FEDERAL RESERVE statistical release For Release at 4:30 P.M. Eastern time April 23, 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 Paycheck Protection Program Liquidity Facility (PPPLF). The Federal Reserve established the PPPLF to facilitate lending to small businesses via the Small Business Administration's Paycheck Protection Program (PPP). Information for the facility is presented in tables 1, 2, 4, and 5. The PPPLF program was announced by the Federal Reserve on April 9, 2020, and began operations on April 16, 2020. The PPPLF program will extend credit to eligible financial institutions that originate PPP loans, taking the loans as collateral at face value. FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks April 23, 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 Apr 22, 2020 Federal Reserve Banks Apr 22, 2020 Apr 15, 2020 Apr 24, 2019 Reserve Bank credit 6,451,209 + 255,189 +2,559,091 6,534,516 Securities held outright (1) 5,451,772 + 256,233 +1,709,940 5,534,186 U.S. Treasury securities 3,863,557 + 146,143 +1,710,063 3,909,352 Bills (2) 326,044 0 + 326,044 326,044 Notes and bonds, nominal (2) 3,271,573 + 130,986 +1,255,099 3,314,644 Notes and bonds, inflation-indexed (2) 231,192 + 13,948 + 116,048 233,692 Inflation compensation (3) 34,749 + 1,210 + 12,872 34,972 Federal agency debt securities (2) 2,347 0 0 2,347 Mortgage-backed securities (4) 1,585,868 + 110,090 - 122 1,622,487 Unamortized premiums on securities held outright (5) 271,013 + 20,685 + 136,333 278,037 Unamortized discounts on securities held outright (5) -6,443 + 680 + 6,566 -6,128 Repurchase agreements (6) 171,508 - 30,088 + 171,508 157,500 Foreign official 1 0 + 1 0 Others 171,507 - 30,089 + 171,507 157,500 Loans 118,841 - 9,763 + 118,818 122,088 Primary credit 34,953 - 6,081 + 34,946 33,742 Secondary credit 0 0 0 0 Seasonal credit 0 0 - 16 0 Primary Dealer Credit Facility 31,266 - 4,324 + 31,266 31,526 Money Market Mutual Fund Liquidity Facility 49,646 - 2,298 + 49,646 48,810 Paycheck Protection Program Liquidity Facility 2,977 + 2,977 + 2,977 8,009 Other credit extensions 0 0 0 0 Net portfolio holdings of Commercial Paper Funding Facility II LLC (7) 2,516 + 2,375 + 2,516 2,732 Float -204 + 62 - 62 -306 Central bank liquidity swaps (8) 406,272 + 13,209 + 406,217 409,712 Other Federal Reserve assets (9) 35,935 + 1,798 + 7,256 36,694 Foreign currency denominated assets (10) 20,458 - 57 - 108 20,405 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 50,261 + 14 + 372 50,261 Total factors supplying reserve funds 6,538,169 + 255,146 +2,559,355 6,621,424 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 Apr 22, 2020 Federal Reserve Banks Apr 22, 2020 Apr 15, 2020 Apr 24, 2019 Currency in circulation (11) 1,890,915 + 5,971 + 163,716 1,895,994 Reverse repurchase agreements (12) 290,604 + 6,140 + 31,588 289,292 Foreign official and international accounts 281,882 + 3,311 + 25,449 278,467 Others 8,722 + 2,829 + 6,139 10,825 Treasury cash holdings 301 - 6 - 31 297 Deposits with F.R. Banks, other than reserve balances 1,186,593 + 52,188 + 745,411 1,272,433 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 901,331 + 11,516 + 522,729 949,999 Foreign official 16,293 - 59 + 11,018 16,303 Other (13) 268,969 + 40,732 + 211,664 306,130 Other liabilities and capital (14) 66,251 + 6,389 + 20,597 63,428 Total factors, other than reserve balances, absorbing reserve funds 3,434,665 + 70,683 + 961,282 3,521,444 Reserve balances with Federal Reserve Banks 3,103,504 + 184,463 +1,598,074 3,099,980 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. 