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Financial Statements:
Federal Reserve Bank of Chicago

As of and for the Years Ended
December 31, 2021 and 2020 and
Independent Auditors’ Report

Federal Reserve Bank of Chicago
Contents

Page
Management’s Report on Internal Control over Financial Reporting

1

Independent Auditors’ Report

2-3

Abbreviations

4

Financial Statements:
Statements of Condition as of December 31, 2021 and December 31, 2020

5

Statements of Operations for the years ended December 31, 2021 and December 31, 2020

6

Statements of Changes in Capital for the years ended December 31, 2021 and December 31, 2020

7

Notes to Financial Statements

8-47

Management’s Report on Internal Control over Financial Reporting
To the Board of Directors:

March 10, 2022

The management of the Federal Reserve Bank of Chicago (Bank) is responsible for the preparation and fair
presentation of the Statements of Condition as of December 31, 2021 and 2020, and the Statements of
Operations, and Statements of Changes in Capital for the years then ended (the financial statements). The
financial statements have been prepared in conformity with the accounting principles, policies, and practices
established by the Board of Governors of the Federal Reserve System as set forth in the Financial Accounting
Manual for Federal Reserve Banks (FAM), and, as such, include some amounts that are based on management
judgments and estimates. To our knowledge, the financial statements are, in all material respects, fairly presented
in conformity with the accounting principles, policies and practices documented in the FAM and include all
disclosures necessary for such fair presentation.
The management of the Bank is responsible for establishing and maintaining effective internal control over
financial reporting as it relates to the financial statements. The Bank’s internal control over financial reporting
is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation
of financial statements for external reporting purposes in accordance with the FAM. The Bank’s internal control
over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that
in reasonable detail accurately and fairly reflect the transactions and dispositions of the Bank’s assets; (ii) provide
reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in
accordance with FAM, and that the Bank’s receipts and expenditures are being made only in accordance with
authorizations of its management and directors; and (iii) provide reasonable assurance regarding prevention or
timely detection of unauthorized acquisition, use or disposition of the Bank’s assets that could have a material
effect on its financial statements.
Even effective internal control, no matter how well designed, has inherent limitations, including the possibility
of human error, and therefore can provide only reasonable assurance with respect to the preparation of reliable
financial statements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk
that controls may become inadequate because of changes in conditions, or that the degree of compliance with
the policies or procedures may deteriorate.
The management of the Bank assessed its internal control over financial reporting based upon the criteria
established in the Internal Control – Integrated Framework (2013) issued by the Committee of Sponsoring
Organizations of the Treadway Commission. Based on this assessment, we believe that the Bank maintained
effective internal control over financial reporting.

Charles L. Evans
President and
Chief Executive Officer

Ellen J. Bromagen
First Vice President and
Chief Operations Officer

FEDERAL RESERVE B A N K of C H I C A G O
230 SOUTH LASALLE STREET
CHICAGO, ILLINOIS

60604-1413

chicagofed.org

Frederick C. Martin
Senior Vice President and
Chief Financial Officer

KPMG LLP
Aon Center
Suite 5500
200 E. Randolph Street
Chicago, IL 60601-6436

Report of Independent Registered Public Accounting Firm
To the Board of Governors of the Federal Reserve System
and the Board of Directors of the Federal Reserve Bank of Chicago:
We have audited the accompanying statements of condition of the Federal Reserve Bank of Chicago (“FRB
Chicago”) as of December 31, 2021 and 2020, and the related statements of operations and changes in capital
for the years then ended. We also have audited the FRB Chicago’s internal control over financial reporting as of
December 31, 2021, based on criteria established in Internal Control – Integrated Framework (2013) issued by
the Committee of Sponsoring Organizations of the Treadway Commission. The FRB Chicago’s management is
responsible for these financial statements, for maintaining effective internal control over financial reporting, and
for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying
Management’s Report on Internal Control over Financial Reporting. Our responsibility is to express an opinion
on these financial statements and an opinion on the FRB Chicago’s internal control over financial reporting
based on our audits.
We conducted our audits in accordance with the auditing standards of the Public Company Accounting
Oversight Board (United States) and in accordance with auditing standards generally accepted in the United
States of America. Those standards require that we plan and perform the audits to obtain reasonable
assurance about whether the financial statements are free of material misstatement and whether effective
internal control over financial reporting was maintained in all material respects. Our audits of the financial
statements included examining, on a test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. Our audit of internal control over financial reporting
included obtaining an understanding of internal control over financial reporting, assessing the risk that a
material weakness exists, and testing and evaluating the design and operating effectiveness of internal control
based on the assessed risk. Our audits also included performing such other procedures as we considered
necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.
The FRB Chicago’s internal control over financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for external
purposes in accordance with the accounting principles established by the Board of Governors of the Federal
Reserve System (the “Board”) as described in Note 3 of the financial statements and as set forth in the
Financial Accounting Manual for Federal Reserve Banks (“FAM”). The FRB Chicago’s internal control over
financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in
reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the FRB
Chicago; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation
of financial statements in accordance with the FAM, and that receipts and expenditures of the FRB Chicago are
being made only in accordance with authorizations of management and directors of the FRB Chicago; and
(3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or
disposition of the FRB Chicago’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that
controls may become inadequate because of changes in conditions, or that the degree of compliance with the
policies or procedures may deteriorate.

KPMG LLP, a Delaware limited liability partnership and a member firm of
the KPMG global organization of independent member firms affiliated with
KPMG International Limited, a private English company limited by guarantee.

As described in Note 3 to the financial statements, the FRB Chicago has prepared these financial statements in
conformity with the accounting principles established by the Board, as set forth in the FAM, which is a basis of
accounting other than U.S. generally accepted accounting principles.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial
position of the FRB Chicago as of December 31, 2021 and 2020, and the results of its operations and changes
in capital for the years then ended, on the basis of accounting described in Note 3. Also, in our opinion, the
FRB Chicago maintained, in all material respects, effective internal control over financial reporting as of
December 31, 2021, based on criteria established in Internal Control – Integrated Framework (2013) issued by
the Committee of Sponsoring Organizations of the Treadway Commission.

Chicago, Illinois
March 10, 2022

Federal Reserve Bank of Chicago

Abbreviations
ACH
ASC
ASU
BEP
Bureau
CARES
CCF
CMBS
CPFF II
DFMU
ESF
FAM
FASB
FIMA
FOMC
FRA
FRBB
FRBNY
GAAP
GSE
LLC
Main Street
MBS
MLF
MMLF
OEB
PDCF
PMCCF
PPP
PPPLF
RMBS
SBA
SDR
SERP
SMCCF
SOMA
TALF II
TBA
TIPS

Automated clearinghouse
Accounting Standards Codification
Accounting Standards Update
Benefit Equalization Retirement Plan
Bureau of Consumer Financial Protection
Coronavirus Aid, Relief, and Economic Security
Corporate Credit Facilities LLC
Commercial mortgage-backed securities
CP Funding Facility II LLC
Designated financial market utility
Exchange Stabilization Fund
Financial Accounting Manual for Federal Reserve Banks
Financial Accounting Standards Board
Foreign and International Monetary Authorities
Federal Open Market Committee
Federal Reserve Act
Federal Reserve Bank of Boston
Federal Reserve Bank of New York
Accounting principles generally accepted in the United States of America
Government-sponsored enterprise
Limited Liability Company
MS Facilities LLC
Mortgage-backed securities
Municipal Liquidity Facility LLC
Money Market Mutual Fund Liquidity Facility
Office of Employee Benefits of the Federal Reserve System
Primary Dealer Credit Facility
Primary Market Corporate Credit Facility
Paycheck Protection Program
Paycheck Protection Program Liquidity Facility
Residential mortgage-backed securities
Small Business Administration
Special drawing rights
Supplemental Retirement Plan for Select Officers of the Federal Reserve Banks
Secondary Market Corporate Credit Facility
System Open Market Account
Term Asset-Backed Securities Loan Facility II LLC
To be announced
Treasury Inflation-Protected Securities

4

Federal Reserve Bank of Chicago

Statements of Condition

As of December 31, 2021 and December 31, 2020
(in millions)
ASSETS
Gold certificates
Special drawing rights certificates
Coin
Loans:
Loans to depository institutions
Other loans
System Open Market Account:
Securities purchased under agreements to resell
Treasury securities, net (of which $2,223 and $1,877 is lent as of
December 31, 2021 and 2020, respectively)
Federal agency and government-sponsored enterprise mortgage-backed
securities, net
Government-sponsored enterprise debt securities, net (of which $0
is lent as of December 31, 2021 and 2020)
Foreign currency denominated investments, net
Central bank liquidity swaps
Accrued interest receivable
Other accrued interest receivable
Bank premises and equipment, net
Deferred asset - remittances to the Treasury
Interdistrict settlement account
Other assets
Total assets
LIABILITIES AND CAPITAL
Federal Reserve notes outstanding, net
System Open Market Account:
Securities sold under agreements to repurchase
Other liabilities
Deposits:
Depository institutions
Other deposits
Interest payable to depository institutions and others
Accrued benefit costs
Accrued remittances to the Treasury
Other liabilities
Total liabilities
Reserve Bank capital
Capital paid-in
Surplus (including accumulated other comprehensive loss of $17 and
$24 at December 31, 2021 and 2020, respectively)
Total Reserve Bank capital
Total liabilities and capital

2021
$

712
424
227

Note 4

$

713
424
258

161
85

95
1,403

-

56

322,915

276,809

146,536

117,838

$

142
797
131
1,690
206
135,797
34
609,857

$

147
862
694
1,677
3
205
17
5,189
30
406,420

$

121,907

$

132,608

Note 5

Note 6

Note 5

2020

Notes 8, 9

119,129
130

12,067
323

170,267
196,455
3
248
148
29
608,316

140,534
119,071
1
248
32
404,884

$

1,284

$

257
1,541
609,857

$

1,269

$

267
1,536
406,420

The accompanying notes are an integral part of these financial statements.

5

Federal Reserve Bank of Chicago

Statements of Operations

For the years ended December 31, 2021 and December 31, 2020
(in millions)
2021
INTEREST INCOME
Loans:
Loans to depository institutions
Other loans
System Open Market Account:
Securities purchased under agreements to resell
Treasury securities, net

Note 4

$

Note 5

Federal agency and government-sponsored enterprise mortgage-backed
securities, net
Government-sponsored enterprise debt securities, net
Foreign currency denominated investments, net
Central bank liquidity swaps
Total interest income
INTEREST EXPENSE
System Open Market Account:
Securities sold under agreements to repurchase
Depository institutions and others
Total interest expense
Net interest income
OTHER ITEMS OF INCOME (LOSS)
System Open Market Account:
Federal agency and government-sponsored
enterprise mortgage-backed securities (losses) gains, net
Foreign currency translation (losses) gains, net
Other
Income from services
Reimbursable services to government agencies
Other components of net benefit costs
Other
Total other items of income
OPERATING EXPENSES
Salaries and benefits
Occupancy
Equipment
Other
Assessments:
Board of Governors operating expenses and currency costs
Bureau of Consumer Financial Protection
Total operating expenses
Reserve Bank net income from operations
Earnings remittances to the Treasury
Net income after providing for remittances to the Treasury
Change in prior service costs related to benefit plans
Change in actuarial gains (losses) related to benefit plans
Total other comprehensive income (loss)
Comprehensive income

Note 5

$

2020

3

$

2
8

5,083

38
3,710

1,627
7
(2)
6,718

1,768
7
(2)
19
5,550

23
428
451
6,267

$

37
516
553
4,997

Note 5

$

(2)
(72)
2
92
3
(1)
6
28

$

37
59
2
93
3
(26)
7
175

$

321
32
13
70

$

297
30
14
40

Notes 8, 9

Note 9, 10
Note 9, 10

$

128
24
588
5,707
5,694
13
(1)
8
7
20

$

107
20
508
4,664
4,624
40
(1)
(13)
(14)
26

The accompanying notes are an integral part of these financial statements.

6

Federal Reserve Bank of Chicago

Statements of Changes in Capital

For the years ended December 31, 2021 and December 31, 2020
(in millions, except share data)

Balance at December 31, 2019
(24,619,608 shares of Reserve Bank capital stock)
Net change in capital stock issued
(753,780 shares)

Net income
retained

Capital paid-in
$

Comprehensive income:
Reserve Bank net income after providing for
remittances to the Treasury
Other comprehensive loss
Dividends on capital stock

1,231

$

-

-

40

-

-

Comprehensive income:
Reserve Bank net income after providing for
remittances to the Treasury
Other comprehensive income
Dividends on capital stock
Net change in Reserve Bank capital
Balance at December 31, 2021
(25,684,782 shares of Reserve Bank capital stock)

$

1,269

$

291

15

-

-

$

(14)
$

(24)

265

$

1,496

-

(14)

16
$

(10)

Total Reserve
Bank capital

Total surplus

-

(24)

38
$

275

38

-

Net change in Reserve Bank capital
Balance at December 31, 2020
(25,373,388 shares of Reserve Bank capital stock)
Net change in capital stock issued
(311,394 shares)

Reserve Bank Capital
Surplus
Accumulated
other
comprehensive
loss

$

38

40

40

(14)

(14)

(24)

(24)

2

40

267

$

1,536

-

-

15

13

-

13

13

-

7

7

7

-

(30)

-

(30)

(30)

15

(17)

7

(10)

5

1,284

$

274

$

(17)

$

257

$

1,541

The accompanying notes are an integral part of these financial statements.

