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.
Federal Reserve System Releases Financial Statements for Calendar Year 2010
- On March 22, 2011, the Federal Reserve System released the 2010 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, 2010, were $2.4 trillion, an increase of $0.2 trillion from the previous year. The Reserve Banks reported comprehensive income of $81.7 billion in the year ended December 31, 2010, up from the year prior. Total comprehensive income included interest earnings of $44.8 billion on the federal agency and government-sponsored enterprise (GSE) mortgage-backed securities (MBS) holdings, $26.4 billion on holdings of U.S. Treasury securities, and $3.5 billion on holdings of government-sponsored enterprise debt securities. In addition, total comprehensive income included interest income of $3.5 billion on loans to depository institutions and others. The consolidated LLCs contributed to the Reserve Banks’ comprehensive income, with net earnings of $7.6 billion for the year ended December 31, 2010. The Federal Reserve System financial statements are available on the Federal Reserve Board’s website at www.federalreserve.gov/monetarypolicy/bst_fedfinancials.htm.
FRBNY Receives Formal Offer from AIG to Purchase Maiden Lane II
- On March 11, 2011, the Federal Reserve Bank of New York (FRBNY) announced that the Federal Reserve had received a formal offer from American International Group, Inc. (AIG) to purchase the assets in Maiden Lane II, LLC, and stated that any decision on a possible disposition of these assets will be made in a way that maximizes the proceeds to the taxpayer and that is consistent with the goal of fostering financial stability.
FRBNY Announces Another Series of Small-Scale, Real-Value Reverse Repos
- On March 23, 2011, the FRBNY announced that it would conduct another series of small-scale, real-value reverse repurchase transactions (reverse repos) beginning on March 24, using all eligible collateral types. The first set of operations will be conducted using only the expanded reverse repo counterparties announced on January 31, 2011; the second set of operations will be open to all eligible reverse repo counterparties. The FRBNY periodically conducts reverse repos to ensure operational readiness at the Federal Reserve, the major clearing banks, and the primary dealers; the transactions have no material impact on the availability of reserves or on market rates, and represent no change in the stance of monetary policy. The results of these operations are available on the FRBNY’s website at www.newyorkfed.org/markets/omo/dmm/temp.cfm.
FRBNY Releases Additional Information on Performance of Assets Held in Maiden Lane LLC
- On March 25, 2011, the FRBNY published loan-level performance information related to whole loans held in the portfolio of Maiden Lane LLC. This information is available in the Quarterly Summary of Assets and Outstanding Loan Balance release on the FRBNY’s website at www.newyorkfed.org/markets/maidenlane.html.
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
February 23, 2011
January 26, 2011
February 24, 2010
|Securities held outright||2,316||+92||+340|
|U.S. Treasury securities1||1,213||+99||+436|
|Federal agency debt securities1||144||-1||-23|
|Memo: Overnight securities lending3||14||-4||+9|
|Memo: Net commitments to purchase mortgage-backed securities4||0||0||-112|
|Lending to depository institutions5||*||-*||-15|
|Central bank liquidity swaps6||*||0||+*|
|Lending through other credit facilities||21||-2||-33|
|Net portfolio holdings of Commercial Paper Funding Facility LLC||0||0||-8|
|Term Asset-Backed Securities Loan Facility7||21||-2||-25|
|Net portfolio holdings of TALF LLC8||1||+*||+1|
|Support for specific institutions||65||+*||-50|
|Credit extended to American International Group, Inc., net9, 11||0||0||-25|
|Net portfolio holdings of Maiden Lane LLC10||26||-*||-1|
|Net portfolio holdings of Maiden Lane II LLC10||16||+*||+1|
|Net portfolio holdings of Maiden Lane III LLC10||23||+1||+1|
|Preferred interests in AIA Aurora LLC and ALICO Holdings LLC7,11||0||0||-25|
|Federal Reserve notes in circulation||956||+21||+64|
|Term deposits of depository institutions||5||+5||+5|
|Other deposits of depository institutions||1,293||+207||+44|
|U.S. Treasury, general account||23||-71||+10|
|U.S. Treasury, supplementary financing account||125||-75||+120|
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 February 23, 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 December 31, 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
Figure 1. Credit and liquidity programs and the Federal Reserve’s balance sheet