FEDERAL RESERVE statistical release For Release at 4:30 P.M. EDT March 26, 2020 The Board's H.4.1 statistical release, "Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks," has been modified to include information related to the Primary Dealer Credit Facility (PDCF) and Money Market Mutual Fund Liquidity Facility (MMLF). Information for both facilities is presented in tables 1, 2, 4, and 5. The PDCF was approved by the Board of Governors on March 17, 2020, and began operations on March 20, 2020. The PDCF will offer primary dealers overnight and term funding with maturities of up to 90 days. The MMLF was approved by the Board of Governors on March 18, 2020, and began operations on March 23, 2020. The MMLF will offer eligible financial institutions loans secured by high-quality assets purchased by the financial institution from money market mutual funds. FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks March 26, 2020 1. Factors Affecting Reserve Balances of Depository Institutions Millions of dollars Reserve Bank credit, related items, and Averages of daily figures Wednesday reserve balances of depository institutions at Week ended Change from week ended Mar 25, 2020 Federal Reserve Banks Mar 25, 2020 Mar 18, 2020 Mar 27, 2019 Reserve Bank credit 4,970,364 + 507,323 +1,049,045 5,215,959 Securities held outright (1) 4,187,418 + 258,393 + 412,821 4,365,282 U.S. Treasury securities 2,813,486 + 257,239 + 637,911 2,978,372 Bills (2) 326,044 + 5,001 + 326,044 326,044 Notes and bonds, nominal (2) 2,304,820 + 229,620 + 265,809 2,456,125 Notes and bonds, inflation-indexed (2) 154,473 + 20,534 + 39,319 166,932 Inflation compensation (3) 28,149 + 2,083 + 6,739 29,271 Federal agency debt securities (2) 2,347 0 - 53 2,347 Mortgage-backed securities (4) 1,371,585 + 1,155 - 225,038 1,384,563 Unamortized premiums on securities held outright (5) 151,479 + 22,942 + 15,575 168,273 Unamortized discounts on securities held outright (5) -11,005 + 1,882 + 2,129 -10,026 Repurchase agreements (6) 387,528 - 1,278 + 387,528 352,355 Loans 61,330 + 54,643 + 61,315 109,119 Primary credit 39,929 + 33,242 + 39,921 50,768 Secondary credit 0 0 0 0 Seasonal credit 0 0 - 7 0 Primary Dealer Credit Facility 14,390 + 14,390 + 14,390 27,718 Money Market Mutual Fund Liquidity Facility 7,011 + 7,011 + 7,011 30,634 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC (7) 0 0 0 0 Float -190 + 40 - 14 -271 Central bank liquidity swaps (8) 168,814 + 168,769 + 168,748 206,051 Other Federal Reserve assets (9) 24,989 + 1,930 + 943 25,175 Foreign currency denominated assets (10) 20,043 - 657 - 722 20,133 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 50,239 + 14 + 382 50,239 Total factors supplying reserve funds 5,056,887 + 506,679 +1,048,705 5,302,572 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 1. Factors Affecting Reserve Balances of Depository Institutions (continued) Millions of dollars Reserve Bank credit, related items, and Averages of daily figures Wednesday reserve balances of depository institutions at Week ended Change from week ended Mar 25, 2020 Federal Reserve Banks Mar 25, 2020 Mar 18, 2020 Mar 27, 2019 Currency in circulation (11) 1,859,800 + 32,651 + 138,011 1,872,242 Reverse repurchase agreements (12) 283,469 + 41,413 + 41,616 359,114 Foreign official and international accounts 254,373 + 22,881 + 14,852 261,703 Others 29,096 + 18,531 + 26,765 97,411 Treasury cash holdings 325 + 8 - 9 328 Deposits with F.R. Banks, other than reserve balances 679,684 + 139,443 + 303,207 673,519 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 390,252 + 27,676 + 79,384 384,890 Foreign official 10,359 + 4,000 + 5,116 16,261 Other (13) 279,073 + 107,767 + 218,707 272,368 Other liabilities and capital (14) 46,637 + 1,780 + 1,190 49,621 Total factors, other than reserve balances, absorbing reserve funds 2,869,916 + 215,296 + 484,015 2,954,825 Reserve balances with Federal Reserve Banks 2,186,971 + 291,383 + 564,689 2,347,747 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 accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also, includes Reserve Bank premises and equipment net of allowances for depreciation. 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. 1A. Memorandum Items Millions of dollars Memorandum item Averages of daily figures Wednesday Week ended Change from week ended Mar 25, 2020 Mar 25, 2020 Mar 18, 2020 Mar 27, 2019 Securities held in custody for foreign official and international accounts 3,355,273 - 55,416 - 114,824 3,339,743 Marketable U.S. Treasury securities (1) 2,891,327 - 57,322 - 180,594 2,868,190 Federal agency debt and mortgage-backed securities (2) 380,891 + 2,072 + 54,966 388,655 Other securities (3) 83,055 - 167 + 10,804 82,897 Securities lent to dealers 34,947 - 80 + 10,409 38,368 Overnight facility (4) 34,947 - 80 + 10,409 38,368 U.S. Treasury securities 34,943 - 84 + 10,405 38,368 Federal agency debt securities 3 + 3 + 3 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, March 25, 2020 Millions of dollars Remaining Maturity Within 15 16 days to 91 days to Over 1 year Over 5 year Over 10 All days 90 days 1 year to 5 years to 10 years years Loans (1) 15,991 83,194 9,933 0 0 ... 