FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks July 30, 2020

1. Factors Affecting Reserve Balances of Depository Institutions

Millions of dollars

Averages of daily figures

Change from week ended

Reserve Bank credit, related items, and

reserve balances of depository institutions at

Federal Reserve Banks

Week ended

Jul 29, 2020 Jul 22, 2020 Jul 31, 2019

Wednesday

Jul 29, 2020

Reserve Bank credit 6,916,542 + 4,383 +3,164,944 6,908,643

Securities held outright1 6,233,390 + 10,484 +2,627,056 6,229,291

U.S. Treasury securities 4,276,076 + 16,768 +2,183,864 4,293,563

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

Notes and bonds, nominal2 3,644,005 + 13,962 +1,691,595 3,661,492

Notes and bonds, inflation-indexed2 270,514 + 2,573 + 154,446 270,514

Inflation compensation3 35,513 + 233 + 11,782 35,513

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

Mortgage-backed securities4 1,954,967 - 6,284 + 443,192 1,933,380

Unamortized premiums on securities held outright5 320,660 + 1,577 + 191,320 320,706

Unamortized discounts on securities held outright5 -5,060 + 167 + 7,700 -5,004

Repurchase agreements6 0 0 0 0

Foreign official 0 0 0 0

Others 0 0 0 0

Loans 92,072 - 711 + 91,943 90,523

Primary credit 4,147 - 458 + 4,145 3,611

Secondary credit 0 0 0 0

Seasonal credit 34 + 6 - 92 35

Primary Dealer Credit Facility 1,830 - 43 + 1,830 1,788

Money Market Mutual Fund Liquidity Facility 15,900 - 2,052 + 15,900 14,273

Paycheck Protection Program Liquidity Facility 70,115 + 1,789 + 70,115 70,816

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 9,789 - 510 + 9,789 8,900

Net portfolio holdings of Corporate Credit Facilities LLC7 44,170 + 376 + 44,170 44,210

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)7 37,528 + 12 + 37,528 37,588

Net portfolio holdings of Municipal Liquidity Facility LLC7 16,085 + 1 + 16,085 16,086

Net portfolio holdings of TALF II LLC7 9,439 0 + 9,439 9,439

Float -271 - 97 + 69 -932

Central bank liquidity swaps8 118,041 - 8,281 + 118,030 117,473

Other Federal Reserve assets9 40,699 + 1,366 + 11,815 40,363

Foreign currency denominated assets10 21,498 + 350 + 799 21,641

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,457 + 14 + 502 50,457

Total factors supplying reserve funds 7,004,737 + 4,746 +3,166,244 6,996,983

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

1. Factors Affecting Reserve Balances of Depository Institutions (continued)

Millions of dollars

Averages of daily figures

Change from week ended

Reserve Bank credit, related items, and

reserve balances of depository institutions at

Federal Reserve Banks

Week ended

Jul 29, 2020 Jul 22, 2020 Jul 31, 2019

Wednesday

Jul 29, 2020

Currency in circulation11 1,988,357 + 5,322 + 242,670 1,992,869

Reverse repurchase agreements12 216,280 - 666 - 73,788 217,053

Foreign official and international accounts 216,280 - 665 - 69,973 217,052

Others 0 - 1 - 3,815 1

Treasury cash holdings 47 + 2 - 127 49

Deposits with F.R. Banks, other than reserve balances 2,022,663 + 17,636 +1,799,502 1,940,702

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,816,687 + 11,743 +1,652,924 1,792,434

Foreign official 16,224 - 7 + 10,969 16,224

Other13 189,752 + 5,900 + 135,609 132,045

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

Other liabilities and capital15 48,118 - 1,040 + 3,239 46,932

Total factors, other than reserve balances,

absorbing reserve funds 4,389,465 + 21,254 +2,085,495 4,311,606

Reserve balances with Federal Reserve Banks 2,615,272 - 16,508 +1,080,749 2,685,376

Note: Components may not sum to totals because of rounding.

1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A.

2. Face value of the securities.

3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities.

4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of

the securities.

5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been

amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest

basis.

6. Cash value of agreements.

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

consolidation below.

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

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

foreign central bank.

9. Includes bank premises, accrued interest, and other accounts receivable. Also includes net portfolio holdings of Maiden Lane LLC. 

10. Revalued daily at current foreign currency exchange rates.

11. Estimated.

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

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

market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment

arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks

as fiscal agents of the United States.

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

MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money

Market Mutual Fund Liquidity Facility of $1.5 billion.

