FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks August 6, 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 5, 2020 Jul 29, 2020 Aug 7, 2019

Wednesday

Aug 5, 2020

Reserve Bank credit 6,902,265 - 14,277 +3,160,726 6,905,429

Securities held outright1 6,234,900 + 1,510 +2,640,074 6,241,464

U.S. Treasury securities 4,299,097 + 23,021 +2,218,394 4,305,651

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

Notes and bonds, nominal2 3,665,386 + 21,381 +1,724,990 3,670,435

Notes and bonds, inflation-indexed2 272,049 + 1,535 + 155,504 273,306

Inflation compensation3 35,618 + 105 + 11,857 35,866

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

Mortgage-backed securities4 1,933,456 - 21,511 + 421,681 1,933,466

Unamortized premiums on securities held outright5 321,342 + 682 + 192,225 321,669

Unamortized discounts on securities held outright5 -4,995 + 65 + 7,750 -4,948

Repurchase agreements6 0 0 0 0

Foreign official 0 0 0 0

Others 0 0 0 0

Loans 87,812 - 4,260 + 87,705 84,076

Primary credit 3,529 - 618 + 3,528 2,809

Secondary credit 0 0 0 0

Seasonal credit 34 0 - 73 32

Primary Dealer Credit Facility 1,191 - 639 + 1,191 1,163

Money Market Mutual Fund Liquidity Facility 13,133 - 2,767 + 13,133 12,253

Paycheck Protection Program Liquidity Facility 69,923 - 192 + 69,923 67,820

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 8,861 - 928 + 8,861 8,646

Net portfolio holdings of Corporate Credit Facilities LLC7 44,280 + 110 + 44,280 44,351

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 37,594 + 66 + 37,594 37,601

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,086 + 1 + 16,086 16,087

Net portfolio holdings of TALF II LLC7 10,123 + 684 + 10,123 10,123

Float -420 - 149 - 268 -233

Central bank liquidity swaps8 106,966 - 11,075 + 106,939 105,663

Other Federal Reserve assets9 39,715 - 984 + 9,357 40,930

Foreign currency denominated assets10 21,677 + 179 + 789 21,746

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,454 + 14 + 496 50,454

Total factors supplying reserve funds 6,990,636 - 14,084 +3,162,010 6,993,870

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 5, 2020 Jul 29, 2020 Aug 7, 2019

Wednesday

Aug 5, 2020

Currency in circulation11 1,996,781 + 8,442 + 248,733 2,000,875

Reverse repurchase agreements12 219,785 + 3,505 - 79,271 212,448

Foreign official and international accounts 219,676 + 3,396 - 75,586 212,448

Others 109 + 109 - 3,685 0

Treasury cash holdings 48 + 1 - 127 45

Deposits with F.R. Banks, other than reserve balances 1,898,742 - 123,921 +1,701,035 1,864,150

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,745,228 - 71,459 +1,613,524 1,706,637

Foreign official 16,228 + 4 + 10,972 16,228

Other13 137,286 - 52,466 + 76,538 141,284

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

Other liabilities and capital15 47,993 - 125 + 3,597 48,821

Total factors, other than reserve balances,

absorbing reserve funds 4,277,350 - 112,098 +1,987,968 4,240,339

Reserve balances with Federal Reserve Banks 2,713,287 + 98,015 +1,174,043 2,753,531

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 5, 2020 Jul 29, 2020 Aug 7, 2019

Wednesday

Aug 5, 2020

Securities held in custody for foreign official and international

accounts 3,408,559 + 1,166 - 65,028 3,413,358

Marketable U.S. Treasury securities1 2,963,193 + 2,510 - 72,019 2,967,847

Federal agency debt and mortgage-backed securities2 359,204 - 2,150 + 1,719 359,356

Other securities3 86,162 + 806 + 5,272 86,155

Securities lent to dealers 28,081 + 3,326 + 1,989 28,997

Overnight facility4 28,081 + 3,326 + 1,989 28,997

U.S. Treasury securities 28,081 + 3,326 + 1,989 28,997

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 5, 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 2,510 8,243 5,504 67,820 0 ... 84,076

U.S. Treasury securities2

Holdings 119,829 208,908 642,929 1,639,244 745,463 949,280 4,305,651

Weekly changes + 44,814 - 47,562 - 1,091 + 12,026 - 693 + 4,596 + 12,088

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 2,266 77,962 1,853,233 1,933,466

Weekly changes 0 0 + 1 + 18 + 274 - 206 + 86

Commercial paper held by Commercial

Paper Funding Facility II LLC5 56 30 0 ... ... ... 86

Loan participations held by MS

Facilities LLC (Main Street Lending

Program)6 0 0 0 95 ... ... 95

Municipal notes held by Municipal

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

Loans held by TALF II LLC8 0 6 0 1,613 ... ... 1,619

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

Central bank liquidity swaps10 16,680 88,983 0 0 0 0 105,663

Reverse repurchase agreements9 212,448 0 ... ... ... ... 212,448

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 5, 2020

Mortgage-backed securities held outright1 1,933,466

Residential mortgage-backed securities 1,924,219

Commercial mortgage-backed securities 9,247

Commitments to buy mortgage-backed securities2 131,305

Commitments to sell mortgage-backed securities2 6,000

Cash and cash equivalents3 12

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 5, 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 86 86 8,561 8,646

Corporate Credit Facilities LLC 12,088 12,374 31,977 44,351

MS Facilities LLC (Main Street Lending Program) 95 95 37,506 37,601

Municipal Liquidity Facility LLC 1,200 1,200 14,887 16,087

TALF II LLC 1,619 1,619 8,504 10,123

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 5, 2020 Jul 29, 2020 Aug 7, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,533 + 11 - 166

