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 February 29, 2012.
Federal Reserve System Releases Financial Statements for Calendar Year 2011
- On March 20, 2012, the Federal Reserve System released the 2011 audited financial statements for the combined Federal Reserve Banks, the 12 individual Reserve Banks, the limited liability companies (LLCs) that were created by the Federal Reserve to respond to strains in financial markets, and the Board of Governors. Total Reserve Bank assets as of December 31, 2011, were $2.9 trillion, an increase of $0.5 trillion from the previous year. The Reserve Banks reported comprehensive income of $77.4 billion in the year ended December 31, 2011, down slightly from the year prior. Total comprehensive income included interest earnings of $42.3 billion on holdings of U.S. Treasury securities, $38.3 billion on the federal agency and government-sponsored enterprise (GSE) mortgage-backed securities (MBS) holdings, and $3.1 billion on holdings of GSE debt securities. In addition, total comprehensive income included interest income of $0.7 billion on loans to depository institutions and others. The Reserve Banks provided for payments of $75.4 billion of their 2011 comprehensive income to the U.S. Treasury. The Federal Reserve System financial statements are available on the Federal Reserve Board’s website at www.federalreserve.gov/monetarypolicy/bst_fedfinancials.htm.
FRBNY Loan to Maiden Lane II Repaid, Remaining Securities Sold
- On March 1, 2012, the remaining outstanding balance of the senior loan from the Federal Reserve Bank of New York (FRBNY) to Maiden Lane II LLC was repaid in full, with interest, along with a portion of the fixed deferred purchase price owed to insurance subsidiaries of American International Group, Inc. (AIG) that held a subordinated position in Maiden Lane II LLC. Proceeds from Maiden Lane II portfolio asset sales conducted in January and February 2012—including the sale, announced on February 28, of the portfolio’s remaining $6.0 billion in face value of assets to Credit Suisse Securities (USA) LLC—along with cash flow generated by the securities while held in the Maiden Lane II portfolio enabled the repayments. On March 15, the remaining portion of the fixed deferred purchase price plus interest owed to the AIG subsidiaries was repaid in full. In addition, in accordance with the Maiden Lane II agreements, residual proceeds were split between the FRBNY (5/6th) and the AIG subsidiaries (1/6th). The FRBNY has also announced that the transactions generated a net gain of approximately $2.8 billion, including $580 million in accrued interest, for the benefit of the U.S. public. Additional information on the accounts of Maiden Lane II is presented in table 5 of the H.4.1 statistical release, and online at www.newyorkfed.org/markets/maidenlane.html. Additional information about the transaction announced on February 28 is available at www.newyorkfed.org/newsevents/news/markets/2012/an120228.html.
FRBNY Announces Another Series of Reverse Repurchase Transactions
- On February 28, 2012, the FRBNY announced that beginning on February 29 it would conduct another series of small-scale, real-value, reverse repurchase transactions (reverse repos) using all eligible collateral types. The first set of operations in the series was conducted using only the reverse repo counterparties announced in October and December 2011; subsequent operations were open to all eligible reverse repo counterparties. These types of transactions are conducted as a matter of prudent planning by the Federal Reserve and are designed to have no material impact on the availability of reserves or on market rates. They do not represent a change in the stance of monetary policy and no inference should be drawn about the timing of any change in the stance of monetary policy in the future. The results of these operations are available on the FRBNY’s website at www.newyorkfed.org/markets/omo/dmm/temp.cfm. The outstanding amounts of reverse repos are reported weekly in tables 1, 2, 8, and 9 of the H.4.1 statistical release.
Federal Reserve Conducts Small-Value TDF Auction
- On March 19, 2012, the Federal Reserve conducted an auction of $3 billion of 28-day term deposits through the Term Deposit Facility (TDF). The ongoing small-value TDF offerings are a matter of prudent planning and have no implications for the near-term conduct of monetary policy. Additional information about term deposits, auction results, and future small-value offerings is available through the TDF Resource Center at www.frbservices.org/centralbank/term_deposit_facility.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
February 29, 2012
January 25, 2012
March 2, 2011
|Securities held outright||2,603||+4||+275|
|U.S. Treasury securities1||1,662||+*||+426|
|Federal agency debt securities1||101||-*||-42|
|Memo: Overnight securities lending3||19||+5||+2|
|Memo: Net commitments to purchase mortgage-backed securities4||39||+2||+39|
|Lending to depository institutions5||*||
|Central bank liquidity swaps6||108||+5||+108|
|Lending through the Term Asset-Backed Securities Loan Facility7||8||-*||-12|
|Net portfolio holdings of TALF LLC8||1||+*||+*|
|Support for specific institutions||31||-3||-34|
|Net portfolio holdings of Maiden Lane LLC9||6||-1||-20|
|Net portfolio holdings of Maiden Lane II LLC9||7||-3||-9|
|Net portfolio holdings of Maiden Lane III LLC9||18||-*||-5|
|Federal Reserve notes in circulation||1,050||+25||+92|
|Term deposits of depository institutions||0||-3||-5|
|Other deposits of depository institutions||1,607||+28||+308|
|U.S. Treasury, general account||63||-49||+13|
|U.S. Treasury, supplementary financing account||0||0||-100|
* 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 February 29, 2012, TALF LLC had purchased no assets from the FRBNY. Return to table
9. Fair value, reflecting values as of December 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 Reserves balance sheet.