FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks September 28, 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 27, 2017 Federal Reserve Banks Sep 27, 2017 Sep 20, 2017 Sep 28, 2016 Reserve Bank credit 4,423,774 - 1,036 - 791 4,415,731 Securities held outright (1) 4,247,195 - 1,092 + 14,619 4,240,344 U.S. Treasury securities 2,465,434 - 21 + 1,957 2,465,427 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) 18,696 - 21 + 1,419 18,689 Federal agency debt securities (2) 6,757 0 - 13,735 6,757 Mortgage-backed securities (4) 1,775,004 - 1,071 + 26,398 1,768,160 Unamortized premiums on securities held outright (5) 162,862 - 323 - 14,712 162,553 Unamortized discounts on securities held outright (5) -14,461 + 32 + 1,030 -14,448 Repurchase agreements (6) 0 0 0 0 Loans 233 - 19 + 8 233 Primary credit 7 - 24 - 2 12 Secondary credit 0 0 0 0 Seasonal credit 226 + 5 + 10 221 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,708 0 + 1 1,707 Float -307 - 40 + 81 -678 Central bank liquidity swaps (8) 37 0 - 254 37 Other Federal Reserve assets (9) 26,507 + 405 - 1,563 25,983 Foreign currency denominated assets (10) 21,306 - 148 - 231 21,103 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,162 + 14 + 810 49,162 Total factors supplying reserve funds 4,510,482 - 1,171 - 213 4,502,238 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 27, 2017 Federal Reserve Banks Sep 27, 2017 Sep 20, 2017 Sep 28, 2016 Currency in circulation (11) 1,578,950 - 721 + 110,588 1,580,243 Reverse repurchase agreements (12) 407,683 + 34,601 - 37,718 455,073 Foreign official and international accounts 239,518 - 6,398 - 1,558 234,990 Others 168,165 + 40,999 - 36,160 220,083 Treasury cash holdings 187 + 12 + 63 197 Deposits with F.R. Banks, other than reserve balances 263,039 + 44,932 - 155,070 240,646 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 164,652 + 36,870 - 187,048 155,159 Foreign official 5,195 + 29 + 30 5,370 Other (13) 93,192 + 8,033 + 31,948 80,117 Other liabilities and capital (14) 47,913 + 97 + 1,006 47,238 Total factors, other than reserve balances, absorbing reserve funds 2,297,773 + 78,922 - 81,130 2,323,397 Reserve balances with Federal Reserve Banks 2,212,709 - 80,092 + 80,917 2,178,840 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 27, 2017 Sep 27, 2017 Sep 20, 2017 Sep 28, 2016 Securities held in custody for foreign official and international accounts 3,371,865 - 4,490 + 228,357 3,369,873 Marketable U.S. Treasury securities (1) 3,046,423 - 5,566 + 222,882 3,043,819 Federal agency debt and mortgage-backed securities (2) 262,202 + 660 + 2,024 262,753 Other securities (3) 63,241 + 418 + 3,451 63,301 Securities lent to dealers 24,279 - 141 - 972 24,053 Overnight facility (4) 24,279 - 141 - 972 24,053 U.S. Treasury securities 24,279 - 141 - 950 24,053 Federal agency debt securities 0 0 - 21 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 27, 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 227 6 0 0 0 ... 233 U.S. Treasury securities (1) Holdings 10,947 27,613 323,377 1,144,897 325,425 633,168 2,465,427 Weekly changes 0 0 0 - 3 - 5 - 12 - 21 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 1 119 17,246 1,750,794 1,768,160 Weekly changes 0 0 0 - 3 - 375 - 1,987 - 2,364 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 37 0 0 0 0 0 37 Reverse repurchase agreements (4) 455,073 0 ... ... ... ... 455,073 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 27, 2017 Mortgage-backed securities held outright (1) 1,768,160 Commitments to buy mortgage-backed securities (2) 23,444 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 17 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 27, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,707 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 27, 2017 Wednesday Wednesday consolidation Sep 20, 2017 Sep 28, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,849 + 14 - 78 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,682 - 2,621 + 6,000 Securities held outright (1) 4,240,344 - 2,384 + 19,517 U.S. Treasury securities 2,465,427 - 21 + 1,967 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) 18,689 - 20 + 1,429 Federal agency debt securities (2) 6,757 0 - 13,735 Mortgage-backed securities (4) 1,768,160 - 2,364 + 31,285 Unamortized premiums on securities held outright (5) 162,553 - 275 - 14,536 Unamortized discounts on securities held outright (5) -14,448 + 33 + 1,029 Repurchase agreements (6) 0 0 0 Loans 233 + 5 - 9 Net portfolio holdings of Maiden Lane LLC (7) 1,707 - 1 0 Items in process of collection (0) 62 - 16 + 8 Bank premises 2,197 0 - 9 Central bank liquidity swaps (8) 37 0 - 254 Foreign currency denominated assets (9) 21,103 - 368 - 422 Other assets (10) 23,787 + 75 - 1,585 Total assets (0) 4,455,661 - 2,915 + 3,659 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 27, 2017 Wednesday Wednesday consolidation Sep 20, 