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FEDERAL RESERVE statistical release For Release at 4:30 P.M. Eastern Time April 16, 2020 The Board's H.4.1 statistical release, “Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks,” has been modified to include information related to Commercial Paper Funding Facility (CPFF). This facility operates through the Commercial Paper Funding Facility II LLC (CPFF II LLC), a special purpose vehicle that was formed to purchase three-month U.S. dollar-denominated commercial paper from eligible issuers and thereby foster liquidity in short-term funding markets and increase the availability of credit for businesses and households. On March 17, 2020, the Federal Reserve announced the CPFF. On April 14, 2020, the Federal Reserve Bank of New York (FRBNY) extended credit to the CPFF II LLC under the authority of section 13(3) of the Federal Reserve Act, with approval of the Treasury Secretary, and the CPFF II LLC began purchasing eligible commercial paper. Consistent with generally accepted accounting principles, the assets and liabilities of CPFF II LLC have been consolidated with the assets and liabilities of the FRBNY in the preparation of the statements of condition shown on the release because the FRBNY is the managing member of CPFF II LLC. The net portfolio holdings of CPFF II LLC appear as an asset on the statement of condition of the FRBNY (table 5), the consolidated statement of condition of all Federal Reserve Banks (table 4), and factors affecting reserve balances of depository institutions (table 1). The amount provided by the U.S. Treasury as credit protection is recorded in “Other liabilities and capital” in table 1 and “Other liabilities and accrued dividends” in tables 4 and 5. Additionally, amounts for “Net portfolio holdings of Maiden Lane LLC,” were removed from table 1 because the portfolio holdings have been reduced to de minimis balances. Amounts will be included in “Other Federal Reserve Assets” in table 1 and “Other assets” in tables 4 and 5. FEDERAL RESERVE statistical release H.4.1 Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks April 16, 2020 1. Factors Affecting Reserve Balances of Depository Institutions Millions of dollars Reserve Bank credit, related items, and reserve balances of depository institutions at Federal Reserve Banks Reserve Bank credit Securities held outright1 U.S. Treasury securities Bills2 Notes and bonds, nominal2 Notes and bonds, inflation-indexed2 Inflation compensation3 Federal agency debt securities2 Mortgage-backed securities4 Unamortized premiums on securities held outright5 Unamortized discounts on securities held outright5 Repurchase agreements6 Foreign official Others Loans Primary credit Secondary credit Seasonal credit Primary Dealer Credit Facility Money Market Mutual Fund Liquidity Facility Other credit extensions Net portfolio holdings of Commercial Paper Funding Facility II LLC7 Float Central bank liquidity swaps8 Other Federal Reserve assets9 Foreign currency denominated assets10 Gold stock Special drawing rights certificate account Treasury currency outstanding11 Week ended Apr 15, 2020 Averages of daily figures Change from week ended Apr 8, 2020 Apr 17, 2019 6,196,020 5,195,539 3,717,414 326,044 3,140,587 217,244 33,539 2,347 1,475,778 250,328 -7,123 201,596 1 201,596 128,604 41,034 0 0 35,590 51,944 0 + + + 141 -266 393,063 34,137 20,515 11,041 5,200 50,247 + + + + + + + + + + + - + - + 227,982 222,862 206,286 0 190,299 14,619 1,369 0 16,576 20,389 834 26,047 1 26,047 1,400 2,479 0 0 2,891 1,849 0 141 72 7,698 3,577 156 0 0 14 6,283,023 + 228,152 Total factors supplying reserve funds Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. +2,299,746 +1,448,965 +1,563,958 + 326,044 +1,124,023 + 102,094 + 11,797 0 - 114,993 + 115,251 + 5,923 + 201,596 + 1 + 201,596 + 128,580 + 41,024 0 13 + 35,590 + 51,944 0 + + + - Wednesday Apr 15, 2020 6,329,072 5,359,376 3,788,858 326,044 3,206,144 222,692 33,978 2,347 1,568,171 262,334 -6,896 181,100 0 181,100 120,349 36,284 0 0 33,409 50,656 0 141 58 393,008 6,338 116 0 0 366 974 -361 378,291 