FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks July 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 Jul 22, 2020 Federal Reserve Banks Jul 22, 2020 Jul 15, 2020 Jul 24, 2019 Reserve Bank credit 6,912,159 + 30,956 +3,144,551 6,925,422 Securities held outright (1) 6,222,906 + 55,715 +2,601,737 6,238,825 U.S. Treasury securities 4,259,308 + 18,480 +2,165,282 4,265,878 Bills (2) 326,044 0 + 326,042 326,044 Notes and bonds, nominal (2) 3,630,043 + 21,691 +1,675,672 3,636,425 Notes and bonds, inflation-indexed (2) 267,941 - 2,652 + 151,952 268,113 Inflation compensation (3) 35,280 - 559 + 11,616 35,296 Federal agency debt securities (2) 2,347 0 0 2,347 Mortgage-backed securities (4) 1,961,251 + 37,235 + 436,455 1,970,600 Unamortized premiums on securities held outright (5) 319,083 + 2,596 + 189,102 320,498 Unamortized discounts on securities held outright (5) -5,227 + 45 + 7,561 -5,161 Repurchase agreements (6) 0 0 0 0 Foreign official 0 0 0 0 Others 0 0 0 0 Loans 92,783 - 575 + 92,658 92,552 Primary credit 4,605 - 186 + 4,603 4,578 Secondary credit 0 0 0 0 Seasonal credit 28 + 6 - 94 31 Primary Dealer Credit Facility 1,873 + 45 + 1,873 1,899 Money Market Mutual Fund Liquidity Facility 17,952 - 752 + 17,952 17,541 Paycheck Protection Program Liquidity Facility 68,326 + 313 + 68,326 68,503 Other credit extensions 0 0 0 0 Net portfolio holdings of Commercial Paper Funding Facility II LLC (7) 10,299 - 2,035 + 10,299 10,105 Net portfolio holdings of Corporate Credit Facilities LLC (7) 43,794 + 741 + 43,794 44,046 Net portfolio holdings of MS Facilities LLC (Main Street Lending Program) (7) 37,516 + 11 + 37,516 37,518 Net portfolio holdings of Municipal Liquidity Facility LLC (7) 16,084 + 2 + 16,084 16,085 Net portfolio holdings of TALF II LLC (7) 9,439 + 588 + 9,439 9,439 Float -174 + 72 + 10 -255 Central bank liquidity swaps (8) 126,322 - 27,172 + 126,311 121,992 Other Federal Reserve assets (9) 39,333 + 966 + 10,038 39,778 Foreign currency denominated assets (10) 21,148 + 124 + 315 21,267 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding (11) 50,443 + 14 + 494 50,443 Total factors supplying reserve funds 6,999,991 + 31,093 +3,145,360 7,013,374 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 Jul 22, 2020 Federal Reserve Banks Jul 22, 2020 Jul 15, 2020 Jul 24, 2019 Currency in circulation (11) 1,983,035 + 4,369 + 237,804 1,985,894 Reverse repurchase agreements (12) 216,946 - 4,496 - 73,229 214,665 Foreign official and international accounts 216,945 - 4,496 - 59,431 214,665 Others 1 + 1 - 13,799 0 Treasury cash holdings 45 - 5 - 119 47 Deposits with F.R. Banks, other than reserve balances 2,005,027 + 178,336 +1,748,765 1,991,237 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 1,804,944 + 149,624 +1,611,582 1,777,180 Foreign official 16,231 - 1 + 10,975 16,224 Other (13) 183,852 + 28,714 + 126,208 197,833 Treasury contributions to credit facilities (14) 114,000 0 + 114,000 114,000 Other liabilities and capital (15) 49,158 - 1,288 + 4,681 47,874 Total factors, other than reserve balances, absorbing reserve funds 4,368,211 + 176,916 +2,031,902 4,353,716 Reserve balances with Federal Reserve Banks 2,631,780 - 145,823 +1,113,458 2,659,658 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements. 7. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on consolidation below. 8. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 9. Includes bank premises, accrued interest, and other accounts receivable. 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. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion, MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money Market Mutual Fund Liquidity Facility of $1.5 billion. 15. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury. 1A. Memorandum Items Millions of dollars Memorandum item Averages of daily figures Wednesday Week ended Change from week ended Jul 22, 2020 Jul 22, 2020 Jul 15, 2020 Jul 24, 2019 Securities held in custody for foreign official and international accounts 3,402,313 - 2,809 - 58,619 3,403,643 Marketable U.S. Treasury securities (1) 2,952,275 + 433 - 77,627 2,955,384 Federal agency debt and mortgage-backed securities (2) 365,055 - 3,560 + 14,039 363,034 Other securities (3) 84,983 + 319 + 4,969 85,225 Securities lent to dealers 23,382 - 4,600 - 1,155 27,207 Overnight facility (4) 23,382 - 4,600 - 1,155 27,207 U.S. Treasury securities 23,382 - 4,600 - 1,155 27,207 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, 5, and 6. 