7

Federal Reserve Bank of Chicago
Notes to Financial Statements
(1) STRUCTURE
The Federal Reserve Bank of Chicago (Bank) is part of the Federal Reserve System (System) and is one of
the 12 Federal Reserve Banks (Reserve Banks) created by Congress under the Federal Reserve Act of 1913
(FRA), which established the central bank of the United States. The Reserve Banks are chartered by the
federal government and possess a unique set of governmental, corporate, and central bank characteristics.
The Bank serves the Seventh Federal Reserve District, which includes Iowa, and portions of Michigan,
Illinois, Wisconsin, and Indiana.
In accordance with the FRA, supervision and control of the Bank is exercised by a board of directors. The
FRA specifies the composition of the board of directors for each of the Reserve Banks. Each board is
composed of nine members serving three-year terms: three directors, including those designated as
chairman and deputy chairman, are appointed by the Board of Governors of the Federal Reserve System
(Board of Governors) to represent the public, and six directors are elected by member banks. Banks that
are members of the System include all national banks and state-chartered banks that apply and are approved
for membership. Member banks are divided into three classes according to size. Member banks in each
class elect one director representing member banks and one director representing the public. In any election
of directors, each member bank receives one vote, regardless of the number of shares of Reserve Bank stock
it holds.
In addition to the 12 Reserve Banks, the System also consists, in part, of the Board of Governors and the
Federal Open Market Committee (FOMC). The Board of Governors, an independent federal agency, is
charged by the FRA with a number of specific duties, including general supervision over the Reserve Banks.
The FOMC is composed of members of the Board of Governors, the president of the Federal Reserve Bank
of New York (FRBNY), and, on a rotating basis, four other Reserve Bank presidents.
(2) OPERATIONS AND SERVICES
The Reserve Banks perform a variety of services and operations. These functions include participating in
formulating and conducting monetary policy; participating in the payment system, including transfers of
funds, automated clearinghouse (ACH) operations, and check collection; distributing coin and currency;
performing fiscal agency functions for the U.S. Department of the Treasury (Treasury), certain federal
agencies, and other entities; serving as the federal government’s bank; providing short-term loans to
depository institutions; providing loans to participants in programs or facilities with broad-based eligibility
in unusual and exigent circumstances; serving consumers and communities by providing educational
materials and information regarding financial consumer protection rights and laws and information on
community development programs and activities; and supervising bank holding companies, state member
banks, savings and loan holding companies, U.S. offices of foreign banking organizations, Edge Act and
agreement corporations, and certain financial market utilities that have been designated as systemically
important. Certain services are provided to foreign official and international account holders, primarily by
the FRBNY.
The FOMC, in conducting monetary policy, establishes policy regarding domestic open market operations
and oversees these operations. The FOMC has selected the FRBNY to execute open market transactions on
behalf of the Reserve Banks as provided in its annual authorization. As such, the FRBNY holds the resulting
securities and agreements in a portfolio known as the System Open Market Account (SOMA). The FOMC
authorizes and directs the FRBNY to conduct operations in domestic markets, including the direct purchase
and sale of Treasury securities, federal agency and government-sponsored enterprise (GSE) residential
8

Federal Reserve Bank of Chicago
Notes to Financial Statements
mortgage-backed securities (RMBS), federal agency and GSE commercial mortgage-backed securities
(CMBS), and GSE debt securities; the purchase of these securities under agreements to resell; the sale of
these securities under agreements to repurchase; and the exchange, at market prices, of these securities that
are maturing. The FRBNY is authorized and directed to lend the Treasury securities and GSE debt securities
that are held in the SOMA.
To be prepared to meet the needs specified by the FOMC to carry out the System’s central bank
responsibilities, the FOMC authorized and directed the FRBNY to execute standalone spot and forward
foreign exchange transactions in certain foreign currencies, to hold balances in those currencies, and to
invest such foreign currency holdings, while maintaining adequate liquidity. The FRBNY holds these
securities and agreements in the SOMA.
Because of the global character of bank funding markets, the System has, at times, coordinated with other
central banks to provide liquidity. The FOMC authorized and directed the FRBNY to maintain standing
and temporary U.S. dollar liquidity swap arrangements and standing foreign currency liquidity swap
arrangements with various foreign banks. The FRBNY holds amounts outstanding under these liquidity
swap lines in the SOMA. In March 2020, the FOMC expanded standing U.S. dollar liquidity swap
arrangements to enhance the provision of U.S. dollar liquidity to foreign markets as well as established
temporary swap U.S. dollar liquidity lines to allow central banks to borrow U.S. currency against collateral
in their respective jurisdictions. The temporary swap lines expired on December 31, 2021.
The FOMC has authorized and directed the FRBNY to conduct small-value exercises periodically for the
purpose of testing operational readiness.
In response to the coronavirus pandemic that began in 2020, the Board of Governors authorized the FRBNY
and the Federal Reserve Bank of Boston (FRBB) to establish and operate several lending facilities under
section 13(3) of the Federal Reserve Act.
The FRBNY established and operated the following five lending facilities:
•

On March 17, 2020, the Primary Dealer Credit Facility (PDCF) was established as a term loan
facility that provides funding to primary dealers in exchange for a broad range of collateral and is
intended to foster the functioning of financial markets more generally. The PDCF’s authority to
extend loans ended March 31, 2021. All loans were subsequently repaid.

•

On March 17, 2020, the Commercial Paper Funding Facility (CPFF) was established to provide
liquidity to short-term funding markets. The CPFF provided a liquidity backstop to U.S. issuers of
commercial paper, including municipalities, by purchasing three-month unsecured and assetbacked commercial paper directly from eligible issuers. CP Funding Facility II Limited Liability
Company (LLC) (CPFF II) was established to administer the CPFF. The Treasury, using the
Exchange Stabilization Fund (ESF), made an equity investment in CPFF II. The CPFF’s authority
to purchase commercial paper ended March 31, 2021, and CPFF II was terminated on July 8, 2021.

•

On March 22, 2020, the Term Asset-Backed Securities Loan Facility (TALF) was established to
provide loans to U.S. companies secured by certain AAA-rated asset-backed securities (ABS)
backed by consumer and business loans. The Term Asset-Backed Securities Loan Facility II LLC
(TALF II) was established to administer the facility. The Treasury, using funds appropriated to the
ESF through the Coronavirus Aid, Relief, and Economic Security (CARES) Act, made an equity
investment in TALF II. The TALF’s authority to extend loans ended December 31, 2020.
9

Federal Reserve Bank of Chicago
Notes to Financial Statements
•

On March 23, 2020, the Corporate Credit Facilities was established to administer the Primary
Market Corporate Credit Facility (PMCCF), which was established to support credit to employers
through bond and loan issuances, and the Secondary Market Corporate Credit Facility (SMCCF),
which was established to support credit to employers by providing liquidity for outstanding
corporate bonds. The Treasury, using funds appropriated to the ESF through the CARES Act,
made an equity investment in Corporate Credit Facilities LLC (CCF), which was established to
administer the PMCCF and SMCCF. The authority of the PMCCF and SMCCF to purchase
eligible assets ended December 31, 2020; the PMCCF purchased no assets during 2020. CCF was
terminated on December 17, 2021.

•

On April 8, 2020, the Municipal Liquidity Facility was established to support lending to state, city,
and county governments, certain multistate entities, and other issuers of municipal securities.
Municipal Liquidity Facility LLC (MLF) was established to administer the facility. The Treasury,
using funds appropriated to the ESF through the CARES Act, made an equity investment in MLF.
The facility’s authority to purchase eligible assets ended December 31, 2020.

The FRBB established and operated the following two lending facilities:
•

On March 18, 2020, the Money Market Mutual Fund Liquidity Facility (MMLF) was established
to provide funding to U.S. depository institutions and bank holding companies to finance their
purchases of certain types of assets from money market mutual funds under certain conditions.
The MMLF’s authority to extend loans ended March 31, 2021. All loans were subsequently repaid.

•

On April 9, 2020, the Main Street Lending Program (MSLP) was established to support lending
to small and medium-sized businesses and non-profit organizations that were in sound financial
condition before the onset of the coronavirus pandemic. The MSLP lending program involves the
purchase of participations in loans originated by eligible lenders. The MSLP includes five
facilities: Main Street New Loan Facility, Main Street Expanded Loan Facility, Main Street
Priority Loan Facility, Non-profit Organization New Loan Facility, and Non-profit Organization
Expanded Loan Facility. The MS Facilities LLC (Main Street) was established to administer the
facilities. The Treasury, using funds appropriated to the ESF through the CARES Act, made an
equity investment in Main Street. The facilities’ authority to purchase loan participations ended
January 8, 2021.

On April 8, 2020, each of the 12 Federal Reserve Banks established and commenced operation of the
Paycheck Protection Program Liquidity Facility (PPPLF). The PPPLF offers a source of liquidity to
financial institution lenders that lend to small businesses through the Small Business Administration’s
(SBA) Paycheck Protection Program (PPP). The PPPLF’s authority to extend loans ended July 30, 2021.
Additional information related to the lending facility that the Bank participates in is provided in Note 4.
Although the Reserve Banks are separate legal entities, they collaborate on the delivery of certain services
to achieve greater efficiency and effectiveness. This collaboration takes the form of centralized operations
and product or function offices that have responsibility for the delivery of certain services on behalf of the
Reserve Banks. Various operational and management models are used and are supported by service
agreements among the Reserve Banks. In some cases, costs incurred by a Reserve Bank for services
provided to other Reserve Banks are not shared; in other cases, the Reserve Banks are reimbursed for costs
incurred in providing services to other Reserve Banks. Major services provided by the Bank on behalf of
the System for which the costs were not reimbursed by the other Reserve Banks include national customer
10

Federal Reserve Bank of Chicago
Notes to Financial Statements
relations and support. The Bank is contributing to the System’s initiative to develop a nationwide instant
payments settlement service, named the FedNow Service.
(3) SIGNIFICANT ACCOUNTING POLICIES
Accounting principles for entities with the unique powers and responsibilities of the nation’s central bank
have not been formulated by accounting standard-setting bodies. The Board of Governors has developed
specialized accounting principles and practices that it considers to be appropriate for the nature and function
of a central bank. These accounting principles and practices are documented in the Financial Accounting
Manual for Federal Reserve Banks (FAM), which is issued by the Board of Governors. The Reserve Banks
are required to adopt and apply accounting policies and practices that are consistent with the FAM. The
financial statements and associated disclosures have been prepared in accordance with the FAM.
Due to the unique nature of the Bank’s powers and responsibilities as part of the nation’s central bank and
given the System’s unique responsibility to conduct monetary policy, the Board of Governors has adopted
accounting principles and practices in the FAM that differ from accounting principles generally accepted
in the United States of America (GAAP). The more significant differences are the presentation of all SOMA
securities holdings at amortized cost, adjusted for credit impairment, if any, and the recording of all SOMA
securities on a settlement-date basis. Amortized cost, rather than the fair value presentation, more
appropriately reflects the financial position associated with the Bank’s securities holdings given the
System’s unique responsibility to conduct monetary policy. Although the application of fair value
measurements to the securities holdings may result in values substantially greater or less than their carrying
values, these unrealized changes in value have no direct effect on the quantity of reserves available to the
banking system or on the ability of the Reserve Banks, as the central bank, to meet their financial obligations
and responsibilities. Both the domestic and foreign components of the SOMA portfolio may involve
transactions that result in gains or losses when holdings are sold before maturity. Decisions regarding
securities and foreign currency transactions, including their purchase and sale, are primarily motivated by
monetary policy and financial stability objectives rather than profit. Accordingly, fair values, earnings, and
gains or losses resulting from the sale of such securities and currencies are incidental to open market
operations and do not motivate decisions related to policy or open market activities. Accounting for these
securities on a settlement-date basis, rather than the trade-date basis required by GAAP, better reflects the
timing of the transaction’s effect on the quantity of reserves in the banking system.
In addition, the Bank does not present a Statement of Cash Flows as required by GAAP because the liquidity
and cash position of the Bank are not a primary concern given the Bank’s unique powers and responsibilities
as a central bank. Other information regarding the Bank’s activities is provided in, or may be derived from,
the Statements of Condition, Operations, and Changes in Capital, and the accompanying notes to the
financial statements. Other than those described above, the accounting policies described in FAM are
generally consistent with those in GAAP and the references to GAAP in the notes to the financial statements
highlight those areas where FAM is consistent with GAAP.
Preparing the financial statements in conformity with the FAM requires management to make certain
estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of
contingent assets and liabilities at the date of the financial statements, and the reported amounts of income
and expenses during the reporting period. Actual results could differ from those estimates.
Certain amounts relating to the prior year have been reclassified in the Statements of Operations to conform
to the current year presentation.
11