109,119 U.S. Treasury securities (2) Holdings 44,037 221,051 430,067 1,111,145 436,318 735,754 2,978,372 Weekly changes + 8,231 + 9,622 + 42,950 + 144,383 + 78,652 + 53,763 + 337,601 Federal agency debt securities (3) Holdings 0 0 0 0 1,151 1,196 2,347 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities (4) Holdings 0 0 4 1,643 70,824 1,312,093 1,384,563 Weekly changes 0 0 + 1 - 1 - 505 + 18,394 + 17,887 Repurchase agreements (5) 179,155 173,200 ... ... ... ... 352,355 Central bank liquidity swaps (6) 92,399 113,652 0 0 0 0 206,051 Reverse repurchase agreements (5) 359,114 0 ... ... ... ... 359,114 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, and other credit extensions. 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. Cash value of agreements. 6. 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. 3. Supplemental Information on Mortgage-Backed Securities Millions of dollars Account name Wednesday Mar 25, 2020 Mortgage-backed securities held outright (1) 1,384,563 Commitments to buy mortgage-backed securities (2) 141,828 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 44 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. Generally settle within 180 days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. 3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 4 and table 5. 4. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Mar 25, 2020 Wednesday Wednesday consolidation Mar 18, 2020 Mar 27, 2019 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,641 - 34 - 88 Securities, unamortized premiums and discounts, repurchase agreements, and loans 4,985,004 + 378,783 +1,091,729 Securities held outright (1) 4,365,282 + 355,488 + 594,616 U.S. Treasury securities 2,978,372 + 337,601 + 802,776 Bills (2) 326,044 + 5,001 + 326,044 Notes and bonds, nominal (2) 2,456,125 + 301,629 + 417,114 Notes and bonds, inflation-indexed (2) 166,932 + 28,279 + 51,778 Inflation compensation (3) 29,271 + 2,692 + 7,840 Federal agency debt securities (2) 2,347 0 0 Mortgage-backed securities (4) 1,384,563 + 17,887 - 208,160 Unamortized premiums on securities held outright (5) 168,273 + 29,979 + 32,568 Unamortized discounts on securities held outright (5) -10,026 + 2,010 + 3,096 Repurchase agreements (6) 352,355 - 89,590 + 352,355 Loans (7) 109,119 + 80,895 + 109,092 Net portfolio holdings of Maiden Lane LLC (8) 0 0 0 Items in process of collection (0) 37 - 14 - 21 Bank premises 2,207 + 5 0 Central bank liquidity swaps (9) 206,051 + 206,006 + 205,985 Foreign currency denominated assets (10) 20,133 - 230 - 567 Other assets (11) 22,968 + 1,550 + 1,621 Total assets (0) 5,254,278 + 586,066 +1,298,661 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 4. Consolidated Statement of Condition of All Federal Reserve Banks (continued) Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Mar 25, 2020 Wednesday Wednesday consolidation Mar 18, 2020 Mar 27, 2019 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,823,968 + 28,944 + 148,049 Reverse repurchase agreements (12) 359,114 + 125,168 + 117,514 Deposits (0) 3,021,266 + 426,139 +1,028,800 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,347,747 + 402,353 + 714,959 U.S. Treasury, General Account 384,890 - 16,464 + 89,297 Foreign official 16,261 + 9,374 + 11,018 Other (13) (0) 272,368 + 30,877 + 213,526 Deferred availability cash items (0) 308 + 30 - 101 Other liabilities and accrued dividends (14) 10,827 + 5,598 + 4,948 Total liabilities (0) 5,215,483 + 585,879 +1,299,211 Capital accounts Capital paid in 31,969 + 185 - 551 Surplus 6,825 0 0 Other capital accounts 0 0 0 Total capital 38,794 + 185 - 551 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, 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. 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. 