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Board of Governors of the Federal Reserve System
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Board of Governors of the Federal Reserve System

Monthly Report on Credit and Liquidity Programs
and the Balance Sheet

September 2009 (1.73 MB PDF)

Federal Reserve Banks' Financial Tables

Quarterly Developments

  • As noted in Table 36, the daily average balance of the Federal Reserve System Open Market Account (SOMA) holdings exceeded $1 trillion during the first half of 2009. Total earnings from the portfolio amounted to approximately $16 billion during this period; most of the earnings are attributable to the holdings of U.S. government securities and agency-guaranteed mortgage-backed securities (MBS) and central bank liquidity swaps.
  • As noted in Table 37, net earnings from Federal Reserve loan programs over the first half of the year amounted to $874 million; interest earned on the TAF loans accounted for most of the total.


The Federal Reserve Banks annually prepare financial statements reflecting balances as of December 31 and income and expenses for the year then ended. The Federal Reserve Bank financial statements also include the accounts and results of operations of several limited liability companies (LLCs) that have been consolidated with the Federal Reserve Bank of New York (FRBNY) (the "consolidated LLCs").

The Board of Governors, the Federal Reserve Banks, and the consolidated LLCs are all subject to several levels of audit and review. The Reserve Banks' financial statements and those of the consolidated LLC entities are audited annually by a registered independent public accountant retained by the Board of Governors. To ensure auditor independence, the Board requires that the external auditor be independent in all matters relating to the audit. Specifically, the external auditor may not perform services for the Reserve Banks or others that would place it in a position of auditing its own work, making management decisions on behalf of the Reserve Banks, or in any other way impairing its audit independence. In addition, the Reserve Banks, including the consolidated LLCs, are subject to oversight by the Board.

The Board of Governors' financial statements are audited annually by an independent audit firm retained by the Board's Office of Inspector General. The audit firm also provides a report on compliance and on internal control over financial reporting in accordance with government auditing standards. The Office of Inspector General also conducts audits, reviews, and investigations relating to the Board's programs and operations as well as of Board functions delegated to the Reserve Banks.

Audited annual financial statements for the Reserve Banks and Board of Governors are available at On a quarterly basis, the Federal Reserve prepares unaudited updates of tables presented in the annual report.

Combined Statement of Income and Comprehensive Income

Table 35 presents unaudited combined Reserve Bank income and expense information for the first half of the year. Tables 36 through 38 present information for the SOMA portfolio, the Federal Reserve loan programs, and the variable interest entities--the CPFF and Maiden Lane, Maiden Lane II, and Maiden Lane III LLCs--for the first half of this year. These tables will be updated quarterly.

Table 35. Federal Reserve Banks' Combined Statement of Income and Comprehensive Income
($ millions)

