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 over the last four weeks, and presents data describing changes in the assets, liabilities, and total capital of the Federal Reserve System.
American International Group, Inc. (AIG) Fully Repays Revolving Credit Facility; Federal Reserve Bank of New York's (FRBNY's) Lending Commitment Terminated
- On January 14, 2011, AIG, the U.S. Department of the Treasury, and the FRBNY closed the comprehensive recapitalization plan to restructure the assistance provided by the U.S. government to AIG (the "Recapitalization"). As a result of the closing of the Recapitalization, the revolving credit facility extended to AIG and the preferred interests in AIA Aurora LLC and ALICO Holdings LLC were fully repaid, and the FRBNY's commitment to lend any further funds was terminated. For more information please refer to the AIG background section of this report on page 19.
Federal Reserve Conducts Term Deposit Facility (TDF) Auction
- On February 7, 2011, the Federal Reserve conducted an auction of $5 billion of 28-day term deposits through the TDF. The awarded deposits settled on February 10, 2011, and will mature on March 10, 2011. 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. The ongoing small-value TDF offerings are a matter of prudent planning and have no implications for the near-term conduct of monetary policy.
FRBNY Continues to Expand List of Counterparties for Reverse Repurchase Transactions (Reverse Repos)
- On January 31, 2011, the FRBNY released an expanded list of counterparties for conducting reverse repos, and on February 1, 2011, announced revised eligibility criteria for inclusion of additional counterparties. To prepare for the potential need to conduct large-scale reverse repos, the FRBNY is developing arrangements with an expanded set of counterparties with which it can conduct these transactions. These counterparties are in addition to the existing set of Primary Government Securities Dealer counterparties ("primary dealers"), with which the Federal Reserve can already conduct reverse repos. Further information on reverse repo counterparties is available online at www.newyorkfed.org/markets/rrp_announcements.html.
FRBNY Adds Two New Primary Dealers
- Effective February 2, 2011, the FRBNY added two new primary dealers. The complete list of primary dealers is available online at www.newyorkfed.org/markets/pridealers_current.html.
Federal Reserve Releases Quarterly Accounting Updates
- The quarterly updates to the fair value of the three Maiden Lane LLCs' net portfolio holdings and the fair value adjustment of the Term Asset-Backed Securities Loan Facility (TALF), as of February, 2, 2011, were reported on the February 3, 2011, H.4.1 statistical release based on updated valuations as of December 31, 2010. The updated valuations resulted in a combined net unrealized gain of $800 million for Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC. The updated valuations resulted in a net unrealized gain of $18 million for TALF. Figures for the full year of 2010 will be published in this report following the release of the audited financial statements of the Federal Reserve System.
Federal Reserve System Selected Assets, Liabilities, and Total Capital
Table 1 of this section outlines 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 of this section maps out 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
January 26, 2011
December 29, 2010
January 27, 2010
|Securities held outright||2,224||+68||+314|
|U.S. Treasury securities1||1,114||+98||+337|
|Federal agency debt securities1||145||-2||-19|
|Memo: Overnight securities lending3||18||+3||+14|
|Memo: Net commitments to purchase mortgage-backed securities4||0||0||-133|
|Lending to depository institutions5||*||-*||-16|
|Central bank liquidity swaps6||*||-*||-*|
|Lending through other credit facilities||23||-2||-32|
|Net portfolio holdings of Commercial Paper Funding Facility LLC||0||0||-9|
|Term Asset-Backed Securities Loan Facility7||23||-2||-23|
|Net portfolio holdings of TALF LLC8||1||+*||+1|
|Support for specific institutions||65||-48||-51|
|Credit extended to American International Group, Inc., net9||0||-20||-26|
|Net portfolio holdings of Maiden Lane LLC10||26||-1||-1|
|Net portfolio holdings of Maiden Lane II LLC10||16||-*||+1|
|Net portfolio holdings of Maiden Lane III LLC10||22||-1||-*|
|Preferred interests in AIA Aurora LLC and ALICO Holdings LLC7||0||-26||-25|
|Federal Reserve notes in circulation||935||-9||+57|
|Term deposits of depository institutions||0||-5||0|
|Other deposits of depository institutions||1,086||+65||-25|
|U.S. Treasury, general account||94||+5||-33|
|U.S. Treasury, supplementary financing account||200||0||+195|
Funds from American International Group, Inc. asset dispositions,
held as agent11
* 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 January 26, 2011, TALF LLC had purchased no assets from the FRBNY. Return to table
9. Excludes credit extended to Maiden Lane II and III LLCs. Return to table
10. Fair value, reflecting values as of September 30, 2010. 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
11. As a result of the closing of the AIG Recapitalization on January 14, 2011, the credit extended to AIG was fully repaid and the Federal Reserve's commitment to lend any further funds was terminated. In addition, the FRBNY has been paid in full for its preferred interests in AIA Aurora LLC and ALICO Holdings LLC. The funds from AIG asset dispositions that FRBNY held as agent were the source of repayment of the credit extended to AIG, as well as a portion of the FRBNY's preferred interests in ALICO Holdings LLC. The remaining FRBNY preferred interests in ALICO Holdings LLC and AIA Aurora LLC, valued at approximately $20 billion, were purchased by AIG through a draw on the Treasury's Series F preferred stock commitment and then transferred by AIG to the Treasury as consideration for the draw on the available Series F funds. Return to table