Quarterly Report on Federal Reserve
Balance Sheet Developments

Overview

 

Recent Developments

The Overview section of this report highlights recent developments in the operations of the Federal Reserve's monetary policy tools and presents data describing changes in the assets, liabilities, and total capital of the Federal Reserve System as of June 30, 2014.

FOMC Slows Pace of Additional Asset Purchases

• On June 18, 2014, and on July 30, 2014, the Federal Open Market Committee (FOMC) announced that in light of the cumulative progress toward maximum employment and the improvement in the outlook for labor market conditions since the inception of the current asset purchase program, the Committee decided to make further measured reductions in the pace of its asset purchases. Following these two announcements, beginning in August the Committee will add to its holdings of agency mortgage-backed securities (MBS) at a pace of $10 billion per month and will add to its holdings of longer-term Treasury securities at a pace of $15 billion per month. Additional information is available at www.federalreserve.gov/newsevents/press/monetary/20140618a.htm and www.federalreserve.gov/newsevents/press/monetary/20140730a.htm.

Federal Reserve Board Publishes Quarterly Financial Report

• On August 22, 2014, the Federal Reserve Board published the "Federal Reserve Banks Combined Quarterly Financial Report" for the second quarter of 2014, which includes summary information on the combined financial position and results of operations of the 12 Reserve Banks and several consolidated variable interest entities (VIEs). All financial information included in the report is unaudited. The report is available on the Federal Reserve Board's website at www.federalreserve.gov/monetarypolicy/bst_fedfinancials.htm#quarterly.

Federal Reserve Announces New Collateral Margins

• On June 3, 2014, the Federal Reserve announced a new schedule of margins applicable to collateral pledged by depository institutions to secure discount window loans and for payment system risk purposes. The new margins are part of the Federal Reserve's continuing efforts to ensure effective risk-management policies and procedures in its lending programs to depository institutions. The changes, which were effective on July 1, 2014, stem from the most recent review of margins and valuation practices that the Federal Reserve periodically conducts, as well as the incorporation of updated market data. They reflect data and methodological improvements that better account for differences in various risk characteristics across collateral types. Additional information is available at www.frbdiscountwindow.org  .

FRBNY Concludes Treasury Operations Counterparty Pilot Program and Announces Mortgage Operations Counterparty Pilot Program

• On August 5, 2014, the Federal Reserve Bank of New York (FRBNY) announced the conclusion of the Treasury Operations Counterparty Pilot Program, a program in which a few small broker-dealers acted as counterparties in Treasury market operations it conducted for the System Open Market Account (SOMA) portfolio. Also on August 5, 2014, the FRBNY announced the introduction of a pilot program for a few small broker-dealers to act as new counterparties in its agency MBS market operations. Participants in this pilot program, who have yet to be selected, will participate in FRBNY operations to conduct secondary market outright purchases or sales of agency MBS along with primary dealers. The program will run for about one year. More information is available on the FRBNY's website at newyorkfed.org/newsevents/news/markets/2014/an140805.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 selected intervals. The Federal Reserve publishes its complete balance sheet each week in the H.4.1 statistical release, "Factors Affecting Reserve Balances of Depository Institutions and Consolidated Statement of Condition of Reserve Banks," available at www.federalreserve.gov/releases/h41/.

Figure 1 displays the levels of selected Federal Reserve assets and liabilities, securities holdings, and credit extended through liquidity facilities since April 2010.

 

Table 1. Assets, liabilities, and capital of the Federal Reserve System
Billions of dollars

Item	Current July 30, 2014	Change from April 30, 2014	Change from July 31, 2013
Total assets	4,407	+111	+835
Selected assets
Securities held outright	4,137	+110	+841
U.S. Treasury securities 1	2,420	+70	+438
Federal agency debt securities1	42	-3	-24
Mortgage-backed securities 2	1,674	+42	+427
Memo: Overnight securities lending 3	8	-4	+*
Memo: Net commitments to purchase mortgage-backed securities 4	62	+12	-27
Unamortized premiums on securities held outright 5	209	-1	+5
Unamortized discounts on securities held outright5	-19	-1	-15
Lending to depository institutions 6	*	+*	+*
Central bank liquidity swaps 7	*	-*	-1
Lending through the Term Asset-Backed Securities Loan Facility (TALF) 8	*	-*	-*
Net portfolio holdings of TALF LLC 9	*	-*	-*
Support for specific institutions 10	2	+*	+*
Net portfolio holdings of Maiden Lane LLC10	2	+*	+*
Net portfolio holdings of Maiden Lane II LLC10	*	-*	-*
Net portfolio holdings of Maiden Lane III LLC10	*	-*	-*
Foreign currency denominated assets 11	24	-1	-*
Total liabilities	4,350	+110	+834
Selected liabilities
Federal Reserve notes in circulation	1,242	+13	+88
Reverse repurchase agreements 12	229	-97	+138
Foreign official and international accounts12	113	-4	+22
Others12	116	-92	+116
Term deposits held by depository institutions	0	0	-12
Other deposits held by depository institutions	2,786	+271	+665
U.S. Treasury, general account	70	-78	-40
Other deposits 13	10	+3	+1
Total capital	56	+*	+1

 Note: Unaudited. Components may not sum to totals because of rounding.

 *Less than $500 million.

1. Face value. Return to table

2. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 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. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury and Federal agency debt securities, amortization is on a straight-line basis. For mortgage-backed securities, amortization is on an effective-interest basis. Return to table

6. Total of primary, secondary, and seasonal credit. Return to table

7. 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

8. Book value. Return to table

9. As of July 30, 2014, TALF LLC had purchased no assets from the Federal Reserve Bank of New York. Return to table

10. Fair value, reflecting values as of June 30, 2014. 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. Revalued daily at current foreign currency exchange rates. Return to table

12. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities. Return to table

13. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, and designated financial market utilities. Return to table

 

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