  January 1, 2009 - June 30, 2009
Interest income:
Loans to depository institutions (see table 37) 704
Other loans (see table 37) 1,594
System Open Market Account (see table 36) 17,141
Consolidated variable interest entities (table 38):
   Investments held by consolidated variable interest entities:
       Maiden Lane, Maiden Lane II, and Maiden Lane III LLCs 3,144
       Commercial Paper Funding Facility LLC 3,668
   Total interest income 26,251
Interest expense:
System Open Market Account (see table 36) 63
Depository institution deposits 992
Consolidated variable interest entities (see table 38) 133
   Total interest expense 1,188
   Net interest income 25,063
Non-interest income (loss):
System Open Market Account--realized and unrealized losses, net (see table 36) (858)
Investments held by consolidated variable interest entities (losses), net (see table 38):
   Maiden Lane, Maiden Lane II, and Maiden Lane III LLCs (4,762)
   Commercial Paper Funding Facility LLC 5
Provision for loan restructuring (see table 37)1 (1,424)
Income from services 358
Reimbursable services to government agencies 190
Other income 136
   Total non-interest (loss) (6,355)
Operating expenses:
   Salaries and other benefits 1,294
   Occupancy expense 135
   Equipment expense 93
   Assessments by the Board of Governors 446
   Professional fees related to consolidated variable interest entities (see table 38) 65
   Other expenses 289
      Total operating expenses 2,322
Net income prior to distribution 16,386
Change in funded status of benefit plans2 180
   Comprehensive income prior to distribution 16,566
Distribution of comprehensive income:
   Dividends paid to member banks 679
   Remaining amount to be distributed 15,887
Memo: Distributions to U.S. Treasury (Interest on Federal Reserve notes)3 12,586
Note: Unaudited.
1. In accordance with GAAP, as of June 30, 2009, the AIG revolving credit extension was reduced by a $1.4 billion adjustment for loan restructuring. The adjustment is related to the loan modification, announced on March 2, 2009, which eliminated the existing floor on the interest rate. The restructuring adjustment will be recovered as it is amortized over the remaining term of the credit extension. Return to table
2. Represents the recognition of benefit plan deferred actuarial gains and losses and prior service costs. Return to table
3. The Board of Governors requires each Reserve Bank to distribute any remaining net earnings to the U.S. Treasury as interest on Federal Reserve notes, after providing for the payment of dividends and reservation of an amount necessary to equate surplus with capital paid-in. These distributions are made weekly based on estimated net earnings for the preceding week. The amount of each Bank's weekly distribution to the U.S. Treasury would be affected by significant losses and increases in capital paid-in at a Reserve Bank, which would require that the Reserve Bank retains net earnings until the surplus is equal to the capital paid-in. The distributions to the U.S. Treasury are reported on an accrual basis; actual payments to the U.S. Treasury during the period from January 1, 2009, through June 30, 2009, were $10,161 million. Return to table

SOMA Financial Summary

Table 36 shows the Federal Reserve's average daily balance of assets and liabilities in the SOMA portfolio for the period from January 1, 2009, though June 30, 2009, the related interest income and expense, and the realized and unrealized gains and losses for the first half of the year. U.S. government and agency securities, as well as agency-guaranteed MBS making up the SOMA portfolio, are recorded at amortized cost on a settlement-date basis. Rather than using a fair value presentation, an amortized cost presentation more appropriately reflects the Reserve Banks' purpose for holding these securities given the Federal Reserve's unique responsibility to conduct monetary policy.

Table 36. SOMA Financial Summary
($ millions)

  January 1, 2009 - June 30, 2009
Average daily balance1 Interest income/(expense) Realized gains (losses) Unrealized gains (losses) Net earnings
SOMA assets
   U.S. government securities2 526,953 9,504 _ _ 9,504
   Federal agency and government-sponsored enterprise       securities2 54,050 614 _ _ 614
   Agency-guaranteed mortgage-backed securities3 233,501 4,968 (352) _ 4,616
   Investments denominated in foreign currencies4 24,243 162 _ (506) (344)
   Central bank liquidity swaps5 308,020 1,880 _ _ 1,880
   Securities purchased under agreements to resell 7,735 13 _ _ 13
      Total 1,154,502 17,141 (352) (506) 16,283
SOMA liabilities
   Securities sold under agreements to repurchase 70,701 (63) _ _ 63
      Total 1,083,801 17,078 (352) (506) 16,220
Note: Unaudited. Components may not sum to total because of rounding.
1. Based on holdings at opening of business. Return to table
2. Face value. Return to table
3. Current face value of the securities, which is the remaining principal balance of the underlying mortgages. Return to table
4. Includes accrued interest. Investments denominated in foreign currencies are revalued daily at market exchange rates. Return to table
5. Dollar value of 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. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. Return to table

Although the fair value of security holdings can be substantially greater than or less than the recorded value at any point in time, these unrealized gains or losses have no effect on the ability of the Reserve Banks to meet their financial obligations and responsibilities. As of June 30, 2009, the fair value of the U.S. government and agency securities held in the SOMA, excluding accrued interest, was $812 billion, the fair value of the agency-guaranteed MBS was $463 billion, and the fair value of investments denominated in foreign currencies was $25 billion, as determined by reference to quoted prices for identical securities.

