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 November 30, 2011.
Federal Reserve and Other Foreign Central Banks Announce Coordinated Actions to Enhance Their Capacity to Provide Liquidity Support to the Global Financial System
- On November 30, 2011, the Federal Open Market Committee (FOMC) authorized an extension of the existing temporary U.S. dollar liquidity swap arrangements with the Bank of Canada, the Bank of England, the Bank of Japan, the European Central Bank, and the Swiss National Bank through February 1, 2013. The rate on these swap arrangements was reduced from the U.S. dollar overnight indexed swap (OIS) rate plus 100 basis points to the OIS rate plus 50 basis points. In addition, as a contingency measure, the FOMC agreed to establish similar temporary swap arrangements with these five central banks to provide liquidity in any of their currencies if necessary.
Foreign Central Banks Draw on U.S. Dollar Liquidity Swap Lines
- In the first operation following the decline in the swap rate announced on November 30, 2011, the Bank of Japan, the European Central Bank, and the Swiss National Bank drew on their U.S. dollar liquidity swap lines for $25 million, $52.3 billion, and $75 million, respectively. Additional information about swap operations is available at www.newyorkfed.org/markets/fxswap/fxswap.cfm.
FRBNY Adds Eight Banks to List of Counterparties for Reverse Repo Transactions
- On December 1, 2011, the Federal Reserve Bank of New York (FRBNY) announced that it had accepted eight banks as reverse repurchase agreement (reverse repo) counterparties. The FRBNY had announced that it would begin to accept banks and savings associations as counterparties in July 2011 and, on December 2, released a second round of criteria for the acceptance of banks and savings associations as counterparties eligible to participate in reverse repos. Further information on reverse repo counterparties is available at www.newyorkfed.org/markets/rrp_counterparties.html. The expanded reverse repo counterparties list is available at www.newyorkfed.org/markets/expanded_counterparties.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
November 30, 2011
October 26, 2011
December 1, 2010
|Securities held outright||2,605||-30||+517|
|U.S. Treasury securities1||1,672||-6||+755|
|Federal agency debt securities1||106||-2||-42|
|Memo: Overnight securities lending3||14||-*||+5|
|Memo: Net commitments to purchase mortgage-backed securities4||45||+24||+45|
|Lending to depository institutions5||*||+*||+*|
|Central bank liquidity swaps6||2||+*||+2|
|Lending through the Term Asset-Backed Securities Loan Facility7||10||-1||-15|
|Net portfolio holdings of TALF LLC8||1||+*||+*|
|Support for specific institutions||38||-2||-29|
|Net portfolio holdings of Maiden Lane LLC9||11||-2||-17|
|Net portfolio holdings of Maiden Lane II LLC9||9||-*||-7|
|Net portfolio holdings of Maiden Lane III LLC9||18||-*||-5|
|Federal Reserve notes in circulation||1020||+18||+84|
|Term deposits of depository institutions||5||+5||+5|
|Other deposits of depository institutions||1,487||-101||+476|
|U.S. Treasury, general account||86||+31||+41|
|U.S. Treasury, supplementary financing account||0||0||-200|
* 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 November 30, 2011, TALF LLC had purchased no assets from the FRBNY. Return to table
9. Fair value, reflecting values as of September 30, 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.