FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks July 23, 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

Jul 22, 2020 Jul 15, 2020 Jul 24, 2019

Wednesday

Jul 22, 2020

Reserve Bank credit 6,912,159 + 30,956 +3,144,551 6,925,422

Securities held outright1 6,222,906 + 55,715 +2,601,737 6,238,825

U.S. Treasury securities 4,259,308 + 18,480 +2,165,282 4,265,878

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

Notes and bonds, nominal2 3,630,043 + 21,691 +1,675,672 3,636,425

Notes and bonds, inflation-indexed2 267,941 - 2,652 + 151,952 268,113

Inflation compensation3 35,280 - 559 + 11,616 35,296

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

Mortgage-backed securities4 1,961,251 + 37,235 + 436,455 1,970,600

Unamortized premiums on securities held outright5 319,083 + 2,596 + 189,102 320,498

Unamortized discounts on securities held outright5 -5,227 + 45 + 7,561 -5,161

Repurchase agreements6 0 0 0 0

Foreign official 0 0 0 0

Others 0 0 0 0

Loans 92,783 - 575 + 92,658 92,552

Primary credit 4,605 - 186 + 4,603 4,578

Secondary credit 0 0 0 0

Seasonal credit 28 + 6 - 94 31

Primary Dealer Credit Facility 1,873 + 45 + 1,873 1,899

Money Market Mutual Fund Liquidity Facility 17,952 - 752 + 17,952 17,541

Paycheck Protection Program Liquidity Facility 68,326 + 313 + 68,326 68,503

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 10,299 - 2,035 + 10,299 10,105

Net portfolio holdings of Corporate Credit Facilities LLC7 43,794 + 741 + 43,794 44,046

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 37,516 + 11 + 37,516 37,518

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,084 + 2 + 16,084 16,085

Net portfolio holdings of TALF II LLC7 9,439 + 588 + 9,439 9,439

Float -174 + 72 + 10 -255

Central bank liquidity swaps8 126,322 - 27,172 + 126,311 121,992

Other Federal Reserve assets9 39,333 + 966 + 10,038 39,778

Foreign currency denominated assets10 21,148 + 124 + 315 21,267

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,443 + 14 + 494 50,443

Total factors supplying reserve funds 6,999,991 + 31,093 +3,145,360 7,013,374

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

Jul 22, 2020 Jul 15, 2020 Jul 24, 2019

Wednesday

Jul 22, 2020

Currency in circulation11 1,983,035 + 4,369 + 237,804 1,985,894

Reverse repurchase agreements12 216,946 - 4,496 - 73,229 214,665

Foreign official and international accounts 216,945 - 4,496 - 59,431 214,665

Others 1 + 1 - 13,799 0

Treasury cash holdings 45 - 5 - 119 47

Deposits with F.R. Banks, other than reserve balances 2,005,027 + 178,336 +1,748,765 1,991,237

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,804,944 + 149,624 +1,611,582 1,777,180

Foreign official 16,231 - 1 + 10,975 16,224

Other13 183,852 + 28,714 + 126,208 197,833

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

Other liabilities and capital15 49,158 - 1,288 + 4,681 47,874

Total factors, other than reserve balances,

absorbing reserve funds 4,368,211 + 176,916 +2,031,902 4,353,716

Reserve balances with Federal Reserve Banks 2,631,780 - 145,823 +1,113,458 2,659,658

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

Jul 22, 2020 Jul 15, 2020 Jul 24, 2019

Wednesday

Jul 22, 2020

Securities held in custody for foreign official and international

accounts 3,402,313 - 2,809 - 58,619 3,403,643

Marketable U.S. Treasury securities1 2,952,275 + 433 - 77,627 2,955,384

Federal agency debt and mortgage-backed securities2 365,055 - 3,560 + 14,039 363,034

Other securities3 84,983 + 319 + 4,969 85,225

Securities lent to dealers 23,382 - 4,600 - 1,155 27,207

Overnight facility4 23,382 - 4,600 - 1,155 27,207

U.S. Treasury securities 23,382 - 4,600 - 1,155 27,207

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, July 22, 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 7,225 10,723 6,101 68,503 0 ... 92,552

U.S. Treasury securities2

Holdings 74,899 259,225 637,534 1,607,135 745,867 941,219 4,265,878

Weekly changes + 16,004 - 20,155 + 4,150 + 2,296 + 7,738 + 2,615 + 12,649

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 2,347 79,132 1,889,116 1,970,600

Weekly changes 0 0 0 + 54 + 170 + 21,988 + 22,212

Commercial paper held by Commercial

Paper Funding Facility II LLC5 1,459 86 0 ... ... ... 1,545

Loan participations held by MS

Facilities LLC (Main Street Lending

Program)6 0 0 0 14 ... ... 14

Municipal notes held by Municipal

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

Loans held by TALF II LLC8 0 0 0 937 ... ... 937

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

Central bank liquidity swaps10 28,173 93,819 0 0 0 0 121,992

Reverse repurchase agreements9 214,665 0 ... ... ... ... 214,665

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 Jul 22, 2020

Mortgage-backed securities held outright1 1,970,600

Residential mortgage-backed securities 1,961,421

Commercial mortgage-backed securities 9,179

Commitments to buy mortgage-backed securities2 75,115

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 36

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 Jul 22, 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 1,541 1,545 8,560 10,105

Corporate Credit Facilities LLC 11,791 12,100 31,947 44,046

MS Facilities LLC (Main Street Lending Program) 14 14 37,504 37,518

Municipal Liquidity Facility LLC 1,200 1,200 14,885 16,085

TALF II LLC 937 937 8,502 9,439

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

Jul 22, 2020 Jul 15, 2020 Jul 24, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,522 - 1 - 159