FRBNY conducts purchases and sales of U.S. government securities under authorization and direction from the Federal Open Market Committee (FOMC). The FRBNY buys and sells securities at market prices, from securities dealers and foreign and international account holders. The FOMC has also authorized the FRBNY to purchase and sell U.S. government securities under agreements to resell or repurchase such securities (commonly referred to as repurchase and reverse repurchase transactions).

The SOMA holds foreign currency deposits and foreign government debt instruments denominated in foreign currencies with foreign central banks and the Bank for International Settlements. Central bank liquidity swaps are the foreign currencies that the Federal Reserve acquires and records as an asset (excluding accrued interest) on the Federal Reserve's balance sheet. On January 5, 2009, the Federal Reserve began purchasing MBS guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Transactions in MBS are recorded on settlement dates, which can extend several months into the future. MBS dollar roll transactions, which consist of a purchase of securities combined with an agreement to sell securities in the future, may generate realized gains and losses.

Loan Programs Financial Summary

Table 37 summarizes the average daily loan balances and interest income of the Federal Reserve for the first half of 2009. The most significant loan balance is the TAF, which was established at the end of 2007. As noted earlier in this report, during 2008 the Federal Reserve established several lending facilities under authority of section 13(3) of the Federal Reserve Act. These included the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF), the Primary Dealer Credit Facility (PDCF), and credit extended to American International Group, Inc. (AIG). Amounts funded by the Reserve Banks under all these programs are recorded as loans by the Reserve Banks. Net earnings from these loan programs were $874 million during the first half of 2009. All loans must be fully collateralized to the satisfaction of the lending Reserve Bank, with an appropriate haircut applied to the collateral. At June 30, 2009, no loans were impaired, and an allowance for loan losses was not required.

Table 37. Loan Programs Financial Summary
($ millions)

Loan Programs January 1, 2009 - June 30, 2009
Average daily balance1 Interest income2 Provision for loan restructuring Total
Primary, secondary, and seasonal credit 54,157 134 _ 134
Term Auction Facility (TAF) 415,079 570 _ 570
   Total loans to depository institutions 469,236 704 _ 704
Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF) 14,370 70 _ 70
Primary Dealer Credit Facility (PDCF) and other broker-dealer credit 15,335 37 _ 37
Credit extended to American International Group, Inc. (AIG), net 42,250 1,427 (1,424) 3
Term Asset-Backed Securities Loan Facility (TALF) 6,874 60 _ 60
   Total loans to others 78,829 1,594 (1,424) 170
   Total loan programs 548,065 2,298 (1,424) 874
   Allowance for loan losses _ _ _ _
   Total loan programs, net 548,065 2,298 (1,424) 874
Note: Unaudited. Components may not sum to total because of rounding.
1. Based on holdings at opening of business. Average daily balance includes outstanding principal and capitalized interest net of unamortized deferred commitment fees and allowance for loan restructuring, and excludes undrawn amounts and credit extended to consolidated LLCs. Return to table
2. Interest income includes the amortization of the deferred commitment and administrative fees. Return to table

Consolidated Variable Interest Entities (VIEs) Financial Summary

Table 38 summarizes the assets and liabilities of various consolidated VIEs previously discussed in this report. It also summarizes the net position of senior and subordinated interest holders and the allocation of the change in net assets to interest holders. The FRBNY is the sole beneficiary of the CPFF LLC and the primary beneficiary of the Maiden Lane LLCs. Commercial paper holdings are recorded at book value, which includes amortized cost and related fees. Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC holdings are recorded at fair value, which 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. Consistent with generally accepted accounting principles, the assets and liabilities of these LLCs have been consolidated with the assets and liabilities of the FRBNY. As a consequence of the consolidation, the extensions of credit from the FRBNY to the LLCs are eliminated.