Federal Reserve Bank of Chicago
Notes to Financial Statements
Effective January 1, 2021, the Building Machinery and Equipment asset class was reclassified to Furniture
and Equipment. As a result, $3 million of depreciation expense related to Building Machinery and
Equipment previously reported as “Operating expenses: Occupancy” for the year ended December 31, 2020
has been reclassified to “Operating expenses: Equipment.” See Note 6 for additional information on the
reclassification.
Significant accounts and accounting policies are explained below.
a. Consolidation
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act) established
the Bureau of Consumer Financial Protection (Bureau) as an independent bureau within the System that
has supervisory authority over some institutions previously supervised by the Reserve Banks in connection
with those institutions’ compliance with consumer protection statutes. Section 1017 of the Dodd-Frank Act
provides that the financial statements of the Bureau are not to be consolidated with those of the Board of
Governors or the System. The Board of Governors funds the Bureau through assessments on the Reserve
Banks as required by the Dodd-Frank Act. The Reserve Banks reviewed the law and evaluated the design
of and their relationship to the Bureau and determined that it should not be consolidated in the Bank’s
financial statements.
b. Gold and Special Drawing Rights Certificates
The Secretary of the Treasury is authorized to issue gold certificates to the Reserve Banks. Upon
authorization, the Reserve Banks acquire gold certificates by crediting equivalent amounts in dollars to the
account established for the Treasury. The gold certificates held by the Reserve Banks are required to be
backed by the gold owned by the Treasury. The Treasury may reacquire the gold certificates at any time,
and the Reserve Banks must deliver them to the Treasury. At such time, the Treasury’s account is charged,
and the Reserve Banks’ gold certificate accounts are reduced. The value of gold for purposes of backing
the gold certificates is set by law at $42 2/9 per fine troy ounce. Gold certificates are recorded by the Reserve
Banks at original cost. The Board of Governors allocates the gold certificates among the Reserve Banks
once a year based on each Reserve Bank’s average Federal Reserve notes outstanding during the preceding
12 months.
Special drawing rights (SDR) are issued by the International Monetary Fund (IMF) to its members in
proportion to each member’s quota in the IMF at the time of issuance. SDRs serve as a supplement to
international monetary reserves and may be transferred from one national monetary authority to another.
Under the law providing for U.S. participation in the SDR system, the Secretary of the Treasury is
authorized to issue SDR certificates to the Reserve Banks. When SDR certificates are issued to the Reserve
Banks, equivalent amounts in U.S. dollars are credited to the account established for the Treasury and the
Reserve Banks’ SDR certificate accounts are increased. The Reserve Banks are required to purchase SDR
certificates, at the direction of the Treasury, for the purpose of financing SDR acquisitions or for financing
exchange-stabilization operations. At the time SDR certificate transactions occur, the Board of Governors
allocates the SDR certificates among the Reserve Banks based upon each Reserve Bank’s Federal Reserve
notes outstanding at the end of the preceding calendar year. SDR certificates are recorded by the Reserve
Banks at original cost.
c. Coin
The amount reported as coin in the Statements of Condition represents the face value of all United States
coin held by the Bank. The Bank buys coin at face value from the U.S. Mint in order to fill depository
institution orders.
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Federal Reserve Bank of Chicago
Notes to Financial Statements
d. Loans
Loans to depository institutions and other loans, consisting of the PPPLF, are reported at their outstanding
principal balances and interest income is recognized on an accrual basis.
Loans are impaired when current information and events indicate that it is probable that the Bank will not
receive the principal and interest that are due in accordance with the contractual terms of the loan agreement.
Impaired loans are evaluated to determine whether an allowance for loan loss is required. The Bank has
developed procedures for assessing the adequacy of any allowance for loan losses using all available
information to identify incurred losses. This assessment includes monitoring information obtained from
banking supervisors, borrowers, and other sources to assess the credit condition of the borrowers and, as
appropriate, evaluating collateral values. Generally, the Bank would discontinue recognizing interest
income on impaired loans until the borrower’s repayment performance demonstrates principal and interest
would be received in accordance with the terms of the loan agreement. If the Bank discontinues recording
interest on an impaired loan, cash payments are first applied to principal until the loan balance is reduced
to zero; subsequent payments are applied as recoveries of amounts previously deemed uncollectible, if any,
and then as interest income.
e. Securities Purchased Under Agreements to Resell, Securities Sold Under Agreements to
Repurchase, and Securities Lending
The FRBNY may engage in purchases of securities under agreements to resell (repurchase agreements)
under the standard monetary policy repurchase agreement operations and domestic standing repurchase
agreement facility with primary dealers and eligible counterparties (repo operations), and foreign official
and international account holders under the Foreign and International Monetary Authorities (FIMA) Repo
Facility. Repo operations transactions are settled through a tri-party arrangement, in which a commercial
custodial bank manages the collateral clearing, settlement, pricing, and pledging, and provides cash and
securities custodial services for and on behalf of the FRBNY and the counterparty. The collateral pledged
must exceed the principal amount of the transaction by a margin determined by the FRBNY for each class
and maturity of acceptable collateral. Collateral designated by the FRBNY as acceptable under repo
operations primarily includes Treasury securities (including Treasury Inflation-Protected Securities (TIPS),
Separate Trading of Registered Interest and Principal of Securities, and Treasury Floating Rate Notes);
direct obligations of several federal agencies and GSEs, including Federal National Mortgage Association,
Federal Home Loan Mortgage Corporation, and Federal Home Loan Banks; and pass-through federal
agency and GSE mortgage-backed securities (MBS). The FIMA Repo Facility is managed by the FRBNY,
and acceptable collateral includes Treasury securities only. The repurchase agreements are accounted for
as financing transactions with the associated interest income recognized over the life of the transaction.
These repurchase agreements are reported at their contractual amounts as “System Open Market Account:
Securities purchased under agreements to resell” and the related accrued interest receivable is reported as a
component of “System Open Market Account: Accrued interest receivable” in the Statements of Condition.
Interest income is reported as “System Open Market Account: Securities purchased under agreements to
resell” in the Statements of Operations.
The FRBNY may engage in sales of securities under agreements to repurchase (reverse repurchase
agreements) with primary dealers and with a set of expanded counterparties that includes banks, savings
associations, GSEs, and domestic money market funds. Transactions under these reverse repurchase
agreements are designed to have a margin of zero and are settled through a tri-party arrangement, similar
to repo operations . Reverse repurchase agreements may also be executed with foreign official and
international account holders as part of a service offering. Reverse repurchase agreements are collateralized
by a pledge of an amount of Treasury securities, federal agency and GSE MBS, or GSE debt securities that
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Federal Reserve Bank of Chicago
Notes to Financial Statements
are held in the SOMA. Reverse repurchase agreements are accounted for as financing transactions, and the
associated interest expense is recognized over the life of the transaction. These reverse repurchase
agreements are reported at their contractual amounts as “System Open Market Account: Securities sold
under agreements to repurchase” and the related accrued interest payable is reported as a component of
“System Open Market Account: Other liabilities” in the Statements of Condition. Interest expense is
reported as “System Open Market Account: Securities sold under agreements to repurchase” in the
Statements of Operations.
Treasury securities and GSE debt securities held in the SOMA may be lent to primary dealers, typically
overnight, to facilitate the effective conduct of open market operations. The amortized cost basis of
securities lent continues to be reported as “System Open Market Account: Treasury securities, net” and
“System Open Market Account: Government-sponsored enterprise debt securities, net,” as appropriate, in
the Statements of Condition. Securities lending transactions are fully collateralized by Treasury securities
based on the fair values of the securities lent increased by a margin determined by the FRBNY. The FRBNY
charges the primary dealer a fee for borrowing securities, and these fees are reported as a component of
“Other items of income (loss): System Open Market Account: Other” in the Statements of Operations.
Activity related to repurchase agreements, reverse repurchase agreements, and securities lending is
allocated to each of the Reserve Banks on a percentage basis derived from an annual settlement of the
interdistrict settlement account that occurs in the second quarter of each year.
f.

Treasury Securities, Federal Agency and Government-Sponsored Enterprise Residential and
Commercial Mortgage-Backed Securities, Government-Sponsored Enterprise Debt Securities,
and Foreign Currency Denominated Investments
Interest income on Treasury securities, federal agency and GSE MBS, GSE debt securities, and foreign
currency denominated investments included in the SOMA is recorded when earned and includes inflation
compensation on TIPS and amortization of premiums and accretion of discounts using the effective interest
method. Interest income on federal agency and GSE MBS also includes gains or losses associated with
principal paydowns. Premiums and discounts related to federal agency and GSE MBS are amortized or
accreted over the term of the security to stated maturity, and the amortization of premiums and accretion of
discounts are accelerated when principal payments are received. Gains and losses resulting from sales of
securities are determined by specific issue based on average cost. Treasury securities, federal agency and
GSE MBS, and GSE debt securities are reported net of premiums and discounts in the Statements of
Condition and interest income on those securities is reported net of the amortization of premiums and
accretion of discounts in the Statements of Operations.
In addition to outright purchases of federal agency and GSE MBS that are held in the SOMA, the FRBNY
enters into RMBS dollar roll transactions (dollar rolls), which primarily involve an initial transaction to
purchase or sell “to be announced” (TBA) MBS for delivery in the current month combined with a
simultaneous agreement to sell or purchase TBA MBS on a specified future date. During the years ended
December 31, 2021 and 2020, the FRBNY executed dollar rolls to facilitate settlement of outstanding
purchases of federal agency and GSE MBS. The FRBNY accounts for dollar rolls as individual purchases
and sales, on a settlement-date basis. Accounting for these transactions as purchases and sales, rather than
as financing transactions, is appropriate because the purchase or sale component of the MBS TBA dollar
roll is paired off or assigned prior to settlement and, as a result, there is no transfer and return of securities.
Net gains (losses) resulting from MBS transactions are reported as a component of “Other items of income
(loss): System Open Market Account: Federal agency and government-sponsored enterprise mortgagebacked securities (losses) gains, net” in the Statements of Operations.
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Federal Reserve Bank of Chicago
Notes to Financial Statements
Foreign currency denominated investments, which can include foreign currency deposits, repurchase
agreements, and government debt instruments, are revalued daily at current foreign currency market
exchange rates in order to report these assets in U.S. dollars. Any negative interest associated with these
foreign currency denominated investments is included as a component of “Interest income: System Open
Market Account: Foreign currency denominated investments, net” in the Statements of Operations. Foreign
currency translation gains and losses that result from the daily revaluation of foreign currency denominated
investments are reported as “Other items of income (loss): System Open Market Account: Foreign currency
translation (losses) gains, net” in the Statements of Operations.
Because the FRBNY enters into commitments to buy Treasury securities, federal agency and GSE MBS,
and foreign government debt instruments and records the related securities on a settlement-date basis in
accordance with the FAM, the related outstanding commitments are not reflected in the Statements of
Condition.
Activity related to Treasury securities, federal agency and GSE MBS, and GSE debt securities including
the premiums, discounts, and realized gains and losses, is allocated to each Reserve Bank on a percentage
basis derived from an annual settlement of the interdistrict settlement account that occurs in the second
quarter of each year. Activity related to foreign currency denominated investments, including the premiums,
discounts, and realized and unrealized gains and losses, is allocated to each Reserve Bank on a percentage
basis, adjusted annually in the second quarter of each year, calculated as the ratio of each Reserve Bank’s
capital and surplus to the Reserve Banks’ aggregate capital and surplus at the preceding December 31.
g. Central Bank Liquidity Swaps
Central bank liquidity swaps, which are transacted between the FRBNY and a foreign central bank, can be
structured as either U.S. dollar or foreign currency liquidity swap arrangements.
Central bank liquidity swaps activity, including the related income and expense, is allocated to each Reserve
Bank based on a percentage basis, adjusted annually in the second quarter of each year, calculated as the
ratio of each Reserve Bank’s capital and surplus to the Reserve Banks’ aggregate capital and surplus at the
preceding December 31.
U.S. dollar liquidity swaps
At the initiation of each U.S. dollar liquidity swap transaction, the foreign central bank transfers a specified
amount of its currency to a restricted account for the FRBNY in exchange for U.S. dollars at the prevailing
market exchange rate. Concurrent with this transaction, the FRBNY and the foreign central bank agree to
a second transaction that obligates the foreign central bank to return the U.S. dollars and the FRBNY to
return the foreign currency on a specified future date at the same exchange rate as the initial transaction.
The Bank’s allocated portion of the foreign currency amounts that the FRBNY acquires are reported as
“System Open Market Account: Central bank liquidity swaps” in the Statements of Condition. Because the
swap transaction will be unwound at the same U.S. dollar amount and exchange rate that were used in the
initial transaction, the recorded value of the foreign currency amounts is not affected by changes in the
market exchange rate.
The foreign central bank compensates the FRBNY based on the amount outstanding and the interest rate
under the swap agreement. The Bank’s allocated portion of the amount of compensation received during
the term of the swap transaction is reported as “Interest income: System Open Market Account: Central
bank liquidity swaps” in the Statements of Operations.

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Federal Reserve Bank of Chicago
Notes to Financial Statements
Foreign currency liquidity swaps
Foreign currency liquidity swap transactions involve the transfer by the FRBNY, at the prevailing market
exchange rate, of a specified amount of U.S. dollars to an account for the foreign central bank in exchange
for its currency. The foreign currency liquidity swap is recorded as a liability in the amount of foreign
currency that the FRBNY receives.
h. Bank Premises, Equipment, and Software
Bank premises and equipment are stated at cost less accumulated depreciation. Depreciation is calculated
on a straight-line basis over the estimated useful lives of the assets, which range from 2 to 50 years. Major
alterations, renovations, and improvements are capitalized and depreciated over the remaining useful life
of the asset or, if appropriate, over the unique useful life of the alteration, renovation, or improvement.
Maintenance, repairs, and minor replacements are charged to operating expense in the year incurred.
Reserve Banks may transfer assets to other Reserve Banks or may lease property of other Reserve Banks.
Costs incurred to acquire software are capitalized based on the purchase price. Costs incurred during the
application development stage to develop internal-use software are capitalized based on the cost of direct
services and materials associated with designing, coding, installing, and testing the software. Capitalized
software costs are amortized on a straight-line basis over the estimated useful lives of the software
applications, which generally range from one to five years. Maintenance costs and minor replacements
related to software are charged to operating expense in the year incurred.
Capitalized assets, including software, buildings, leasehold improvements, furniture, and equipment, are
impaired and an adjustment is recorded when events or changes in circumstances indicate that the carrying
amount of assets or asset groups is not recoverable and significantly exceeds the assets’ fair value.
i. Leases
Leases are identified in accordance with Financial Accounting Standards Board (FASB) Accounting
Standards Codification (ASC) 842, Leases. The Bank’s material leases involve lessor and lessee
arrangements for premises that are classified as operating leases. When the Bank is a lessee, the discount
rate is based on a risk-free Treasury borrowing rate at lease commencement using a period comparable to
the lease term. The Bank elected the short-term lease recognition exemption and to not separate lease
components from non-lease components for all leases.
j. Interdistrict Settlement Account
Each Reserve Bank aggregates the payments due to or from other Reserve Banks. These payments result
from transactions between the Reserve Banks and transactions that involve depository institution accounts
held by other Reserve Banks, such as Fedwire funds and securities transfers and check and ACH
transactions. The cumulative net amount due to or from the other Reserve Banks is reflected in the
“Interdistrict settlement account” in the Statements of Condition.
An annual settlement of the interdistrict settlement account occurs in the second quarter of each year. As a
result of the annual settlement, the balance in each Bank’s interdistrict settlement account is adjusted by an
amount equal to the average balance in the account during the previous twelve-month period ended March
31. An equal and offsetting adjustment is made to each Bank’s allocated portion of SOMA assets and
liabilities.
k. Federal Reserve Notes
Federal Reserve notes are the circulating currency of the United States. These notes, which are identified
as issued to a specific Reserve Bank, must be fully collateralized. All of the Bank’s assets are eligible to be
16

