This letter is known as an acknowledgment letter. It can also be called an acknowledging receipt or a confirmation of receipt letter. An acknowledgment letter basically informs the sender that the received items are securely in your possession.
Acknowledge(d) receipt: This phrase is either a present-tense confirmation of receiving something (for example, I acknowledge receipt of the attached documents) or a past-tense confirmation of having received something (for example, Yes, I have already acknowledged receipt of the e-mail).