Funding Agreement-Backed Securities in the Enhanced Financial Accounts, Accessible Data
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Figure 1: Funding Agreement-Backed Securities Outstanding
Figure 1 is an overlapping area chart that illustrates the funding agreement-backed securities outstanding. The x-axis is years and it runs from 1997-2017 in two year increments. The y-axis is US dollars (billions) and it runs from 0-180 in 20 dollar increments.
The lower area, represented in orange, is the foreign issues. It starts in the year 1998 and runs through 2017. The trend starts at $0 in 1998 and begins a slow increase till it reaches the peak in 2005 at approximately $42 billion. It then starts a slow descent till it reaches approximately $1 billion in 2016.
The highest area, represented in blue, is the domestic issues. It starts in the year 1999 and runs through the sample period of 2016. The trend starts at approximately $5 billion in 1999 and makes a steadily increases till it reaches the peak in 2008 at approximately $178 billion. The trend quickly descends till it reaches approximately $80 billion in 2016.
Source: Federal Reserve Board. Financial Accounts of the United States (Z.1). https://www.federalreserve.gov/apps/fof/.
Figure 2: Daily total outstanding of funding agreement-backed notes (FABN) with a maturity of more than 397 days
Figure 2 is a basic line chart. It is the daily total outstanding of funding agreement-backed notes (FABN) with a maturity of more than 397 days. The x-axis is years and it runs from 1998-2016 in two year increments. The y-axis is the amount outstanding in USD (billions). It runs from 0 to 160 in $20 increments. The trend starts at $0 in 1998 and steadily increases till it reaches the peak in 2008 at $140 billion. It starts to descend where it reaches the minimum at 2016 at approximately $60 billion. It remains close to $60 billion throughout the remainder of the sample period.
Data as of March 31, 2016.
Source: Bloomberg Finance LP and Moody's ABCP Program Index.
Figure 3: Daily total outstanding of funding agreement-backed notes with a maturity of at most 397 days
Figure 3 is a basic line chart. It is the daily total outstanding of funding agreement-backed notes with a maturity of at most 397 days. The x-axis is years and it runs from 1998-2016 in two year increments. The y-axis is the amount outstanding in USD (billions). It runs from 0 to 8 in $1 increments. The trend starts at $0 in 2002. This trend has 5 up and down trends. The first one begins in 2002 at $0 billion. It starts to increase till it reaches the peak at approximately $2 billion in 2003 and then descends to approximately $0 billion in 2006. The second one begins in 2006 at approximately $0 billion. It starts to increase till it reaches the peak at approximately $8 billion in 2009 and then descends to approximately $1 billion in 2010. The third one begins in 2010 at approximately $1 billion. It starts to increase till it reaches the peak at approximately $3 billion in 2011 and then descends to approximately $1 billion in 2012. The fourth one begins in 2012 at approximately $1 billion. It starts to increase till it reaches the peak at approximately $2.9 billion in 2013 and then descends to approximately $0 billion in 2014. The last one begins in late 2014 at approximately $0 billion. It starts to increase till it reaches the peak at approximately $4 billion in 2015 and then descends to approximately $2 billion in 2016.
Data as of March 31, 2016.
Source: Bloomberg Finance LP.
Figure 4: Daily total outstanding of extendible funding agreement-backed notes (XFABN) and XFABN spin-offs
Figure 4 is a basic line chart. It is the daily total outstanding of extendible funding agreement-backed notes (XFABN) and XFABN spin-offs. The x-axis is years and it runs from 1998-2016 in two year increments. The y-axis is the amount outstanding in USD (billions). It runs from 0 to 30 in $5 increments.
The first trend illustrated, the blue line, is the FABN, extendible. It begins at $0 billion in 1998 and stays close to $0 billion till 2003. Then it begins a steady increase till it reaches the peak in 2007 at approximately $27 billion. Then it starts to decline to $0 billion in 2011. It has a brief increase in the years 2012-2015 at approximately $2 billion. In late 2015, it decreases back to $0 billion, where it remains throughout the sample period.