Federal Reserve Bank of Chicago
Notes to Financial Statements
pledged as collateral. The collateral value is equal to the book value of the collateral tendered with the
exception of securities, for which the collateral value is equal to the par value of the securities tendered.
The par value of securities pledged as collateral under reverse repurchase agreements is deducted from the
eligible collateral value.
The Board of Governors may, at any time, call upon a Reserve Bank for additional security to adequately
collateralize outstanding Federal Reserve notes. To satisfy the obligation to provide sufficient collateral for
outstanding Federal Reserve notes, the Reserve Banks have entered into an agreement that provides for
certain assets of the Reserve Banks to be jointly pledged as collateral for the Federal Reserve notes issued
to all Reserve Banks. In the event that this collateral is insufficient, the FRA provides that Federal Reserve
notes become a first and paramount lien on all the assets of the Reserve Banks. Finally, Federal Reserve
notes are obligations of the United States government.
“Federal Reserve notes outstanding, net” in the Statements of Condition represents the Bank’s Federal
Reserve notes outstanding, reduced by the Bank’s currency holdings of $22,227 million and $9,680 million
at December 31, 2021 and 2020, respectively.
At December 31, 2021 and 2020, all Federal Reserve notes outstanding, net, were fully collateralized. At
December 31, 2021 and 2020, all gold certificates, all SDR certificates, and $2,171; billion and $2,024
billion, respectively, of domestic securities held in the SOMA were pledged as collateral. At December 31,
2021 and 2020, no investments denominated in foreign currencies were pledged as collateral.
l. Deposits
Depository Institutions
Depository institutions’ deposits represent balances maintained by depository institutions in accounts at the
Bank. Prior to March 26, 2020, balances maintained by customers in deposit accounts at depository
institutions were subject to a reserve requirement. A reserve requirement is the amount of funds that a
depository institution is required to maintain as a percentage of specified deposits and other liabilities.
Effective March 26, 2020, the Board of Governors reduced all reserve requirement ratios to zero percent,
effectively eliminating reserve requirements. Prior to that date, balances maintained by depository
institutions at the Bank were divided into two types: required reserves (balances held to satisfy a reserve
requirement) and excess reserve balances (balances maintained in excess of required reserves). With reserve
requirements set to zero percent, the distinction between required reserves and excess reserves is no longer
relevant.
The Board of Governors amended Regulation D (12 CFR Part 204), which governs reserve requirements,
to eliminate references to an interest on required reserves rate and an interest on excess reserves rate and
replaced them with a single interest on reserve balances (IORB) rate. The Board of Governors sets the rate
at which balances maintained by depository institutions in accounts at Reserve Banks receive earnings at a
rate not to exceed the general level of short-term interest rates. The Board of Governors has the discretion
to change the IORB rate at any time. Interest on depository institution’s balances is calculated and accrued
daily at the specified rate. Interest payable on deposits of depository institutions at Reserve Banks is
reported as a component of “Interest payable to depository institutions and others” in the Statements of
Condition. Interest expense on deposits of depository institutions at Reserve Banks is reported as a
component of “Depository institutions and others” in the Statements of Operations.
The Term Deposit Facility (TDF) consists of deposits with specific maturities held by eligible institutions
at the Reserve Banks. The Reserve Banks pay interest on these deposits at interest rates determined by
auction. Interest expense on deposits held by the Reserve Banks under the TDF is accrued daily at the
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Federal Reserve Bank of Chicago
Notes to Financial Statements
appropriate rate. Interest payable is reported as a component of “Interest payable to depository institutions
and others” in the Statements of Condition. There were no deposits held by the Bank under the TDF at
December 31, 2021 and 2020.
Other Deposits
Other deposits include the Bank’s allocated portion of foreign central bank and foreign government deposits
held at the FRBNY. Other deposits also include deposits of designated financial market utilities (DFMUs),
and GSE deposits held by the Bank. The Bank pays interest on deposits held by DFMUs at a rate currently
set equal to the interest rate paid on reserve balances maintained by depository institutions. The Board of
Governors sets, and can change at its discretion, the rate paid to DFMUs. Interest payable on other deposits
is reported as a component of “Interest payable to depository institutions and others” in the Statements of
Condition. Interest expense on other deposits is reported as a component of “Depository institutions and
others” in the Statements of Operations.
m. Reserve Bank Capital Paid-in
The FRA requires that each member bank subscribe to the capital stock of the Reserve Bank in an amount
equal to 6 percent of the capital and surplus of the member bank. These shares have a par value of $100
and may not be transferred or hypothecated. As a member bank’s capital and surplus changes, its holdings
of Reserve Bank stock must be adjusted. Currently, only one-half of the subscription is paid in, and the
remainder is subject to call. A member bank is liable for Reserve Bank liabilities up to twice the par value
of stock subscribed by it.
The FRA requires each Reserve Bank to pay each member bank an annual dividend based on the amount
of the member bank’s paid-in capital stock and a rate determined by the member bank’s total consolidated
assets. Member banks with total consolidated assets in excess of a threshold established in the FRA receive
a dividend equal to the smaller of 6 percent or the rate equal to the high yield of the 10-year Treasury note
auctioned at the last auction held prior to the payment of the dividend. Member banks with total
consolidated assets equal to or less than the threshold receive a dividend of 6 percent. The threshold for
total consolidated assets was $10.8 billion and $10.7 billion for the years ended December 31, 2021 and
2020, respectively. This threshold is adjusted annually based on the Gross Domestic Product Price Index,
which is published by the Bureau of Economic Analysis. The dividend is paid semiannually and is
cumulative.
n. Surplus
As of December 31, 2020, the FRA limited aggregate Reserve Bank surplus to $6.825 billion. Effective
January 1, 2021, the National Defense Authorization Act for 2021 further reduced the statutory limit on
aggregate Reserve Bank surplus from $6.825 billion to $6.785 billion. On February 5, 2021, the Reserve
Banks made a $40 million lump sum payment to the Treasury. Reserve Bank surplus is allocated among
the Reserve Banks based on the ratio of each Bank’s capital paid-in to total Reserve Bank capital paid-in
as of December 31 of each year. The amount reported as surplus by the Bank as of December 31, 2021 and
2020 represents the Bank’s allocated portion of surplus.
Accumulated other comprehensive loss is reported as a component of “Surplus” in the Statements of
Condition and the Statements of Changes in Capital. Additional information regarding the classifications
of accumulated other comprehensive income is provided in Notes 9 and 10.
o. Earnings Remittances to the Treasury
The FRA requires that any amounts of the surplus funds of the Reserve Banks that exceed, or would exceed,
the aggregate surplus limitation shall be transferred to the Board of Governors for transfer to the Treasury.
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Federal Reserve Bank of Chicago
Notes to Financial Statements
The Bank remits excess earnings to the Treasury after providing for the cost of operations, payment of
dividends, and reservation of an amount necessary to maintain surplus at the Bank’s allocated portion of
the aggregate surplus limitation. Remittances to the Treasury are made on a weekly basis. The amount of
the remittances to the Treasury is reported as “Earnings remittances to the Treasury” in the Statements of
Operations. The amount due to the Treasury is reported as “Accrued remittances to the Treasury” in the
Statements of Condition. See Note 11 for additional information on earnings remittances to the Treasury.
If earnings during the year are not sufficient to provide for the costs of operations, payment of dividends,
and maintaining surplus at an amount equal to the Bank’s allocated portion of the aggregate surplus
limitation, remittances to the Treasury are suspended. This decrease in earnings remittances to the Treasury
results in the recognition of a deferred asset that represents the amount of net earnings a Reserve Bank will
need to realize before remittances to the Treasury resume. As of December 31, 2020, such changes resulted
in the Bank recording a deferred asset in the amount of $17 million, which is reported as “Deferred asset –
remittances to the Treasury” in the Statements of Condition. This deferred asset is periodically reviewed
for impairment and as of December 31, 2020, no impairment existed.
p. Income and Costs Related to Treasury Services
When directed by the Secretary of the Treasury, the Bank is required by the FRA to serve as fiscal agent
and depositary of the United States Government. By statute, the Treasury has appropriations to pay for
these services. Revenue generated by the Bank in performing fiscal agent activities is recognized when the
Bank’s performance obligations are satisfied. During the years ended December 31, 2021 and 2020, the
Bank was reimbursed for all services provided to the Treasury as its fiscal agent.
q. Income from Services, Services Provided to Other Reserve Banks and Services Provided by
Other Reserve Banks
The Bank has overall responsibility for managing the Reserve Banks’ provision of electronic access
services to depository institutions and, as a result, reports total System revenue for these services as “Other
items of income (loss): Income from services” in its Statements of Operations. Revenue generated from
these services is recognized when the Reserve Banks’ performance obligations are satisfied. Because the
performance obligations for these services are not for any specific term, the Bank recognizes income based
on usage of the service. Transaction prices are set by fee schedules published by the System. During the
years ended December 31, 2021 and 2020, earned income was collected timely. The Bank reimburses the
applicable Reserve Banks for the costs incurred to provide these services and reports the resulting
reimbursement paid as a component of “Operating expenses: Other” in its Statements of Operations.
The Federal Reserve Bank of Atlanta has overall responsibility for managing the Reserve Banks’ provision
of check and ACH services to depository institutions and the FRBNY has overall responsibility for
managing the Reserve Banks’ provision of Fedwire funds and securities services and National Settlement
Service. The Reserve Bank that has overall responsibility for managing these services recognizes the related
total System revenue in its Statements of Operations. Revenue generated from these services is recognized
when the Reserve Banks’ performance obligations are satisfied. Because the performance obligations for
these services are not for any specific term, the Reserve Banks responsible for managing these services
recognize income based on usage of the services. Transaction prices are set by fee schedules published by
the System. During the years ended December 31, 2021 and 2020, earned income was collected timely. The
Bank is reimbursed for costs incurred to provide these services by the Reserve Banks responsible for
managing these services and reports this reimbursement as a component of “Operating expenses: Other” in
its Statements of Operations.

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Federal Reserve Bank of Chicago
Notes to Financial Statements
r. Assessments
The Board of Governors assesses the Reserve Banks to fund its operations and the operations of the Bureau.
These assessments are allocated to each Reserve Bank based on each Reserve Bank’s capital and surplus
balances. The Board of Governors also assesses each Reserve Bank for expenses related to producing,
issuing, and retiring Federal Reserve notes based on each Reserve Bank’s share of the number of notes
comprising the System’s net liability for Federal Reserve notes on December 31 of the prior year.
The Dodd-Frank Act requires that, after the transfer of its responsibilities to the Bureau on July 21, 2011,
the Board of Governors fund the Bureau in an amount not to exceed a fixed percentage of the total operating
expenses of the System as reported in the Board of Governor’s 2009 annual report, which totaled $4.98
billion. After 2013, the amount is adjusted annually in accordance with the provisions of the Dodd-Frank
Act. The percentage of total operating expenses of the System for the years ended December 31, 2021 and
2020 was 14.41 percent ($717.5 million) and 13.97 percent ($695.9 million), respectively. The Bank’s
assessment for Bureau funding is reported as “Operating expenses: Assessments: Bureau of Consumer
Financial Protection” in the Statements of Operations.
s. Taxes
The Reserve Banks are exempt from federal, state, and local taxes, except for taxes on real property. The
Bank’s real property taxes were $6 million and $5 million for the years ended December 31, 2021 and 2020,
respectively, and are reported as a component of “Operating expenses: Occupancy” in the Statements of
Operations.
t. Restructuring Charges
The Reserve Banks recognize restructuring charges for exit or disposal costs incurred as part of the closure
of business activities in a particular location, the relocation of business activities from one location to
another, or a fundamental reorganization that affects the nature of operations. Restructuring charges may
include costs associated with employee separations, contract terminations, and asset impairments. Expenses
are recognized in the period in which the Bank commits to a formalized restructuring plan or executes the
specific actions contemplated in the plan and all criteria for financial statement recognition have been met.
The Bank had no significant restructuring activities in 2021 and 2020.
u. Recently Issued Accounting Standards
Other than the significant differences described in Note 3, the accounting policies described in FAM are
generally consistent with those in GAAP. The following items represent recent GAAP accounting standards
and describe how the FAM was or will be revised to be consistent with these standards.
In February 2016, the FASB issued Accounting Standards Update (ASU) 2016-02, Leases (Topic 842).
This update revises the model to assess how a lease should be classified and provides guidance for lessees,
requiring lessees to present right-of-use assets and lease liabilities on the balance sheet based on the value
of discounted future lease payments. Lessor accounting is largely unchanged. This guidance was effective
for the Bank for the year ending December 31, 2020. The Bank used the modified retrospective transition
approach to recognize material leases existing on January 1, 2020 with no adjustment to prior periods
presented. There were no cumulative effect adjustments required. The Bank elected not to reassess prior
determinations of whether an existing contract contains a lease, lease classification, and initial direct costs.
Subsequently, the FASB issued in July 2021, ASU 2021-05, Leases (Topic 842): Lessors—Certain Leases
with Variable Lease Payments; and in November 2021, ASU 2021-09, Leases (Topic 842): Discount Rate
for Lessees That are Not Public Business Entities. These updates did not have a material effect on the
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Federal Reserve Bank of Chicago
Notes to Financial Statements
Bank’s financial statements. The relevant disclosures have been included in Note 7 to the Bank’s financial
statements.
In June 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326):
Measurement of Credit Losses on Financial Instruments. This update revises the methodology for
assessing expected credit losses and requires consideration of reasonable and supportable information to
inform credit loss estimates. Although earlier adoption is permitted, this update is effective for the Bank
for the year ending December 31, 2023. The Board of Governors is continuing to evaluate the effect of this
guidance on the Bank’s financial statements.
In August 2018, the FASB issued ASU 2018-14, Retirement Benefits-Defined Benefits Plans-General
(Subtopic 715-20). This update modifies the disclosure requirements for postretirement plans. The Board
of Governors adopted this standard for the year ending December 31, 2020. Relevant disclosure updates
have been included in Note 9.
(4) LOANS
Loans to Depository Institutions
The Bank offers primary, secondary, and seasonal loans to eligible borrowers (depository institutions that
maintain reservable transaction accounts or non-personal time deposits and have established discount
window borrowing privileges). Each program has its own interest rate and interest is accrued using the
applicable interest rate established at least every 14 days by the Bank’s board of directors, subject to review
and determination by the Board of Governors. Primary and secondary loans are extended on a short-term
basis, typically overnight, whereas seasonal loans may be extended for a period of up to nine months.
Primary, secondary, and seasonal loans are collateralized to the satisfaction of the Bank to reduce credit
risk. Assets eligible to collateralize these loans include consumer, business, and real estate loans; Treasury
securities; GSE debt securities; foreign sovereign debt; municipal, corporate, and state and local
government obligations; asset-backed securities; corporate bonds; commercial paper; and bank-issued
assets, such as certificates of deposit, bank notes, and deposit notes. Collateral is assigned a lending value
that is deemed appropriate by the Bank, which is typically fair value reduced by a margin. Loans to
depository institutions are monitored daily to ensure that borrowers continue to meet eligibility
requirements for these programs. If a borrower no longer qualifies for these programs, the Bank will
generally request full repayment of the outstanding loan or, for primary or seasonal loans, may convert the
loan to a secondary credit loan. Collateral levels are reviewed daily against outstanding obligations, and
borrowers that no longer have sufficient collateral to support outstanding loans are required to provide
additional collateral or to make partial or full repayment.
Other Loans
Paycheck Protection Program Liquidity Facility
PPPLF loans are non-recourse loans and only PPP loans guaranteed by the SBA are eligible to serve as
collateral for the PPPLF. An eligible borrower may pledge SBA-guaranteed PPP loans that it has originated
or purchased. Each PPPLF loan is equal to the maturity of the PPP loan pledged and has a term of two years
or five years based on the PPP loan origination date. In an event of default, PPP covered loans are fully
guaranteed as to principal and accrued interest by the SBA. The Bank has the rights to any such loan
forgiveness reimbursement by the SBA to the eligible borrower. The eligible borrower shall pay fully
collected funds to the Bank. At December 31, 2021 and 2020, no PPPLF loans were over 90 days past due
or on non-accrual status.
21

