FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks August 27, 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

Aug 26, 2020 Aug 19, 2020 Aug 28, 2019

Wednesday

Aug 26, 2020

Reserve Bank credit 6,975,315 + 10,010 +3,251,504 6,950,725

Securities held outright1 6,333,328 + 22,660 +2,743,781 6,310,134

U.S. Treasury securities 4,353,236 + 23,929 +2,261,967 4,358,559

Bills2 326,044 0 + 323,043 326,044

Notes and bonds, nominal2 3,712,988 + 22,249 +1,765,045 3,718,169

Notes and bonds, inflation-indexed2 276,906 + 1,199 + 160,361 276,906

Inflation compensation3 37,298 + 481 + 13,519 37,440

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

Mortgage-backed securities4 1,977,745 - 1,270 + 481,814 1,949,228

Unamortized premiums on securities held outright5 326,606 + 1,336 + 198,617 326,070

Unamortized discounts on securities held outright5 -5,007 - 79 + 7,996 -4,989

Repurchase agreements6 0 0 0 0

Foreign official 0 0 0 0

Others 0 0 0 0

Loans 81,563 - 934 + 81,423 81,105

Primary credit 2,642 - 17 + 2,607 2,704

Secondary credit 0 0 0 0

Seasonal credit 40 - 1 - 65 38

Primary Dealer Credit Facility 532 - 161 + 532 243

Money Market Mutual Fund Liquidity Facility 10,427 - 775 + 10,427 9,961

Paycheck Protection Program Liquidity Facility 67,921 + 18 + 67,921 68,158

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 8,588 - 13 + 8,588 8,588

Net portfolio holdings of Corporate Credit Facilities LLC7 44,542 + 76 + 44,542 44,604

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 38,198 + 309 + 38,198 38,371

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,153 + 65 + 16,153 16,541

Net portfolio holdings of TALF II LLC7 10,771 + 1 + 10,771 10,771

Float -205 0 - 32 -326

Central bank liquidity swaps8 92,140 - 3,682 + 92,071 92,140

Other Federal Reserve assets9 28,639 - 9,728 + 9,396 27,717

Foreign currency denominated assets10 21,595 - 44 + 678 21,594

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,396 + 14 + 430 50,396

Total factors supplying reserve funds 7,063,547 + 9,980 +3,252,612 7,038,955

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

Aug 26, 2020 Aug 19, 2020 Aug 28, 2019

Wednesday

Aug 26, 2020

Currency in circulation11 2,011,088 + 3,547 + 259,533 2,013,961

Reverse repurchase agreements12 213,256 - 1,321 - 75,607 213,075

Foreign official and international accounts 213,232 - 1,303 - 68,312 213,066

Others 24 - 18 - 7,295 9

Treasury cash holdings 60 + 4 - 100 62

Deposits with F.R. Banks, other than reserve balances 1,861,199 + 22,663 +1,634,525 1,776,806

Term deposits held by depository institutions 0 0 - 1,668 0

U.S. Treasury, General Account 1,622,690 - 20,815 +1,476,733 1,607,449

Foreign official 16,612 + 9 + 11,356 16,614

Other13 221,898 + 43,470 + 148,105 152,743

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

Other liabilities and capital15 48,149 - 3,022 + 3,146 45,653

Total factors, other than reserve balances,

absorbing reserve funds 4,247,753 + 21,871 +1,935,498 4,163,557

Reserve balances with Federal Reserve Banks 2,815,794 - 11,891 +1,317,114 2,875,399

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

Aug 26, 2020 Aug 19, 2020 Aug 28, 2019

Wednesday

Aug 26, 2020

Securities held in custody for foreign official and international

accounts 3,413,328 - 4,082 - 62,031 3,403,165

Marketable U.S. Treasury securities1 2,972,168 + 524 - 62,101 2,964,989

Federal agency debt and mortgage-backed securities2 355,165 - 4,763 - 4,844 352,433

Other securities3 85,995 + 157 + 4,913 85,743

Securities lent to dealers 26,410 - 953 - 350 29,164

Overnight facility4 26,410 - 953 - 350 29,164

U.S. Treasury securities 26,410 - 953 - 350 29,164

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, August 26, 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 3,254 4,493 5,200 68,158 0 ... 81,105

U.S. Treasury securities2

Holdings 64,117 237,185 663,816 1,648,650 771,901 972,889 4,358,559

Weekly changes + 1,311 - 610 - 670 + 1,092 + 9,280 + 2,611 + 13,015

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 4 2,166 75,971 1,871,086 1,949,228

Weekly changes 0 0 - 1 - 101 - 1,505 - 27,063 - 28,669

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 0 855 ... ... 855

Municipal notes held by Municipal

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

Loans held by TALF II LLC8 0 1 0 2,255 ... ... 2,256

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

Central bank liquidity swaps10 24,171 67,969 0 0 0 0 92,140

Reverse repurchase agreements9 213,075 0 ... ... ... ... 213,075

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 Aug 26, 2020

Mortgage-backed securities held outright1 1,949,228

Residential mortgage-backed securities 1,939,919

Commercial mortgage-backed securities 9,309

Commitments to buy mortgage-backed securities2 113,037

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 18

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 Aug 26, 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 12,413 12,617 31,986 44,604

MS Facilities LLC (Main Street Lending Program) 855 855 37,515 38,371

Municipal Liquidity Facility LLC 1,651 1,651 14,890 16,541

TALF II LLC 2,266 2,256 8,515 10,771

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

Aug 26, 2020 Aug 19, 2020 Aug 28, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,490 - 6 - 232