15. Includes the liability for earnings remittances due to the U.S. Treasury.

Sources: Federal Reserve Banks and the U.S. Department of the Treasury.
H.4.1

1A. Memorandum Items

Millions of dollars

Averages of daily figures

Memorandum item Week ended Change from week ended

Jul 29, 2020 Jul 22, 2020 Jul 31, 2019

Wednesday

Jul 29, 2020

Securities held in custody for foreign official and international

accounts 3,407,393 + 5,080 - 55,466 3,404,155

Marketable U.S. Treasury securities1 2,960,683 + 8,408 - 64,032 2,959,076

Federal agency debt and mortgage-backed securities2 361,354 - 3,701 + 3,984 358,902

Other securities3 85,356 + 373 + 4,582 86,177

Securities lent to dealers 24,755 + 1,373 - 1,808 28,222

Overnight facility4 24,755 + 1,373 - 1,808 28,222

U.S. Treasury securities 24,755 + 1,373 - 1,808 28,222

Federal agency debt securities 0 0 0 0

Note: Components may not sum to totals because of rounding.

1. Includes securities and U.S. Treasury STRIPS at face value, and inflation compensation on TIPS. Does not include securities pledged as collateral

to foreign official and international account holders against reverse repurchase agreements with the Federal Reserve presented in tables 1, 5, and 6.

2. Face value of federal agency securities and current face value of mortgage-backed securities, which is the remaining principal balance of the

securities.

3. Includes non-marketable U.S. Treasury securities, supranationals, corporate bonds, asset-backed securities, and commercial paper at face value.

4. Face value. Fully collateralized by U.S. Treasury securities.
H.4.1

2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, July 29, 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 5,047 9,031 5,629 70,816 0 ... 90,523

U.S. Treasury securities2

Holdings 75,015 256,470 644,020 1,627,218 746,156 944,684 4,293,563

Weekly changes + 116 - 2,755 + 6,486 + 20,083 + 289 + 3,465 + 27,685

Federal agency debt securities3

Holdings 0 0 0 0 1,436 911 2,347

Weekly changes 0 0 0 0 0 0 0

Mortgage-backed securities4

Holdings 0 0 4 2,248 77,688 1,853,439 1,933,380

Weekly changes 0 0 - 1 - 99 - 1,444 - 35,677 - 37,220

Commercial paper held by Commercial

Paper Funding Facility II LLC5 307 30 0 ... ... ... 337

Loan participations held by MS

Facilities LLC (Main Street Lending

Program)6 0 0 0 82 ... ... 82

Municipal notes held by Municipal

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

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

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

Central bank liquidity swaps10 26,420 91,053 0 0 0 0 117,473

Reverse repurchase agreements9 217,053 0 ... ... ... ... 217,053

Term deposits 0 0 0 ... ... ... 0

Note: Components may not sum to totals because of rounding.

...Not applicable.

1. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund

Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit extensions. Loans exclude the loans from the Federal Reserve

Bank of New York (FRBNY) to Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF

II LLC, and from the Federal Reserve Bank of Boston (FRBB) to MS Facilities LLC, which were eliminated when preparing the FRBNY's and FRBB’s

statement of condition, respectively, consistent with consolidation under generally accepted accounting principles.

2. Face value. For inflation-indexed securities, includes the original face value and compensation that adjusts for the effect of inflation on the original

face value of such securities.

3. Face value.

4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities.

5. Book value of commercial paper held by Commercial Paper Funding Facility II LLC.

6. Book value of the loan participations held by the MS Facilities LLC.

7. Book value of the municipal notes held by the Municipal Liquidity Facility LLC.

8. Book value of the loans held by the TALF II LLC.

9. Cash value of agreements.

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

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

central bank.
H.4.1

3. Supplemental Information on Mortgage-Backed Securities

Millions of dollars

Wednesday Account name Jul 29, 2020

Mortgage-backed securities held outright1 1,933,380

Residential mortgage-backed securities 1,924,203

Commercial mortgage-backed securities 9,177

Commitments to buy mortgage-backed securities2 101,085

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 298

1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities.

2. Current face value. Includes residential and commercial mortgage-backed securities. Residential mortgage-backed securities generally settle within

180 calendar days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. Commercial mortgage-backed

securities generally settle within three business days.

3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 5 and table 6.

4. Information on Principal Accounts of Credit Facilities LLCs

Millions of dollars

Wednesday Jul 29, 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 336 337 8,564 8,900

Corporate Credit Facilities LLC 11,978 12,255 31,954 44,210

MS Facilities LLC (Main Street Lending Program) 82 82 37,506 37,588

Municipal Liquidity Facility LLC 1,200 1,200 14,886 16,086

TALF II LLC 937 937 8,503 9,439

Note: Components may not sum to totals because of rounding.