Federal Reserve Bank of Chicago
Notes to Financial Statements
The amounts outstanding at December 31, 2021 and 2020 for loans to depository institutions and other
loans were as follows (in millions):
2021

Loans to depository institutions
Primary, secondary, and seasonal credit
Other loans
PPPLF
Total loans

2020

$

161

$

95

$

85
246

$

1,403
1,498

The remaining maturity distribution of loans outstanding at December 31, 2021 and 2020, was as follows
(in millions):
December 31, 2021
Loans to depository institutions
Primary, secondary, and seasonal credit
Other loans
PPPLF
Total loans
December 31, 2020
Loans to depository institutions
Primary, secondary, and seasonal credit
Other loans
PPPLF
Total loans

Within 15
days

16 days to
90 days

91 days to
1 year

Over 1 year
to 5 years

$

161

$

-

$

-

$

-

$

161

$

161

$

-

$

29
29

$

56
56

$

85
246

$

85

$

10

$

-

$

-

$

95

$

85

$

10

$

-

$

1,403
1,403

$

1,403
1,498

Total

Interest income attributable to loans outstanding during the years ended December 31, 2021 and 2020 was
as follows (in millions):
Interest income
Loans to depository institutions
Primary, secondary, and seasonal credit
Other loans
PPPLF
Total loans

2021

2020

$

-

$

2

$

3
3

$

8
10

At December 31, 2021 and 2020, the Bank did not have any loans that were impaired, restructured, past
due, or on non-accrual status, and no allowance for loan losses was required. There were no impaired loans
during the years ended December 31, 2021 and 2020.

22

Federal Reserve Bank of Chicago
Notes to Financial Statements
(5) SYSTEM OPEN MARKET ACCOUNT
a. Domestic Securities Holdings
The FRBNY executes domestic open market operations and, on behalf of the Reserve Banks, holds the
resulting securities in the SOMA. Pursuant to the FOMC directives, at the beginning of 2020, the FOMC
directed the FRBNY to continue purchasing Treasury bills to maintain ample reserve balances. Effective
March 16, 2020, in response to risks to economic activity posed by the coronavirus, the FOMC directed the
FRBNY to increase the SOMA portfolio by purchasing at least $500 billion of Treasury securities and $200
billion of RMBS at a pace appropriate to smooth market functioning, to roll over at auction all principal
payments from the System’s holdings of Treasury securities, and to reinvest all principal payments from
the System's holdings of agency debt and agency MBS in agency mortgage-backed securities. Effective
March 23, 2020, the FOMC further directed the FRBNY to increase the SOMA portfolio, with no explicit
limit, by purchasing Treasury securities and RMBS and begin purchasing CMBS as needed to sustain
smooth functioning of markets for those securities. Effective December 2020, the FOMC directed the
FRBNY to increase the SOMA portfolio by purchasing Treasury securities at a pace of $80 billion per
month and agency MBS at a pace of $40 billion per month and to increase the SOMA portfolio by
purchasing Treasury securities, RMBS, and CMBS as needed to sustain smooth functioning of markets for
these securities.
Effective November 4, 2021, the FOMC directed the FRBNY to begin reducing the monthly pace of its net
asset purchases by $10 billion for Treasury securities and $5 billion for RMBS by purchasing Treasury
securities and RMBS at a pace of $70 billion and $35 billion, respectively, per month. Effective December
16, 2021, the FOMC directed the FRBNY to further reduce the monthly pace of its net asset purchases by
$10 billion for Treasury securities and $5 billion for RMBS by purchasing Treasury securities and RMBS
at a pace of $60 billion and $30 billion, respectively, per month. Additionally, as announced in December
2021, the FOMC directed the FRBNY starting in mid-January 2022 to further reduce the monthly pace of
its net asset purchases by $20 billion for Treasury securities and $10 billion for RMBS by purchasing
Treasury securities and RMBS at a pace of $40 billion and $20 billion, respectively, per month. As
announced in January 2022, the FOMC directed the FRBNY starting in mid-February to further reduce the
monthly pace of its net asset purchases by $20 billion for Treasury securities and $10 billion for RMBS by
purchasing Treasury securities and RMBS at a pace of $20 billion and $10 billion, respectively, per month.
The Bank’s allocated share of activity related to domestic open market operations was 5.457 percent and
5.585 percent at December 31, 2021 and 2020, respectively.

23

Federal Reserve Bank of Chicago
Notes to Financial Statements
The Bank’s allocated share of Treasury securities, federal agency and GSE MBS, and GSE debt securities,
net, excluding accrued interest, held in the SOMA at December 31, 2021 and 2020 was as follows (in
millions):

Treasury securities
Bills
Notes
Bonds
Total Treasury securities
Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS
GSE debt securities

Treasury securities
Bills
Notes
Bonds
Total Treasury securities

Unamortized
premiums

Par

2021

Allocated to the Bank
Unaccreted
discounts

Total
amortized cost

Unamortized
premiums

Par

2020

Unaccreted
discounts

Total
amortized cost

$

17,792
204,583
86,085
308,460

$

3,767
11,641
15,408

$

(5)
(302)
(646)
(953)

$

17,787
208,048
97,080
322,915

$

18,211
171,085
72,603
261,899

$

4,029
11,182
15,211

$

(6)
(89)
(206)
(301)

$

18,205
175,025
83,579
276,809

$

142,227
504
142,731

$

3,783
53
3,836

$

(31)
(31)

$

145,979
557
146,536

$

113,364
550
113,914

$

3,869
63
3,932

$

(8)
(8)

$

117,225
613
117,838

$

128

$

14

$

$

142

$

131

$

16

$

-

$

147

Par
$

Unamortized
premiums

2021

-

Total SOMA
Unaccreted
discounts

Total
amortized cost

326,044
3,748,992
1,577,506
5,652,542

$

69,017
213,327
282,344

$

(88)
(5,533)
(11,839)
(17,460)

Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS

$ 2,606,309
9,237
2,615,546

$

69,316
977
70,293

$

(568)
(3)
(571)

GSE debt securities

$

$

263

$

2,347

-

$

325,956
3,812,476
1,778,994
5,917,426

Par

2020

Unaccreted
discounts

Total
amortized cost

326,044
3,063,037
1,299,848
4,688,929

$

72,129
200,197
272,326

$

(107)
(1,590)
(3,687)
(5,384)

$ 2,675,057
10,211
2,685,268

$ 2,029,627
9,840
2,039,467

$

69,274
1,122
70,396

$

(148)
(148)

$

$

$

287

$

2,610

$

Unamortized
premiums

2,347

-

$

325,937
3,133,576
1,496,358
4,955,871

$ 2,098,753
10,962
2,109,715
$

2,634

During the years ended December 31, 2021 and 2020, the FRBNY entered into repurchase agreements and
reverse repurchase agreements as part of its monetary policy activities. These operations have been
undertaken as necessary to maintain the federal funds rate in a target range. In addition, reverse repurchase
agreements are entered into as part of a service offering to foreign official and international account holders.
On April 6, 2020, the FIMA Repo Facility was established to allow FIMA account holders to temporarily
exchange their U.S. Treasury securities for U.S. dollars, which can then be available to institutions in their
jurisdictions. On July 28, 2021, the FIMA Repo Facility was converted from temporary to a standing facility
for repurchase agreements.

24

Federal Reserve Bank of Chicago
Notes to Financial Statements
Financial information related to repurchase agreements allocated to the Bank and held in the SOMA for the
years ended December 31, 2021 and 2020 was as follows (in millions):
Allocated to the Bank
2021
2020

Total SOMA
2021
2020

Repo operations:
Contract amount outstanding, end of year
Average daily amount outstanding, during the year
Maximum balance outstanding, during the year
FIMA Repo Facility:
Contract amount outstanding, end of year
Average daily amount outstanding, during the year
Maximum balance outstanding, during the year
Total repurchase agreement contract amount outstanding,
end of year
Supplemental information - interest income:
Repo operations
FIMA Repo Facility
Total interest income - securities purchased under
agreements to resell

$

3

$

5,238
26,020

$

46

$

97,711
495,700

$

9
56

$

56
16
78

$

161
1,000

$

1,000
292
1,404

$

-

$

56

$

-

$

1,000

$

-

$

38
-

$

1

$

722
1

$

-

$

38

$

1

$

723

There were no outstanding repurchase agreement contracts that were transacted with primary dealers,
eligible counterparties, and foreign official and international account holders as of December 31, 2021.

25

Federal Reserve Bank of Chicago
Notes to Financial Statements
Financial information related to reverse repurchase agreements allocated to the Bank and held in the SOMA
for the years ended December 31, 2021 and 2020 was as follows (in millions):
Allocated to the Bank
2021
2020

Total SOMA
2021
2020

Primary dealers and expanded counterparties:
Contract amount outstanding, end of year
Average daily amount outstanding, during the year
Maximum balance outstanding, during the year
Securities pledged (par value), end of year
Securities pledged (fair value), end of year
Foreign official and international accounts:
Contract amount outstanding, end of year
Average daily amount outstanding, during the year
Maximum balance outstanding, during the year
Securities pledged (par value), end of year
Securities pledged (fair value), end of year
Total reverse repurchase agreement contract amount
outstanding, end of year
Supplemental information - interest expense:
Primary dealers and expanded counterparties
Foreign official and international accounts
Total interest expense - securities sold under
agreements to repurchase

$

103,933
39,160
103,933
100,633
104,009

$

539
461
14,955
355
540

$ 1,904,582
717,540
1,904,582
1,844,099
1,905,973

$

9,651
8,749
284,908
6,351
9,666

$

15,196
13,781
17,201
14,976
15,196

$

11,528
12,392
16,204
11,209
11,529

$

278,459
251,068
315,208
274,442
278,472

$

206,400
226,215
290,113
200,673
206,410

$

119,129

$

12,067

$ 2,183,041

$

216,051

$

19
4

$

1
36

$

337
77

$

14
697

$

23

$

37

$

414

$

711

Securities pledged as collateral, at December 31, 2021 and 2020, consisted solely of Treasury securities.
The contract amount outstanding as of December 31, 2021 of reverse repurchase agreements that were
transacted with primary dealers and expanded counterparties had a remaining term of one business and
matured on January 3, 2022. The contract amount outstanding as of December 31, 2021 of reverse
repurchase agreements that were transacted with foreign official and international account holders had a
remaining term of one business day and matured on January 3, 2022.

26

Federal Reserve Bank of Chicago
Notes to Financial Statements
The remaining maturity distribution of Treasury securities, federal agency and GSE MBS, GSE debt
securities, repurchase agreements, and reverse repurchase agreements that were allocated to the Bank at
December 31, 2021 and 2020 was as follows (in millions):
Within 15
days
December 31, 2021:
Treasury securities (par value)
Federal agency and GSE
residential MBS (par value)
Federal agency and GSE

$

1

1

commercial MBS (par value)
GSE debt securities (par value)
Securities sold under agreements
to repurchase (contract amount)
December 31, 2020:
Treasury securities (par value)
Federal agency and GSE
residential MBS (par value)
Federal agency and GSE

$

1

1

commercial MBS (par value)
GSE debt securities (par value)
Securities purchased under
agreements to resell (contract amount)
Securities sold under agreements
to repurchase (contract amount)
1

16 days to 90
days

3,000

$

19,177

91 days to 1
year

Over 1 year
to 5 years

Over 5 years
to 10 years

$

39,694

$ 117,113

$

55,620

Over 10 years
$

Total

73,856

$ 308,460

-

-

1

92

3,018

139,116

142,227

-

-

-

6
-

274
116

224
12

504
128

119,129

-

-

-

-

-

119,129

59,101

$ 261,899

2,784

$

18,042

$

36,938

$

98,290

$

46,744

$

-

-

-

107

3,775

109,482

113,364

-

-

-

6
-

249
101

295
30

550
131

56

-

-

-

-

-

56

12,067

-

-

-

-

-

12,067

The par amount shown for federal agency and GSE residential MBS and commercial MBS is the remaining principal balance of the securities.

Federal agency and GSE MBS are reported at stated maturity in the table above. The estimated weightedaverage life of these securities differs from the stated maturity primarily because it factors in scheduled
payments and prepayment assumptions. The estimated weighted-average lives of RMBS and CMBS as of
December 31, 2021 and 2020 were as follows (in years):
Estimated weighted-average life of
RMBS
CMBS

2021

2020
5.7
8.3

3.1
8.8

The amortized cost and par value of Treasury securities that were loaned from the SOMA under securities
lending agreements allocated to the Bank and held in the SOMA at December 31, 2021 and 2020 were as
follows (in millions):
Treasury securities (amortized cost)
Treasury securities (par value)

Allocated to the Bank
2021
2020
$
2,223
$
1,877
2,209
1,767

Total SOMA
2021
2020
$
40,737
$
33,603
40,489
31,635

Securities pledged as collateral by the counterparties in the securities lending arrangements at December
31, 2021 and 2020 consisted solely of Treasury securities. The securities lending agreements outstanding
as of December 31, 2021 had a term of one business day and matured on January 3, 2022.