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,642,261 + 6,745 +2,930,981

Securities held outright1 6,241,464 + 12,173 +2,646,636

U.S. Treasury securities 4,305,651 + 12,088 +2,224,947

Bills2 326,044 0 + 326,044

Notes and bonds, nominal2 3,670,435 + 8,943 +1,730,039

Notes and bonds, inflation-indexed2 273,306 + 2,792 + 156,761

Inflation compensation3 35,866 + 353 + 12,103

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,933,466 + 86 + 421,689

Unamortized premiums on securities held outright5 321,669 + 963 + 192,584

Unamortized discounts on securities held outright5 -4,948 + 56 + 7,787

Repurchase agreements6 0 0 0

Loans7 84,076 - 6,447 + 83,974

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,646 - 254 + 8,646

Net portfolio holdings of Corporate Credit Facilities LLC8 44,351 + 141 + 44,351

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 37,601 + 13 + 37,601

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,087 + 1 + 16,087

Net portfolio holdings of TALF II LLC8 10,123 + 684 + 10,123

Items in process of collection (0) 59 + 2 + 1

Bank premises 2,192 - 8 + 7

Central bank liquidity swaps9 105,663 - 11,810 + 105,633

Foreign currency denominated assets10 21,746 + 105 + 692

Other assets11 38,738 + 575 + 9,738

Total assets (0) 6,945,237 - 3,795 +3,163,694

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 5, 2020 Jul 29, 2020 Aug 7, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,951,995 + 8,016 + 250,861

Reverse repurchase agreements12 212,448 - 4,605 - 71,686

Deposits (0) 4,617,681 - 8,398 +2,866,150

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,753,531 + 68,155 +1,201,910

U.S. Treasury, General Account 1,706,637 - 85,797 +1,573,560

Foreign official 16,228 + 4 + 10,973

Other13 (0) 141,284 + 9,239 + 79,707

Deferred availability cash items (0) 292 - 697 + 70

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

Other liabilities and accrued dividends15 9,946 + 1,805 + 4,664

Total liabilities (0) 6,906,362 - 3,879 +3,164,059

Capital accounts

Capital paid in 32,051 + 85 - 364

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 38,876 + 85 - 364

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 5, 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 1,533 35 38 122 89 216 157 246 33 44 95 168 291

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,642,261 161,837 3,409,077 156,037 207,193 416,990 487,486 370,148 105,398 68,308 110,750 319,153 829,883

Net portfolio holdings of Commercial

Paper Funding Facility II LLC2 8,646 0 8,646 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Corporate

Credit Facilities LLC2 44,351 0 44,351 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 37,601 37,601 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,087 0 16,087 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of TALF II LLC2 10,123 0 10,123 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 105,663 5,015 35,510 3,802 9,029 22,302 5,241 4,103 1,732 827 1,114 1,254 15,732

Foreign currency denominated

assets4 21,746 1,032 7,310 782 1,858 4,589 1,078 844 356 170 229 258 3,237

Other assets5 40,989 2,537 18,494 988 1,348 2,847 3,091 2,319 819 528 946 2,092 4,981

Interdistrict settlement account 0 - 43,113 + 456,561 - 19,028 + 18,646 - 35,953 - 107,186 - 25,297 - 23,486 - 15,809 - 24,272 - 35,879 - 145,184

Total assets 6,945,237 165,478 4,011,679 143,233 238,923 412,157 392,050 353,500 85,331 54,338 89,313 288,248 710,986

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 5, 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 1,951,995 59,405 656,794 57,429 91,739 125,055 272,236 126,205 58,772 31,658 52,917 164,599 255,186

Reverse repurchase agreements6 212,448 4,771 109,997 4,847 6,647 13,315 15,657 11,866 3,357 2,008 3,378 10,239 26,367

Deposits 4,617,681 60,071 3,152,036 79,273 136,893 264,827 101,669 213,351 22,256 19,916 32,351 112,312 422,725

Depository institutions 2,753,531 60,048 1,385,764 79,271 136,857 264,457 101,625 117,438 22,251 19,859 32,323 110,920 422,719

U.S. Treasury, General Account 1,706,637 0 1,706,637 0 0 0 0 0 0 0 0 0 0

Foreign official 16,228 2 16,202 1 3 8 2 2 1 0 0 0 6

Other7 141,284 21 43,433 0 33 362 42 95,912 4 56 27 1,392 1

Earnings remittances due to the U.S.

Treasury8 2,449 54 1,273 56 81 125 187 138 47 27 40 113 308

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

Other liabilities and accrued

dividends 7,789 347 3,571 222 262 647 546 418 190 404 210 333 637

Total liabilities 6,906,362 163,648 3,998,672 141,826 235,622 403,971 390,295 351,978 84,621 54,012 88,897 287,596 705,223

Capital

Capital paid in 32,051 1,506 10,714 1,161 2,718 6,745 1,417 1,257 599 272 344 571 4,747

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 6,945,237 165,478 4,011,679 143,233 238,923 412,157 392,050 353,500 85,331 54,338 89,313 288,248 710,986

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 5, 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 5, 2020

Federal Reserve notes outstanding 2,100,802

Less: Notes held by F.R. Banks not subject to collateralization 148,807

Federal Reserve notes to be collateralized 1,951,995

Collateral held against Federal Reserve notes 1,951,995

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,935,758

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,241,464

Less: Face value of securities under reverse repurchase agreements 200,070

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,041,394

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.