2. Face value of federal agency securities and current face value of mortgage-backed securities, which is the remaining principal balance of the securities. 3. Includes non-marketable U.S. Treasury securities, supranationals, corporate bonds, asset-backed securities, and commercial paper at face value. 4. Face value. Fully collateralized by U.S. Treasury securities. 2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, July 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) 7,225 10,723 6,101 68,503 0 ... 92,552 U.S. Treasury securities (2) Holdings 74,899 259,225 637,534 1,607,135 745,867 941,219 4,265,878 Weekly changes + 16,004 - 20,155 + 4,150 + 2,296 + 7,738 + 2,615 + 12,649 Federal agency debt securities (3) Holdings 0 0 0 0 1,436 911 2,347 Weekly changes 0 0 0 0 0 0 0 Mortgage-backed securities (4) Holdings 0 0 5 2,347 79,132 1,889,116 1,970,600 Weekly changes 0 0 0 + 54 + 170 + 21,988 + 22,212 Commercial paper held by Commercial Paper Funding Facility II LLC (5) 1,459 86 0 ... ... ... 1,545 Loan participations held by MS Facilities LLC (Main Street Lending Program) (6) 0 0 0 14 ... ... 14 Municipal notes held by Municipal Liquidity Facility LLC (7) 0 0 1,200 0 ... ... 1,200 Loans held by TALF II LLC (8) 0 0 0 937 ... ... 937 Repurchase agreements (9) 0 0 ... ... ... ... 0 Central bank liquidity swaps (10) 28,173 93,819 0 0 0 0 121,992 Reverse repurchase agreements (9) 214,665 0 ... ... ... ... 214,665 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 loans from the Federal Reserve Bank of New York (FRBNY) to Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF II LLC, and from the Federal Reserve Bank of Boston (FRBB) to MS Facilities LLC, which were eliminated when preparing the FRBNY's and FRBB's statement of condition, respectively, consistent with consolidation under generally accepted accounting principles. 2. Face value. For inflation-indexed securities, includes the original face value and compensation that adjusts for the effect of inflation on the original face value of such securities. 3. Face value. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Book value of commercial paper held by Commercial Paper Funding Facility II LLC. 6. Book value of the loan participations held by the MS Facilities LLC. 7. Book value of the municipal notes held by the Municipal Liquidity Facility LLC. 8. Book value of the loans held by the TALF II LLC. 9. Cash value of agreements. 10. 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 Jul 22, 2020 Mortgage-backed securities held outright (1) 1,970,600 Residential mortgage-backed securities 1,961,421 Commercial mortgage-backed securities 9,179 Commitments to buy mortgage-backed securities (2) 75,115 Commitments to sell mortgage-backed securities (2) 0 Cash and cash equivalents (3) 36 1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 2. Current face value. Includes residential and commercial mortgage-backed securities. Residential mortgage-backed securities generally settle within 180 calendar days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. Commercial mortgage-backed securities generally settle within three business days. 3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 5 and table 6. 4. Information on Principal Accounts of Credit Facilities LLCs Millions of dollars Credit Facilities LLCs: Wednesday Jul 22, 2020 Net portfolio holdings of Credit Facilities LLCs Outstanding principal Outstanding amount amount of Treasury of loan facility contributions extended to asset and the LLC (1) purchases (2)other assets (3) Total Commercial Paper Funding Facility II LLC 1,541 1,545 8,560 10,105 Corporate Credit Facilities LLC 11,791 12,100 31,947 44,046 MS Facilities LLC (Main Street Lending Program) 14 14 37,504 37,518 Municipal Liquidity Facility LLC 1,200 1,200 14,885 16,085 TALF II LLC 937 937 8,502 9,439 Note: Components may not sum to totals because of rounding. 1. Book value. This amount was eliminated when preparing the Federal Reserve Banks' statement of condition consistent with consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 6. Loans are extended from the Federal Reserve Bank to the LLC upon settlement of the investment activity. 