FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks September 3, 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 2, 2020 Aug 26, 2020 Sep 4, 2019

Wednesday

Sep 2, 2020

Reserve Bank credit 6,961,634 - 13,681 +3,239,672 6,977,204

Securities held outright1 6,322,743 - 10,585 +2,735,651 6,338,219

U.S. Treasury securities 4,371,162 + 17,926 +2,276,022 4,386,637

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

Notes and bonds, nominal2 3,727,642 + 14,654 +1,775,840 3,742,629

Notes and bonds, inflation-indexed2 279,567 + 2,661 + 163,022 279,915

Inflation compensation3 37,908 + 610 + 14,116 38,049

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

Mortgage-backed securities4 1,949,234 - 28,511 + 459,629 1,949,236

Unamortized premiums on securities held outright5 326,672 + 66 + 198,985 327,480

Unamortized discounts on securities held outright5 -4,979 + 28 + 7,947 -4,987

Repurchase agreements6 0 0 0 0

Foreign official 0 0 0 0

Others 0 0 0 0

Loans 80,868 - 695 + 80,771 80,462

Primary credit 2,734 + 92 + 2,733 2,956

Secondary credit 0 0 0 0

Seasonal credit 33 - 7 - 64 32

Primary Dealer Credit Facility 243 - 289 + 243 243

Money Market Mutual Fund Liquidity Facility 9,649 - 778 + 9,649 9,141

Paycheck Protection Program Liquidity Facility 68,208 + 287 + 68,208 68,090

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 44,669 + 127 + 44,669 44,756

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 38,556 + 358 + 38,556 38,687

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,541 + 388 + 16,541 16,542

Net portfolio holdings of TALF II LLC7 11,096 + 325 + 11,096 11,146

Float -670 - 465 - 148 -805

Central bank liquidity swaps8 89,010 - 3,130 + 88,138 88,967

Other Federal Reserve assets9 28,540 - 99 + 8,879 28,148

Foreign currency denominated assets10 21,730 + 135 + 932 21,714

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,382 + 14 + 413 50,382

Total factors supplying reserve funds 7,049,987 - 13,532 +3,241,017 7,065,542

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 2, 2020 Aug 26, 2020 Sep 4, 2019

Wednesday

Sep 2, 2020

Currency in circulation11 2,016,978 + 5,918 + 256,325 2,021,810

Reverse repurchase agreements12 212,925 - 331 - 88,776 212,664

Foreign official and international accounts 212,920 - 312 - 81,404 212,650

Others 5 - 19 - 7,372 14

Treasury cash holdings 60 0 - 98 51

Deposits with F.R. Banks, other than reserve balances 1,806,455 - 54,744 +1,591,697 1,817,516

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,639,159 + 16,469 +1,490,419 1,651,823

Foreign official 16,615 + 3 + 11,345 16,619

Other13 150,680 - 71,218 + 89,931 149,074

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

Other liabilities and capital15 47,653 - 496 + 3,508 48,901

Total factors, other than reserve balances,

absorbing reserve funds 4,198,071 - 49,654 +1,876,656 4,214,942

Reserve balances with Federal Reserve Banks 2,851,916 + 36,122 +1,364,361 2,850,600

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 2, 2020 Aug 26, 2020 Sep 4, 2019

Wednesday

Sep 2, 2020

Securities held in custody for foreign official and international

accounts 3,401,338 - 11,990 - 49,673 3,394,582

Marketable U.S. Treasury securities1 2,961,722 - 10,446 - 48,660 2,954,611

Federal agency debt and mortgage-backed securities2 352,953 - 2,212 - 6,972 353,182

Other securities3 86,663 + 668 + 5,959 86,788

Securities lent to dealers 28,483 + 2,073 + 332 28,430

Overnight facility4 28,483 + 2,073 + 332 28,430

U.S. Treasury securities 28,483 + 2,073 + 332 28,430

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 2, 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 3,078 4,794 4,499 68,090 1 ... 80,462

U.S. Treasury securities2

Holdings 51,692 263,002 663,688 1,662,079 766,933 979,243 4,386,637

Weekly changes - 12,425 + 25,817 - 128 + 13,429 - 4,968 + 6,354 + 28,078

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 2,179 75,958 1,871,094 1,949,236

Weekly changes 0 0 + 1 + 13 - 13 + 8 + 8

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 1,172 ... ... 1,172

Municipal notes held by Municipal

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

Loans held by TALF II LLC8 0 2 0 2,637 ... ... 2,639

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

Central bank liquidity swaps10 56,068 32,899 0 0 0 0 88,967

Reverse repurchase agreements9 212,664 0 ... ... ... ... 212,664

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 2, 2020

Mortgage-backed securities held outright1 1,949,236

Residential mortgage-backed securities 1,939,922

Commercial mortgage-backed securities 9,313

Commitments to buy mortgage-backed securities2 137,798

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 1

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 2, 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 12,513 12,750 32,007 44,756

MS Facilities LLC (Main Street Lending Program) 1,172 1,172 37,516 38,687

Municipal Liquidity Facility LLC 1,651 1,651 14,891 16,542

TALF II LLC 2,639 2,639 8,507 11,146

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 2, 2020 Aug 26, 2020 Sep 4, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,477 - 13 - 225

