FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and

Condition Statement of Federal Reserve Banks May 7, 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

May 6, 2020 Apr 29, 2020 May 8, 2019

Wednesday

May 6, 2020

Reserve Bank credit 6,663,700 + 66,045 +2,811,277 6,682,832

Securities held outright1 5,605,502 + 43,004 +1,903,657 5,627,918

U.S. Treasury securities 3,998,014 + 52,997 +1,873,949 4,020,191

Bills2 326,044 0 + 325,944 326,044

Notes and bonds, nominal2 3,390,412 + 46,208 +1,403,987 3,409,516

Notes and bonds, inflation-indexed2 245,409 + 6,290 + 130,048 248,266

Inflation compensation3 36,149 + 498 + 13,971 36,365

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

Mortgage-backed securities4 1,605,141 - 9,993 + 29,708 1,605,380

Unamortized premiums on securities held outright5 285,429 + 4,161 + 151,526 286,502

Unamortized discounts on securities held outright5 -5,631 + 176 + 7,322 -5,534

Repurchase agreements6 172,929 + 9,371 + 172,920 172,700

Foreign official 0 0 0 0

Others 172,929 + 9,372 + 172,920 172,700

Loans 118,730 - 2,654 + 118,686 113,342

Primary credit 29,913 - 1,346 + 29,907 26,494

Secondary credit 0 0 0 0

Seasonal credit 0 0 - 37 0

Primary Dealer Credit Facility 19,070 - 9,548 + 19,070 14,903

Money Market Mutual Fund Liquidity Facility 44,695 - 2,809 + 44,695 42,763

Paycheck Protection Program Liquidity Facility 25,052 + 11,049 + 25,052 29,181

Other credit extensions 0 0 0 0

Net portfolio holdings of Commercial Paper Funding

Facility II LLC7 3,974 + 1,053 + 3,974 3,988

Float -275 + 92 - 133 -241

Central bank liquidity swaps8 444,965 + 10,712 + 444,910 444,885

Other Federal Reserve assets9 38,077 + 130 + 8,415 39,271

Foreign currency denominated assets10 20,653 + 213 + 62 20,521

Gold stock 11,041 0 0 11,041

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

Treasury currency outstanding11 50,289 + 14 + 390 50,289

Total factors supplying reserve funds 6,750,883 + 66,272 +2,811,728 6,769,884

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

May 6, 2020 Apr 29, 2020 May 8, 2019

Wednesday

May 6, 2020

Currency in circulation11 1,916,084 + 12,651 + 184,698 1,921,765

Reverse repurchase agreements12 270,674 - 633 + 6,506 265,206

Foreign official and international accounts 269,177 + 2,299 + 5,166 264,031

Others 1,497 - 2,933 + 1,340 1,175

Treasury cash holdings 301 + 3 - 28 296

Deposits with F.R. Banks, other than reserve balances 1,339,981 + 53,457 + 927,439 1,352,933

Term deposits held by depository institutions 0 0 0 0

U.S. Treasury, General Account 1,127,490 + 129,983 + 779,133 1,143,268

Foreign official 16,350 + 33 + 11,106 16,336

Other13 196,142 - 76,557 + 137,201 193,329

Other liabilities and capital14 64,905 + 997 + 19,151 64,080

Total factors, other than reserve balances,

absorbing reserve funds 3,591,945 + 66,476 +1,137,765 3,604,279

Reserve balances with Federal Reserve Banks 3,158,938 - 204 +1,673,963 3,165,605

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. Refer to the note on consolidation accompanying table 5.

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. 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

May 6, 2020 Apr 29, 2020 May 8, 2019

Wednesday

May 6, 2020

Securities held in custody for foreign official and international

accounts 3,345,393 + 8,044 - 116,161 3,356,517

Marketable U.S. Treasury securities1 2,879,491 + 9,783 - 176,804 2,891,121

Federal agency debt and mortgage-backed securities2 380,456 - 2,095 + 48,314 380,343

Other securities3 85,447 + 357 + 12,330 85,054

Securities lent to dealers 38,450 + 4,092 + 14,775 37,938

Overnight facility4 38,450 + 4,092 + 14,775 37,938

U.S. Treasury securities 38,450 + 4,092 + 14,775 37,938

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, 4, and 5.

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.