2. Outstanding amount of facility asset purchases: a. For the Commercial Paper Funding Facility II LLC includes commercial paper at book value. b. For the Corporate Credit Facilities LLC includes exchange traded-funds at fair value and corporate bonds at book value. Asset balances from trading activity are reported on a one-day lag after the transaction date. c. For the MS Facilities LLC (Main Street Lending Program) includes loan participations at face value. d. For the Municipal Liquidity Facility LLC includes municipal notes at book value. Asset balances from trading activity may be reported on a one-day lag after the transaction date. e. For the TALF II LLC includes loans to holders of eligible asset-backed securities at book value. 3. Includes short term receivables, interest and dividend receivables, and other assets of the facility. Also includes the portion of the Treasury contribution to the credit facilities, which is held as investments in nonmarketable Treasury securities and the residual portion which is held as cash and cash equivalents at the FRBNY. The amount of cash and cash equivalents held at the FRBNY are eliminated in consolidation and, as result, are excluded from net portfolio holdings in Tables 1, 5, and 6. Amounts excluded are initially 15% of Treasury contributions to the credit facilities from the following consolidated LLCs: Commercial Paper Funding Facility II LLC, Corporate Credit Facilities LLC, Municipal Liquidity Facility LLC, and TALF II LLC. Refer to the note on consolidation accompanying table 6. 5. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Jul 22, 2020 Wednesday Wednesday consolidation Jul 15, 2020 Jul 24, 2019 Assets Gold certificate account 11,037 0 0 Special drawing rights certificate account 5,200 0 0 Coin 1,522 - 1 - 159 Securities, unamortized premiums and discounts, repurchase agreements, and loans 6,646,714 + 36,666 +2,911,656 Securities held outright (1) 6,238,825 + 34,860 +2,620,886 U.S. Treasury securities 4,265,878 + 12,649 +2,171,827 Bills (2) 326,044 0 + 326,042 Notes and bonds, nominal (2) 3,636,425 + 11,336 +1,682,054 Notes and bonds, inflation-indexed (2) 268,113 + 1,199 + 152,124 Inflation compensation (3) 35,296 + 114 + 11,607 Federal agency debt securities (2) 2,347 0 0 Mortgage-backed securities (4) 1,970,600 + 22,212 + 449,058 Unamortized premiums on securities held outright (5) 320,498 + 2,541 + 190,731 Unamortized discounts on securities held outright (5) -5,161 + 119 + 7,616 Repurchase agreements (6) 0 - 2 0 Loans (7) 92,552 - 852 + 92,423 Net portfolio holdings of Commercial Paper Funding Facility II LLC (8) 10,105 - 554 + 10,105 Net portfolio holdings of Corporate Credit Facilities LLC (8) 44,046 + 623 + 44,046 Net portfolio holdings of MS Facilities LLC (Main Street Lending Program) (8) 37,518 + 3 + 37,518 Net portfolio holdings of Municipal Liquidity Facility LLC (8) 16,085 + 1 + 16,085 Net portfolio holdings of TALF II LLC (8) 9,439 0 + 9,439 Items in process of collection (0) 52 - 1 - 56 Bank premises 2,199 + 1 + 10 Central bank liquidity swaps (9) 121,992 - 32,858 + 121,981 Foreign currency denominated assets (10) 21,267 + 173 + 515 Other assets (11) 37,579 + 2,098 + 10,179 Total assets (0) 6,964,755 + 6,151 +3,161,319 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 5. Consolidated Statement of Condition of All Federal Reserve Banks (continued) Millions of dollars Assets, liabilities, and capital Eliminations Wednesday Change since from Jul 22, 2020 Wednesday Wednesday consolidation Jul 15, 2020 Jul 24, 2019 Liabilities Federal Reserve notes, net of F.R. Bank holdings 1,937,015 + 4,236 + 239,052 Reverse repurchase agreements (12) 214,665 - 9,564 - 67,731 Deposits (0) 4,650,895 + 12,926 +2,872,553 Term deposits held by depository institutions 0 0 0 Other deposits held by depository institutions 2,659,658 - 72,991 +1,134,318 U.S. Treasury, General Account 1,777,180 + 36,725 +1,598,953 Foreign official 16,224 - 8 + 10,969 Other (13) (0) 197,833 + 49,200 + 128,313 Deferred availability cash items (0) 307 + 27 - 300 Treasury contributions to credit facilities (14) 114,000 0 + 114,000 Other liabilities and accrued dividends (15) 9,113 - 1,473 + 4,212 Total liabilities (0) 6,925,994 + 6,151 +3,161,785 Capital accounts Capital paid in 31,936 0 - 465 Surplus 6,825 0 0 Other capital accounts 0 0 0 Total capital 38,761 0 - 465 Note: Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. 7. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, Paycheck Protection Program Liquidity Facility, and other credit extensions. 8. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on consolidation below. 9. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 10. Revalued daily at current foreign currency exchange rates. 11. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. 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. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion, MS Facilities LLC of $37.5 billion, Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money Market Mutual Fund Liquidity Facility of $1.5 billion. 15. Includes the liability for earnings remittances due to the U.S. Treasury. 6. Statement of Condition of Each Federal Reserve Bank, July 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 1,522 34 41 121 88 211 157 246 29 44 93 169 288 Securities, unamortized premiums and discounts, repurchase agreements, and loans (1) 6,646,714 167,104 3,411,452 156,096 207,034 416,696 487,379 370,042 105,594 66,572 110,688 318,858 829,199 Net portfolio holdings of Commercial Paper Funding Facility II LLC (2) 10,105 0 10,105 0 0 0 0 0 0 0 0 0 0 Net portfolio holdings of Corporate Credit Facilities LLC (2) 44,046 0 44,046 0 0 0 0 0 0 0 0 0 0 Net portfolio holdings of MS Facilities LLC (Main Street Lending Program) (2) 37,518 37,518 0 0 0 0 0 0 0 0 0 0 0 Net portfolio holdings of Municipal Liquidity Facility LLC (2) 16,085 0 16,085 0 0 0 0 0 0 0 0 0 0 Net portfolio holdings of TALF II LLC (2) 9,439 0 9,439 0 0 0 0 0 0 0 0 0 0 Central bank liquidity swaps (3) 121,992 5,791 40,997 4,390 10,425 25,749 6,050 4,737 2,000 955 1,287 1,448 18,163 Foreign currency denominated assets (4) 21,267 1,009 7,149 765 1,817 4,488 1,055 826 349 167 224 252 3,166 Other assets (5) 39,830 2,522 17,875 961 1,306 2,776 2,998 2,251 778 498 922 2,112 4,831 Interdistrict settlement account 0 - 61,675 + 562,882 - 18,901 + 4,292 - 57,136 - 111,791 - 30,277 - 25,463 - 14,768 - 24,417 - 39,382 - 183,363 Total assets 6,964,755 152,835 4,125,554 143,961 225,723 393,949 388,031 348,962 83,766 53,738 89,247 284,660 674,329 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 6. Statement of Condition of Each Federal Reserve Bank, July 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 1,937,015 58,278 652,002 57,064 89,563 124,390 267,588 126,315 58,674 30,781 52,954 164,138 255,270 Reverse repurchase agreements (6) 214,665 4,821 111,144 4,898 6,716 13,454 15,820 11,990 3,392 2,029 3,414 10,346 26,642 Deposits 4,650,895 48,514 3,270,264 80,317 125,812 247,123 102,186 208,602 20,846 20,140 32,211 109,099 385,780 Depository institutions 2,659,658 48,471 1,364,757 80,316 125,777 246,376 102,141 125,704 20,843 20,085 32,175 107,241 385,773 U.S. Treasury, General Account 1,777,180 0 1,777,180 0 0 0 0 0 0 0 0 0 0 Foreign official 16,224 2 16,197 1 3 8 2 2 1 0 0 0 6 Other (7) 197,833 41 112,130 0 32 738 44 82,896 3 55 36 1,858 1 Earnings remittances due to the U.S. Treasury (8) 1,874 49 929 45 62 148 138 103 34 13 34 85 234 Treasury contributions to credit facilities (9) 114,000 39,000 75,000 0 0 0 0 0 0 0 0 0 0 Other liabilities and accrued dividends 7,545 343 3,208 230 271 648 546 437 185 449 218 342 667 Total liabilities 6,925,994 151,005 4,112,547 142,554 222,424 385,763 386,278 347,447 83,131 53,412 88,831 284,008 668,593 Capital Capital paid in 31,936 1,506 10,714 1,161 2,715 6,745 1,414 1,250 523 272 344 571 4,719 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 6,964,755 152,835 4,125,554 143,961 225,723 393,949 388,031 348,962 83,766 53,738 89,247 284,660 674,329 Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 6. Statement of Condition of Each Federal Reserve Bank, July 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. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on consolidation below. 3. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 4. Revalued daily at current foreign currency exchange rates. 5. Includes items in process of collection, bank premises, accrued interest (which represents the daily accumulation of interest earned), and other accounts receivable. 