33,904 20,525 11,041 5,200 50,247 +2,299,996 6,416,085 + H.4.1 1. Factors Affecting Reserve Balances of Depository Institutions (continued) Millions of dollars Reserve Bank credit, related items, and reserve balances of depository institutions at Federal Reserve Banks Week ended Apr 15, 2020 Averages of daily figures Change from week ended Apr 8, 2020 Apr 17, 2019 Currency in circulation11 Reverse repurchase agreements12 Foreign official and international accounts Others Treasury cash holdings Deposits with F.R. Banks, other than reserve balances Term deposits held by depository institutions U.S. Treasury, General Account Foreign official Other13 Other liabilities and capital14 1,884,944 284,464 278,571 5,893 307 1,134,405 0 889,815 16,352 228,237 59,862 + + Total factors, other than reserve balances, absorbing reserve funds Reserve balances with Federal Reserve Banks Note: Components may not sum to totals because of rounding. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. + + + + + + + 3,933 128,326 3,774 124,552 10 187,593 0 191,237 408 3,237 6,372 3,363,982 + 69,562 2,919,041 + 158,590 Wednesday Apr 15, 2020 + + + + 157,948 32,605 26,841 5,764 25 780,064 0 604,551 11,108 164,404 14,842 1,887,593 279,584 276,434 3,150 302 1,103,978 0 856,155 16,347 231,475 74,756 + 985,434 3,346,212 +1,314,562 3,069,872 Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. Face value of the securities. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. Cash value of agreements. Refer to the note on consolidation accompanying table 5. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. Includes bank premises, accrued interest, and other accounts receivable. Also includes net portfolio holdings of Maiden Lane LLC. Revalued daily at current foreign currency exchange rates. Estimated. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury. H.4.1 1A. Memorandum Items Millions of dollars Memorandum item Week ended Apr 15, 2020 Securities held in custody for foreign official and international accounts Marketable U.S. Treasury securities1 Federal agency debt and mortgage-backed securities2 Other securities3 Securities lent to dealers Overnight facility4 U.S. Treasury securities Federal agency debt securities Note: Components may not sum to totals because of rounding. 1. 2. 3. 4. Averages of daily figures Change from week ended Apr 8, 2020 Apr 17, 2019 3,318,168 2,847,057 388,210 82,900 34,596 34,596 34,596 0 + + + - 1,971 1,385 70 655 1,976 1,976 1,976 0 + + + + + Wednesday Apr 15, 2020 149,326 215,157 54,378 11,451 12,652 12,652 12,652 0 3,328,037 2,857,372 387,578 83,087 32,721 32,721 32,721 0 Includes securities and U.S. Treasury STRIPS at face value, and inflation compensation on TIPS. Does not include securities pledged as collateral to foreign official and international account holders against reverse repurchase agreements with the Federal Reserve presented in tables 1, 4, and 5. Face value of federal agency securities and current face value of mortgage-backed securities, which is the remaining principal balance of the securities. Includes non-marketable U.S. Treasury securities, supranationals, corporate bonds, asset-backed securities, and commercial paper at face value. Face value. Fully collateralized by U.S. Treasury securities. 2. Maturity Distribution of Securities, Loans, and Selected Other Assets and Liabilities, April 15, 2020 Millions of dollars Within 15 days Remaining Maturity Loans1 U.S. Treasury securities2 Holdings Weekly changes Federal agency debt securities3 Holdings Weekly changes 16 days to 90 days 13,782 + 58,644 11,532 0 0 88,132 - 225,035 8,380 0 0 Mortgage-backed securities4 0 0 Holdings 0 0 Weekly changes Commercial paper held by Commercial 0 950 Paper Funding Facility II LLC5 32,700 148,400 Repurchase agreements6 26,361 351,930 Central bank liquidity swaps7 279,584 0 Reverse repurchase agreements6 0 0 Term deposits Note: Components may not sum to totals because of rounding. ...Not applicable. 1. 2. 3. 4. 5. 6. 7. Over 1 year to 5 years Over 5 year to 10 years 18,434 0 0 527,601 27,012 1,493,336 + 61,130 0 0 0 0 91 days to 1 year + 5 0 0 ... 