FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks September 10, 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 9, 2020 Sep 2, 2020 Sep 11, 2019

Wednesday

Sep 9, 2020

Reserve Bank credit 6,968,229 + 6,595 +3,241,619 6,970,989

Securities held outright1 6,343,399 + 20,656 +2,753,291 6,345,567

U.S. Treasury securities 4,391,505 + 20,343 +2,293,349 4,393,621

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

Notes and bonds, nominal2 3,745,962 + 18,320 +1,791,759 3,747,962

Notes and bonds, inflation-indexed2 281,116 + 1,549 + 164,114 281,116

Inflation compensation3 38,384 + 476 + 14,434 38,499

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

Mortgage-backed securities4 1,949,547 + 313 + 459,942 1,949,599

Unamortized premiums on securities held outright5 328,139 + 1,467 + 200,200 328,660

Unamortized discounts on securities held outright5 -4,968 + 11 + 7,850 -4,958

Repurchase agreements6 0 0 0 2

Foreign official 0 0 0 2

Others 0 0 0 0

Loans 79,471 - 1,397 + 79,383 78,362

Primary credit 2,838 + 104 + 2,837 2,710

Secondary credit 0 0 0 0

Seasonal credit 34 + 1 - 53 31

Primary Dealer Credit Facility 243 0 + 243 243

Money Market Mutual Fund Liquidity Facility 8,625 - 1,024 + 8,625 7,889

Paycheck Protection Program Liquidity Facility 67,732 - 476 + 67,732 67,489

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 44,797 + 128 + 44,797 44,790

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 38,835 + 279 + 38,835 38,899

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,542 + 1 + 16,542 16,543

Net portfolio holdings of TALF II LLC7 11,146 + 50 + 11,146 11,147

Float -175 + 495 - 6 -261

Central bank liquidity swaps8 72,069 - 16,941 + 72,029 72,069

Other Federal Reserve assets9 30,386 + 1,846 + 8,964 31,582

Foreign currency denominated assets10 21,587 - 143 + 872 21,582

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 + 421 50,396

Total factors supplying reserve funds 7,056,454 + 6,467 +3,242,913 7,059,208

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 9, 2020 Sep 2, 2020 Sep 11, 2019

Wednesday

Sep 9, 2020

Currency in circulation11 2,027,076 + 10,098 + 260,839 2,030,151

Reverse repurchase agreements12 207,908 - 5,017 - 84,066 203,965

Foreign official and international accounts 207,908 - 5,012 - 82,106 203,964

Others 0 - 5 - 1,960 1

Treasury cash holdings 51 - 9 - 112 51

Deposits with F.R. Banks, other than reserve balances 1,799,059 - 7,396 +1,545,957 1,754,381

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,611,083 - 28,076 +1,425,741 1,570,533

Foreign official 16,752 + 137 + 11,496 16,774

Other13 171,224 + 20,544 + 108,720 167,073

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

Other liabilities and capital15 50,896 + 3,243 + 5,627 49,807

Total factors, other than reserve balances,

absorbing reserve funds 4,198,991 + 920 +1,842,246 4,152,355

Reserve balances with Federal Reserve Banks 2,857,463 + 5,547 +1,400,667 2,906,853

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 9, 2020 Sep 2, 2020 Sep 11, 2019

Wednesday

Sep 9, 2020

Securities held in custody for foreign official and international

accounts 3,398,573 - 2,765 - 54,488 3,390,830

Marketable U.S. Treasury securities1 2,958,497 - 3,225 - 53,197 2,950,918

Federal agency debt and mortgage-backed securities2 353,346 + 393 - 6,589 353,421

Other securities3 86,729 + 66 + 5,297 86,491

Securities lent to dealers 29,034 + 551 - 4,850 31,055

Overnight facility4 29,034 + 551 - 4,850 31,055

U.S. Treasury securities 29,034 + 551 - 4,850 31,055

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 9, 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 1,783 4,634 4,456 67,489 1 ... 78,362

U.S. Treasury securities2

Holdings 42,916 279,463 656,032 1,662,166 770,951 982,093 4,393,621

Weekly changes - 8,776 + 16,461 - 7,656 + 87 + 4,018 + 2,850 + 6,984

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 79,456 1,867,958 1,949,599

Weekly changes 0 0 0 0 + 3,498 - 3,136 + 363

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 1,380 ... ... 1,380

Municipal notes held by Municipal

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

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

Repurchase agreements9 2 0 ... ... ... ... 2

Central bank liquidity swaps10 44,879 27,190 0 0 0 0 72,069

Reverse repurchase agreements9 203,965 0 ... ... ... ... 203,965

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 9, 2020

Mortgage-backed securities held outright1 1,949,599

Residential mortgage-backed securities 1,940,285

Commercial mortgage-backed securities 9,313

Commitments to buy mortgage-backed securities2 167,125

Commitments to sell mortgage-backed securities2 8,000

Cash and cash equivalents3 373

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 9, 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 12,598 12,771 32,018 44,790

MS Facilities LLC (Main Street Lending Program) 1,379 1,380 37,519 38,899

Municipal Liquidity Facility LLC 1,651 1,651 14,893 16,543

TALF II LLC 2,639 2,639 8,508 11,147

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 9, 2020 Sep 2, 2020 Sep 11, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,469 - 8 - 237