5. Statement of Condition of Each Federal Reserve Bank, March 25, 2020 Millions of dollars Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas Dallas San City Francisco Assets Gold certificates and special drawing rights certificates 16,237 547 5,525 537 768 1,166 2,214 1,135 478 276 445 1,172 1,974 Coin 1,641 39 47 154 92 224 143 281 26 50 112 186 287 Securities, unamortized premiums and discounts, repurchase agreements, and loans (1) 4,985,004 134,896 2,719,855 118,421 144,815 298,671 333,608 260,470 70,308 42,214 73,247 213,180 575,320 Central bank liquidity swaps (2) 206,051 8,874 65,381 11,905 16,450 43,937 11,983 8,603 3,142 980 1,995 2,550 30,251 Foreign currency denominated assets (3) 20,133 867 6,390 1,163 1,607 4,293 1,171 840 307 96 195 249 2,956 Other assets (4) 25,212 590 12,323 644 794 1,824 1,775 1,356 720 338 645 1,368 2,835 Interdistrict settlement account 0 - 1,155 - 102,288 + 160 + 12,340 + 5,359 - 10,594 + 71,039 - 762 + 733 + 5,076 + 62,494 - 42,401 Total assets 5,254,278 144,659 2,707,233 132,985 176,866 355,473 340,299 343,724 74,218 44,686 81,715 281,198 571,221 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 5. Statement of Condition of Each Federal Reserve Bank, March 25, 2020 (continued) Millions of dollars Assets, liabilities, and capital Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas Dallas San City Francisco Liabilities Federal Reserve notes, net 1,823,968 57,025 612,531 50,101 87,399 122,253 253,629 118,547 56,183 30,258 48,827 148,558 238,658 Reverse repurchase agreements (5) 359,114 7,450 195,922 8,697 10,507 21,977 24,554 18,850 5,161 3,107 5,325 15,593 41,971 Deposits 3,021,266 78,160 1,878,098 72,605 75,455 202,579 59,798 204,465 12,083 10,578 26,962 116,133 284,349 Depository institutions 2,347,747 78,104 1,342,631 72,603 67,803 201,275 58,646 86,724 12,079 10,499 20,125 113,464 283,794 U.S. Treasury, General Account 384,890 0 384,890 0 0 0 0 0 0 0 0 0 0 Foreign official 16,261 2 16,234 2 3 9 2 2 1 0 0 0 6 Other (6) 272,368 55 134,343 0 7,649 1,295 1,150 117,739 4 79 6,837 2,668 549 Earnings remittances due to the U.S. Treasury (7) 1,430 18 886 21 22 30 99 73 21 15 19 67 158 Other liabilities and accrued dividends 9,705 175 6,796 174 186 500 321 290 135 422 171 201 333 Total liabilities 5,215,483 142,829 2,694,232 131,598 173,568 347,338 338,400 342,227 73,584 44,381 81,305 280,553 565,469 Capital Capital paid in 31,969 1,506 10,707 1,141 2,714 6,694 1,561 1,233 523 252 338 564 4,736 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 5,254,278 144,659 2,707,233 132,985 176,866 355,473 340,299 343,724 74,218 44,686 81,715 281,198 571,221 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 5. Statement of Condition of Each Federal Reserve Bank, March 25, 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, and other credit extensions. 2. 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. 3. Revalued daily at current foreign currency exchange rates. 4. 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. 5. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. 6. 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. 7. 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 June 26, 2008, the Federal Reserve Bank of New York (FRBNY) extended a loan to Maiden Lane LLC (ML) under the authority of section 13(3) of the Federal Reserve Act. ML was formed to acquire certain assets of Bear Stearns and to manage those assets through time to maximize repayment of the credit extended and minimize disruption to financial markets. On June 14, 2012, the remaining outstanding balance of the senior loan from FRBNY to ML was repaid in full, with interest. On November 15, 2012, the remaining outstanding balance of the subordinated loan from JPMorgan Chase & Co. to ML was repaid in full, with interest. FRBNY was the primary beneficiary of ML because it received any residual returns and could have absorbed any residual losses should they have occurred. Consistent with generally accepted accounting principles, the assets and liabilities of ML were consolidated with the assets and liabilities of FRBNY in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the extension of credit from FRBNY to ML was eliminated, the net assets of ML appeared as a component of Other assets on the previous page (and as assets in table 1 and table 4), and the liabilities of ML to entities other than FRBNY, including those with recourse only to the ML portfolio holdings, were included in other liabilities in this table (and table 1 and table 4). 6. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts Millions of dollars Federal Reserve notes and collateral Wednesday Mar 25, 2020 Federal Reserve notes outstanding 1,973,700 Less: Notes held by F.R. Banks not subject to collateralization 149,732 Federal Reserve notes to be collateralized 1,823,968 Collateral held against Federal Reserve notes 1,823,968 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,807,731 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 4,717,637 Less: Face value of securities under reverse repurchase agreements 324,866 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 4,392,771 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.