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

Primary Dealer Credit Facility (PDCF)

Background

The Federal Reserve established the Primary Dealer Credit Facility (PDCF) in March of 2008 in response to the severe strains in the triparty repurchase agreement market and the resulting liquidity pressures faced by primary dealers. The triparty repurchase agreement market is a critical, short-term funding market. Primary dealers are broker-dealers that serve as the trading counterparties for the Federal Reserve’s open market operations, and have a key role in providing liquidity in the market for U.S. Treasury securities. In early March 2008, when strains in financial markets escalated sharply, the PDCF was established to improve the ability of primary dealers to provide financing to participants in securities markets, and to promote the orderly functioning of financial markets more generally.

The PDCF functioned as an overnight loan facility for primary dealers, similar to the way the Federal Reserve's discount window provides a backup source of funding to depository institutions. By providing a source of liquidity to primary dealers when funding was not available elsewhere in the market, the program helped to improve financial market conditions more generally.

PDCF credit extended by the Federal Reserve was fully collateralized. Initially, eligible collateral was restricted to investment-grade securities. In September 2008, the set of eligible collateral was expanded to match closely all of the types of instruments that can be pledged in the triparty repurchase agreement systems of the two major clearing banks.

The PDCF was created by the Federal Reserve under the authority of Section 13(3) of the Federal Reserve Act, which permitted the Board, in unusual and exigent circumstances, to authorize Reserve Banks to extend credit to individuals, partnerships, and corporations. The facility was administered by the Federal Reserve Bank of New York, with operational assistance provided by the Federal Reserve Banks of Atlanta and Chicago.

The Board of Governors authorized the Federal Reserve Bank of New York to provide liquidity support for certain securities subsidiaries of Goldman Sachs, Morgan Stanley, and Merrill Lynch on September 21, 2008, and for Citigroup's London-based broker-dealer subsidiary on November 23, 2008, in each case under Section 13(3) of the Federal Reserve Act. Credit extended under these authorities was on terms similar to that of the PDCF, and is therefore included in this data. Entities that received support under these authorities are identified with "London" appended to the borrower name.

The facility was announced on March 16, 2008, and was closed on February 1, 2010. All loans extended under this facility were repaid in full, with interest, in accordance with the terms of the facility.

Data

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The following information on PDCF transactions is provided:

 

Data Description
Loan date The date upon which the loan was requested and settled
Borrower The primary dealer that borrowed from the facility
Loan amount The amount of the PDCF loan, in millions of dollars
Interest rate The interest rate charged the borrower on the loan amount, in percent
Collateral The market value (before applying margins) of financial instruments pledged as collateral against the loan. Presented by category of instruments, in millions of dollars
Securities Fixed-income instruments and equity shares, in millions of dollars
U.S. Treasury/agency Unsecured debt issued by the U.S. Department of the Treasury, federal government agencies, and government-sponsored enterprises, in millions of dollars
Municipal Securities issued by state and local governments and agencies, in millions of dollars
Corporate market instruments Unsecured securities issued by private corporations, in millions of dollars
MBS/CMO: agency backed Mortgage-backed securities and collateralized mortgage obligations issued by government-sponsored enterprises, in millions of dollars
MBS/CMO: other Mortgage-backed securities and collateralized mortgage obligations issued by private corporations, in millions of dollars
Asset-backed Securities collateralized by a non-mortgage pool of assets, in millions of dollars
International (sovereign, agency, and corporate) Securities issued by non-U.S. entities, government and private, including supranational agencies, in millions of dollars
Equity Securities representing ownership interest in a private corporation, in millions of dollars
Loans Non-securitized loans granted to various borrowers, in millions of dollars
Other Other categories of eligible collateral, in millions of dollars
Total collateral The total market value of all categories of pledged collateral, in millions of dollars
Credit rating A composite credit rating for the pledged collateral based on ratings information used by the borrower’s clearing bank
Long-term securities Securities issued with a term to maturity of more than one year
Short-term securities Securities issued with a term to maturity of one year or less
Ratings unavailable This category comprises collateral where ratings information was not provided to the FRBNY from the borrower's clearing bank. In some limited cases, ineligible collateral was pledged, but it was reviewed with the clearing banks for exclusion from future pledges. From September 15, 2008, collateral eligibility was expanded to include a broad range of securities transacted in triparty repurchase agreement transactions, including unrated securities, in millions of dollars
Uncategorized investment grade (excluding U.S. Treasury/agency) Data including collateral credit ratings information is not available for some loans on the first two days of the facility, March 17 and 18, 2008. All uncategorized collateral were investment-grade securities and these amounts are represented, in millions of dollars


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Last update: August 2, 2013