FRB: H.4.1 Release--Factors Affecting Reserve Balances-- May 07, 2020

FEDERAL RESERVE statistical release

H.4.1

Factors Affecting Reserve Balances of Depository Institutions and
Condition Statement of Federal Reserve Banks May 7, 2020

1. Factors Affecting Reserve Balances of Depository Institutions
Millions of dollars
Reserve Bank credit, related items, and Averages of daily figures Wednesday
reserve balances of depository institutions at Week ended Change from week ended May 6, 2020
Federal Reserve Banks May 6, 2020 Apr 29, 2020 May 8, 2019

Reserve Bank credit 6,663,700 + 66,045 +2,811,277 6,682,832
Securities held outright (1) 5,605,502 + 43,004 +1,903,657 5,627,918
U.S. Treasury securities 3,998,014 + 52,997 +1,873,949 4,020,191
Bills (2) 326,044 0 + 325,944 326,044
Notes and bonds, nominal (2) 3,390,412 + 46,208 +1,403,987 3,409,516
Notes and bonds, inflation-indexed (2) 245,409 + 6,290 + 130,048 248,266
Inflation compensation (3) 36,149 + 498 + 13,971 36,365
Federal agency debt securities (2) 2,347 0 0 2,347
Mortgage-backed securities (4) 1,605,141 - 9,993 + 29,708 1,605,380
Unamortized premiums on securities held outright (5) 285,429 + 4,161 + 151,526 286,502
Unamortized discounts on securities held outright (5) -5,631 + 176 + 7,322 -5,534
Repurchase agreements (6) 172,929 + 9,371 + 172,920 172,700
Foreign official 0 0 0 0
Others 172,929 + 9,372 + 172,920 172,700
Loans 118,730 - 2,654 + 118,686 113,342
Primary credit 29,913 - 1,346 + 29,907 26,494
Secondary credit 0 0 0 0
Seasonal credit 0 0 - 37 0
Primary Dealer Credit Facility 19,070 - 9,548 + 19,070 14,903
Money Market Mutual Fund Liquidity Facility 44,695 - 2,809 + 44,695 42,763
Paycheck Protection Program Liquidity Facility 25,052 + 11,049 + 25,052 29,181
Other credit extensions 0 0 0 0
Net portfolio holdings of Commercial Paper Funding
Facility II LLC (7) 3,974 + 1,053 + 3,974 3,988
Float -275 + 92 - 133 -241
Central bank liquidity swaps (8) 444,965 + 10,712 + 444,910 444,885
Other Federal Reserve assets (9) 38,077 + 130 + 8,415 39,271
Foreign currency denominated assets (10) 20,653 + 213 + 62 20,521
Gold stock 11,041 0 0 11,041
Special drawing rights certificate account 5,200 0 0 5,200
Treasury currency outstanding (11) 50,289 + 14 + 390 50,289

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

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

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 May 6, 2020
Federal Reserve Banks May 6, 2020 Apr 29, 2020 May 8, 2019

Currency in circulation (11) 1,916,084 + 12,651 + 184,698 1,921,765
Reverse repurchase agreements (12) 270,674 - 633 + 6,506 265,206
Foreign official and international accounts 269,177 + 2,299 + 5,166 264,031
Others 1,497 - 2,933 + 1,340 1,175
Treasury cash holdings 301 + 3 - 28 296
Deposits with F.R. Banks, other than reserve balances 1,339,981 + 53,457 + 927,439 1,352,933
Term deposits held by depository institutions 0 0 0 0
U.S. Treasury, General Account 1,127,490 + 129,983 + 779,133 1,143,268
Foreign official 16,350 + 33 + 11,106 16,336
Other (13) 196,142 - 76,557 + 137,201 193,329
Other liabilities and capital (14) 64,905 + 997 + 19,151 64,080

Total factors, other than reserve balances,
absorbing reserve funds 3,591,945 + 66,476 +1,137,765 3,604,279