2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, May 6, 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 13,238 57,105 13,817 29,181 0 ... 113,342

U.S. Treasury securities2

Holdings 104,760 213,636 558,517 1,568,584 675,810 898,885 4,020,191

Weekly changes + 49,466 - 36,220 + 22,696 - 3,888 + 10,214 + 6,504 + 48,772

Federal agency debt securities3

Holdings 0 0 0 0 1,151 1,196 2,347

Weekly changes 0 0 0 0 0 0 0

Mortgage-backed securities4

Holdings 0 0 5 2,014 78,947 1,524,414 1,605,380

Weekly changes 0 0 + 1 + 169 + 2,428 - 1,937 + 660

Commercial paper held by Commercial

Paper Funding Facility II LLC5 0 3,948 0 ... ... ... 3,948

Repurchase agreements6 42,850 129,850 ... ... ... ... 172,700

Central bank liquidity swaps7 23,293 421,593 0 0 0 0 444,885

Reverse repurchase agreements6 265,206 0 ... ... ... ... 265,206

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 loan from the Federal Reserve Bank

of New York (FRBNY) to Commercial Paper Funding Facility II LLC, which was eliminated when preparing the FRBNY's statement of condition

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

6. Cash value of agreements.

7. 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 May 6, 2020

Mortgage-backed securities held outright1 1,605,380

Residential mortgage-backed securities 1,597,206

Commercial mortgage-backed securities 8,174

Commitments to buy mortgage-backed securities2 331,582

Commitments to sell mortgage-backed securities2 0

Cash and cash equivalents3 7

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 4 and table 5.
H.4.1

4. Consolidated Statement of Condition of All Federal Reserve Banks

Millions of dollars

Change since

Assets, liabilities, and capital Wednesday Wednesday Eliminations from

consolidation

Wednesday

May 6, 2020 Apr 29, 2020 May 8, 2019

Assets

Gold certificate account 11,037 0 0

Special drawing rights certificate account 5,200 0 0

Coin 1,557 - 41 - 114

Securities, unamortized premiums and discounts,

repurchase agreements, and loans 6,194,928 + 57,682 +2,371,975

Securities held outright1 5,627,918 + 49,432 +1,926,009

U.S. Treasury securities 4,020,191 + 48,772 +1,896,062

Bills2 326,044 0 + 325,944

Notes and bonds, nominal2 3,409,516 + 42,469 +1,423,091

Notes and bonds, inflation-indexed2 248,266 + 5,976 + 132,905

Inflation compensation3 36,365 + 327 + 14,123

Federal agency debt securities2 2,347 0 0

Mortgage-backed securities4 1,605,380 + 660 + 29,947

Unamortized premiums on securities held outright5 286,502 + 3,262 + 152,646

Unamortized discounts on securities held outright5 -5,534 + 177 + 7,409

Repurchase agreements6 172,700 + 14,498 + 172,635

Loans7 113,342 - 9,686 + 113,276

Net portfolio holdings of Commercial Paper Funding

Facility II LLC8 3,988 + 616 + 3,988

Items in process of collection (0) 30 - 11 - 85

Bank premises 2,203 - 5 + 9

Central bank liquidity swaps9 444,885 + 5,932 + 444,830

Foreign currency denominated assets10 20,521 - 4 - 146

Other assets11 37,069 + 1,320 + 8,747

Total assets (0) 6,721,420 + 65,491 +2,829,204

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

4. 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

May 6, 2020 Apr 29, 2020 May 8, 2019

Liabilities

Federal Reserve notes, net of F.R. Bank holdings 1,873,325 + 11,194 + 188,164

Reverse repurchase agreements12 265,206 - 3,900 + 4,236

Deposits (0) 4,518,539 + 58,401 +2,618,263

Term deposits held by depository institutions 0 0 0

Other deposits held by depository institutions 3,165,606 + 2,093 +1,674,926

U.S. Treasury, General Account 1,143,268 + 67,036 + 798,807

Foreign official 16,336 + 13 + 11,091

Other13 (0) 193,329 - 10,741 + 133,438

Deferred availability cash items (0) 272 - 1,166 + 25

Other liabilities and accrued dividends14 25,208 + 929 + 19,074

Total liabilities (0) 6,682,549 + 65,458 +2,829,761

Capital accounts

Capital paid in 32,046 + 33 - 556

Surplus 6,825 0 0

Other capital accounts 0 0 0

Total capital 38,871 + 33 - 556

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. Refer to the note on consolidation accompanying table 5.