0 ... 0 - 1,696 8 ... ... 0 ... ... + 621,255 44,337 Over 10 years ... + 1,151 0 + 73,362 562 ... ... 0 ... ... All 862,987 18,841 120,349 + 1,196 0 + 1,493,109 107,918 ... ... 0 ... ... 3,788,858 154,472 2,347 0 + 1,568,171 108,470 950 181,100 378,291 279,584 0 Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, and other credit extensions. Loans exclude the loan from the Federal Reserve Bank of New York (FRBNY) to Commercial Paper Funding Facility II LLC, which was eliminated when preparing the FRBNY's statement of condition consistent with consolidation under generally accepted accounting principles. Face value. For inflation-indexed securities, includes the original face value and compensation that adjusts for the effect of inflation on the original face value of such securities. Face value. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. Face value of commercial paper held by Commercial Paper Funding Facility II LLC. Cash value of agreements. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. H.4.1 3. Supplemental Information on Mortgage-Backed Securities Millions of dollars Account name Wednesday Apr 15, 2020 Mortgage-backed securities held outright1 Residential mortgage-backed securities Commercial mortgage-backed securities 1,568,171 1,562,461 5,710 Commitments to buy mortgage-backed securities2 Commitments to sell mortgage-backed securities2 268,565 1,000 11 Cash and cash equivalents3 1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 2. Current face value. Includes residential and commercial mortgage-backed securities. Residential mortgage-backed securities generally settle within 180 calendar days and include commitments associated with outright transactions, dollar rolls, and coupon swaps. Commercial mortgage-backed securities generally settle within three business days. 3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 4 and table 5. H.4.1 4. Consolidated Statement of Condition of All Federal Reserve Banks Millions of dollars Assets, liabilities, and capital Assets Gold certificate account Special drawing rights certificate account Coin Securities, unamortized premiums and discounts, repurchase agreements, and loans Securities held outright1 U.S. Treasury securities Bills2 Notes and bonds, nominal2 Notes and bonds, inflation-indexed2 Inflation compensation3 Federal agency debt securities2 Mortgage-backed securities4 Unamortized premiums on securities held outright5 Unamortized discounts on securities held outright5 Repurchase agreements6 Loans7 Net portfolio holdings of Commercial Paper Funding Facility II LLC8 Items in process of collection Bank premises Central bank liquidity swaps9 Foreign currency denominated assets10 Other assets11 Eliminations from consolidation Wednesday Apr 15, 2020 11,037 5,200 1,656 (0) Change since Wednesday Wednesday Apr 8, 2020 Apr 17, 2019 - 0 0 12 5,916,263 5,359,376 3,788,858 326,044 3,206,144 222,692 33,978 2,347 1,568,171 262,334 -6,896 181,100 120,349 + + + + + + - 261,709 262,942 154,472 0 141,284 12,067 1,121 0 108,470 19,221 485 11,651 9,288 974 35 2,203 378,291 20,525 31,703 + + + + + 974 4 2 20,214 152 1,713 + 284,746 (0) 6,367,887 Total assets Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. + + + - 0 0 38 +2,050,671 +1,615,682 +1,635,449 + 326,044 +1,189,670 + 107,548 + 12,186 0 19,767 + 127,421 + 6,138 + 181,100 + 120,330 + + + 974 30 0 378,236 101 6,347 +2,436,060 H.4.1 4. Consolidated Statement of Condition of All Federal Reserve Banks (continued) Millions of dollars Assets, liabilities, and capital Liabilities Federal Reserve notes, net of F.R. Bank holdings Reverse repurchase agreements12 Deposits Term deposits held by depository institutions Other deposits held by depository institutions U.S. Treasury, General Account Foreign official Other13 Deferred availability cash items Other liabilities and accrued dividends14 Total liabilities Capital accounts Capital paid in Surplus Other capital accounts Total capital Note: Components may not sum to totals because of rounding. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. Eliminations from consolidation (0) (0) (0) (0) Wednesday Apr 15, 2020 Change since Wednesday Wednesday Apr 8, 2020 Apr 17, 2019 1,839,299 279,584 4,173,852 0 3,069,874 856,155 16,347 231,475 396 35,924 + + + + + + 4,074 54,904 315,492 0 295,368 28,977 299 8,555 52 20,032 + 159,130 + 23,902 +2,222,729 0 +1,545,577 + 486,790 + 11,104 + 179,256 + 80 + 30,730 6,329,055 + 284,746 +2,436,570 32,007 6,825 0 0 0 0 - 510 0 0 38,832 0 - 510 Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. Face value of the securities. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, and other credit extensions. Refer to the note on consolidation accompanying table 5. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. Revalued daily at current foreign currency exchange rates. Includes accrued interest, which represents the daily accumulation of interest earned, and other accounts receivable. Also includes net portfolio holdings of Maiden Lane LLC. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. Includes the liability for earnings remittances due to the U.S. Treasury. H.4.1 5. Statement of Condition of Each Federal Reserve Bank, April 15, 2020 Millions of dollars Assets, liabilities, and capital Assets Gold certificates and special drawing rights certificates Coin Securities, unamortized premiums and discounts, repurchase agreements, and loans1 Net portfolio holdings of Commercial Paper Funding Facility II LLC2 Central bank liquidity swaps3 Foreign currency denominated assets4 Other assets5 Interdistrict settlement account Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas City Dallas San Francisco 16,237 1,656 547 39 5,525 48 537 150 768 90 1,166 224 2,214 158 1,135 276 478 29 276 50 445 110 1,172 189 1,974 294 5,916,263 171,952 3,216,038 140,699 170,616 355,201 396,430 308,255 83,574 50,317 86,869 253,004 683,306 974 378,291 0 17,956 974 127,130 0 13,613 0 32,327 0 79,845 0 18,762 0 14,691 0 6,201 0 2,962 0 3,989 0 4,491 0 56,324 4,331 2,378 75,875 - 1,018 2,388 56,279 + 797 1,825 23,416 - 336 641 7,250 - 161 406 6,401 - 20,525 33,941 0 - 974 809 30,758 + 6,899 17,233 92,050 - 738 861 14,798 + 1,754 1,065 1,964 + 6,367,887 161,518 3,465,898 141,801 208,583 Total assets Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 519,020 364,691 350,394 84,009 47,770 216 791 604 + 91,816 244 1,657 48,467 309,224 3,056 3,888 125,681 623,161 H.4.1 5. Statement of Condition of Each Federal Reserve Bank, April 15, 2020 (continued) Millions of dollars Assets, liabilities, and capital Liabilities Federal Reserve notes, net Reverse repurchase agreements6 Deposits Depository institutions U.S. Treasury, General Account Foreign official Other7 Earnings remittances due to the U.S. Treasury8 Other liabilities and accrued dividends Total Boston New York Philadelphia Cleveland Richmond Atlanta Chicago St. Louis Minneapolis Kansas City San Francisco Dallas 1,839,299 279,584 4,173,852 56,991 5,800 96,339 618,290 152,533 2,657,062 50,348 6,771 82,685 83,899 8,180 112,475 123,857 17,110 368,281 252,792 19,116 89,307 118,987 14,676 213,999 57,718 4,018 21,239 29,801 2,419 14,557 49,485 4,146 37,330 150,153 12,140 145,290 246,977 32,676 335,288 3,069,874 856,155 16,347 231,475 96,325 0 2 12 1,700,373 856,155 16,321 84,213 82,683 0 1 0 105,413 0 3 7,058 367,145 0 8 1,128 88,989 0 2 316 95,662 0 2 118,336 21,234 0 1 4 14,501 0 0 56 25,698 0 0 11,632 136,569 0 0 8,720 335,281 0 6 1 2,104 53 1,165 48 72 135 136 100 22 19 20 82 252 34,216 505 23,847 562 661 1,487 1,440 1,135 377 649 420 913 2,221 6,329,055 159,688 3,452,897 140,413 205,286 510,869 362,791 348,896 83,375 47,445 91,402 308,578 617,414 32,007 6,825 0 1,506 324 0 10,707 2,294 0 1,143 246 0 2,714 583 0 6,710 1,441 0 1,561 338 0 1,233 265 0 523 112 0 272 53 0 342 72 0 565 81 0 4,731 1,016 0 6,367,887 161,518 3,465,898 141,801 208,583 Total liabilities and capital Note: Components may not sum to totals because of rounding. Footnotes appear at the end of the table. 519,020 364,691 350,394 84,009 47,770 91,816 309,224 623,161 Total liabilities Capital Capital paid in Surplus Other capital H.4.1 5. Statement of Condition of Each Federal Reserve Bank, April 15, 2020 (continued) 1. 