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

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

1. Includes securities lent to dealers under the overnight securities lending facility; refer to table
1A.
2. Face value of the securities.
3. Compensation that adjusts for the effect of inflation on the original face value of
inflation-indexed securities.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the
remaining principal balance of the securities.
5. Reflects the premium or discount, which is the difference between the purchase price and the face
value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt
securities, and mortgage-backed securities, amortization is on an effective-interest basis.
6. Cash value of agreements.
7. Refer to the note on consolidation accompanying table 5.
8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used
when the foreign currency is returned to the foreign central bank. This exchange rate equals the
market exchange rate used when the foreign currency was acquired from the foreign central bank.
9. Includes bank premises, accrued interest, and other accounts receivable. Also includes net
portfolio holdings of Maiden Lane LLC.
10. Revalued daily at current foreign currency exchange rates.
11. Estimated.
12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt
securities, and mortgage-backed securities.
13. Includes deposits held at the Reserve Banks by international and multilateral organizations,
government-sponsored enterprises, designated financial market utilities, and deposits held by depository
institutions in joint accounts in connection with their participation in certain private-sector payment
arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account,
for services provided by the Reserve Banks as fiscal agents of the United States.
14. Includes the liability for earnings remittances due to the U.S. Treasury.

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

1A. Memorandum Items
Millions of dollars
Memorandum item Averages of daily figures Wednesday
Week ended Change from week ended May 6, 2020
May 6, 2020 Apr 29, 2020 May 8, 2019

Securities held in custody for foreign official and
international accounts 3,345,393 + 8,044 - 116,161 3,356,517
Marketable U.S. Treasury securities (1) 2,879,491 + 9,783 - 176,804 2,891,121
Federal agency debt and mortgage-backed securities (2) 380,456 - 2,095 + 48,314 380,343
Other securities (3) 85,447 + 357 + 12,330 85,054
Securities lent to dealers 38,450 + 4,092 + 14,775 37,938
Overnight facility (4) 38,450 + 4,092 + 14,775 37,938
U.S. Treasury securities 38,450 + 4,092 + 14,775 37,938
Federal agency debt securities 0 0 0 0

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

1. Includes securities and U.S. Treasury STRIPS at face value, and inflation compensation on TIPS.
Does not include securities pledged as collateral to foreign official and international account holders
against reverse repurchase agreements with the Federal Reserve presented in tables 1, 4, and 5.
2. Face value of federal agency securities and current face value of mortgage-backed securities, which
is the remaining principal balance of the securities.
3. Includes non-marketable U.S. Treasury securities, supranationals, corporate bonds, asset-backed
securities, and commercial paper at face value.
4. Face value. Fully collateralized by U.S. Treasury securities.

2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, May 6, 2020

Millions of dollars
Remaining Maturity Within 15 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) 13,238 57,105 13,817 29,181 0 ... 113,342
U.S. Treasury securities (2)
Holdings 104,760 213,636 558,517 1,568,584 675,810 898,885 4,020,191
Weekly changes + 49,466 - 36,220 + 22,696 - 3,888 + 10,214 + 6,504 + 48,772
Federal agency debt 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 2,014 78,947 1,524,414 1,605,380
Weekly changes 0 0 + 1 + 169 + 2,428 - 1,937 + 660
Commercial paper held by Commercial
Paper Funding Facility II LLC (5) 0 3,948 0 ... ... ... 3,948
Repurchase agreements (6) 42,850 129,850 ... ... ... ... 172,700
Central bank liquidity swaps (7) 23,293 421,593 0 0 0 0 444,885
Reverse repurchase agreements (6) 265,206 0 ... ... ... ... 265,206
Term deposits 0 0 0 ... ... ... 0