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

5. Statement of Condition of Each Federal Reserve Bank, May 6, 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 1,557 35 45 145 87 213 150 261 21 44 102 175 279

Securities, unamortized premiums and

discounts, repurchase agreements,

and loans1 6,194,928 181,893 3,187,013 139,967 190,959 384,954 450,608 343,929 97,418 58,706 99,043 295,039 765,399

Net portfolio holdings of Commercial

Paper Funding Facility II LLC2 3,988 0 3,988 0 0 0 0 0 0 0 0 0 0

Central bank liquidity swaps3 444,885 21,117 149,510 16,010 38,018 93,901 22,065 17,277 7,293 3,484 4,692 5,282 66,239

Foreign currency denominated

assets4 20,521 974 6,898 738 1,753 4,331 1,018 797 336 161 216 244 3,055

Other assets5 39,302 1,007 19,140 946 1,300 2,759 2,934 2,224 789 510 912 2,017 4,765

Interdistrict settlement account 0 - 60,309 + 374,553 - 10,099 - 27,257 + 45,852 - 99,773 - 7,743 - 18,642 - 13,287 - 10,823 + 2,632 - 175,105

Total assets 6,721,420 145,250 3,746,631 148,236 205,621 533,176 379,184 357,882 87,695 49,887 94,591 306,591 666,677

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

5. Statement of Condition of Each Federal Reserve Bank, May 6, 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 1,873,325 57,984 622,362 51,175 85,060 126,216 258,186 121,874 59,352 30,471 50,417 153,195 257,032

Reverse repurchase agreements6 265,206 5,956 137,312 6,051 8,297 16,622 19,545 14,813 4,190 2,506 4,217 12,781 32,915

Deposits 4,518,539 79,063 2,956,484 89,212 108,442 381,011 98,436 218,821 23,198 16,098 39,208 139,241 369,325

Depository institutions 3,165,606 79,040 1,737,189 89,211 106,417 379,722 98,333 100,005 23,191 16,040 31,341 135,797 369,319

U.S. Treasury, General Account 1,143,268 0 1,143,268 0 0 0 0 0 0 0 0 0 0

Foreign official 16,336 2 16,310 1 3 8 2 2 1 0 0 0 6

Other7 193,329 21 59,718 0 2,022 1,280 100 118,814 6 58 7,866 3,443 0

Earnings remittances due to the U.S.

Treasury8 2,029 56 1,069 44 62 96 149 113 37 23 32 94 255

Other liabilities and accrued

dividends 23,451 362 16,402 366 463 1,047 969 764 283 462 301 627 1,405

Total liabilities 6,682,549 143,421 3,733,630 146,847 202,324 524,990 377,285 356,385 87,059 49,561 94,176 305,939 660,932

Capital

Capital paid in 32,046 1,505 10,707 1,143 2,714 6,745 1,561 1,232 523 272 344 571 4,729

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 6,721,420 145,250 3,746,631 148,236 205,621 533,176 379,184 357,882 87,695 49,887 94,591 306,591 666,677

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

5. Statement of Condition of Each Federal Reserve Bank, May 6, 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. 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.

Note on consolidation:

On April 14, 2020, the Federal Reserve Bank of New York (FRBNY) began extending loans to the Commercial Paper Funding Facility II LLC (CPFF II LLC) under the authority of section 13(3) of the

Federal Reserve Act. CPFF II LLC is a limited liability company formed to purchase three-month U.S dollar-denominated commercial paper by eligible issuers. The assets of the CPFF II LLC are

used to secure the loan from the FRBNY and the amount provided by U.S. Treasury as credit protection to the FRBNY.

The FRBNY is the managing member of CPFF II LLC. Consistent with generally accepted accounting principles, the assets and liabilities of the CPFF II LLC have been consolidated with the assets

and liabilities of the FRBNY in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the loan from the FRBNY to CPFF II LLC is eliminated, the

net assets of the CPFF II LLC appear as assets on the previous page (and in table 1 and table 4), and the liabilities of the CPFF II LLC to entities other than the FRBNY, including those with recourse

only to the portfolio holdings of the CPFF II LLC are included in other liabilities in this table (and table 1 and table 4).
H.4.1

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

Millions of dollars

Wednesday Federal Reserve notes and collateral May 6, 2020

Federal Reserve notes outstanding 2,028,096

Less: Notes held by F.R. Banks not subject to collateralization 154,771

Federal Reserve notes to be collateralized 1,873,325

Collateral held against Federal Reserve notes 1,873,325

Gold certificate account 11,037

Special drawing rights certificate account 5,200

U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 1,857,088

Other assets pledged 0

Memo:

Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 5,800,618

Less: Face value of securities under reverse repurchase agreements 252,327

U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 5,548,291

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.