27

Federal Reserve Bank of Chicago
Notes to Financial Statements
The FRBNY enters into commitments to buy and sell Treasury securities and federal agency and GSE MBS
and records the related securities on a settlement-date basis. As of December 31, 2021, the portions
allocated to the Bank and total purchases and sales under outstanding commitments were as follows (in
millions):

Purchases under outstanding commitments
Treasury securities
TBA RMBS
CMBS

Allocated to
the Bank
$

1

Sales under outstanding commitments
RMBS
CMBS

Total SOMA

255

$

5,387
-

$

5
-

4,674
98,724
-

$

87
-

Contractual settlement
dates through
January 4, 2022
February 17, 2022

January 13, 2022

Total TBA RMBS dollar rolls were $5,871 million, of which $320 million was allocated to the Bank. TBA RMBS dollar rolls had contractual
settlement dates extending through January 18, 2022. The number and identity of the pools that will be delivered to fulfill the commitment are
unknown at the time of the trade.

1

RMBS and CMBS commitments are subject to varying degrees of off-balance-sheet market risk and
counterparty credit risk that result from their future settlement. The FRBNY requires the posting of cash
margin for RMBS commitments as part of its risk management practices used to mitigate the counterparty
credit risk.
Other assets held in the SOMA consist primarily of cash and short-term investments related to the federal
agency and GSE MBS portfolio and were immaterial at December 31, 2021 and 2020. Other liabilities
include the FRBNY’s accrued interest payable related to repurchase agreements transactions, obligations
to return cash margin posted by counterparties as collateral under commitments to purchase and sell RMBS,
and obligations that arise from the failure of a seller to deliver Treasury securities and RMBS and CMBS
to the FRBNY on the settlement date. Although the FRBNY has ownership of and records its investments
in Treasury securities and RMBS and CMBS as of the contractual settlement date, it is not obligated to
make payment until the securities are delivered, and the amount included in other liabilities represents the
FRBNY’s obligation to pay for the securities when delivered. The amount of other liabilities allocated to
the Bank and held in the SOMA at December 31, 2021 and 2020 was as follows (in millions):
Allocated to the Bank
Total SOMA
2021
2020
2021
2020
Other liabilities:
Accrued interest payable
$
$
$
3
$
Cash margin
129
323
2,359
5,778
Obligations from residential MBS
transaction fails
1
12
3
Total other liabilities
$
130
$
323
$ 2,374
$ 5,781
Accrued interest receivable on domestic securities held in the SOMA was $30,929 million and $29,978
million as of December 31, 2021 and 2020, respectively, of which $1,688 million and $1,674 million,
respectively, was allocated to the Bank. Accrued interest receivable on repurchase agreements was zero
and immaterial as of December 31, 2021 and 2020, respectively. These amounts are reported as a
component of “System Open Market Account: Accrued interest receivable” in the Statements of Condition.

28

Federal Reserve Bank of Chicago
Notes to Financial Statements
Information about transactions related to Treasury securities, federal agency and GSE MBS, and GSE debt
securities allocated to the Bank and held in the SOMA during the years ended December 31, 2021 and
2020, is summarized as follows (in millions):
Allocated to the Bank
Balance at December 31, 2019
Purchases 1
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Inflation adjustment on inflation-indexed securities
3
Annual reallocation adjustment
Subtotal of activity
Balance at December 31, 2020
1
Purchases
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Inflation adjustment on inflation-indexed securities
3
Annual reallocation adjustment
Subtotal of activity
Balance at December 31, 2021
Year-ended December 31, 2020
Supplemental information - par value of transactions:
Purchases 4
Sales
Year-ended December 31, 2021
Supplemental information - par value of transactions:
Purchases 4
Sales

Bills
$
8,843
52,790
(44,649)
128
1,093
9,362
$ 18,205
54,721
(54,733)
13
(419)
(418)
$ 17,787

Notes
$ 67,724
124,166
(3)
(24,180)
(991)
99
8,210
107,301
$ 175,025
75,848
(3)
(38,005)
(1,288)
768
(4,297)
33,023
$ 208,048

Bonds
$ 49,496
31,614
(1,310)
(576)
95
4,260
34,083
$ 83,579
17,856
(2,312)
(592)
584
(2,035)
13,501
$ 97,080

Total Treasury
securities
$
126,063
208,570
(3)
(70,139)
(1,439)
194
13,563
150,746
$
276,809
148,425
(3)
(95,050)
(1,867)
1,352
(6,751)
46,106
$
322,915

$

52,866
-

$ 119,420
(3)

$

24,465
-

$

196,751
(3)

$

54,732
-

$

$

16,991
-

$

146,670
(3)

74,947
(3)

Purchases and sales may include payments and receipts related to principal, premiums, discounts, and inflation compensation adjustments to the
basis of inflation-indexed securities. The amount reported as sales includes the realized gains and losses on such transactions.
2
Realized gains (losses), net is the offset of the amount of realized gains and losses included in the reported sales amount.
3
Reflects the annual adjustment to the Bank’s allocated portion of the related SOMA securities that results from the annual settlement of the
interdistrict settlement account, as discussed in Note 3j.
4
Includes inflation compensation.
1

29

Federal Reserve Bank of Chicago
Notes to Financial Statements
Total SOMA
Balance at December 31, 2019
Purchases 1
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Inflation adjustment on inflation-indexed securities
Subtotal of activity
Balance at December 31, 2020
Purchases 1
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Inflation adjustment on inflation-indexed securities
Subtotal of activity
Balance at December 31, 2021
Year-ended December 31, 2020
Supplemental information - par value of transactions:
Purchases 3
Sales
Year-ended December 31, 2021
Supplemental information - par value of transactions:
Purchases 3
Sales

Total Treasury
securities
$ 2,401,604
3,844,858
(53)
2
(1,268,175)
(25,893)
3,528
2,554,267
$ 4,955,871
2,701,257
(50)
(1,730,390)
(33,973)
24,711
961,555
$ 5,917,426

Bills
$ 168,461
961,511
(806,405)
2,370
157,476
$ 325,937
996,069
(996,284)
234
19
$ 325,956

Notes
$ 1,290,201
2,297,336
(53)
2
(437,890)
(17,816)
1,796
1,843,375
$ 3,133,576
1,380,267
(50)
(691,911)
(23,435)
14,029
678,900
$ 3,812,476

Bonds
$ 942,942
586,011
(23,880)
(10,447)
1,732
553,416
$ 1,496,358
324,921
(42,195)
(10,772)
10,682
282,636
$ 1,778,994

$

962,924
-

$ 2,209,074
(50)

$

452,695
-

$ 3,624,693
(50)

$

996,284
-

$ 1,363,886
(50)

$

309,172
-

$ 2,669,342
(50)

Purchases and sales may include payments and receipts related to principal, premiums, discounts, and inflation compensation adjustments to the
basis of inflation-indexed securities. The amount reported as sales includes the realized gains and losses on such transactions.
2
Realized gains (losses), net is the offset of the amount of realized gains and losses included in the reported sales amount.
3
Includes inflation compensation.
1

30

Federal Reserve Bank of Chicago
Notes to Financial Statements

Balance at December 31, 2019
1
Purchases
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net

Residential
MBS
$ 75,954
73,751
(9)
(36,594)
(1,286)

Annual reallocation adjustment 3
Subtotal of activity
Balance at December 31, 2020
1
Purchases
1
Sales

5,409
41,271
$ 117,225
79,403
(14)

Realized gains (losses), net 2
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Annual reallocation adjustment 3
Subtotal of activity
Balance at December 31, 2021
Year-ended December 31, 2020
Supplemental information - par value of transactions:
Purchases
Sales
Year-ended December 31, 2021
Supplemental information - par value of transactions:
Purchases
Sales

Allocated to the Bank
Total federal
agency and
Commercial
GSE MBS
MBS
$
$
75,954
614
74,365
(9)
(18)
(36,612)
(5)
(1,291)

$

22
613
613
18
-

$

5,431
41,884
117,838
79,421
(14)

GSE debt
securities
$
139
(1)

$

9
8
147
-

(45,988)
(1,694)

(51)
(9)

(46,039)
(1,703)

(1)

(2,953)
28,754
$ 145,979

$

(14)
(56)
557

(2,967)
28,698
146,536

(4)
(5)
142

$

70,768
(9)

$

549
-

$

71,317
(9)

$

-

$

77,725
(14)

$

17
-

$

77,742
(14)

$

-

$

$

Purchases and sales may include payments and receipts related to principal, premiums, and discounts. The amount reported as sales includes the
realized gains and losses on such transactions. Purchases and sales exclude MBS TBA transactions that are settled on a net basis.
2
Realized gains (losses), net is the offset of the amount of realized gains and losses included in the reported sales amount.
3
Reflects the annual adjustment to the Bank’s allocated portion of the related SOMA securities that results from the annual settlement of the
interdistrict settlement account, as discussed in Note 3j.
1

31

Federal Reserve Bank of Chicago
Notes to Financial Statements

Balance at December 31, 2019
Purchases 1
1
Sales
2
Realized gains (losses), net
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Subtotal of activity
Balance at December 31, 2020
Purchases 1
1
Sales

Residential
MBS
$ 1,446,989
1,335,062
(167)
5
(659,968)
(23,168)
651,764
$ 2,098,753
1,444,058
(255)

Realized gains (losses), net 2
Principal payments and maturities
Amortization of premiums and accretion of discounts, net
Subtotal of activity
Balance at December 31, 2021

1
(836,672)
(30,828)
576,304
$ 2,675,057

Year-ended December 31, 2020
Supplemental information - par value of transactions:
Purchases
Sales

$ 1,281,077
(158)

Year-ended December 31, 2021
Supplemental information - par value of transactions:
Purchases
Sales

$ 1,413,602
(248)

Total SOMA
Total federal
agency and
Commercial
GSE MBS
MBS
$
$ 1,446,989
11,375
1,346,437
(167)
5
(330)
(660,298)
(83)
(23,251)
10,962
662,726
$
10,962
$ 2,109,715
328
1,444,386
(255)

GSE debt
securities
$
2,657
(23)
(23)
$
2,634
-

(916)
(163)
(751)
10,211

1
(837,588)
(30,991)
575,553
$ 2,685,268

$

10,170
-

$ 1,291,247
(158)

$

-

$

313
-

$ 1,413,915
(248)

$

-

$

$

(24)
(24)
2,610

Purchases and sales may include payments and receipts related to principal, premiums, and discounts. The amount reported as sales includes the
realized gains and losses on such transactions. Purchases and sales exclude MBS TBA transactions that are settled on a net basis.
2
Realized gains (losses), net is the offset of the amount of realized gains and losses included in the reported sales amount.
1

b. Foreign Currency Denominated Investments
The FRBNY conducts foreign currency operations and, on behalf of the Reserve Banks, holds the resulting
three types of foreign currency denominated investments in the SOMA.
The FRBNY holds foreign currency deposits with foreign central banks and with the Bank for International
Settlements (BIS). The FRBNY also invests in foreign government debt instruments of France, Germany,
the Netherlands, and Japan. These foreign government debt instruments are backed by the full faith and
credit of the issuing foreign governments. In addition, the FRBNY may enter into repurchase agreements
to purchase government debt securities for which the accepted collateral is the debt instruments issued by
a foreign government.
The Bank’s allocated share of activity related to foreign currency denominated investments was 3.919
percent and 3.883 percent at December 31, 2021 and 2020, respectively.

32

Federal Reserve Bank of Chicago
Notes to Financial Statements
Information about foreign currency denominated investments recorded at amortized cost and valued at
foreign currency market exchange rates allocated to the Bank and held in the SOMA at December 31, 2021
and 2020 was as follows (in millions):
Euro:
Foreign currency deposits
Dutch government debt instruments
French government debt instruments
German government debt instruments

Allocated to the Bank
2021
2020
$

Japanese yen:
Foreign currency deposits
$
Japanese government debt instruments
Total
$

Total SOMA
2021
2020

258
70
114
37

$

256
106
107
41

$

6,576
1,791
2,910
932

$

6,597
2,738
2,746
1,066

296
22
797

$

328
24
862

$

7,564
557
20,330

$

8,436
621
22,204

$

$

$

At December 31, 2021 and 2020, there were no repurchase agreements outstanding and, consequently, no
related foreign securities held as collateral.
As of December 31, 2021 and 2020, total net interest income earned on foreign currency denominated
investments allocated to the Bank and held in the SOMA were as follows (in millions):
Allocated to the Bank
2021
2020

Total SOMA
2021
2020

1

Net interest income:
Euro
Japanese yen
Total net interest income

$
$

(2)
(2)

$
$

(2)
(2)

$
$

(44)
(1)
(45)

$
$

(40)
(40)

As a result of negative interest rates in certain foreign currency denominated investments held in the SOMA, interest income on foreign currency
denominated investments, net contains negative interest of $55 million and $51 million for the years ended December 31, 2021 and 2020,
respectively, of which $2 million was allocated to the Bank for each of the years ended December 31, 2021 and 2020.
1

Accrued interest receivable on foreign currency denominated investments, net was $47 million and $74
million as of December 31, 2021 and 2020, respectively, of which $2 million and $3 million, respectively,
was allocated to the Bank. These amounts are reported as a component of “System Open Market Account:
Accrued interest receivable” in the Statements of Condition.