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

1. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary
Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, Paycheck Protection Program Liquidity
Facility, and other credit extensions. Loans exclude the loan from the Federal Reserve Bank of New
York (FRBNY) to Commercial Paper Funding Facility II LLC, which was eliminated when preparing the
FRBNY's statement of condition consistent with consolidation under generally accepted accounting
principles.
2. Face value. For inflation-indexed securities, includes the original face value and compensation
that adjusts for the effect of inflation on the original face value of such securities.
3. Face value.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the
remaining principal balance of the securities.
5. Face value of commercial paper held by Commercial Paper Funding Facility II LLC.
6. Cash value of agreements.
7. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used
when the foreign currency is returned to the foreign central bank. This exchange rate equals the
market exchange rate used when the foreign currency was acquired from the foreign central bank.

3. Supplemental Information on Mortgage-Backed Securities
Millions of dollars
Account name Wednesday
May 6, 2020

Mortgage-backed securities held outright (1) 1,605,380
Residential mortgage-backed securities 1,597,206
Commercial mortgage-backed securities 8,174

Commitments to buy mortgage-backed securities (2) 331,582
Commitments to sell mortgage-backed securities (2) 0

Cash and cash equivalents (3) 7

1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the
remaining principal balance of the securities.
2. Current face value. Includes residential and commercial mortgage-backed securities. Residential
mortgage-backed securities generally settle within 180 calendar days and include commitments associated
with outright transactions, dollar rolls, and coupon swaps. Commercial mortgage-backed securities
generally settle within three business days.
3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 4
and table 5.

4. Consolidated Statement of Condition of All Federal Reserve Banks
Millions of dollars
Assets, liabilities, and capital Eliminations Wednesday Change since
from May 6, 2020 Wednesday Wednesday
consolidation Apr 29, 2020 May 8, 2019

Assets
Gold certificate account 11,037 0 0
Special drawing rights certificate account 5,200 0 0
Coin 1,557 - 41 - 114
Securities, unamortized premiums and discounts,
repurchase agreements, and loans 6,194,928 + 57,682 +2,371,975
Securities held outright (1) 5,627,918 + 49,432 +1,926,009
U.S. Treasury securities 4,020,191 + 48,772 +1,896,062
Bills (2) 326,044 0 + 325,944
Notes and bonds, nominal (2) 3,409,516 + 42,469 +1,423,091
Notes and bonds, inflation-indexed (2) 248,266 + 5,976 + 132,905
Inflation compensation (3) 36,365 + 327 + 14,123
Federal agency debt securities (2) 2,347 0 0
Mortgage-backed securities (4) 1,605,380 + 660 + 29,947
Unamortized premiums on securities held outright
(5) 286,502 + 3,262 + 152,646
Unamortized discounts on securities held outright
(5) -5,534 + 177 + 7,409
Repurchase agreements (6) 172,700 + 14,498 + 172,635
Loans (7) 113,342 - 9,686 + 113,276
Net portfolio holdings of Commercial Paper
Funding Facility II LLC (8) 3,988 + 616 + 3,988
Items in process of collection (0) 30 - 11 - 85
Bank premises 2,203 - 5 + 9
Central bank liquidity swaps (9) 444,885 + 5,932 + 444,830
Foreign currency denominated assets (10) 20,521 - 4 - 146
Other assets (11) 37,069 + 1,320 + 8,747

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

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

4. Consolidated Statement of Condition of All Federal Reserve Banks (continued)
Millions of dollars
Assets, liabilities, and capital Eliminations Wednesday Change since
from May 6, 2020 Wednesday Wednesday
consolidation Apr 29, 2020 May 8, 2019

Liabilities
Federal Reserve notes, net of F.R. Bank holdings 1,873,325 + 11,194 + 188,164
Reverse repurchase agreements (12) 265,206 - 3,900 + 4,236
Deposits (0) 4,518,539 + 58,401 +2,618,263
Term deposits held by depository institutions 0 0 0
Other deposits held by depository institutions 3,165,606 + 2,093 +1,674,926
U.S. Treasury, General Account 1,143,268 + 67,036 + 798,807
Foreign official 16,336 + 13 + 11,091
Other (13) (0) 193,329 - 10,741 + 133,438
Deferred availability cash items (0) 272 - 1,166 + 25
Other liabilities and accrued dividends (14) 25,208 + 929 + 19,074