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. 9. Book value. Amount of equity investments in Commercial Paper Funding Facility II LLC of $10 billion, Corporate Credit Facilities LLC of $37.5 billion, MS Facilities LLC of $37.5 billion, and Municipal Liquidity Facility LLC of $17.5 billion, and TALF II LLC of $10 billion, and credit protection in the Money Market Mutual Fund Liquidity Facility of $1.5 billion. Note on consolidation: The Federal Reserve Bank of New York (FRBNY) and the Federal Reserve Bank of Boston (FRBB) have extended loans to limited liability companies under the authority of section 13(3) of the Federal Reserve Act. On April 14, 2020, FRBNY began extending loans to the Commercial Paper Funding Facility II LLC (CPFF II LLC), a limited liability company formed to purchase three-month U.S dollar-denominated commercial paper by eligible issuers. The assets of the CPFF II LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On May 12, 2020, FRBNY began extending loans to the Corporate Credit Facilities LLC (CCF LLC), a limited liability company formed to purchase eligible bonds or portions of syndicated loans or bonds at issuance through the Primary Market Corporate Credit Facility and to purchase eligible individual corporate bonds and exchange-traded funds through the Secondary Market Corporate Credit Facility. The assets of the CCF LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On June 5, 2020, FRBNY began extending loans to the Municipal Liquidity Facility LLC (MLF LLC), a limited liability company formed to purchase municipal notes from eligible issuers. The assets of the MLF LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On June 25, 2020, FRBNY began extending loans to the TALF II LLC, a special purpose vehicle that was formed to help support the flow of credit to consumers and businesses. The assets of the TALF II LLC and the amount provided by U.S. Treasury as credit protection to the FRBNY are used to secure the loan from the FRBNY. On July 15, 2020, the FRBB began extending loans to the MS Facilities LLC (Main Street Lending Program), a special purpose vehicle that was formed to help ensure credit flows to small and medium-sized businesses. The assets of the MS Facilities LLC and the amount provided by U.S. Treasury as credit protection to the FRBB are used to secure the loan from the FRBB. The FRBNY is the managing member of CPFF II LLC, CCF LLC, MLF LLC, and TALF II LLC. The FRBB is the managing member of MS Facilities LLC (Main Street Lending Program). Consistent with generally accepted accounting principles, the assets and liabilities of each LLC have been accounted for and consolidated with the assets and liabilities of the FRBNY or FRBB, in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the loan from the Reserve Bank to the LLC is eliminated as are any balances held at the FRBNY for LLCs consolidated to FRBNY or FRBB for LLCs consolidated to FRBB. Treasury contributions to credit facilities are held at FRBNY until invested. Net assets of the LLC appears as assets on table 6 (and in table 1 and table 5), and the liabilities of the LLC to entities other than the FRBNY or FRBB, including those with recourse only to the portfolio holdings of the LLC, are included in other liabilities in this table (and table 1 and table 5). The amount provided by U.S. Treasury as credit protection to FRBNY and FRBB appears as liabilities on table 6 (and in table 1 and table 5). 7. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts Millions of dollars Federal Reserve notes and collateral Wednesday Jul 22, 2020 Federal Reserve notes outstanding 2,090,415 Less: Notes held by F.R. Banks not subject to collateralization 153,400 Federal Reserve notes to be collateralized 1,937,015 Collateral held against Federal Reserve notes 1,937,015 Gold certificate account 11,037 Special drawing rights certificate account 5,200 U.S. Treasury, agency debt, and mortgage-backed securities pledged (1,2) 1,920,778 Other assets pledged 0 Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities (1,2) 6,238,825 Less: Face value of securities under reverse repurchase agreements 202,445 U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged 6,036,380 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.