1. Book value. This amount was eliminated when preparing the Federal Reserve Banks’ statement of condition consistent with consolidation under

generally accepted accounting principles. Refer to the note on consolidation accompanying table 6. Loans are extended from the Federal Reserve

Bank to the LLC upon settlement of the investment activity.

2. Outstanding amount of facility asset purchases:

a. For the Commercial Paper Funding Facility II LLC includes commercial paper at book value.

b. For the Corporate Credit Facilities LLC includes exchange traded-funds at fair value and corporate bonds at book value. Asset balances

 from trading activity are reported on a one-day lag after the transaction date.

c. For the MS Facilities LLC (Main Street Lending Program) includes loan participations at face value.

d. For the Municipal Liquidity Facility LLC includes municipal notes at book value. Asset balances from trading activity may be reported on

 a one-day lag after the transaction date.

e. For the TALF II LLC includes loans to holders of eligible asset-backed securities at book value.

3. Includes short term receivables, interest and dividend receivables, and other assets of the facility. Also includes the portion of the Treasury

contribution to the credit facilities, which is held as investments in nonmarketable Treasury securities and the residual portion which is held as cash

and cash equivalents at the FRBNY. The amount of cash and cash equivalents held at the FRBNY are eliminated in consolidation and, as result, are

excluded from net portfolio holdings in Tables 1, 5, and 6. Amounts excluded are initially 15% of Treasury contributions to the credit facilities from the

following consolidated LLCs: Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF II

LLC. Refer to the note on consolidation accompanying table 6.
H.4.1

5. Consolidated Statement of Condition of All Federal Reserve Banks

Millions of dollars

Change since

Assets, liabilities, and capital Wednesday Wednesday Eliminations from

consolidation

Wednesday

Jul 29, 2020 Jul 22, 2020 Jul 31, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,522 0 - 160

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,635,516 - 11,198 +2,924,070

Securities held outright1 6,229,291 - 9,534 +2,634,469

U.S. Treasury securities 4,293,563 + 27,685 +2,212,863

Bills2 326,044 0 + 326,042

Notes and bonds, nominal2 3,661,492 + 25,067 +1,721,096

Notes and bonds, inflation-indexed2 270,514 + 2,401 + 153,969

Inflation compensation3 35,513 + 217 + 11,756

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,933,380 - 37,220 + 421,605

Unamortized premiums on securities held outright5 320,706 + 208 + 191,450

Unamortized discounts on securities held outright5 -5,004 + 157 + 7,760

Repurchase agreements6 0 0 0

Loans7 90,523 - 2,029 + 90,391

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 8,900 - 1,205 + 8,900

Net portfolio holdings of Corporate Credit Facilities LLC8 44,210 + 164 + 44,210

Net portfolio holdings of MS Facilities LLC (Main Street

Lending Program)8 37,588 + 70 + 37,588

Net portfolio holdings of Municipal Liquidity Facility LLC8 16,086 + 1 + 16,086

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

Items in process of collection (0) 57 + 5 - 11

Bank premises 2,200 + 1 + 5

Central bank liquidity swaps9 117,473 - 4,519 + 117,462

Foreign currency denominated assets10 21,641 + 374 + 926

Other assets11 38,163 + 584 + 11,417

Total assets (0) 6,949,032 - 15,723 +3,169,930

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

5. Consolidated Statement of Condition of All Federal Reserve Banks (continued)

Millions of dollars

Change since

Assets, liabilities, and capital Wednesday Wednesday Eliminations from

consolidation

Wednesday

Jul 29, 2020 Jul 22, 2020 Jul 31, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,943,979 + 6,964 + 244,369

Reverse repurchase agreements12 217,053 + 2,388 - 91,657

Deposits (0) 4,626,079 - 24,816 +2,900,763

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 2,685,376 + 25,718 +1,194,830

U.S. Treasury, General Account 1,792,434 + 15,254 +1,615,772

Foreign official 16,224 0 + 10,970

Other13 (0) 132,045 - 65,788 + 79,191

Deferred availability cash items (0) 989 + 682 + 103

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

Other liabilities and accrued dividends15 8,141 - 972 + 2,789

Total liabilities (0) 6,910,241 - 15,753 +3,170,365

Capital accounts

Capital paid in 31,966 + 30 - 435

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 38,791 + 30 - 435

Note: Components may not sum to totals because of rounding.

1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A.

2. Face value of the securities.

3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities.