"Net portfolio assets available" represent the net assets available to beneficiaries of the consolidated VIEs and for repayment of loans extended by the FRBNY. "Net income (loss) allocated to FRBNY" represents the allocation of the change in net assets and liabilities of the consolidated VIEs available for repayment of the loans extended by the FRBNY and other beneficiaries of the consolidated VIEs. The differences between the fair value of the net assets available and the face value of the loans (including accrued interest) are indicative of gains or losses that would have been incurred by the beneficiaries if the assets had been fully liquidated at prices equal to the fair value as of June 30, 2009.

Table 38. Assets and Liabilities of Consolidated Variable Interest Entities
Millions of dollars

Item January 1, 2009 - June 30, 2009

Total Maiden
Lane LLCs

Net portfolio assets of the consolidated LLCs and the net position of
FRBNY and subordinated interest holders
Net portfolio assets1 115,147 29,910r 15,343 22,489 67,742
Other liabilities of consolidated LLCs (154) (4,151)r (2) (4) (4,157)
Net portfolio assets available 114,993 25,759 15,341 22,485 63,585
Loans extended to the consolidated LLCs by FRBNY2 110,810 29,159 17,712 22,614 69,485
Other beneficial interests2,3 0 1,217 1,020 5,108 7,345
Total loans 110,810 30,376 18,732 27,722 76,830
Cumulative change in net assets since the inception of the programs
Allocated to FRBNY 4,183 (3,400) (2,371) (129) (5,900)
Allocated to other beneficial interests 0 (1,217) (1,020) (5,108) (7,345)
Cumulative change in net assets 4,183 (4,617) (3,391) (5,237) (13,245)
Summary of consolidated VIE net income for the current year through
June 30, 2009, including a reconciliation of total consolidated VIE
net income to the consolidated VIE net income recorded by FRBNY
Portfolio interest income4 3,668 930 592 1,622 3,144
Interest expense on loans extended by FRBNY5 (546) (72) (132) (169) (373)
Interest expense--other 0 (30) (17) (86) (133)
Portfolio holdings gains (losses)6 5 (832) (2,496) (4,391) (7,719)
Professional fees (22) (22) (6) (15) (43)
Net income (loss) of consolidated LLCs 3,105 (26) (2,059) (3,039) (5,124)
Less: Net income (loss) allocated to other beneficial interests6 0 (30) (17) (2,910) (2,957)
Net income (loss) allocated to FRBNY 3,105 4 (2,042) (129) (2,167)
Add: Interest expense on loans extended by FRBNY, eliminated in consolidation5 546 72 132 169 373
Net income (loss) recorded by FRBNY 3,651 76 (1,910) 40 (1,794)
Note: Unaudited. Components may not sum to total because of rounding.
r Revised for technical adjustments. Return to table
1. Commercial paper holdings are recorded at book value, which includes amortized cost and related fees. Maiden Lane, Maiden Lane II, and Maiden Lane III holdings are recorded at fair value. Return to table
2. Includes accrued interest. Return to table
3. The other beneficial interest holder related to Maiden Lane LLC is JPMC, and for Maiden Lane II and Maiden Lane III LLCs it is AIG. Return to table
4. Interest income is recorded when earned, and it includes amortization of premiums, accretion of discounts, and paydown gains and losses. Return to table
5. Interest expense recorded by each VIE on the loans extended by the FRBNY is eliminated when the VIEs are consolidated in the FRBNY's financial statements and, as a result, the consolidated VIEs' net income (loss) recorded by the FRBNY is increased by this amount. Return to table
6. The amount of Maiden Lane portfolio holdings losses allocated to FRBNY is $4,762, which is the total of portfolio holdings gains (losses) reduced by the net income (loss) allocated to other beneficial interests. This amount is reported as "Investments held by consolidated variable interest entities gains (losses), net" on Table 35. Return to table

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Last update: August 2, 2013