1A. Memorandum Items Millions of dollars Memorandum item Averages of daily figures Wednesday Week ended Change from week ended Apr 22, 2020 Apr 22, 2020 Apr 15, 2020 Apr 24, 2019 Securities held in custody for foreign official and international accounts 3,320,189 + 2,021 - 132,128 3,320,905 Marketable U.S. Treasury securities (1) 2,851,587 + 4,530 - 194,861 2,853,978 Federal agency debt and mortgage-backed securities (2) 385,809 - 2,401 + 51,926 384,086 Other securities (3) 82,793 - 107 + 10,807 82,841 Securities lent to dealers 35,893 + 1,297 + 8,831 36,556 Overnight facility (4) 35,893 + 1,297 + 8,831 36,556 U.S. Treasury securities 35,893 + 1,297 + 8,831 36,556 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, April 22, 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) 15,559 81,103 17,417 8,009 0 ... 122,088 U.S. Treasury securities (2) Holdings 58,869 243,599 528,185 1,536,392 659,309 882,997 3,909,352 Weekly changes + 225 + 18,564 + 584 + 43,056 + 38,054 + 20,010 + 120,494 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 5 1,911 77,338 1,543,233 1,622,487 Weekly changes 0 0 0 + 215 + 3,976 + 50,124 + 54,316 Commercial paper held by Commercial Paper Funding Facility II LLC (5) 0 2,710 0 ... ... ... 2,710 Repurchase agreements (6) 7,800 149,700 ... ... ... ... 157,500 Central bank liquidity swaps (7) 24,501 385,212 0 0 0 0 409,712 Reverse repurchase agreements (6) 289,292 0 ... ... ... ... 289,292 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. 3. Supplemental Information on Mortgage-Backed Securities Millions of dollars Account name Wednesday Apr 22, 2020 Mortgage-backed securities held outright (1) 1,622,487 Residential mortgage-backed securities 1,615,615 Commercial mortgage-backed securities 6,872 Commitments to buy mortgage-backed securities (2) 263,013 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 0 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. 4. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Apr 22, 2020 Wednesday Wednesday consolidation Apr 15, 2020 Apr 24, 2019 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,636 - 20 - 43 Securities, unamortized premiums and discounts, repurchase agreements, and loans 6,085,683 + 169,420 +2,224,872 Securities held outright (1) 5,534,186 + 174,810 +1,794,902 U.S. Treasury securities 3,909,352 + 120,494 +1,755,808 Bills (2) 326,044 0 + 326,044 Notes and bonds, nominal (2) 3,314,644 + 108,500 +1,298,170 Notes and bonds, inflation-indexed (2) 233,692 + 11,000 + 118,548 Inflation compensation (3) 34,972 + 994 + 13,046 Federal agency debt securities (2) 2,347 0 0 Mortgage-backed securities (4) 1,622,487 + 54,316 + 39,094 Unamortized premiums on securities held outright (5) 278,037 + 15,703 + 143,544 Unamortized discounts on securities held outright (5) -6,128 + 768 + 6,870 Repurchase agreements (6) 157,500 - 23,600 + 157,500 Loans (7) 122,088 + 1,739 + 122,056 Net portfolio holdings of Commercial Paper Funding Facility II LLC (8) 2,732 + 1,758 + 2,732 Items in process of collection (0) 35 0 - 23 Bank premises 2,207 + 4 + 3 Central bank liquidity swaps (9) 409,712 + 31,421 + 409,657 Foreign currency denominated assets (10) 20,405 - 120 - 122 Other assets (11) 34,487 + 2,784 + 7,785 Total assets (0) 6,573,136 + 205,249 +2,644,863 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 Apr 22, 2020 Wednesday Wednesday consolidation Apr 15, 2020 Apr 24, 2019 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,847,662 + 8,363 + 166,961 Reverse repurchase agreements (12) 289,292 + 9,708 + 18,892 Deposits (0) 4,372,413 + 198,561 +2,440,750 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 3,099,980 + 30,106 +1,627,168 U.S. Treasury, General Account 949,999 + 93,844 + 551,083 Foreign official 16,303 - 44 + 11,059 Other (13) (0) 306,130 + 74,655 + 251,438 Deferred availability cash items (0) 341 - 55 + 71 Other liabilities and accrued dividends (14) 24,597 - 11,327 + 18,669 Total liabilities (0) 6,534,304 + 205,249 +2,645,341 Capital accounts Capital paid in 32,006 - 1 - 480 Surplus 6,825 0 0 Other capital accounts 0 0 0 Total capital 38,831 - 1 - 480 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. 