FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks October 12, 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 Oct 11, 2017 Federal Reserve Banks Oct 11, 2017 Oct 4, 2017 Oct 12, 2016 Reserve Bank credit 4,418,937 - 1,180 + 1,516 4,419,638 Securities held outright (1) 4,240,445 + 93 + 19,587 4,240,471 U.S. Treasury securities 2,465,528 + 93 + 2,039 2,465,554 Bills (2) 0 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 3,650 2,337,326 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,188 109,412 Inflation compensation (3) 18,789 + 92 + 1,500 18,816 Federal agency debt securities (2) 6,757 0 - 13,735 6,757 Mortgage-backed securities (4) 1,768,160 0 + 31,283 1,768,160 Unamortized premiums on securities held outright (5) 162,114 - 280 - 14,409 162,046 Unamortized discounts on securities held outright (5) -14,412 + 25 + 1,014 -14,403 Repurchase agreements (6) 0 0 0 0 Loans 179 - 13 + 9 158 Primary credit 3 0 - 3 0 Secondary credit 0 0 0 0 Seasonal credit 175 - 14 + 10 158 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 1,707 0 - 1 1,706 Float -318 + 350 + 35 -350 Central bank liquidity swaps (8) 36 - 3,584 - 3,184 36 Other Federal Reserve assets (9) 29,187 + 2,231 - 1,534 29,974 Foreign currency denominated assets (10) 21,125 - 40 - 40 21,243 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 49,174 + 14 + 788 49,174 Total factors supplying reserve funds 4,505,476 - 1,207 + 2,263 4,506,295 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 Oct 11, 2017 Federal Reserve Banks Oct 11, 2017 Oct 4, 2017 Oct 12, 2016 Currency in circulation (11) 1,584,750 + 4,411 + 106,452 1,585,496 Reverse repurchase agreements (12) 352,914 - 128,851 - 96,536 360,275 Foreign official and international accounts 229,676 - 8,099 - 903 230,470 Others 123,237 - 120,752 - 95,634 129,805 Treasury cash holdings 205 + 7 + 49 213 Deposits with F.R. Banks, other than reserve balances 254,273 + 6,279 - 143,493 244,159 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 169,766 + 9,333 - 186,419 155,307 Foreign official 5,166 0 - 6 5,166 Other (13) 79,341 - 3,055 + 42,933 83,687 Other liabilities and capital (14) 48,836 + 1,664 + 1,058 48,413 Total factors, other than reserve balances, absorbing reserve funds 2,240,978 - 116,490 - 132,469 2,238,556 Reserve balances with Federal Reserve Banks 2,264,498 + 115,283 + 134,732 2,267,739 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 Oct 11, 2017 Oct 11, 2017 Oct 4, 2017 Oct 12, 2016 Securities held in custody for foreign official and international accounts 3,360,480 - 5,671 + 214,348 3,366,980 Marketable U.S. Treasury securities (1) 3,033,133 - 6,594 + 208,263 3,039,389 Federal agency debt and mortgage-backed securities (2) 263,051 + 66 + 1,804 263,135 Other securities (3) 64,296 + 857 + 4,281 64,456 Securities lent to dealers 24,733 + 514 - 2,303 26,371 Overnight facility (4) 24,733 + 514 - 2,303 26,371 U.S. Treasury securities 24,733 + 514 - 2,261 26,371 Federal agency debt securities 0 0 - 42 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, October 11, 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 12 146 0 0 0 ... 158 U.S. Treasury securities (1) Holdings 0 45,116 324,884 1,133,408 328,902 633,243 2,465,554 Weekly changes 0 0 + 3 + 13 + 20 + 51 + 87 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 1 121 17,465 1,750,572 1,768,160 Weekly changes 0 0 0 0 0 0 0 Repurchase agreements (4) 0 0 ... ... ... ... 0 Central bank liquidity swaps (5) 36 0 0 0 0 0 36 Reverse repurchase agreements (4) 360,275 0 ... ... ... ... 360,275 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 Oct 11, 2017 Mortgage-backed securities held outright (1) 1,768,160 Commitments to buy mortgage-backed securities (2) 35,267 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 5 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 Oct 11, 2017 Net portfolio holdings of Maiden Lane LLC (1) 1,706 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 Oct 11, 2017 Wednesday Wednesday consolidation Oct 4, 2017 Oct 12, 2016 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,855 - 5 - 46 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,272 - 135 + 6,239 Securities held outright (1) 4,240,471 + 87 + 19,605 U.S. Treasury securities 2,465,554 + 87 + 2,057 Bills (2) 0 0 0 Notes and bonds, nominal (2) 2,337,326 0 - 3,650 Notes and bonds, inflation-indexed (2) 109,412 0 + 4,188 Inflation compensation (3) 18,816 + 87 + 1,519 Federal agency debt securities (2) 6,757 0 - 13,735 Mortgage-backed securities (4) 1,768,160 0 + 31,283 Unamortized premiums on securities held outright (5) 162,046 - 232 - 14,388 Unamortized discounts on securities held outright (5) -14,403 + 29 + 1,014 Repurchase agreements (6) 0 0 0 Loans 158 - 19 + 8 Net portfolio holdings of Maiden Lane LLC (7) 1,706 - 1 - 3 Items in process of collection (0) 93 + 31 - 11 Bank premises 2,198 + 2 - 3 Central bank liquidity swaps (8) 36 - 3,584 - 3,184 Foreign currency denominated assets (9) 21,243 + 132 + 269 Other assets (10) 27,776 + 2,553 - 1,544 Total assets (0) 4,459,415 - 1,007 + 1,717 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 Oct 11, 2017 Wednesday Wednesday consolidation Oct 4, 2017 Oct 12, 2016 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,538,386 + 2,638 + 105,720 Reverse repurchase agreements (11) 360,275 - 49,079 - 62,825 Deposits (0) 2,511,898 + 44,655 - 42,578 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,267,739 + 39,221 + 105,653 U.S. Treasury, General Account 155,307 + 688 - 187,568 Foreign official 5,166 + 1 + 1 Other (12) (0) 83,687 + 4,746 + 39,337 Deferred availability cash items (0) 443 - 247 - 140 Other liabilities and accrued dividends (13) 7,198 + 1,001 + 500 Total liabilities (0) 4,418,200 - 1,033 + 678 Capital accounts Capital paid in 31,215 + 25 + 1,039 Surplus 10,000 0 0 Other capital accounts 0 0 0 Total capital 41,215 + 25 + 1,039 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, October 11, 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 1,855 50 49 183 132 266 198 296 31 51 107 188 304 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,388,272 85,497 2,470,911 113,299 127,251 257,102 258,305 184,580 58,542 34,295 62,252 175,673 560,565 Securities held outright (1) 4,240,471 82,620 2,387,775 109,487 122,970 248,452 249,610 178,349 56,546 33,061 60,140 169,759 541,704 U.S. Treasury securities 2,465,554 48,038 1,388,333 63,660 71,499 144,458 145,132 103,698 32,878 19,223 34,967 98,704 314,965 Bills (2) 0 0 0 0 0 0 0 0 0 0 0 0 0 Notes and bonds (3) 2,465,554 48,038 1,388,333 63,660 71,499 144,458 145,132 103,698 32,878 19,223 34,967 98,704 314,965 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) 162,046 3,157 91,247 4,184 4,699 9,494 9,539 6,815 2,161 1,263 2,298 6,487 20,701 Unamortized discounts on securities held outright (5) -14,403 -281 -8,110 -372 -418 -844 -848 -606 -192 -112 -204 -577 -1,840 Repurchase agreements (6) 0 0 0 0 0 0 0 0 0 0 0 0 0 Loans 158 0 0 0 0 0 4 21 27 83 18 4 0 Net portfolio holdings of Maiden Lane LLC (7) 1,706 0 1,706 0 0 0 0 0 0 0 0 0 0 Items in process of collection 93 0 0 0 0 0 92 0 0 1 0 0 0 Bank premises 2,198 117 441 72 123 198 203 201 110 88 236 219 191 Central bank liquidity swaps (8) 36 2 12 2 3 8 2 2 0 0 0 0 5 Foreign currency denominated assets (9) 21,243 921 6,804 1,142 1,730 4,590 1,239 889 232 90 206 272 3,128 Other assets (10) 27,776 587 15,203 712 815 1,806 1,663 1,171 448 234 458 1,149 3,530 Interdistrict settlement account 0 - 8,101 - 51,453 - 217 + 405 - 7,229 + 2,339 + 46,890 - 554 + 2,460 + 7,369 + 7,224 + 867 Total assets 4,459,415 79,616 2,449,083 115,752 131,249 257,928 266,215 235,189 59,300 37,500 71,073 185,924 570,586 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, October 11, 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 1,723,683 56,117 562,258 54,999 85,104 121,298 232,419 116,654 52,313 31,138 48,244 142,281 220,859 Less: Notes held by F.R. Banks 185,297 6,613 47,588 6,823 10,048 14,211 26,103 11,858 5,606 3,399 5,742 19,054 28,251 Federal Reserve notes, net 1,538,386 49,504 514,670 48,176 75,055 107,087 206,316 104,795 46,707 27,739 42,502 123,227 192,608 Reverse repurchase agreements (11) 360,275 7,019 202,868 9,302 10,448 21,109 21,207 15,153 4,804 2,809 5,110 14,423 46,024 Deposits 2,511,898 21,116 1,714,912 55,703 42,121 120,224 35,750 113,121 7,126 6,290 22,893 47,465 325,179 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 2,267,739 21,110 1,528,995 55,701 42,117 119,860 35,741 55,275 7,123 6,289 22,892 47,464 325,172 U.S. Treasury, General Account 155,307 0 155,307 0 0 0 0 0 0 0 0 0 0 Foreign official 5,166 2 5,138 2 3 9 2 2 0 0 0 1 6 Other (12) 83,687 5 25,471 0 0 355 7 57,844 3 0 1 0 1 Deferred availability cash items 443 0 0 0 0 0 121 0 0 322 0 0 0 Earnings remittances due to the U.S. Treasury (13) 1,804 41 976 49 63 122 123 67 26 14 23 76 225 Other liabilities and accrued dividends 5,394 167 2,572 202 214 517 327 305 146 139 140 218 447 Total liabilities 4,418,200 77,847 2,435,997 113,432 127,900 249,059 263,843 233,440 58,809 37,312 70,669 185,408 564,483 Capital Capital paid in 31,215 1,336 9,883 1,783 2,535 6,708 1,788 1,330 382 145 307 388 4,631 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 4,459,415 79,616 2,449,083 115,752 131,249 257,928 266,215 235,189 59,300 37,500 71,073 185,924 570,586 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, October 11, 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 Oct 11, 2017 Federal Reserve notes outstanding 1,723,683 Less: Notes held by F.R. Banks not subject to collateralization 185,297 Federal Reserve notes to be collateralized 1,538,386 Collateral held against Federal Reserve notes 1,538,386 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,522,149 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,240,471 Less: Face value of securities under reverse repurchase agreements 341,358 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 3,899,113 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.