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,646,714 + 36,666 +2,911,656

Securities held outright1 6,238,825 + 34,860 +2,620,886

U.S. Treasury securities 4,265,878 + 12,649 +2,171,827

Bills2 326,044 0 + 326,042

Notes and bonds, nominal2 3,636,425 + 11,336 +1,682,054

Notes and bonds, inflation-indexed2 268,113 + 1,199 + 152,124

Inflation compensation3 35,296 + 114 + 11,607

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,970,600 + 22,212 + 449,058

Unamortized premiums on securities held outright5 320,498 + 2,541 + 190,731

Unamortized discounts on securities held outright5 -5,161 + 119 + 7,616

Repurchase agreements6 0 - 2 0

Loans7 92,552 - 852 + 92,423

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 10,105 - 554 + 10,105

Net portfolio holdings of Corporate Credit Facilities LLC8 44,046 + 623 + 44,046

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 37,518 + 3 + 37,518

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,085 + 1 + 16,085

Net portfolio holdings of TALF II LLC8 9,439 0 + 9,439

Items in process of collection (0) 52 - 1 - 56

Bank premises 2,199 + 1 + 10

Central bank liquidity swaps9 121,992 - 32,858 + 121,981

Foreign currency denominated assets10 21,267 + 173 + 515

Other assets11 37,579 + 2,098 + 10,179

Total assets (0) 6,964,755 + 6,151 +3,161,319

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

Jul 22, 2020 Jul 15, 2020 Jul 24, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,937,015 + 4,236 + 239,052

Reverse repurchase agreements12 214,665 - 9,564 - 67,731

Deposits (0) 4,650,895 + 12,926 +2,872,553

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,659,658 - 72,991 +1,134,318

U.S. Treasury, General Account 1,777,180 + 36,725 +1,598,953

Foreign official 16,224 - 8 + 10,969

Other13 (0) 197,833 + 49,200 + 128,313

Deferred availability cash items (0) 307 + 27 - 300

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

Other liabilities and accrued dividends15 9,113 - 1,473 + 4,212

Total liabilities (0) 6,925,994 + 6,151 +3,161,785

Capital accounts

Capital paid in 31,936 0 - 465

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 38,761 0 - 465

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, July 22, 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 1,522 34 41 121 88 211 157 246 29 44 93 169 288

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,646,714 167,104 3,411,452 156,096 207,034 416,696 487,379 370,042 105,594 66,572 110,688 318,858 829,199

Net portfolio holdings of Commercial

Paper Funding Facility II LLC2 10,105 0 10,105 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Corporate

Credit Facilities LLC2 44,046 0 44,046 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 37,518 37,518 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,085 0 16,085 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 9,439 0 9,439 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 121,992 5,791 40,997 4,390 10,425 25,749 6,050 4,737 2,000 955 1,287 1,448 18,163

Foreign currency denominated

assets4 21,267 1,009 7,149 765 1,817 4,488 1,055 826 349 167 224 252 3,166

Other assets5 39,830 2,522 17,875 961 1,306 2,776 2,998 2,251 778 498 922 2,112 4,831

Interdistrict settlement account 0 - 61,675 + 562,882 - 18,901 + 4,292 - 57,136 - 111,791 - 30,277 - 25,463 - 14,768 - 24,417 - 39,382 - 183,363

Total assets 6,964,755 152,835 4,125,554 143,961 225,723 393,949 388,031 348,962 83,766 53,738 89,247 284,660 674,329

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, July 22, 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 1,937,015 58,278 652,002 57,064 89,563 124,390 267,588 126,315 58,674 30,781 52,954 164,138 255,270

Reverse repurchase agreements6 214,665 4,821 111,144 4,898 6,716 13,454 15,820 11,990 3,392 2,029 3,414 10,346 26,642

Deposits 4,650,895 48,514 3,270,264 80,317 125,812 247,123 102,186 208,602 20,846 20,140 32,211 109,099 385,780

Depository institutions 2,659,658 48,471 1,364,757 80,316 125,777 246,376 102,141 125,704 20,843 20,085 32,175 107,241 385,773

U.S. Treasury, General Account 1,777,180 0 1,777,180 0 0 0 0 0 0 0 0 0 0

Foreign official 16,224 2 16,197 1 3 8 2 2 1 0 0 0 6

Other7 197,833 41 112,130 0 32 738 44 82,896 3 55 36 1,858 1

Earnings remittances due to the U.S.

Treasury8 1,874 49 929 45 62 148 138 103 34 13 34 85 234

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 7,545 343 3,208 230 271 648 546 437 185 449 218 342 667

Total liabilities 6,925,994 151,005 4,112,547 142,554 222,424 385,763 386,278 347,447 83,131 53,412 88,831 284,008 668,593

Capital

Capital paid in 31,936 1,506 10,714 1,161 2,715 6,745 1,414 1,250 523 272 344 571 4,719

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 6,964,755 152,835 4,125,554 143,961 225,723 393,949 388,031 348,962 83,766 53,738 89,247 284,660 674,329

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, July 22, 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. 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 Jul 22, 2020

Federal Reserve notes outstanding 2,090,415

Less: Notes held by F.R. Banks not subject to collateralization 153,400

Federal Reserve notes to be collateralized 1,937,015

Collateral held against Federal Reserve notes 1,937,015

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,920,778

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,238,825

Less: Face value of securities under reverse repurchase agreements 202,445

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,036,380

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.