5. Statement of Condition of Each Federal Reserve Bank, April 22, 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 16,237 533 5,483 529 761 1,165 2,183 1,137 479 270 450 1,202 2,045 Coin 1,636 38 48 150 90 221 159 273 27 50 108 183 290 Securities, unamortized premiums and discounts, repurchase agreements, and loans (1) 6,085,683 184,102 3,140,694 136,569 186,979 374,819 440,651 338,372 94,803 56,860 96,544 289,388 745,902 Net portfolio holdings of Commercial Paper Funding Facility II LLC (2) 2,732 0 2,732 0 0 0 0 0 0 0 0 0 0 Central bank liquidity swaps (3) 409,712 19,448 137,689 14,744 35,012 86,477 20,320 15,911 6,716 3,208 4,321 4,864 61,002 Foreign currency denominated assets (4) 20,405 968 6,859 734 1,744 4,306 1,012 792 334 160 215 242 3,038 Other assets (5) 36,729 933 17,805 886 1,213 2,599 2,750 2,079 728 465 866 1,962 4,444 Interdistrict settlement account 0 - 66,555 + 411,279 - 11,467 - 29,192 + 57,752 - 96,054 - 9,701 - 20,312 - 13,809 - 13,156 + 2,345 - 211,131 Total assets 6,573,136 139,467 3,722,589 142,146 196,607 527,338 371,022 348,863 82,775 47,204 89,348 300,186 605,590 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, April 22, 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 1,847,662 57,167 618,895 50,491 83,740 124,458 254,120 119,347 58,261 29,950 49,579 151,242 250,412 Reverse repurchase agreements (6) 289,292 6,497 149,783 6,600 9,051 18,131 21,320 16,158 4,571 2,734 4,600 13,942 35,905 Deposits 4,372,413 73,569 2,923,768 83,265 100,024 375,489 92,598 211,012 19,008 13,651 34,418 133,659 311,951 Depository institutions 3,099,980 73,548 1,801,401 83,264 90,530 374,098 87,789 90,610 19,002 13,594 24,342 129,859 311,944 U.S. Treasury, General Account 949,999 0 949,999 0 0 0 0 0 0 0 0 0 0 Foreign official 16,303 2 16,277 1 3 8 2 2 1 0 0 0 6 Other (7) 306,130 20 156,091 0 9,491 1,383 4,807 120,400 6 57 10,075 3,799 1 Earnings remittances due to the U.S. Treasury (8) 2,205 59 1,157 51 56 123 168 125 38 13 40 109 267 Other liabilities and accrued dividends 22,732 345 15,985 350 440 986 916 724 263 530 297 589 1,309 Total liabilities 6,534,304 137,637 3,709,588 140,757 193,310 519,187 369,123 347,367 82,140 46,879 88,933 299,540 599,843 Capital Capital paid in 32,006 1,506 10,707 1,143 2,714 6,710 1,561 1,232 523 272 342 565 4,731 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 6,573,136 139,467 3,722,589 142,146 196,607 527,338 371,022 348,863 82,775 47,204 89,348 300,186 605,590 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, April 22, 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). 6. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts Millions of dollars Federal Reserve notes and collateral Wednesday Apr 22, 2020 Federal Reserve notes outstanding 2,015,588 Less: Notes held by F.R. Banks not subject to collateralization 167,927 Federal Reserve notes to be collateralized 1,847,662 Collateral held against Federal Reserve notes 1,847,662 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,831,425 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 5,691,686 Less: Face value of securities under reverse repurchase agreements 273,188 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 5,418,498 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.