FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks September 24, 2020

1. Factors Affecting Reserve Balances of Depository Institutions

Millions of dollars

Averages of daily figures

Change from week ended

Reserve Bank credit, related items, and

reserve balances of depository institutions at

Federal Reserve Banks

Week ended

Sep 23, 2020 Sep 16, 2020 Sep 25, 2019

Wednesday

Sep 23, 2020

Reserve Bank credit 7,032,062 + 40,629 +3,223,547 7,053,440

Securities held outright1 6,438,478 + 58,075 +2,850,488 6,458,738

U.S. Treasury securities 4,416,105 + 13,346 +2,308,700 4,431,523

Bills2 326,044 0 + 320,042 326,044

Notes and bonds, nominal2 3,764,553 + 10,705 +1,805,605 3,779,831

Notes and bonds, inflation-indexed2 285,918 + 2,058 + 167,772 285,918

Inflation compensation3 39,590 + 583 + 15,281 39,731

Federal agency debt securities2 2,347 0 0 2,347

Mortgage-backed securities4 2,020,027 + 44,729 + 541,789 2,024,868

Unamortized premiums on securities held outright5 332,945 + 2,741 + 205,379 333,951

Unamortized discounts on securities held outright5 -4,870 + 53 + 7,856 -4,837

Repurchase agreements6 0 0 - 82,250 0

Foreign official 0 0 0 0

Others 0 0 - 82,250 0

Loans 77,924 - 153 + 77,829 78,231

Primary credit 3,137 + 342 + 3,133 3,359

Secondary credit 0 0 0 0

Seasonal credit 35 + 4 - 55 41

Primary Dealer Credit Facility 233 - 14 + 233 233

Money Market Mutual Fund Liquidity Facility 7,377 - 276 + 7,377 7,344

Paycheck Protection Program Liquidity Facility 67,141 - 210 + 67,141 67,254

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 8,588 0 + 8,588 8,588

Net portfolio holdings of Corporate Credit Facilities LLC7 44,974 + 122 + 44,974 44,972

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 39,177 + 256 + 39,177 39,355

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,545 + 2 + 16,545 16,546

Net portfolio holdings of TALF II LLC7 11,431 + 244 + 11,431 11,431

Float -204 + 45 - 75 -446

Central bank liquidity swaps8 32,610 - 22,209 + 32,568 31,950

Other Federal Reserve assets9 34,465 + 1,456 + 11,038 34,960

Foreign currency denominated assets10 21,680 + 26 + 1,063 21,510

Gold stock 11,041 0 0 11,041

Special drawing rights certificate account 5,200 0 0 5,200

Treasury currency outstanding11 50,397 + 14 + 409 50,397

Total factors supplying reserve funds 7,120,380 + 40,668 +3,225,019 7,141,588

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

1. Factors Affecting Reserve Balances of Depository Institutions (continued)

Millions of dollars

Averages of daily figures

Change from week ended

Reserve Bank credit, related items, and

reserve balances of depository institutions at

Federal Reserve Banks

Week ended

Sep 23, 2020 Sep 16, 2020 Sep 25, 2019

Wednesday

Sep 23, 2020

Currency in circulation11 2,028,408 - 717 + 266,746 2,029,101

Reverse repurchase agreements12 200,304 + 118 - 93,787 204,352

Foreign official and international accounts 200,296 + 120 - 88,741 204,351

Others 8 - 2 - 5,046 1

Treasury cash holdings 47 - 3 - 123 40

Deposits with F.R. Banks, other than reserve balances 1,897,710 + 98,326 +1,503,659 1,898,360

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,680,688 + 65,833 +1,366,499 1,661,732

Foreign official 18,871 + 1,648 + 13,686 18,871

Other13 198,152 + 30,845 + 123,475 217,757

Treasury contributions to credit facilities14 114,000 0 + 114,000 114,000

Other liabilities and capital15 49,413 - 2,141 + 4,197 47,652

Total factors, other than reserve balances,

absorbing reserve funds 4,289,881 + 95,581 +1,794,691 4,293,506

Reserve balances with Federal Reserve Banks 2,830,499 - 54,913 +1,430,328 2,848,082

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. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to 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. Includes bank premises, accrued interest, and other accounts receivable. Also includes net portfolio holdings of Maiden Lane LLC. 