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,712,320 - 16,489 +3,010,246

Securities held outright1 6,310,134 - 15,654 +2,723,052

U.S. Treasury securities 4,358,559 + 13,015 +2,263,429

Bills2 326,044 0 + 323,043

Notes and bonds, nominal2 3,718,169 + 11,334 +1,766,367

Notes and bonds, inflation-indexed2 276,906 + 1,199 + 160,361

Inflation compensation3 37,440 + 482 + 13,658

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,949,228 - 28,669 + 459,623

Unamortized premiums on securities held outright5 326,070 + 176 + 198,265

Unamortized discounts on securities held outright5 -4,989 + 74 + 7,934

Repurchase agreements6 0 0 0

Loans7 81,105 - 1,085 + 80,995

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,588 0 + 8,588

Net portfolio holdings of Corporate Credit Facilities LLC8 44,604 + 124 + 44,604

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 38,371 + 388 + 38,371

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,541 + 452 + 16,541

Net portfolio holdings of TALF II LLC8 10,771 0 + 10,771

Items in process of collection (0) 45 - 1 - 4

Bank premises 2,197 0 + 6

Central bank liquidity swaps9 92,140 - 3,640 + 92,071

Foreign currency denominated assets10 21,594 - 128 + 726

Other assets11 25,521 - 919 + 8,785

Total assets (0) 6,990,418 - 20,219 +3,230,472

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

Aug 26, 2020 Aug 19, 2020 Aug 28, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,965,113 + 4,305 + 258,318

Reverse repurchase agreements12 213,075 + 1,733 - 73,645

Deposits (0) 4,652,207 - 23,952 +2,931,062

Term deposits held by depository institutions 0 0 - 1,668

Other deposits held by depository institutions 2,875,400 + 53,547 +1,371,156

U.S. Treasury, General Account 1,607,449 - 28,944 +1,457,303

Foreign official 16,614 + 4 + 11,357

Other13 (0) 152,743 - 48,561 + 92,912

Deferred availability cash items (0) 371 + 80 + 3

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

Other liabilities and accrued dividends15 6,722 - 2,438 + 1,103

Total liabilities (0) 6,951,487 - 20,273 +3,230,840

Capital accounts

Capital paid in 32,106 + 54 - 368

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 38,931 + 54 - 368

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, August 26, 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 1,490 32 34 124 87 210 136 244 29 43 96 163 291

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,712,320 161,097 3,446,143 157,409 209,589 421,049 492,887 374,320 106,660 69,504 111,490 322,729 839,443

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 44,604 0 44,604 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 38,371 38,371 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,541 0 16,541 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 10,771 0 10,771 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 92,140 4,374 30,965 3,316 7,874 19,448 4,570 3,578 1,510 721 972 1,094 13,719

Foreign currency denominated

assets4 21,594 1,025 7,258 777 1,845 4,557 1,071 838 354 169 228 256 3,215

Other assets5 27,763 2,233 11,570 688 918 1,996 2,089 1,571 707 380 719 1,561 3,329

Interdistrict settlement account 0 - 54,134 + 421,749 - 21,147 + 28,206 + 6,107 - 106,115 - 4,217 - 21,805 - 14,040 - 24,848 - 35,769 - 173,987

Total assets 6,990,418 153,530 4,003,707 141,696 249,280 454,532 396,821 377,472 87,934 57,047 89,107 291,237 688,054

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, August 26, 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 1,965,113 61,383 659,996 56,550 93,501 125,901 274,818 127,090 59,593 33,033 53,923 165,589 253,736

Reverse repurchase agreements6 213,075 4,785 110,321 4,861 6,666 13,354 15,703 11,901 3,367 2,014 3,388 10,269 26,445

Deposits 4,652,207 46,170 3,142,885 78,635 145,529 306,421 103,932 236,496 24,068 21,161 31,149 114,363 401,399

Depository institutions 2,875,400 46,146 1,479,024 78,634 145,499 305,371 103,904 126,197 24,063 21,095 31,107 112,978 401,382

U.S. Treasury, General Account 1,607,449 0 1,607,449 0 0 0 0 0 0 0 0 0 0

Foreign official 16,614 2 16,588 1 3 8 2 2 1 0 0 0 6

Other7 152,743 22 39,824 0 27 1,041 26 110,297 4 65 41 1,385 11

Earnings remittances due to the U.S.

Treasury8 364 5 202 9 11 8 26 20 6 1 4 23 48

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 6,728 357 2,291 234 271 662 545 437 189 512 225 341 665

Total liabilities 6,951,487 151,700 3,990,695 140,289 245,979 446,346 395,024 375,944 87,222 56,721 88,689 290,585 682,292

Capital

Capital paid in 32,106 1,506 10,719 1,161 2,718 6,746 1,459 1,263 599 273 345 571 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 6,990,418 153,530 4,003,707 141,696 249,280 454,532 396,821 377,472 87,934 57,047 89,107 291,237 688,054

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, August 26, 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 Aug 26, 2020

Federal Reserve notes outstanding 2,114,863

Less: Notes held by F.R. Banks not subject to collateralization 149,751

Federal Reserve notes to be collateralized 1,965,113

Collateral held against Federal Reserve notes 1,965,113

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,948,876

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,310,134

Less: Face value of securities under reverse repurchase agreements 200,984

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,109,151

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.