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,741,174 + 28,854 +3,039,338

Securities held outright1 6,338,219 + 28,085 +2,751,103

U.S. Treasury securities 4,386,637 + 28,078 +2,291,473

Bills2 326,044 0 + 323,043

Notes and bonds, nominal2 3,742,629 + 24,460 +1,790,827

Notes and bonds, inflation-indexed2 279,915 + 3,009 + 163,370

Inflation compensation3 38,049 + 609 + 14,233

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,949,236 + 8 + 459,631

Unamortized premiums on securities held outright5 327,480 + 1,410 + 199,896

Unamortized discounts on securities held outright5 -4,987 + 2 + 7,970

Repurchase agreements6 0 0 0

Loans7 80,462 - 643 + 80,369

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,588 0 + 8,588

Net portfolio holdings of Corporate Credit Facilities LLC8 44,756 + 152 + 44,756

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 38,687 + 316 + 38,687

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,542 + 1 + 16,542

Net portfolio holdings of TALF II LLC8 11,146 + 375 + 11,146

Items in process of collection (0) 55 + 10 - 32

Bank premises 2,190 - 7 + 6

Central bank liquidity swaps9 88,967 - 3,173 + 88,095

Foreign currency denominated assets10 21,714 + 120 + 947

Other assets11 25,959 + 438 + 8,136

Total assets (0) 7,017,492 + 27,074 +3,255,984

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 2, 2020 Aug 26, 2020 Sep 4, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,972,952 + 7,839 + 255,371

Reverse repurchase agreements12 212,664 - 411 - 89,962

Deposits (0) 4,668,116 + 15,909 +2,971,662

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,850,600 - 24,800 +1,396,146

U.S. Treasury, General Account 1,651,823 + 44,374 +1,477,044

Foreign official 16,619 + 5 + 11,364

Other13 (0) 149,074 - 3,669 + 87,108

Deferred availability cash items (0) 860 + 489 + 260

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

Other liabilities and accrued dividends15 9,820 + 3,098 + 4,823

Total liabilities (0) 6,978,411 + 26,924 +3,256,153

Capital accounts

Capital paid in 32,256 + 150 - 169

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 39,081 + 150 - 169

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 2, 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 1,477 31 33 123 84 205 138 245 28 42 94 161 291

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,741,174 160,954 3,461,753 158,049 210,521 422,906 495,017 375,783 107,112 69,797 111,942 324,173 843,168

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 44,756 0 44,756 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 38,687 38,687 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,542 0 16,542 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 11,146 0 11,146 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 88,967 4,223 29,898 3,202 7,603 18,778 4,412 3,455 1,458 697 938 1,056 13,246

Foreign currency denominated

assets4 21,714 1,026 7,361 778 1,847 4,563 1,072 840 354 169 228 257 3,219

Other assets5 28,203 2,245 11,827 699 938 2,037 2,134 1,601 736 403 729 1,463 3,392

Interdistrict settlement account 0 - 49,893 + 401,496 - 21,947 + 37,126 - 20,051 - 101,910 - 6,457 - 21,313 - 12,933 - 22,590 - 43,309 - 138,217

Total assets 7,017,492 157,807 3,998,884 141,433 258,879 429,603 403,046 376,603 88,855 58,445 91,792 285,003 727,143

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 2, 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 1,972,952 61,436 661,327 56,612 93,776 127,756 276,341 127,352 59,767 33,133 54,306 165,992 255,155

Reverse repurchase agreements6 212,664 4,776 110,108 4,852 6,654 13,328 15,673 11,878 3,360 2,010 3,382 10,249 26,394

Deposits 4,668,116 50,362 3,134,637 78,288 154,810 279,520 108,516 235,296 24,790 21,971 33,353 107,666 438,908

Depository institutions 2,850,600 50,338 1,421,932 78,286 154,768 278,947 108,478 133,221 24,782 21,912 33,318 105,726 438,891

U.S. Treasury, General Account 1,651,823 0 1,651,823 0 0 0 0 0 0 0 0 0 0

Foreign official 16,619 2 16,592 1 3 8 2 2 1 0 0 0 6

Other7 149,074 21 44,289 0 39 565 35 102,073 7 59 35 1,939 11

Earnings remittances due to the U.S.

Treasury8 2,523 53 1,289 55 81 173 195 140 38 29 40 121 310

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 8,157 351 3,360 219 257 640 525 409 189 975 294 323 615

Total liabilities 6,978,411 155,977 3,985,721 140,026 255,578 421,417 401,249 375,075 88,143 58,118 91,374 284,351 721,382

Capital

Capital paid in 32,256 1,506 10,869 1,161 2,718 6,746 1,459 1,263 600 274 345 570 4,745

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 7,017,492 157,807 3,998,884 141,433 258,879 429,603 403,046 376,603 88,855 58,445 91,792 285,003 727,143

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 2, 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 Sep 2, 2020

Federal Reserve notes outstanding 2,119,492

Less: Notes held by F.R. Banks not subject to collateralization 146,540

Federal Reserve notes to be collateralized 1,972,952

Collateral held against Federal Reserve notes 1,972,952

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,956,715

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,338,219

Less: Face value of securities under reverse repurchase agreements 199,878

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,138,342

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.