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

Capital accounts
Capital paid in 32,046 + 33 - 556
Surplus 6,825 0 0
Other capital accounts 0 0 0

Total capital 38,871 + 33 - 556

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

1. Includes securities lent to dealers under the overnight securities lending facility; refer to table
1A.
2. Face value of the securities.
3. Compensation that adjusts for the effect of inflation on the original face value of
inflation-indexed securities.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the
remaining principal balance of the securities.
5. Reflects the premium or discount, which is the difference between the purchase price and the face
value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt
securities, and mortgage-backed securities, amortization is on an effective-interest basis.
6. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities.
7. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary
Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, Paycheck Protection Program Liquidity
Facility, and other credit extensions.
8. Refer to the note on consolidation accompanying table 5.
9. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used
when the foreign currency is returned to the foreign central bank. This exchange rate equals the
market exchange rate used when the foreign currency was acquired from the foreign central bank.
10. Revalued daily at current foreign currency exchange rates.
11. Includes accrued interest, which represents the daily accumulation of interest earned, and other
accounts receivable. Also includes net portfolio holdings of Maiden Lane LLC.
12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt
securities, and mortgage-backed securities.
13. Includes deposits held at the Reserve Banks by international and multilateral organizations,
government-sponsored enterprises, designated financial market utilities, and deposits held by depository
institutions in joint accounts in connection with their participation in certain private-sector payment
arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account,
for services provided by the Reserve Banks as fiscal agents of the United States.
14. Includes the liability for earnings remittances due to the U.S. Treasury.

5. Statement of Condition of Each Federal Reserve Bank, May 6, 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 1,557 35 45 145 87 213 150 261 21 44 102 175 279
Securities, unamortized premiums and
discounts, repurchase agreements,
and loans (1) 6,194,928 181,893 3,187,013 139,967 190,959 384,954 450,608 343,929 97,418 58,706 99,043 295,039 765,399
Net portfolio holdings of Commercial
Paper Funding Facility II LLC (2) 3,988 0 3,988 0 0 0 0 0 0 0 0 0 0
Central bank liquidity swaps (3) 444,885 21,117 149,510 16,010 38,018 93,901 22,065 17,277 7,293 3,484 4,692 5,282 66,239
Foreign currency denominated
assets (4) 20,521 974 6,898 738 1,753 4,331 1,018 797 336 161 216 244 3,055
Other assets (5) 39,302 1,007 19,140 946 1,300 2,759 2,934 2,224 789 510 912 2,017 4,765
Interdistrict settlement account 0 - 60,309 + 374,553 - 10,099 - 27,257 + 45,852 - 99,773 - 7,743 - 18,642 - 13,287 - 10,823 + 2,632 - 175,105

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

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

5. Statement of Condition of Each Federal Reserve Bank, May 6, 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 1,873,325 57,984 622,362 51,175 85,060 126,216 258,186 121,874 59,352 30,471 50,417 153,195 257,032
Reverse repurchase agreements (6) 265,206 5,956 137,312 6,051 8,297 16,622 19,545 14,813 4,190 2,506 4,217 12,781 32,915
Deposits 4,518,539 79,063 2,956,484 89,212 108,442 381,011 98,436 218,821 23,198 16,098 39,208 139,241 369,325
Depository institutions 3,165,606 79,040 1,737,189 89,211 106,417 379,722 98,333 100,005 23,191 16,040 31,341 135,797 369,319
U.S. Treasury, General Account 1,143,268 0 1,143,268 0 0 0 0 0 0 0 0 0 0
Foreign official 16,336 2 16,310 1 3 8 2 2 1 0 0 0 6
Other (7) 193,329 21 59,718 0 2,022 1,280 100 118,814 6 58 7,866 3,443 0
Earnings remittances due to the U.S.
Treasury (8) 2,029 56 1,069 44 62 96 149 113 37 23 32 94 255
Other liabilities and accrued
dividends 23,451 362 16,402 366 463 1,047 969 764 283 462 301 627 1,405

