 0 64 0 0 358 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,307 22 775 29 31 44 94 45 20 10 16 65 155 Other liabilities and accrued dividends 6,517 182 3,321 221 229 558 380 342 157 145 161 254 566 Total liabilities 4,430,066 83,512 2,434,007 108,331 124,533 253,755 265,737 238,719 58,946 37,086 69,603 182,961 572,877 Capital Capital paid in 31,109 1,335 9,866 1,741 2,535 6,700 1,788 1,329 352 145 306 387 4,626 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 4,471,174 85,280 2,447,075 110,610 127,882 262,615 268,108 240,466 59,407 37,274 70,006 183,475 578,975 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 13, 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 13, 2017 Federal Reserve notes outstanding 1,709,585 Less: Notes held by F.R. Banks not subject to collateralization 176,001 Federal Reserve notes to be collateralized 1,533,584 Collateral held against Federal Reserve notes 1,533,584 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,517,347 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,254,571 Less: Face value of securities under reverse repurchase agreements 349,553 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,905,019 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.