33

Federal Reserve Bank of Chicago
Notes to Financial Statements
The remaining maturity distribution of foreign currency denominated investments that were allocated to
the Bank at December 31, 2021 and 2020 was as follows (in millions):
Within 15
days

16 days to 90
days

91 days to 1
year

Over 1 year
to 5 years

Over 5 years
to 10 years

1
1

$

209
21
230

$

85
85

$

9
23
32

$

226
1
227

$

86
86

$

December 31, 2021:
Euro
$
Japanese yen
Total
$

84
296
380

$

December 31, 2020:
Euro
$
Japanese yen
Total
$

63
328
391

$

$

$

$

$

$

$

$

$

Total

101
101

$

126
126

$

$

$

479
318
797

510
352
862

There were no foreign exchange contracts related to foreign currency operations outstanding as of
December 31, 2021.
The FRBNY enters into commitments to buy foreign government debt instruments and records the related
securities on a settlement-date basis. As of December 31, 2021, there were no outstanding commitments to
purchase foreign government debt instruments. During 2021, there were purchases, sales, and maturities of
foreign government debt instruments of $3,043 million, $13 million, and $3,443 million, respectively, of
which $119 million, $1 million, and $135 million, respectively, were allocated to the Bank.
In connection with its foreign currency activities, the FRBNY may enter into transactions that are subject
to varying degrees of off-balance-sheet market risk and counterparty credit risk that result from their future
settlement. The FRBNY controls these risks by obtaining credit approvals, establishing transaction limits,
receiving collateral in some cases, and performing monitoring procedures.
c. Central Bank Liquidity Swaps
U.S. Dollar Liquidity Swaps
The FOMC authorized and directed the FRBNY to expand standing U.S. dollar liquidity swap arrangements
with the Bank of Canada, the Bank of England, the Bank of Japan, the European Central Bank, and the
Swiss National Bank as well as establish temporary swap U.S. dollar liquidity lines to the Reserve Bank of
Australia, Banco Central de Brasil, Danmarks Nationalbank, the Bank of Korea, Banco de Mexico, the
Norges Bank, the Reserve Bank of New Zealand, the Monetary Authority of Singapore, and Sveriges
Riksbank. The Bank’s allocated share of U.S. dollar liquidity swaps was 3.919 percent and 3.883 percent
at December 31, 2021 and 2020, respectively.
The total foreign currency held in the SOMA under U.S. dollar liquidity swaps at December 31, 2021 and
2020 was $3,340 million and $17,883 million, respectively, of which $131 million and $694 million,
respectively, was allocated to the Bank.

34

Federal Reserve Bank of Chicago
Notes to Financial Statements
The remaining maturity distribution of U.S. dollar liquidity swaps that were allocated to the Bank at
December 31, 2021 and 2020 was as follows (in millions):
Currency swap
transacted in
Danish krone
Euro
Mexican peso
Singapore dollar
Swiss franc
Total

Within 15
days

$

37
92
129

2021
16 days to 90
days
2
$
2

Total

$

37
2
92
131

Within 15
days

$

123
38
117
278

2020
16 days to 90
days
14
40
44
46
272
$
416

Total

$

14
163
44
84
389
694

Net income earned on U.S. dollar liquidity swaps is reported as “System Open Market Account: Central
bank liquidity swaps” in the Statements of Operations.
Foreign Currency Liquidity Swaps
At December 31, 2021 and 2020, there was no balance outstanding related to foreign currency liquidity
swaps.
d. Fair Value of SOMA Assets and Liabilities
The fair value amounts below are presented solely for informational purposes and are not intended to
comply with the fair value disclosures required by FASB ASC 820, Fair Value Measurement. Although
the fair value of SOMA security holdings can be substantially greater than or less than the recorded value
at any point in time, these unrealized gains or losses have no effect on the ability of the Reserve Banks, as
the central bank, to meet their financial obligations and responsibilities. Because SOMA securities are
recorded at amortized cost, cumulative unrealized gains (losses) are not recognized in the Statements of
Condition and the changes in cumulative unrealized gains (losses) are not recognized in the Statements of
Operations.
The fair value of the Treasury securities, federal agency and GSE MBS, GSE debt securities, and foreign
government debt instruments held in the SOMA is subject to market risk, arising from movements in market
variables such as interest rates and credit risk. The fair value of federal agency and GSE MBS is also
affected by the expected rate of prepayments of mortgage loans underlying the securities. The fair value of
foreign government debt instruments is also affected by currency risk. Based on evaluations performed as
of December 31, 2021 and 2020, there are no credit impairments of SOMA securities holdings.

35

Federal Reserve Bank of Chicago
Notes to Financial Statements
The following table presents the amortized cost, fair value, and cumulative unrealized gains (losses) on the
Treasury securities, federal agency and GSE MBS, and GSE debt securities allocated to the Bank and held
in the SOMA at December 31, 2021 and 2020 (in millions):
Allocated to the Bank

2021

Treasury securities
Bills
Notes
Bonds
Total Treasury securities
Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS
GSE debt securities
Total domestic SOMA portfolio securities holdings

Amortized cost

Fair value

2020

Cumulative
unrealized gains
(losses), net

Amortized cost

Cumulative
unrealized
gains, net

Fair value

$

17,787
208,048
97,080
322,915

$

17,786
207,500
104,976
330,262

$

(1)
(548)
7,896
7,347

$

18,205
175,025
83,579
276,809

$

18,207
178,284
97,001
293,492

$

2
3,259
13,422
16,683

$

145,979
557
146,536
142
469,593

$

145,580
549
146,129
180
476,571

$

(399)
(8)
(407)
38
6,978

$

117,225
613
117,838
147
394,794

$

$

$

120,253
623
120,876
198
414,566

$

3,028
10
3,038
51
19,772

255

$

255

$

292

$

292

$

$

$

$

$

Memorandum—Commitments for purchases of:
Treasury securities

1

$

Federal agency and GSE MBS

1

5,387

5,386

-

$

(1)

11,290

-

11,343

53

Memorandum—Commitments for sales of:
Treasury securities

2

$

Federal agency and GSE MBS
1
2

-

2

$

-

5

$

5

-

$

-

-

$

-

5

$

-

5

-

The amortized cost column presents unsettled purchase costs.
The amortized cost column presents unsettled sales proceeds.
Total SOMA

2021

Treasury securities
Bills
Notes
Bonds
Total Treasury securities
Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS
GSE debt securities
Total domestic SOMA portfolio securities holdings

Amortized cost

Fair value

2020

Cumulative
unrealized gains
(losses), net

Amortized cost

Cumulative
unrealized
gains, net

Fair value

$

325,956
3,812,476
1,778,994
5,917,426

$

325,929
3,802,434
1,923,692
6,052,055

$

(27)
(10,042)
144,698
134,629

$

325,937
3,133,576
1,496,358
4,955,871

$

325,974
3,191,929
1,736,653
5,254,556

$

37
58,353
240,295
298,685

$

2,675,057
10,211
2,685,268
2,610
8,605,304

$

$

2,098,753
10,962
2,109,715
2,634
7,068,220

$

2,152,965
11,152
2,164,117
3,544
7,422,217

$

$

(7,305)
(143)
(7,448)
688
127,869

$

$

2,667,752
10,068
2,677,820
3,298
8,733,173

$

54,212
190
54,402
910
353,997

4,674

$

4,674

$

5,232

$

5,232

$

$

$

$

Memorandum—Commitments for purchases of:
Treasury securities

1

Federal agency and GSE MBS

$
1

98,724

98,693

-

$

(31)

202,127

203,084

957

Memorandum—Commitments for sales of:
Treasury securities

2

Federal agency and GSE MBS
1
2

$
2

87

$

87

$

-

$

88

$

88

$

-

The amortized cost column presents unsettled purchase costs.
The amortized cost column presents unsettled sales proceeds.

The fair value of Treasury securities and GSE debt securities was determined using pricing services that
provide market consensus prices based on indicative quotes from various market participants. The fair value
of federal agency and GSE MBS were determined using pricing services that utilize a model-based
approach that considers observable inputs for similar securities.
36

Federal Reserve Bank of Chicago
Notes to Financial Statements
The cost bases of repurchase agreements, reverse repurchase agreements, central bank liquidity swaps, and
other investments held in the SOMA portfolio approximate fair value. Due to the short-term nature of these
agreements and the defined amount that will be received upon settlement, the cost basis approximates fair
value.
At December 31, 2021 and 2020, the fair value of foreign currency denominated investments held in the
SOMA was $20,398 million and $22,374 million, respectively, of which $799 million and $869 million,
respectively, was allocated to the Bank. The fair value of foreign government debt instruments was
determined using pricing services that provide market consensus prices based on indicative quotes from
various market participants. Due to the short-term nature of foreign currency deposits, the cost basis is
estimated to approximate fair value.
The following tables provide additional information on the amortized cost and fair value of the federal
agency and GSE MBS portfolios allocated to the Bank and held in the SOMA at December 31, 2021 and
2020 (in millions):
2021
Distribution of MBS
holdings by coupon rate
Residential
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
Total
Commercial
1.00% - 1.50%
1.51% - 2.00%
2.01% - 2.50%
2.51% - 3.00%
3.01% - 3.50%
3.51% - 4.00%
4.01% - 4.50%
Total
Total MBS

Amortized cost
$

$

$

9,617
57,489
40,199
18,269
11,812
6,237
1,636
559
138
20
3
145,979

$

5
27
62
87
172
188
16
557

$

146,536

Allocated to the Bank

Fair value
$

$

$

9,441
56,539
39,744
18,561
12,222
6,508
1,766
621
153
22
3
145,580

$

5
26
60
86
170
186
16
549

$

146,129

2020

Amortized cost
$

$

$

1,118
18,502
28,909
32,601
21,227
11,171
2,666
811
190
26
4
117,225

Fair value
$

$

$

1,126
18,686
29,345
33,299
22,069
11,658
2,901
920
215
30
4
120,253

$

5
25
74
105
182
205
17
613

$

5
25
75
107
186
208
17
623

$

117,838

$

120,876

37

Federal Reserve Bank of Chicago
Notes to Financial Statements
2021
Distribution of MBS
holdings by coupon rate
Residential
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
Total
Commercial
1.00% - 1.50%
1.51% - 2.00%
2.01% - 2.50%
2.51% - 3.00%
3.01% - 3.50%
3.51% - 4.00%
4.01% - 4.50%
Total
Total MBS

Amortized cost
$

$

$

176,227
1,053,493
736,648
334,788
216,456
114,300
29,973
10,238
2,521
361
52
2,675,057

$

92
503
1,128
1,593
3,151
3,448
296
10,211

$

2,685,268

Total SOMA
Fair value

$

$

$

172,999
1,036,086
728,310
340,133
223,964
119,260
32,369
11,377
2,794
402
58
2,667,752

$

87
485
1,104
1,567
3,119
3,417
289
10,068

$

2,677,820

2020

Amortized cost
$

$

$

20,021
331,252
517,579
583,681
380,033
200,003
47,732
14,523
3,390
471
68
2,098,753

Fair value
$

$

$

20,156
334,549
525,374
596,178
395,114
208,717
51,934
16,481
3,853
534
75
2,152,965

$

84
451
1,330
1,874
3,263
3,661
299
10,962

$

83
452
1,352
1,907
3,330
3,726
302
11,152

$

2,109,715

$

2,164,117

38

Federal Reserve Bank of Chicago
Notes to Financial Statements
The following tables present the realized gains (losses) and the change in the cumulative unrealized gains
(losses) related to SOMA domestic securities holdings allocated to the Bank and held in the SOMA during
the years ended December 31, 2021 and 2020 (in millions):
Allocated to the Bank
2021

Change in
cumulative
unrealized gains

Realized gains
(losses), net
Treasury securities
Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS
GSE debt securities
Total

1, 2

$

-

$

(2)
(2)
(2)

(losses)

3, 4

$

(9,200)

$

(3,388)
(19)
(3,407)
(12)
(12,619)

2020

Realized gains

Change in
cumulative
unrealized gains

(losses), net 1, 2

(losses) 3, 4

$

-

$

37
37
37

$

8,119

$

1,735
10
1,745
12
9,876

Realized gains (losses) for Treasury securities are reported in “Other items of income (loss): System Open Market Account: Other” in the
Statements of Operations.
2
Realized gains (losses) for federal agency and GSE MBS are reported in “Other items of income (loss): System Open Market Account: Federal
agency and government-sponsored enterprise mortgage-backed securities (losses) gains, net” in the Statements of Operations.
3
Because SOMA securities are recorded at amortized cost, the change in the cumulative unrealized gains (losses) is not reported in the Statements
of Operations.
4
The amount reported as change in cumulative unrealized gains (losses) allocated to the Bank is affected by the annual adjustment to the Bank's
allocated portion of the related SOMA securities, as discussed in Note 3f.
1

Total SOMA
2021

Change in
cumulative
unrealized gains

Realized gains
(losses), net
Treasury securities
Federal agency and GSE MBS
Residential
Commercial
Total federal agency and GSE MBS
GSE debt securities
Total

$

$

1, 2

(35)
(35)
(35)

(losses)

3

$

(164,056)

$

(61,517)
(333)
(61,850)
(222)
(226,128)

2020

Realized gains

Change in
cumulative
unrealized gains

(losses), net 1, 2

(losses) 3

$

2

$

664
664
666

$

159,559

$

33,399
190
33,589
223
193,371

Realized gains (losses) for Treasury securities are reported in “Other items of income (loss): System Open Market Account: Other” in the
Statements of Operations.
2
Realized gains (losses) for federal agency and GSE MBS are reported in “Other items of income (loss): System Open Market Account: Federal
agency and government-sponsored enterprise mortgage-backed securities (losses) gains, net” in the Statements of Operations.
3
Because SOMA securities are recorded at amortized cost, the change in the cumulative unrealized gains (losses) is not reported in the Statements
of Operations.
1

The amount of change in cumulative unrealized gains (losses) position, net related to foreign currency
denominated investments was a loss of $102 million and a gain of $52 million for the years ended December
31, 2021 and 2020, respectively, of which $4 million and $2 million, respectively, were allocated to the
Bank. Realized gains, net related to foreign currency denominated investments was immaterial for the years
ended December 31, 2021 and 2020.

39

Federal Reserve Bank of Chicago
Notes to Financial Statements
ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability
in an orderly transaction between market participants at the measurement date. ASC 820 establishes a threelevel fair value hierarchy that distinguishes between assumptions developed using market data obtained
from independent sources (observable inputs) and the Bank’s assumptions developed using the best
information available in the circumstances (unobservable inputs). The three levels established by ASC 820
are described as follows:
•

Level 1 – Valuation is based on quoted prices for identical instruments traded in active markets.

•

Level 2 – Valuation is based on quoted prices for similar instruments in active markets, quoted
prices for identical or similar instruments in markets that are not active, and model-based valuation
techniques for which all significant assumptions are observable in the market.

•

Level 3 – Valuation is based on model-based techniques that use significant inputs and assumptions
not observable in the market. These unobservable inputs and assumptions reflect the Bank’s
estimates of inputs and assumptions that market participants would use in pricing the assets and
liabilities. Valuation techniques include the use of option pricing models, discounted cash flow
models, and similar techniques.