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, designated financial

market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment

arrangements. 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. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion,

MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money

Market Mutual Fund Liquidity Facility of $1.5 billion.

15. Includes the liability for earnings remittances due to the U.S. Treasury.

Sources: Federal Reserve Banks and the U.S. Department of the Treasury.
H.4.1

1A. Memorandum Items

Millions of dollars

Averages of daily figures

Memorandum item Week ended Change from week ended

Sep 23, 2020 Sep 16, 2020 Sep 25, 2019

Wednesday

Sep 23, 2020

Securities held in custody for foreign official and international

accounts 3,424,105 + 17,397 - 34,458 3,422,115

Marketable U.S. Treasury securities1 2,987,481 + 21,233 - 27,911 2,988,192

Federal agency debt and mortgage-backed securities2 350,974 - 3,184 - 10,197 348,338

Other securities3 85,649 - 653 + 3,650 85,585

Securities lent to dealers 24,377 - 2,742 - 7,489 24,827

Overnight facility4 24,377 - 2,742 - 7,489 24,827

U.S. Treasury securities 24,377 - 2,742 - 7,489 24,827

Federal agency debt securities 0 0 0 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.
H.4.1

2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, September 23, 2020

Millions of dollars

Remaining Maturity Within 15

days

16 days to

90 days

91 days to

1 year

Over 1 year

to 5 years

Over 5 year

to 10 years

Over 10

years

All

Loans1 3,100 3,457 4,420 67,254 0 ... 78,231

U.S. Treasury securities2

Holdings 72,212 247,998 671,972 1,665,299 787,290 986,752 4,431,523

Weekly changes + 12,799 - 9,884 + 3,879 + 6,795 + 9,053 + 1,876 + 24,518

Federal agency debt securities3

Holdings 0 0 0 0 1,436 911 2,347

Weekly changes 0 0 0 0 0 0 0

Mortgage-backed securities4

Holdings 0 0 5 2,225 78,972 1,943,665 2,024,868

Weekly changes 0 0 0 + 55 + 111 + 19,666 + 19,833

Commercial paper held by Commercial

Paper Funding Facility II LLC5 0 30 0 ... ... ... 30

Loan participations held by MS

Facilities LLC (Main Street Lending

Program)6 0 0 0 1,837 ... ... 1,837

Municipal notes held by Municipal

Liquidity Facility LLC7 0 0 1,200 451 ... ... 1,651

Loans held by TALF II LLC8 0 26 0 2,871 ... ... 2,896

Repurchase agreements9 0 0 ... ... ... ... 0

Central bank liquidity swaps10 24,559 7,391 0 0 0 0 31,950

Reverse repurchase agreements9 204,352 0 ... ... ... ... 204,352

Term deposits 0 0 0 ... ... ... 0

Note: Components may not sum to totals because of rounding.

...Not applicable.

1. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund

Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit extensions. Loans exclude the loans from the Federal Reserve

Bank of New York (FRBNY) to Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF

II LLC, and from the Federal Reserve Bank of Boston (FRBB) to MS Facilities LLC, which were eliminated when preparing the FRBNY's and FRBB’s

statement of condition, respectively, consistent with consolidation under generally accepted accounting principles.

2. 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.

3. Face value.

4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities.

5. Book value of commercial paper held by Commercial Paper Funding Facility II LLC.

6. Book value of the loan participations held by the MS Facilities LLC.

7. Book value of the municipal notes held by the Municipal Liquidity Facility LLC.

8. Book value of the loans held by the TALF II LLC.

9. Cash value of agreements.

10. 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.
H.4.1

3. Supplemental Information on Mortgage-Backed Securities

Millions of dollars

Wednesday Account name Sep 23, 2020

Mortgage-backed securities held outright1 2,024,868

Residential mortgage-backed securities 2,015,471

Commercial mortgage-backed securities 9,397

Commitments to buy mortgage-backed securities2 107,312

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 57

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. Includes residential and commercial mortgage-backed securities. Residential mortgage-backed securities generally settle within

180 calendar days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. Commercial mortgage-backed

securities generally settle within three business days.