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

Capital
Capital paid in 32,046 1,505 10,707 1,143 2,714 6,745 1,561 1,232 523 272 344 571 4,729
Surplus 6,825 324 2,294 246 583 1,441 338 265 112 53 72 81 1,016
Other capital 0 0 0 0 0 0 0 0 0 0 0 0 0

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

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

5. Statement of Condition of Each Federal Reserve Bank, May 6, 2020 (continued)

1. Securities include outright holdings of U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, including securities lent to dealers under the overnight
securities lending facility; refer to table 1A. Mortgage-backed securities are guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Unamortized premiums and discounts are the differences between the
purchase price and the face value of the securities that have not been amortized. For U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, amortization is on an
effective-interest basis. Repurchase agreements reflect the cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. Loans includes primary, secondary, and
seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit
extensions.
2. Refer to note on consolidation below.
3. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals
the market exchange rate used when the foreign currency was acquired from the foreign central bank.
4. Revalued daily at current foreign currency exchange rates.
5. Includes items in process of collection, bank premises, accrued interest (which represents the daily accumulation of interest earned), and other accounts receivable. Also includes Net portfolio
holdings of Maiden Lane LLC; refer to the note on consolidation for additional information.
6. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities.
7. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by
depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General
Account, for services provided by the Reserve Banks as fiscal agents of the United States.
8. Represents the estimated weekly remittances due to U.S. Treasury. The amounts on this line represent the residual net earnings that the Federal Reserve Banks remit to the U.S. Treasury after
providing for the costs of operations, payment of dividends, and the amount necessary to maintain a $6.825 billion surplus.

Note on consolidation:

On April 14, 2020, the Federal Reserve Bank of New York (FRBNY) began extending loans to the Commercial Paper Funding Facility II LLC (CPFF II LLC) under the authority of section 13(3) of
the Federal Reserve Act. CPFF II LLC is a limited liability company formed to purchase three-month U.S dollar-denominated commercial paper by eligible issuers. The assets of the CPFF II LLC are
used to secure the loan from the FRBNY and the amount provided by U.S. Treasury as credit protection to the FRBNY.

The FRBNY is the managing member of CPFF II LLC. Consistent with generally accepted accounting principles, the assets and liabilities of the CPFF II LLC have been consolidated with the
assets and liabilities of the FRBNY in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the loan from the FRBNY to CPFF II LLC is
eliminated, the net assets of the CPFF II LLC appear as assets on the previous page (and in table 1 and table 4), and the liabilities of the CPFF II LLC to entities other than the FRBNY, including
those with recourse only to the portfolio holdings of the CPFF II LLC are included in other liabilities in this table (and table 1 and table 4).

6. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts
Millions of dollars
Federal Reserve notes and collateral Wednesday
May 6, 2020

Federal Reserve notes outstanding 2,028,096
Less: Notes held by F.R. Banks not subject to collateralization 154,771
Federal Reserve notes to be collateralized 1,873,325
Collateral held against Federal Reserve notes 1,873,325
Gold certificate account 11,037
Special drawing rights certificate account 5,200
U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,857,088
Other assets pledged 0
Memo:
Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 5,800,618
Less: Face value of securities under reverse repurchase agreements 252,327
U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 5,548,291

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

1. Includes face value of U.S. Treasury, agency debt, and mortgage-backed securities held outright,
compensation to adjust for the effect of inflation on the original face value of inflation-indexed
securities, and cash value of repurchase agreements.
2. Includes securities lent to dealers under the overnight securities lending facility; refer to table
1A.

Statistical releases