2. 3. 4. 5. 6. 7. 8. Securities include outright holdings of U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, including securities lent to dealers under the overnight securities lending facility; refer to table 1A. Mortgage-backed securities are guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Unamortized premiums and discounts are the differences between the purchase price and the face value of the securities that have not been amortized. For U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. Repurchase agreements reflect the cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities. Loans includes primary, secondary, and seasonal loans and credit extended through the Primary Dealer Credit Facility, Money Market Mutual Fund Liquidity Facility, and other credit extensions. Refer to note on consolidation below. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. Revalued daily at current foreign currency exchange rates. Includes items in process of collection, bank premises, accrued interest (which represents the daily accumulation of interest earned), and other accounts receivable. Also includes Net portfolio holdings of Maiden Lane LLC; refer to the note on consolidation for additional information. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. Represents the estimated weekly remittances due to U.S. Treasury. The amounts on this line represent the residual net earnings that the Federal Reserve Banks remit to the U.S. Treasury after providing for the costs of operations, payment of dividends, and the amount necessary to maintain a $6.825 billion surplus. Note on consolidation: On April 14, 2020, the Federal Reserve Bank of New York (FRBNY) began extending loans to the Commercial Paper Funding Facility II LLC (CPFF II LLC) under the authority of section 13(3) of the Federal Reserve Act. CPFF II LLC is a limited liability company formed to purchase three-month U.S dollar-denominated commercial paper by eligible issuers. The assets of the CPFF II LLC are used to secure the loan from the FRBNY and the amount provided by U.S. Treasury as credit protection to the FRBNY. The FRBNY is the managing member of CPFF II LLC. Consistent with generally accepted accounting principles, the assets and liabilities of the CPFF II LLC have been consolidated with the assets and liabilities of the FRBNY in the preparation of the statements of condition shown on this release. As a consequence of the consolidation, the loan from the FRBNY to CPFF II LLC is eliminated, the net assets of the CPFF II LLC appear as assets on the previous page (and in table 1 and table 4), and the liabilities of the CPFF II LLC to entities other than the FRBNY, including those with recourse only to the portfolio holdings of the CPFF II LLC are included in other liabilities in this table (and table 1 and table 4). H.4.1 6. Collateral Held against Federal Reserve Notes: Federal Reserve Agents’ Accounts Millions of dollars Federal Reserve notes and collateral Federal Reserve notes outstanding Less: Notes held by F.R. Banks not subject to collateralization Federal Reserve notes to be collateralized Collateral held against Federal Reserve notes Gold certificate account Special drawing rights certificate account U.S. Treasury, agency debt, and mortgage-backed securities pledged1,2 Other assets pledged Memo: Total U.S. Treasury, agency debt, and mortgage-backed securities1,2 Less: Face value of securities under reverse repurchase agreements U.S. Treasury, agency debt, and mortgage-backed securities eligible to be pledged Note: Components may not sum to totals because of rounding. 1. 2. Includes face value of U.S. Treasury, agency debt, and mortgage-backed securities held outright, compensation to adjust for the effect of inflation on the original face value of inflation-indexed securities, and cash value of repurchase agreements. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. Wednesday Apr 15, 2020 2,007,661 168,361 1,839,299 1,839,299 11,037 5,200 1,823,063 0 5,540,476 266,203 5,274,273
@FedFRASER