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.