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FEDERAL RESERVEstatistical release

 

H.4.1
| FactorsAffecting Reserve Balances of Depository Institutions and ConditionStatement of Federal Reserve Banks | October 7, 2021 |
|--------------------------------------------------------------------------------------------------------------|-----------------|

 

1.Factors Affecting Reserve Balances of Depository Institutions

Millionsof dollars

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)

Millionsof dollars

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.                                                                                                                                                                                                                                                                                                                                                                                                                                  |
| 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 MS Facilities LLC of $16.6 billion, Municipal Liquidity Facility LLC of $6.3 billion, and TALF II LLC of $3.5 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

Millionsof dollars

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, October 6, 2021

Millionsof dollars

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 Paycheck Protection Program Liquidity Facility and other credit extensions. Loans exclude the loans from the Federal Reserve Bank of New York (FRBNY) to 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 the loan participations held by the MS Facilities LLC.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| 6. | Book value of the municipal notes held by the Municipal Liquidity Facility LLC.                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| 7. | Book value of the loans held by the TALF II LLC.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
| 8. | Cash value of agreements.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| 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.                                                                                                                                                                                                                                                      |

 

 

 

H.4.1

 

3.Supplemental Information on Mortgage-Backed Securities

Millionsof dollars

 
| 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

Millionsof dollars

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 Corporate Credit Facilities LLC includes exchange traded-funds and corporate bonds at fair value.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|   | b. For the MS Facilities LLC (Main Street Lending Program) includes loan participations at face value, net of an allowance for loan losses                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|   |     updated as of June 30, 2021.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|   | c. 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.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|   | d. 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 approximately 15% of Treasury contributions to the 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

Millionsof dollars

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)

Millionsof dollars

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.                                                                                                                                                                                                                                                                                                                                                                                     |
| 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 MS Facilities LLC of $16.6 billion, Municipal Liquidity Facility LLC of $6.3 billion, and TALF II LLC of $3.5 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, October 6, 2021

Millionsof dollars

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, October 6, 2021 (continued)

Millionsof dollars

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, October 6, 2021 (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 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.                                                                                                                                                                                                                                                                                                                                     |
| 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 each Federal Reserve Bank's allotted surplus cap.                                                                                                                                                        |
| 9.     | Book value. Amount of equity investments in MS Facilities LLC of $16.6 billion, Municipal Liquidity Facility LLC of $6.3 billion, and TALF II LLC of $3.5 billion.                                                                                                                                                                                                                                                                                                                                        |
|   |    

                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |

 
|   | Noteon 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 dollar-denominated 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

Millionsof dollars

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.                                                                                                                                                  |

 

 

 

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