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 in "Other assets" in tables 4 and 5.