Treasury securities, federal agency and GSE MBS, GSE debt securities, and foreign government debt
instruments are classified as Level 2 within the ASC 820 hierarchy because the fair values are based on
indicative quotes and other observable inputs obtained from independent pricing services. The fair value
hierarchy level of SOMA financial assets is not necessarily an indication of the risk associated with those
assets.
(6) BANK PREMISES, EQUIPMENT, AND SOFTWARE
Bank premises and equipment at December 31, 2021 and 2020 were as follows (in millions):
2021
Bank premises and equipment:
Land and land improvements
Buildings
Construction in progress

$

Furniture and equipment 1
Subtotal
Accumulated depreciation

1

2020

21
338
7

$

21
331
3

125
491

120
475

(285)

(270)

Bank premises and equipment, net

$

206

$

205

Depreciation expense, for the years ended December 31

$

18

$

19

“Building machinery and equipment” of $60 million was reported separately at December 31, 2020 but is now combined in
“Furniture and equipment.”

The Bank leases space to outside tenants with remaining lease terms ranging from 5 to 13 years, which
reflect any renewal options the lessee is reasonably certain to exercise or termination options not reasonably
40

Federal Reserve Bank of Chicago
Notes to Financial Statements
certain to exercise. Rental income from such leases was $3 million and $4 million for the years ended
December 31, 2021 and 2020, respectively, and is reported as a component of “Other items of income
(loss): Other” in the Statements of Operations. Future minimum lease payments that the Bank will receive
under non-cancelable lease agreements in existence at December 31, 2021, are as follows (in millions):
2022
2023
2024
2025
2026
Thereafter
Total

$

$

3
2
2
3
3
17
30

The Bank had capitalized software assets, net of amortization, of $17 million and $14 million at December
31, 2021 and 2020, respectively. Amortization expense was $3 million for each of the years ended
December 31, 2021 and 2020. Capitalized software assets are reported as a component of “Other assets” in
the Statements of Condition and the related amortization is reported as a component of “Operating
expenses: Other” in the Statements of Operations.
(7) COMMITMENTS AND CONTINGENCIES
In conducting its operations, the Bank enters into contractual commitments, normally with fixed expiration
dates or termination provisions, at specific rates and for specific purposes.
At December 31, 2021, the Bank was obligated under non-cancelable leases for premises with remaining
terms ranging from two to approximately six years. The lease term and the recorded amount of right-of-use
assets and lease liabilities include any renewal options reasonably certain to be exercised or termination
options not reasonably certain to be exercised. These leases provide for increased lease payments based
upon increases in real estate taxes, operating costs, or selected price indexes.
Rental expense for certain operating facilities, warehouses, and data processing (including taxes, insurance,
and maintenance when included in rent) was $1 million and $2 million for the years ended December 31,
2021 and 2020, respectively. Certain of the Bank’s leases have options to renew.
Lease right-of-use assets were $1 million at December 31, 2021 and are reported as a component of “Other
assets” in the Statements of Condition, while lease liabilities are disclosed below and are reported as a

41

Federal Reserve Bank of Chicago
Notes to Financial Statements
component of “Other liabilities” in the Statements of Condition. Future minimum lease payments and total
lease liabilities under non-cancelable operating leases at December 31, 2021, are as follows (in thousands):
2022
2023
2024
2025
2026
Thereafter
Future minimum lease payments
Net present value adjustment
Lease liability

Operating leases
$
492
390
238
240
243
21
$
1,624
$

62
1,562

At December 31, 2021, there were no material unrecorded unconditional purchase commitments or
obligations in excess of one year.
Under an insurance agreement of the Reserve Banks, each of the Reserve Banks has agreed to bear, on a
per-incident basis, a share of certain losses in excess of 1 percent of the capital paid-in of the claiming
Reserve Bank, up to 50 percent of the total capital paid-in of all Reserve Banks. Losses are borne in the
ratio of a Reserve Bank’s capital paid-in to the total capital paid-in of all Reserve Banks at the beginning
of the calendar year in which the loss is shared. No claims were outstanding under the agreement at
December 31, 2021 and 2020.
(8) RETIREMENT AND THRIFT PLANS
Retirement Plans
The Bank currently offers three defined benefit retirement plans to its employees, based on length of service
and level of compensation. Substantially all of the employees of the Reserve Banks, Board of Governors,
and Office of Employee Benefits of the Federal Reserve System (OEB) participate in the Retirement Plan
for Employees of the Federal Reserve System (System Plan).1 Under the Dodd-Frank Act, eligible Bureau
employees may participate in the System Plan and, during the years ended December 31, 2021 and 2020,
certain costs associated with the System Plan were reimbursed by the Bureau. In addition, employees at
certain compensation levels participate in the Benefit Equalization Retirement Plan (BEP) and certain
Reserve Bank officers participate in the Supplemental Retirement Plan for Select Officers of the Federal
Reserve Banks (SERP).
The FRBNY, on behalf of the System, recognizes the net asset or net liability and costs associated with the
System Plan in its consolidated financial statements. The Bank reports the service cost related to the BEP
and SERP as a component of “Operating expenses: Salaries and benefits” in its Statements of Operations,
the net cost related to the BEP and SERP as “Other items of income (loss): Other components of net benefit

1

The OEB was established by the System to administer selected System benefit plans.

42

Federal Reserve Bank of Chicago
Notes to Financial Statements
costs” in its Statements of Operations, and the net liability as a component of “Accrued benefit costs” in its
Statements of Condition.
The Bank’s projected benefit obligation, funded status, and net pension expenses for the BEP and the SERP
at December 31, 2021 and 2020, and for the years then ended, were immaterial.
Thrift Plan
Employees of the Bank participate in the defined contribution Thrift Plan for Employees of the Federal
Reserve System (Thrift Plan). The Bank matches 100 percent of the first 6 percent of employee
contributions from the date of hire and provides an automatic employer contribution of 1 percent of eligible
pay. The Bank’s Thrift Plan contributions totaled $14 million for each of the years ended December 31,
2021 and 2020 and are reported as a component of “Operating expenses: Salaries and benefits” in the
Statements of Operations.
(9) POSTRETIREMENT BENEFITS OTHER THAN RETIREMENT PLANS AND POSTEMPLOYMENT
BENEFITS
Postretirement Benefits Other Than Retirement Plans
In addition to the Bank’s retirement plans, employees who have met certain age and length-of-service
requirements are eligible for both medical and life insurance benefits during retirement.
The Bank and plan participants fund benefits payable under the medical and life insurance plans as due and
the plans have no assets.
Following is a reconciliation of the beginning and ending balances of the benefit obligation for the years
ended December 31, 2021 and 2020 (in millions):
Accumulated postretirement benefit obligation at January 1
Service cost - benefits earned during the period
Interest cost on accumulated benefit obligation
Net actuarial loss (gain)
Contributions by plan participants
Benefits paid
Medicare Part D subsidies
Accumulated postretirement benefit obligation at December 31

2021
$
165.6
7.7
4.6
(6.3)
2.8
(8.8)
0.3
$
165.9

2020
$
148.3
5.9
5.0
13.0
2.7
(9.6)
0.3
$
165.6

At December 31, 2021 and 2020, the weighted-average discount rate assumptions used in developing the
postretirement benefit obligation were 2.91 percent and 2.61 percent, respectively.
Discount rates reflect yields available on high-quality corporate bonds that would generate the cash flows
necessary to pay the plan’s benefits when due. The System Plan discount rate assumption setting convention
uses an unrounded rate.

43

Federal Reserve Bank of Chicago
Notes to Financial Statements
Following is a reconciliation of the beginning and ending balance of the plan assets, and the unfunded
postretirement benefit obligation and accrued postretirement benefit costs for the years ended December
31, 2021 and 2020 (in millions):
2021

2020

Fair value of plan assets at January 1
Contributions by the employer
Contributions by plan participants
Benefits paid
Medicare Part D subsidies
Fair value of plan assets at December 31

$

Unfunded obligation and accrued postretirement benefit cost

$

165.9

$

165.6

$

0.2
(16.7)
(16.5)

$

0.9
(24.4)
(23.5)

$

5.7
2.8
(8.8)
0.3
-

$

6.6
2.7
(9.6)
0.3
-

$

Amounts included in accumulated other comprehensive loss are shown below:
Prior service cost
Net actuarial gain (loss)
Total accumulated other comprehensive income (loss)

$

$

Accrued postretirement benefit costs are reported as a component of “Accrued benefit costs” in the
Statements of Condition.
For measurement purposes, the assumed health-care cost trend rates at December 31, 2021 and 2020 are
provided in the table below:
Health-care cost trend rate assumed for next year
Rate to which the cost trend rate is assumed to decline
(the ultimate trend rate)
Year that the rate reaches the ultimate trend rate

2021
5.50%

2020
5.75%

4.75%
2028

4.75%
2025

The following is a summary of the components of net periodic postretirement benefit expense for the years
ended December 31, 2021 and 2020 (in millions):
2021
Service cost - benefits earned during the period
Other components of periodic postretirement benefit expense:
Interest cost on accumulated benefit obligation
Amortization of prior service cost
Amortization of net actuarial loss
Other components of periodic postretirement benefit expense
Total periodic postretirement benefit expense

2020

$

7.7

$

5.9

$

4.6
(0.7)
1.4
5.3
13.0

$

5.0
(1.0)
4.0
9.9

$

$

The service cost component of periodic postretirement benefit expense is reported as a component of
“Operating expenses: Salaries and benefits” in the Statements of Operations and the other components of

44

Federal Reserve Bank of Chicago
Notes to Financial Statements
periodic postretirement benefit expense are reported as a component of “Other items of income (loss): Other
components of net benefit costs” in the Statements of Operations.
Net postretirement benefit costs are actuarially determined using a January 1 measurement date. At January
1, 2021 and 2020, the weighted-average discount rate assumptions used to determine net periodic
postretirement benefit costs were 2.61 percent and 3.31 percent, respectively.
The Medicare Prescription Drug, Improvement and Modernization Act of 2003 established a prescription
drug benefit under Medicare (Medicare Part D) and a federal subsidy to sponsors of retiree health-care
benefit plans that provide benefits that are at least actuarially equivalent to Medicare Part D. The benefits
provided under the Bank’s plan to certain participants are at least actuarially equivalent to the Medicare
Part D prescription drug benefit. The estimated effects of the subsidy are reflected in the actuarial loss in
the accumulated postretirement benefit obligation and net periodic postretirement benefit expense.
Federal Medicare Part D subsidy receipts were immaterial in the years ended December 31, 2021 and 2020.
Expected receipts in 2022, related to benefits paid in the years ended December 31, 2021 and 2020, are
immaterial.
Following is a summary of expected postretirement benefit payments (in millions):
2022
2023
2024
2025
2026
2027 - 2031
Total

Without subsidy
7.5
7.7
7.9
8.1
8.5
46.3
$
86.0
$

With subsidy
7.2
7.5
7.6
7.9
8.2
44.8
$
83.2
$

Postemployment Benefits
The Bank offers benefits to former qualifying or inactive employees. Postemployment benefit costs are
actuarially determined using a December 31 measurement date and include the cost of providing disability;
medical, dental, and vision insurance; survivor income benefits, and certain workers’ compensation
expenses. The accrued postemployment benefit costs recognized by the Bank at December 31, 2021 and
2020 were $7 million and $8 million, respectively. This cost is included as a component of “Accrued benefit
costs” in the Statements of Condition. Net periodic postemployment benefit expense included in 2021 and
2020 operating expenses were $157 thousand and $587 thousand, respectively, and are recorded as a
component of “Operating expenses: Salaries and benefits” in the Statements of Operations.

45

Federal Reserve Bank of Chicago
Notes to Financial Statements
(10)

ACCUMULATED OTHER COMPREHENSIVE INCOME AND OTHER COMPREHENSIVE INCOME

Following is a reconciliation of beginning and ending balances of accumulated other comprehensive income
(loss) as of December 31, 2021 and 2020 (in millions):

Balance at January 1

2021

2020

Amount related to
postretirement
benefits other than
retirement plans

Amount related to
postretirement
benefits other than
retirement plans

$

$

(24)

(10)

Change in funded status of benefit plans:
Amortization of prior service cost

(1)

(1)

(1)

(1)

Net actuarial gain (loss) arising during the year

6

(13)

Amortization of net actuarial gain

2

Change in prior service costs related to benefit plans

Change in actuarial gain (loss) related to benefit plans
Change in funded status of benefit plans - other comprehensive income (loss)
Balance at December 31
1

$

1

-

8

(13)

7

(14)

(17)

$

(24)

Reclassification is reported as a component of “Other items of income (loss): Other components of net benefit costs” in the
Statements of Operations.

Additional detail regarding the classification of accumulated other comprehensive loss is included in Note
9.
(11)

RECONCILIATION OF TOTAL DISTRIBUTION OF COMPREHENSIVE INCOME

In accordance with the FRA, the Bank remits excess earnings to the Treasury after providing for the cost
of operations, payment of dividends, and reservation of an amount necessary to maintain the Bank’s
allocated portion of the aggregate surplus limitation. The following table presents the distribution of the
Bank’s and System total comprehensive income for the years ended December 31, 2021 and 2020 (in
millions):
Bank's portion
2021
2020
Reserve Bank net income from operations

$

Other comprehensive income (loss)
Total comprehensive income - available for distribution

$

Distribution of comprehensive income (loss):
Transfer (from) to surplus

$

Dividends
Earnings remittances to the Treasury 1
Total distribution of comprehensive income
1

5,707
7
5,714
(10)

$
$
$

30
$

5,694
5,714

$

System total
2021
2020

4,664
(14)
4,650
2

$107,928
1,640
$109,568

$ 88,552
(1,276)
$ 87,276

$

$

(40)

1

-

24

583

386

4,624
4,650

109,025
$109,568

86,890
$ 87,276

Inclusive of a lump-sum payment of $40 million, of which $2 million was allocated to the Bank, that was remitted to the Treasury on
February 5, 2021 as required by the National Defense Authorization Act of 2021. As a result, aggregate surplus limitation in the FRA was reduced
from $6.825 billion to $6.785 billion.

46

Federal Reserve Bank of Chicago
Notes to Financial Statements
(12)

SUBSEQUENT EVENTS

There were no subsequent events that required adjustments to or disclosures in the financial statements as
of December 31, 2021.
Subsequent events were evaluated through March 10, 2022, which is the date that the financial statements
were available to be issued.

47