4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities.

5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been

amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest

basis.

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

7. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund

Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit extensions.

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

consolidation below.

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

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

central bank.

10. Revalued daily at current foreign currency exchange rates.

11. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also includes net portfolio

holdings of Maiden Lane LLC.

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

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

market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment

arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks

as fiscal agents of the United States.

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

MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money

Market Mutual Fund Liquidity Facility of $1.5 billion.

15. Includes the liability for earnings remittances due to the U.S. Treasury.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, July 29, 2020

Millions of dollars

Kansas San Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis City Dallas Francisco

Assets

Gold certificates and special drawing

rights certificates 16,237 533 5,483 529 761 1,165 2,183 1,137 479 270 450 1,202 2,045

Coin 1,522 35 39 122 87 213 160 242 32 43 92 167 292

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,635,516 163,676 3,406,126 155,973 206,758 416,180 486,644 369,496 105,258 68,269 110,584 318,495 828,057

Net portfolio holdings of Commercial

Paper Funding Facility II LLC2 8,900 0 8,900 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Corporate

Credit Facilities LLC2 44,210 0 44,210 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of MS

Facilities LLC (Main Street Lending

Program)2 37,588 37,588 0 0 0 0 0 0 0 0 0 0 0

Net portfolio holdings of Municipal

Liquidity Facility LLC2 16,086 0 16,086 0 0 0 0 0 0 0 0 0 0

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

Central bank liquidity swaps3 117,473 5,576 39,479 4,227 10,039 24,795 5,826 4,562 1,926 920 1,239 1,395 17,491

Foreign currency denominated

assets4 21,641 1,027 7,275 779 1,849 4,567 1,073 840 355 169 228 257 3,222

Other assets5 40,420 2,528 18,173 974 1,324 2,791 3,042 2,286 788 512 933 2,165 4,902

Interdistrict settlement account 0 - 52,598 + 523,333 - 20,925 + 10,972 - 34,790 - 110,104 - 29,299 - 25,829 - 16,404 - 25,725 - 40,739 - 177,892

Total assets 6,949,032 158,364 4,078,543 141,678 231,790 414,920 388,824 349,266 83,009 53,780 87,801 282,942 678,116

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, July 29, 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 1,943,979 58,509 655,178 57,370 90,641 124,474 270,243 126,276 58,460 30,771 53,074 164,266 254,717

Reverse repurchase agreements6 217,053 4,874 112,381 4,952 6,791 13,604 15,996 12,123 3,429 2,051 3,452 10,461 26,939

Deposits 4,626,079 53,770 3,219,419 77,693 130,738 267,868 100,210 208,859 20,295 19,507 30,628 107,189 389,904

Depository institutions 2,685,376 53,741 1,371,581 77,692 130,703 267,451 100,253 117,826 20,291 19,446 30,596 105,899 389,897

U.S. Treasury, General Account 1,792,434 0 1,792,434 0 0 0 0 0 0 0 0 0 0

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

Other7 132,045 27 39,206 0 32 409 -45 91,032 3 61 31 1,290 0

Earnings remittances due to the U.S.

Treasury8 1,279 34 620 31 58 161 81 58 6 7 10 46 166

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 7,851 348 2,938 225 263 628 540 429 183 1,118 221 328 632

Total liabilities 6,910,241 156,535 4,065,536 140,272 228,491 406,734 387,069 347,745 82,373 53,454 87,384 282,290 672,358

Capital

Capital paid in 31,966 1,506 10,714 1,161 2,715 6,745 1,417 1,256 523 272 344 571 4,742

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 6,949,032 158,364 4,078,543 141,678 231,790 414,920 388,824 349,266 83,009 53,780 87,801 282,942 678,116

Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table.
H.4.1

6. Statement of Condition of Each Federal Reserve Bank, July 29, 2020 (continued)

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

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

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

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

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

other credit extensions.

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

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

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

4. Revalued daily at current foreign currency exchange rates.

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

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

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

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

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

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

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

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

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

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

 

Note on consolidation:

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

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

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

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

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

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

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

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

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

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

from the FRBB.

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

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

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

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

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

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

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

Millions of dollars

Wednesday Federal Reserve notes and collateral Jul 29, 2020

Federal Reserve notes outstanding 2,095,331

Less: Notes held by F.R. Banks not subject to collateralization 151,353

Federal Reserve notes to be collateralized 1,943,979

Collateral held against Federal Reserve notes 1,943,979

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,927,742

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 6,229,291

Less: Face value of securities under reverse repurchase agreements 204,511

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,024,779

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.