The second trend, the dashed red line, is the FABN, extendible spin-offs. It begins in 2007 at $0 billion. It increases to reach the peak in 2009 at approximately $20 billion in 2009. It then decreases to $0 billion in 2011 where it stays close to $0 billion till 2014, where the trend ends.
Data as of March 31, 2016.
Source: Bloomberg Finance LP.
Figure 5: Quarterly total outstanding of funding agreement-backed commercial paper (FABCP)
Figure 5 is a basic line chart. It is the quarterly total outstanding of funding agreement-backed commercial paper (FABCP). The x-axis is years and it runs from 1998-2016 in two year increments. The y-axis is the amount outstanding in USD (billions). It runs from 0 to10 in $1 increments. The trend begins at $0 billion in 2000. It is has a step like trend but remains close to $1 billion till 2006, where it rises to approximately $3.5 billion. Then the step like pattern descends close to the $1 billion in 2007. In 2008, the step like pattern increases with wider steps till it reaches the peak in 2015 at approximately $9.5 billion. It descends to approximately $9 billion in 2016.
Data as of March 31, 2016.
Source: Moody's ABCP Program Index.
Figure 6: Daily amount outstanding of funding agreement-backed securities by maturity
Figure 6 is an overlapping area chart. It is the daily amount of funding agreement-backed securities by maturity. The four trends that are illustrated includes: FABCP, FABN with put options, FABN with fixed terms <= 397 days and the FABN with fixed terms > 397 days. The x-axis represents years that run from 2000-2016 in two year increments. The y-axis represents dollars in billions from 0-200 in $50 increments.
The lowest trend, the light green area, is the FABCP trend. It begins just before 2006 at around $1billion. It hovers around zero till around 2008 where it starts to increase to the maximum height of approximately $3 billion. It remains constant throughout the duration of the sample period.
The second highest trend, the light blue area, is the FABN with put options. It begins around 2003 at approximately $0 billion. It steadily increases till around 2008 where it reaches its maximum height of approximately $25billion. It starts an almost automatic descent to around $5billion in 2010. It remains constant throughout the duration of the sample period.
The third highest trend, the dark blue area, is the FABN with fixed terms <= 397 days. It begins in 2002 at approximately $0 billion. It steadily increases to its highest point just after 2008 at approximately $30billion. Shortly after the peak it starts to decline to $10 billion where it remains fairly constant for the duration of the sample period.
The highest trend, the dark green area, is the FABN with fixed terms > 397 days. It begins in 2000 at around $24 billion. It increases steadily till it reaches its peak in 2008 at approximately $175 billion. It starts a steep decline till it reaches its lowest point in 2014 at approximately $60 billion. It increases slightly but remains close to $65 billion for the duration of the sample period.
There are two vertical black lines. The first one is in late 2007 and the second one is just after 2009. There is a double sided black arrow connecting both lines at the top. The caption reads, "Run on extendible notes by short-term investors."
Source: Bloomberg Financial LP, Moody's Analytics, Fitch Research.
Figure 7: Quarterly advances from FHLBs to FABS issuers
Figure 7 is an overlapping area chart. It illustrates the quarterly advances from FHLBs to FABS issuers. The two trends illustrated are the outstanding FABS and the FHLB advances to FABS issuers. The x-axis is years from 2005 to 2015 in two year increments. The y-axis is USD billions and it runs from 0 to 225 in $75 increments.
The first trend, green area, begins in 2005 at approximately $148 billion. It has a slight increase till it reaches the peak of approximately $160 billion in late 2008. It then starts a sharp decline till it reaches approximately $80 billion in 2014. It increases slightly till it reaches approximately $90 billion in 2015 where it remains throughout the sample period.
The last trend, the blue area, begins in 2005 at approximately $149 billion. It has a slight increase till it reaches the peak of approximately $180 billion just before 2009. It makes a steady decrease till it reaches approximately $90 billion in 2014. Then it slightly increases till it reaches approximately $100 billion in 2015 where it remains throughout the sample period.
Company names reflect top-level ownership as of March 31, 2016. Data as of March 31, 2016.
Source: authors' calculations based on the Federal Home Loan Bank database, provided by the FHLB Office of Finance.