FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks September 21, 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 20, 2017 Federal Reserve Banks Sep 20, 2017 Sep 13, 2017 Sep 21, 2016 Reserve Bank credit 4,424,810 + 7,471 - 1,346 4,418,496 Securities held outright (1) 4,248,287 + 6,387 + 13,276 4,242,728 U.S. Treasury securities 2,465,455 - 21 + 1,932 2,465,448 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 4,321 2,337,326 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,859 109,412 Inflation compensation (3) 18,717 - 21 + 1,394 18,709 Federal agency debt securities (2) 6,757 0 - 13,735 6,757 Mortgage-backed securities (4) 1,776,075 + 6,408 + 25,080 1,770,524 Unamortized premiums on securities held outright (5) 163,185 + 8 - 14,670 162,828 Unamortized discounts on securities held outright (5) -14,493 + 35 + 1,032 -14,481 Repurchase agreements (6) 0 0 0 0 Loans 252 + 36 + 18 228 Primary credit 31 + 29 + 1 2 Secondary credit 0 0 0 0 Seasonal credit 221 + 7 + 18 225 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 1,708 Float -267 - 18 + 39 -460 Central bank liquidity swaps (8) 37 - 50 + 35 37 Other Federal Reserve assets (9) 26,102 + 1,073 - 1,076 25,908 Foreign currency denominated assets (10) 21,454 - 231 + 76 21,471 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,148 + 14 + 815 49,148 Total factors supplying reserve funds 4,511,653 + 7,255 - 456 4,505,355 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 20, 2017 Federal Reserve Banks Sep 20, 2017 Sep 13, 2017 Sep 21, 2016 Currency in circulation (11) 1,579,671 + 187 + 110,979 1,580,714 Reverse repurchase agreements (12) 373,082 + 13,068 + 6,223 413,569 Foreign official and international accounts 245,916 + 5,444 - 4,167 245,544 Others 127,166 + 7,624 + 10,390 168,025 Treasury cash holdings 175 + 4 + 61 186 Deposits with F.R. Banks, other than reserve balances 218,107 + 61,221 - 166,708 234,433 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 127,782 + 57,550 - 212,666 151,204 Foreign official 5,166 + 1 + 1 5,165 Other (13) 85,159 + 3,671 + 45,957 78,063 Other liabilities and capital (14) 47,816 - 1,095 + 654 47,045 Total factors, other than reserve balances, absorbing reserve funds 2,218,851 + 73,385 - 48,791 2,275,947 Reserve balances with Federal Reserve Banks 2,292,801 - 66,132 + 48,334 2,229,409 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 20, 2017 Sep 20, 2017 Sep 13, 2017 Sep 21, 2016 Securities held in custody for foreign official and international accounts 3,376,355 + 3,988 + 226,085 3,374,672 Marketable U.S. Treasury securities (1) 3,051,989 + 5,458 + 222,787 3,052,535 Federal agency debt and mortgage-backed securities (2) 261,542 - 2,482 - 27 259,133 Other securities (3) 62,823 + 1,011 + 3,324 63,004 Securities lent to dealers 24,420 - 720 + 499 20,837 Overnight facility (4) 24,420 - 720 + 499 20,837 U.S. Treasury securities 24,420 - 720 + 514 20,837 Federal agency debt securities 0 0 - 15 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 20, 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 223 5 0 0 0 ... 228 U.S. Treasury securities (1) Holdings 10,947 27,613 323,377 1,144,900 325,430 633,180 2,465,448 Weekly changes + 10,947 - 10,946 - 1 - 4 - 5 - 13 - 20 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 1 122 17,621 1,752,781 1,770,524 Weekly changes 0 0 0 + 29 + 13 - 11,863 - 11,822 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 37 0 0 0 0 0 37 Reverse repurchase agreements (4) 413,569 0 ... ... ... ... 413,569 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 20, 2017 Mortgage-backed securities held outright (1) 1,770,524 Commitments to buy mortgage-backed securities (2) 26,157 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 52 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 20, 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 20, 2017 Wednesday Wednesday consolidation Sep 13, 2017 Sep 21, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,835 + 6 - 92 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,391,303 - 12,535 - 12,815 Securities held outright (1) 4,242,728 - 11,843 + 1,387 U.S. Treasury securities 2,465,448 - 20 + 1,942 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 4,321 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,859 Inflation compensation (3) 18,709 - 21 + 1,403 Federal agency debt securities (2) 6,757 0 - 13,735 Mortgage-backed securities (4) 1,770,524 - 11,822 + 13,181 Unamortized premiums on securities held outright (5) 162,828 - 734 - 15,232 Unamortized discounts on securities held outright (5) -14,481 + 34 + 1,032 Repurchase agreements (6) 0 0 0 Loans 228 + 8 - 1 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 Items in process of collection (0) 78 - 4 + 11 Bank premises 2,197 0 - 8 Central bank liquidity swaps (8) 37 - 50 + 35 Foreign currency denominated assets (9) 21,471 + 40 - 12 Other assets (10) 23,712 - 53 - 1,574 Total assets (0) 4,458,576 - 12,598 - 14,456 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 20, 2017 Wednesday Wednesday consolidation Sep 13, 2017 Sep 21, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,533,583 - 1 + 111,097 Reverse repurchase agreements (11) 413,569 + 46,850 - 15,825 Deposits (0) 2,463,842 - 57,675 - 109,835 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,229,409 - 130,781 + 59,090 U.S. Treasury, General Account 151,204 + 77,984 - 207,399 Foreign official 5,165 0 - 3 Other (12) (0) 78,063 - 4,879 + 38,475 Deferred availability cash items (0) 537 + 115 + 172 Other liabilities and accrued dividends (13) 5,880 - 1,943 - 1,067 Total liabilities (0) 4,417,412 - 12,654 - 15,457 Capital accounts Capital paid in 31,165 + 56 + 1,001 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,165 + 56 + 1,001 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 20, 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 1,835 47 51 184 131 257 193 296 28 50 111 190 299 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,391,303 85,554 2,472,579 113,376 127,337 257,277 258,481 184,712 58,608 34,346 62,295 175,792 560,944 Securities held outright (1) 4,242,728 82,664 2,389,046 109,545 123,035 248,584 249,743 178,444 56,576 33,078 60,172 169,849 541,993 U.S. Treasury securities 2,465,448 48,036 1,388,273 63,657 71,496 144,452 145,125 103,694 32,876 19,222 34,966 98,699 314,952 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,448 48,036 1,388,273 63,657 71,496 144,452 145,125 103,694 32,876 19,222 34,966 98,699 314,952 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,770,524 34,496 996,967 45,714 51,344 103,736 104,220 74,466 23,610 13,804 25,110 70,879 226,178 Unamortized premiums on securities held outright (5) 162,828 3,172 91,687 4,204 4,722 9,540 9,585 6,848 2,171 1,269 2,309 6,518 20,801 Unamortized discounts on securities held outright (5) -14,481 -282 -8,154 -374 -420 -848 -852 -609 -193 -113 -205 -580 -1,850 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 228 0 1 0 0 2 7 29 54 111 19 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 78 0 0 0 0 0 77 0 0 1 0 0 0 Bank premises 2,197 118 441 72 118 198 203 200 110 88 236 220 191 Central bank liquidity swaps (8) 37 2 12 2 3 8 2 2 0 0 0 0 5 Foreign currency denominated assets (9) 21,471 931 6,877 1,154 1,749 4,640 1,252 899 235 91 208 274 3,161 Other assets (10) 23,712 504 12,838 607 690 1,567 1,404 991 522 200 400 992 2,999 Interdistrict settlement account 0 + 337 - 35,498 - 5,586 - 7,394 - 870 + 3,682 + 55,483 - 1,336 + 2,324 + 3,967 + 545 - 15,652 Total assets 4,458,576 88,037 2,464,416 110,366 123,424 264,266 267,469 243,743 58,659 37,380 67,662 179,212 553,943 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 20, 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 1,713,674 56,266 555,718 55,247 85,336 121,627 228,620 115,606 52,278 31,223 48,330 142,737 220,685 Less: Notes held by F.R. Banks 180,091 6,697 44,024 6,891 10,527 13,985 22,579 12,602 5,696 3,434 5,973 18,948 28,737 Federal Reserve notes, net 1,533,583 49,569 511,694 48,356 74,809 107,643 206,041 103,004 46,583 27,789 42,356 123,790 191,948 Reverse repurchase agreements (11) 413,569 8,058 232,878 10,678 11,993 24,231 24,344 17,394 5,515 3,224 5,865 16,556 52,832 Deposits 2,463,842 28,456 1,704,033 48,794 33,037 122,988 34,229 121,279 5,937 5,567 18,885 38,089 302,547 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 2,229,409 28,451 1,528,214 48,792 33,034 122,788 34,220 62,897 5,934 5,567 18,883 38,088 302,540 U.S. Treasury, General Account 151,204 0 151,204 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) 78,063 3 19,477 0 0 191 7 58,381 2 0 1 0 1 Deferred availability cash items 537 0 0 0 0 0 70 0 0 467 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,060 25 558 30 38 63 87 35 18 9 10 53 134 Other liabilities and accrued dividends 4,820 161 2,179 187 197 479 327 283 139 135 143 208 383 Total liabilities 4,417,412 86,269 2,451,342 108,046 120,075 255,404 265,098 241,996 58,191 37,192 67,259 178,696 547,844 Capital Capital paid in 31,165 1,335 9,872 1,783 2,535 6,700 1,788 1,329 359 145 306 388 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 4,458,576 88,037 2,464,416 110,366 123,424 264,266 267,469 243,743 58,659 37,380 67,662 179,212 553,943 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 20, 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 20, 2017 Federal Reserve notes outstanding 1,713,674 Less: Notes held by F.R. Banks not subject to collateralization 180,091 Federal Reserve notes to be collateralized 1,533,583 Collateral held against Federal Reserve notes 1,533,583 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,517,346 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,242,728 Less: Face value of securities under reverse repurchase agreements 397,593 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,845,136 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.