Monthly Report on Credit and Liquidity Programs
and the Balance Sheet
|Abbreviations||Overview||System Open Market Account|
The Overview section of this report highlights developments in the operations of the Federal Reserve's credit and liquidity programs and facilities since last month's report, and presents data describing changes in the assets, liabilities, and total capital of the Federal Reserve System as of June 29, 2011.
FOMC Completes $600 Billion Treasury Purchase Program
- On June 22, 2011, the Federal Open Market Committee (FOMC) directed the Trading Desk at the Federal Reserve Bank of New York (FRBNY) to complete the $600 billion expansion of holdings of longer-term Treasury securities in the System Open Market Account (SOMA) portfolio. The expansion was announced on November 3, 2010, and was completed as scheduled, on June 30, 2011.
FOMC Maintains Existing Reinvestment Policy
- Also on June 22, 2011, the FOMC directed the FRBNY Trading Desk to maintain its existing policy of reinvesting principal payments on all domestic securities in the SOMA in Treasury securities in order to maintain the total face value of domestic securities at approximately $2.6 trillion. These purchases will be allocated across maturities according to a distribution outlined on the FRBNY public website at www.newyorkfed.org/markets/opolicy/operating_policy_110622.html.
U.S. Dollar Liquidity Swap Arrangements Extended through August 1, 2012
- At its June 2011 meeting, the FOMC approved an extension of the existing temporary U.S. dollar liquidity swap arrangements with five central banks: the Bank of Canada, the Bank of England, the European Central Bank, the Bank of Japan, and the Swiss National Bank through August 1, 2012. The Bank of Japan announced its approval of the extension following its July Monetary Policy Meeting, on July 12, 2011; the other four central banks and the Federal Reserve announced the extension on June 29, 2011. These swap arrangements were first established in May 2010 and had previously been authorized through August 1, 2011.
FRBNY Releases Data Related to ML LLC and ML II LLC Asset Sales
- On July 15, 2011, as part of its effort to enhance the transparency around portfolio asset sales, the FRBNY released monthly sales data separately listing the assets sold from Maiden Lane (ML) LLC and Maiden Lane II (ML II) LLC. In addition, the FRBNY released quarterly counterparty data related to ML LLC and ML II LLC asset sales that occurred in the second quarter of 2011. The quarterly data provides counterparty information for securities sold from ML LLC and ML II LLC and the respective aggregate proceeds that counterparties paid for those securities. Additional details are available at www.newyorkfed.org/markets/maidenlane.html.
Federal Reserve System Selected Assets, Liabilities, and Total Capital
Table 1 reports selected assets and liabilities and total capital of the Federal Reserve System and presents the change in these components over the past month and since this time last year.
Figure 1 displays the levels of selected Federal Reserve assets and liabilities, securities holdings, and credit extended through liquidity facilities since 2007.
Table 1. Assets, liabilities, and capital of the Federal Reserve System
Billions of dollars
June 29, 2011
May 25, 2011
June 30, 2010
|Securities held outright||2,643||+87||+583|
|U.S. Treasury securities1||1,617||+98||+840|
|Federal agency debt securities1||117||-2||-48|
|Memo: Overnight securities lending3||37||+17||+23|
|Memo: Net commitments to purchase mortgage-backed securities4||0||0||-16|
|Lending to depository institutions5||*||+*||-1|
|Central bank liquidity swaps6||0||0||-1|
|Lending through other credit facilities||13||-1||-29|
|Net portfolio holdings of Commercial Paper Funding Facility LLC||0||0||0|
|Term Asset-Backed Securities Loan Facility7||13||-1||-29|
|Net portfolio holdings of TALF LLC8||1||+*||+*|
|Support for specific institutions||61||-3||-6|
|Net portfolio holdings of Maiden Lane LLC9||24||-*||-4|
|Net portfolio holdings of Maiden Lane II LLC9||13||-2||-3|
|Net portfolio holdings of Maiden Lane III LLC9||24||-*||+1|
|Federal Reserve notes in circulation||986||+7||+82|
|Term deposits of depository institutions||5||+5||+4|
|Other deposits of depository institutions||1,622||+30||+650|
|U.S. Treasury, general account||106||+32||+18|
|U.S. Treasury, supplementary financing account||5||0||-195|
* Less than $500 million. Return to table
1. Face value. Return to table
2. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value, which is the remaining principal balance of the underlying mortgages. Does not include unsettled transactions. Return to table
3. Securities loans under the overnight facility are off-balance-sheet transactions. These loans are shown here as a memo item to indicate the portion of securities held outright that have been lent through this program. Return to table
4. Current face value. Includes commitments associated with outright purchases, dollar rolls, and coupon swaps. Return to table
5. Total of primary, seasonal, and secondary credit. Return to table
6. Dollar value of the 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. Return to table
7. Book value. Return to table
8. As of June 29, 2011, TALF LLC had purchased no assets from the FRBNY. Return to table
9. Fair value, reflecting values as of March 31, 2011. Fair value reflects an estimate of the price that would be received upon selling an asset if the transaction were to be conducted in an orderly market on the measurement date. Fair values are updated quarterly. Return to table
Figure 1. Credit and liquidity programs and the Federal Reserve's balance sheet