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,747,633 + 6,459 +3,038,858

Securities held outright1 6,345,567 + 7,348 +2,752,446

U.S. Treasury securities 4,393,621 + 6,984 +2,292,452

Bills2 326,044 0 + 323,043

Notes and bonds, nominal2 3,747,962 + 5,333 +1,792,159

Notes and bonds, inflation-indexed2 281,116 + 1,201 + 162,970

Inflation compensation3 38,499 + 450 + 14,280

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,949,599 + 363 + 459,994

Unamortized premiums on securities held outright5 328,660 + 1,180 + 200,349

Unamortized discounts on securities held outright5 -4,958 + 29 + 7,781

Repurchase agreements6 2 + 2 + 2

Loans7 78,362 - 2,100 + 78,279

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,588 0 + 8,588

Net portfolio holdings of Corporate Credit Facilities LLC8 44,790 + 34 + 44,790

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 38,899 + 212 + 38,899

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,543 + 1 + 16,543

Net portfolio holdings of TALF II LLC8 11,147 + 1 + 11,147

Items in process of collection (0) 74 + 19 + 29

Bank premises 2,190 0 + 6

Central bank liquidity swaps9 72,069 - 16,898 + 72,029

Foreign currency denominated assets10 21,582 - 132 + 959

Other assets11 29,393 + 3,434 + 9,331

Total assets (0) 7,010,614 - 6,878 +3,240,941

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 9, 2020 Sep 2, 2020 Sep 11, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,981,271 + 8,319 + 264,099

Reverse repurchase agreements12 203,965 - 8,699 - 90,285

Deposits (0) 4,661,235 - 6,881 +2,948,250

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,906,854 + 56,254 +1,448,187

U.S. Treasury, General Account 1,570,533 - 81,290 +1,386,952

Foreign official 16,774 + 155 + 11,518

Other13 (0) 167,073 + 17,999 + 101,592

Deferred availability cash items (0) 336 - 524 + 149

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

Other liabilities and accrued dividends15 10,715 + 895 + 4,890

Total liabilities (0) 6,971,522 - 6,889 +3,241,105

Capital accounts

Capital paid in 32,267 + 11 - 164

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 39,092 + 11 - 164

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 9, 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 1,469 31 31 124 82 206 141 246 26 42 94 161 287

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,747,633 159,859 3,465,686 158,244 210,791 423,474 495,635 376,258 107,255 69,820 112,041 324,587 843,982

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 44,790 0 44,790 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 38,899 38,899 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,543 0 16,543 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 11,147 0 11,147 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 72,069 3,421 24,220 2,593 6,159 15,211 3,574 2,799 1,181 564 760 856 10,730

Foreign currency denominated

assets4 21,582 1,024 7,255 777 1,844 4,554 1,070 838 354 169 228 256 3,213

Other assets5 31,657 2,314 13,601 777 1,044 2,252 2,407 1,793 782 436 780 1,654 3,817

Interdistrict settlement account 0 - 25,903 + 339,278 - 24,393 + 43,245 + 4,723 - 97,021 - 7,589 - 20,898 - 13,280 - 22,060 - 38,019 - 138,084

Total assets 7,010,614 180,177 3,936,622 138,651 263,926 451,585 407,990 375,482 89,179 58,021 92,292 290,697 725,990

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 9, 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 1,981,271 61,607 662,767 56,387 94,107 129,080 278,082 127,878 59,750 33,188 54,774 167,014 256,636

Reverse repurchase agreements6 203,965 4,580 105,605 4,653 6,381 12,783 15,032 11,392 3,223 1,928 3,243 9,830 25,315

Deposits 4,661,235 72,736 3,074,715 75,914 159,784 300,715 112,303 234,097 25,255 22,121 33,596 112,726 437,273

Depository institutions 2,906,854 72,713 1,428,225 75,913 159,754 300,008 112,273 128,695 25,250 22,067 33,564 111,135 437,256

U.S. Treasury, General Account 1,570,533 0 1,570,533 0 0 0 0 0 0 0 0 0 0

Foreign official 16,774 2 16,748 1 3 8 2 2 1 0 0 0 6

Other7 167,073 21 59,209 0 26 699 28 105,400 4 54 32 1,591 11

Earnings remittances due to the U.S.

Treasury8 2,628 54 1,417 56 75 153 185 143 39 20 39 125 323

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 8,422 369 3,956 233 276 668 590 443 198 436 221 349 683

Total liabilities 6,971,522 178,346 3,923,460 137,244 260,624 443,399 406,191 373,953 88,465 57,694 91,873 290,045 720,229

Capital

Capital paid in 32,267 1,507 10,869 1,162 2,719 6,746 1,461 1,264 601 274 348 571 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 7,010,614 180,177 3,936,622 138,651 263,926 451,585 407,990 375,482 89,179 58,021 92,292 290,697 725,990

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 9, 2020 (continued)

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

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

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

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

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

other credit extensions.

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

3. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate

equals the market exchange rate used when the foreign currency was acquired from the foreign central bank.

4. Revalued daily at current foreign currency exchange rates.

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

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

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

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

depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury,

General Account, for services provided by the Reserve Banks as fiscal agents of the United States.

8. Represents the estimated weekly remittances due to U.S. Treasury. The amounts on this line represent the residual net earnings that the Federal Reserve Banks remit to the U.S. Treasury after

providing for the costs of operations, payment of dividends, and the amount necessary to maintain a $6.825 billion surplus.

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

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

 

Note on consolidation:

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

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

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

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

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

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

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

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

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

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

used to secure the loan from the FRBB.

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

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

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

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

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

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

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

Millions of dollars

Wednesday Federal Reserve notes and collateral Sep 9, 2020

Federal Reserve notes outstanding 2,123,285

Less: Notes held by F.R. Banks not subject to collateralization 142,014

Federal Reserve notes to be collateralized 1,981,271

Collateral held against Federal Reserve notes 1,981,271

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,965,034

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,345,569

Less: Face value of securities under reverse repurchase agreements 191,787

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,153,782

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.