2017 Sep 28, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,533,124 - 459 + 109,200 Reverse repurchase agreements (11) 455,073 + 41,504 - 59,737 Deposits (0) 2,419,487 - 44,355 - 46,634 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,178,841 - 50,568 + 93,604 U.S. Treasury, General Account 155,159 + 3,955 - 184,460 Foreign official 5,370 + 205 + 205 Other (12) (0) 80,117 + 2,054 + 44,017 Deferred availability cash items (0) 739 + 202 - 17 Other liabilities and accrued dividends (13) 6,052 + 172 - 167 Total liabilities (0) 4,414,476 - 2,936 + 2,646 Capital accounts Capital paid in 31,186 + 21 + 1,014 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,186 + 21 + 1,014 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 27, 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 1,849 47 49 183 132 262 196 296 29 50 112 188 303 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,682 85,503 2,471,101 113,308 127,267 257,125 258,328 184,606 58,570 34,319 62,261 175,687 560,608 Securities held outright (1) 4,240,344 82,618 2,387,703 109,484 122,966 248,444 249,602 178,343 56,544 33,060 60,138 169,754 541,688 U.S. Treasury securities 2,465,427 48,036 1,388,262 63,656 71,495 144,451 145,124 103,693 32,876 19,222 34,965 98,698 314,949 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,427 48,036 1,388,262 63,656 71,495 144,451 145,124 103,693 32,876 19,222 34,965 98,698 314,949 Federal agency debt securities (2) 6,757 132 3,805 174 196 396 398 284 90 53 96 271 863 Mortgage-backed securities (4) 1,768,160 34,450 995,636 45,653 51,275 103,597 104,080 74,367 23,578 13,785 25,077 70,785 225,876 Unamortized premiums on securities held outright (5) 162,553 3,167 91,532 4,197 4,714 9,524 9,568 6,837 2,168 1,267 2,305 6,507 20,766 Unamortized discounts on securities held outright (5) -14,448 -282 -8,136 -373 -419 -847 -850 -608 -193 -113 -205 -578 -1,846 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 233 0 2 0 6 3 8 33 51 104 22 4 0 Net portfolio holdings of Maiden Lane LLC (7) 1,707 0 1,707 0 0 0 0 0 0 0 0 0 0 Items in process of collection 62 0 0 0 0 0 61 0 0 0 0 0 0 Bank premises 2,197 118 441 72 119 198 204 200 110 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) 21,103 915 6,759 1,135 1,719 4,560 1,231 883 231 89 205 270 3,107 Other assets (10) 23,787 508 12,947 612 695 1,567 1,421 1,001 377 204 403 1,030 3,022 Interdistrict settlement account 0 - 9,916 - 56,009 - 3,287 - 2,057 + 12,880 + 7,117 + 47,662 - 873 + 3,010 + 5,427 + 4,882 - 8,837 Total assets 4,455,661 77,722 2,442,417 112,583 128,667 277,788 270,734 235,811 58,936 38,042 69,090 183,475 560,396 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 27, 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 1,717,378 56,214 558,295 55,064 85,150 121,529 230,153 115,546 52,278 31,169 48,234 142,559 221,186 Less: Notes held by F.R. Banks 184,255 6,892 45,460 6,869 10,370 14,186 25,217 12,401 5,745 3,381 5,922 19,271 28,540 Federal Reserve notes, net 1,533,124 49,322 512,835 48,195 74,780 107,342 204,937 103,146 46,533 27,788 42,312 123,288 192,646 Reverse repurchase agreements (11) 455,073 8,867 256,248 11,750 13,197 26,663 26,787 19,140 6,068 3,548 6,454 18,218 58,134 Deposits 2,419,487 17,586 1,657,376 50,105 37,124 134,372 36,171 111,439 5,723 5,689 19,757 41,181 302,964 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 2,178,841 17,581 1,475,413 50,103 37,121 134,178 36,162 52,981 5,720 5,689 19,756 41,180 302,957 U.S. Treasury, General Account 155,159 0 155,159 0 0 0 0 0 0 0 0 0 0 Foreign official 5,370 2 5,342 2 3 9 2 2 0 0 0 1 6 Other (12) 80,117 3 21,462 0 0 185 7 58,456 2 0 1 0 1 Deferred availability cash items 739 0 0 0 0 0 59 0 0 681 0 0 0 Earnings remittances due to the U.S. Treasury (13) 806 8 519 10 11 -2 65 23 2 9 13 53 96 Other liabilities and accrued dividends 5,246 171 2,354 202 207 545 345 315 142 140 149 219 457 Total liabilities 4,414,476 75,953 2,429,332 110,262 125,318 268,920 268,363 234,063 58,468 37,854 68,686 182,960 554,297 Capital Capital paid in 31,186 1,335 9,883 1,783 2,535 6,707 1,788 1,330 359 145 307 388 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 4,455,661 77,722 2,442,417 112,583 128,667 277,788 270,734 235,811 58,936 38,042 69,090 183,475 560,396 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 27, 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 27, 2017 Federal Reserve notes outstanding 1,717,378 Less: Notes held by F.R. Banks not subject to collateralization 184,255 Federal Reserve notes to be collateralized 1,533,124 Collateral held against Federal Reserve notes 1,533,124 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,516,887 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,240,344 Less: Face value of securities under reverse repurchase agreements 430,100 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,810,244 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.