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 Credit Facilities LLCs

Millions of dollars

Wednesday Sep 23, 2020

Net portfolio holdings of

Credit Facilities LLCs

Outstanding

principal Outstanding

amount amount of Treasury

of loan facility contributions

extended to asset and

Credit Facilities LLCs:

the LLC1 purchases2 other assets3 Total

Commercial Paper Funding Facility II LLC 30 30 8,558 8,588

Corporate Credit Facilities LLC 12,815 12,911 32,061 44,972

MS Facilities LLC (Main Street Lending Program) 1,837 1,837 37,518 39,355

Municipal Liquidity Facility LLC 1,651 1,651 14,895 16,546

TALF II LLC 2,922 2,896 8,535 11,431

Note: Components may not sum to totals because of rounding.

1. Book value. This amount was eliminated when preparing the Federal Reserve Banks’ statement of condition consistent with consolidation under

generally accepted accounting principles. Refer to the note on consolidation accompanying table 6. Loans are extended from the Federal Reserve

Bank to the LLC upon settlement of the investment activity.

2. Outstanding amount of facility asset purchases:

a. For the Commercial Paper Funding Facility II LLC includes commercial paper at book value.

b. For the Corporate Credit Facilities LLC includes exchange traded-funds at fair value and corporate bonds at book value. Asset balances

 from trading activity are reported on a one-day lag after the transaction date.

c. For the MS Facilities LLC (Main Street Lending Program) includes loan participations at face value.

d. For the Municipal Liquidity Facility LLC includes municipal notes at book value. Asset balances from trading activity may be reported on

 a one-day lag after the transaction date.

e. For the TALF II LLC includes loans to holders of eligible asset-backed securities at book value.

3. Includes short term receivables, interest and dividend receivables, and other assets of the facility. Also includes the portion of the Treasury

contribution to the credit facilities, which is held as investments in nonmarketable Treasury securities and the residual portion which is held as cash

and cash equivalents at the FRBNY. The amount of cash and cash equivalents held at the FRBNY are eliminated in consolidation and, as result, are

excluded from net portfolio holdings in Tables 1, 5, and 6. Amounts excluded are initially 15% of Treasury contributions to the credit facilities from the

following consolidated LLCs: Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF II

LLC. Refer to the note on consolidation accompanying table 6.
H.4.1

5. Consolidated Statement of Condition of All Federal Reserve Banks

Millions of dollars

Change since

Assets, liabilities, and capital Wednesday Wednesday Eliminations from

consolidation

Wednesday

Sep 23, 2020 Sep 16, 2020 Sep 25, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,467 0 - 231

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,866,084 + 46,788 +3,069,255

Securities held outright1 6,458,738 + 44,351 +2,881,451

U.S. Treasury securities 4,431,523 + 24,518 +2,323,840

Bills2 326,044 0 + 320,042

Notes and bonds, nominal2 3,779,831 + 24,136 +1,820,626

Notes and bonds, inflation-indexed2 285,918 0 + 167,772

Inflation compensation3 39,731 + 383 + 15,401

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 2,024,868 + 19,833 + 557,611

Unamortized premiums on securities held outright5 333,951 + 2,084 + 206,790

Unamortized discounts on securities held outright5 -4,837 + 69 + 7,877

Repurchase agreements6 0 0 - 105,000

Loans7 78,231 + 283 + 78,135

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,588 0 + 8,588

Net portfolio holdings of Corporate Credit Facilities LLC8 44,972 + 49 + 44,972

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 39,355 + 396 + 39,355

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,546 + 2 + 16,546

Net portfolio holdings of TALF II LLC8 11,431 + 1 + 11,431

Items in process of collection (0) 59 - 2 + 6

Bank premises 2,195 + 4 + 5

Central bank liquidity swaps9 31,950 - 20,324 + 31,908

Foreign currency denominated assets10 21,510 - 206 + 948

Other assets11 32,767 + 1,979 + 12,662

Total assets (0) 7,093,161 + 28,686 +3,235,446

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

5. Consolidated Statement of Condition of All Federal Reserve Banks (continued)

Millions of dollars

Change since

Assets, liabilities, and capital Wednesday Wednesday Eliminations from

consolidation

Wednesday

Sep 23, 2020 Sep 16, 2020 Sep 25, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,980,207 - 98 + 265,474

Reverse repurchase agreements12 204,352 + 5,870 - 86,189

Deposits (0) 4,746,445 + 23,212 +2,938,809

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,848,085 - 21,226 +1,420,796

U.S. Treasury, General Account 1,661,732 - 31,077 +1,355,922

Foreign official 18,871 + 5 + 13,684

Other13 (0) 217,757 + 75,510 + 148,406

Deferred availability cash items (0) 505 + 231 + 370

Treasury contributions to credit facilities14 114,000 0 + 114,000

Other liabilities and accrued dividends15 8,543 - 538 + 3,156

Total liabilities (0) 7,054,053 + 28,678 +3,235,620

Capital accounts

Capital paid in 32,283 + 8 - 174

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 39,108 + 8 - 174

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. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund

Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit extensions.

8. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on

consolidation below.

9. 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.

10. Revalued daily at current foreign currency exchange rates.

11. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also includes net portfolio

holdings of Maiden Lane LLC.

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, designated financial

market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment

arrangements. 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. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion,

MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money

Market Mutual Fund Liquidity Facility of $1.5 billion.

15. Includes the liability for earnings remittances due to the U.S. Treasury.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, September 23, 2020

Millions of dollars

Kansas San Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis City Dallas Francisco

Assets

Gold certificates and special drawing

rights certificates 16,237 533 5,483 529 761 1,165 2,183 1,137 479 270 450 1,202 2,045

Coin 1,467 28 30 119 80 207 144 243 25 43 99 163 286

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,866,084 161,808 3,527,168 161,078 214,572 430,885 504,339 383,200 109,143 71,078 113,960 330,039 858,815

Net portfolio holdings of Commercial

Paper Funding Facility II LLC2 8,588 0 8,588 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Corporate

Credit Facilities LLC2 44,972 0 44,972 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 39,355 39,355 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,546 0 16,546 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 11,431 0 11,431 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 31,950 1,517 10,737 1,150 2,730 6,744 1,585 1,241 524 250 337 379 4,757

Foreign currency denominated

assets4 21,510 1,021 7,231 774 1,838 4,539 1,067 835 353 168 227 255 3,202

Other assets5 35,021 2,392 15,424 860 1,150 2,465 2,646 1,980 680 452 845 1,886 4,241

Interdistrict settlement account 0 - 53,492 + 521,249 - 34,115 + 33,613 - 27,701 - 107,880 - 18,442 - 24,648 - 16,828 - 26,886 - 52,329 - 192,541

Total assets 7,093,161 153,162 4,168,860 130,395 254,743 418,304 404,082 370,194 86,555 55,434 89,031 281,596 680,805

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, September 23, 2020 (continued)

Millions of dollars

Kansas San Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis City Dallas Francisco

Liabilities

Federal Reserve notes, net 1,980,207 61,483 661,616 56,127 93,629 130,456 280,046 127,429 59,150 33,350 54,385 166,917 255,620

Reverse repurchase agreements6 204,352 4,589 105,805 4,662 6,394 12,808 15,060 11,414 3,229 1,931 3,250 9,849 25,363

Deposits 4,746,445 45,850 3,309,755 67,919 151,092 266,109 106,466 229,266 23,242 19,166 30,721 103,720 393,140

Depository institutions 2,848,085 45,811 1,523,000 67,918 151,052 265,552 106,384 119,412 23,237 19,108 30,684 102,805 393,123

U.S. Treasury, General Account 1,661,732 0 1,661,732 0 0 0 0 0 0 0 0 0 0

Foreign official 18,871 2 18,844 1 3 8 2 2 1 0 0 0 6

Other7 217,757 37 106,179 0 37 549 80 109,853 4 57 37 914 11

Earnings remittances due to the U.S.

Treasury8 1,806 33 994 38 41 77 139 101 27 15 28 94 219

Treasury contributions to credit facilities9 114,000 39,000 75,000 0 0 0 0 0 0 0 0 0 0

Other liabilities and accrued

dividends 7,242 376 2,521 240 282 676 571 453 194 644 227 355 703

Total liabilities 7,054,053 151,330 4,155,691 128,987 251,438 410,125 402,282 368,663 85,841 55,106 88,610 280,935 675,044

Capital

Capital paid in 32,283 1,507 10,875 1,162 2,722 6,738 1,461 1,266 602 275 349 580 4,746

Surplus 6,825 324 2,294 246 583 1,441 338 265 112 53 72 81 1,016

Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0

Total liabilities and capital 7,093,161 153,162 4,168,860 130,395 254,743 418,304 404,082 370,194 86,555 55,434 89,031 281,596 680,805

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, September 23, 2020 (continued)

1. Securities include outright holdings of U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, including securities lent to dealers under the overnight securities

lending facility; refer to table 1A. Mortgage-backed securities are guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Unamortized premiums and discounts are the differences between the

purchase price and the face value of the securities that have not been amortized. For U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, amortization is on

an effective-interest basis. Repurchase agreements reflect the cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. Loans includes primary,

secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, Paycheck Protection Program Liquidity Facility, and

other credit extensions.

2. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on consolidation below.

3. 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.

4. Revalued daily at current foreign currency exchange rates.

5. Includes items in process of collection, bank premises, accrued interest (which represents the daily accumulation of interest earned), and other accounts receivable. Also includes Net portfolio

holdings of Maiden Lane LLC; refer to the note on consolidation for additional information.

6. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities.

7. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by

depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. 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.

8. 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 $6.825 billion surplus.

9. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion, MS Facilities LLC of $37.5 billion, and

Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money Market Mutual Fund Liquidity Facility of $1.5 billion.

 

Note on consolidation:

The Federal Reserve Bank of New York (FRBNY) and the Federal Reserve Bank of Boston (FRBB) have extended loans to limited liability companies under the authority of section 13(3) of the Federal

Reserve Act. On April 14, 2020, FRBNY began extending loans to the Commercial Paper Funding Facility II LLC (CPFF II LLC), a limited liability company formed to purchase three-month U.S dollardenominated commercial paper by eligible issuers. The assets of the CPFF II LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the

FRBNY. On May 12, 2020, FRBNY began extending loans to the Corporate Credit Facilities LLC (CCF LLC), a limited liability company formed to purchase eligible bonds or portions of syndicated loans

or bonds at issuance through the Primary Market Corporate Credit Facility and to purchase eligible individual corporate bonds and exchange-traded funds through the Secondary Market Corporate

Credit Facility. The assets of the CCF LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On June 5, 2020, FRBNY began

extending loans to the Municipal Liquidity Facility LLC (MLF LLC), a limited liability company formed to purchase municipal notes from eligible issuers. The assets of the MLF LLC and the amount

provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On June 25, 2020, FRBNY began extending loans to the TALF II LLC, a special purpose

vehicle that was formed to help support the flow of credit to consumers and businesses. The assets of the TALF II LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are

used to secure the loan from the FRBNY. On July 15, 2020, the FRBB began extending loans to the MS Facilities LLC (Main Street Lending Program), a special purpose vehicle that was formed to help

ensure credit flows to small and medium-sized businesses and to eligible nonprofits. The assets of the MS Facilities LLC and the amount provided by U.S. Treasury as credit protection to the FRBB are

used to secure the loan from the FRBB.

The FRBNY is the managing member of CPFF II LLC, CCF LLC, MLF LLC, and TALF II LLC. The FRBB is the managing member of MS Facilities LLC (Main Street Lending Program). Consistent with

generally accepted accounting principles, the assets and liabilities of each LLC have been accounted for and consolidated with the assets and liabilities of the FRBNY or FRBB, in the preparation of the

statements of condition shown on this release. As a consequence of the consolidation, the loan from the Reserve Bank to the LLC is eliminated as are any balances held at the FRBNY for LLCs

consolidated to FRBNY or FRBB for LLCs consolidated to FRBB. Treasury contributions to credit facilities are held at FRBNY until invested. Net assets of the LLC appears as assets on table 6 (and in

table 1 and table 5), and the liabilities of the LLC to entities other than the FRBNY or FRBB, including those with recourse only to the portfolio holdings of the LLC, are included in other liabilities in this

table (and table 1 and table 5). The amount provided by U.S. Treasury as credit protection to FRBNY and FRBB appears as liabilities on table 6 (and in table 1 and table 5).
H.4.1

7. Collateral Held against Federal Reserve Notes: Federal Reserve Agents’ Accounts

Millions of dollars

Wednesday Federal Reserve notes and collateral Sep 23, 2020

Federal Reserve notes outstanding 2,131,210

Less: Notes held by F.R. Banks not subject to collateralization 151,003

Federal Reserve notes to be collateralized 1,980,207

Collateral held against Federal Reserve notes 1,980,207

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,963,970

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,458,738

Less: Face value of securities under reverse repurchase agreements 194,569

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,264,169

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.