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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

July 2010 (1.5 MB PDF)

Overview

Recent Developments

  • The Federal Reserve has closed many of the special liquidity facilities that were created to support financial markets during the crisis. As previously announced, the Federal Reserve closed the Term Asset-Backed Securities Loan Facility (TALF) for new loan extensions against newly issued commercial mortgage-backed securities (CMBS) on June 30, 2010. The final TALF subscription had no loan requests and no new loans were extended.
  • On June 28 and July 12, 2010, the Federal Reserve conducted its second and third small-value auctions through the Term Deposit Facility (TDF). The June 28 auction offered $2 billion in 28-day deposits and settled on July 1, 2010. In addition, $122 million in deposits was awarded to noncompetitive bidders. The July 12 auction offered $2 billion in 84-day deposits and settled on July 15, 2010. Noncompetitive bidders were awarded $119 million. Both auctions were well subscribed with stop-out rates of 27 and 31 basis points, respectively, and bid-to-cover ratios of 5.57 and 3.70, respectively. These small-value auctions are a matter of prudent planning and have no implications for the near-term conduct of monetary policy. More information on term deposits, auction results, and future small-value offerings is available through the TDF Resource Center at www.frbservices.org/centralbank/term_deposit_facility.html.
  • On June 28, 2010, the Federal Reserve Bank of New York (FRBNY) Open Market Trading Desk announced that it would begin conducting a limited number of agency mortgage-backed security (MBS) coupon swap operations in order to facilitate the timely settlement of the Federal Reserve's agency MBS purchases. In these operations, the Desk sold securities that have been in short supply in the market and simultaneously purchased a corresponding amount of other agency MBS that were more readily available for settlement.
  • The two-year accumulation period that followed the closing date for Maiden Lane LLC ended on June 26, 2010. Consistent with the terms of the Maiden Lane LLC transaction, the distributions of the proceeds realized on the asset portfolio held by Maiden Lane LLC, after payment of certain fees and expenses, now occur on a monthly basis unless otherwise directed by the Federal Reserve. The monthly distributions are used to cover the expenses and repay the obligations of the LLC, including the principal and interest on the loan from the FRBNY.
  • On July 20, 2010, the Federal Reserve and the U.S. Treasury Department announced a reduction in the amount of credit protection provided to the TALF under the Troubled Asset Relief Program (TARP) from $20 billion to $4.3 billion. The Treasury had originally committed $20 billion in credit protection to cover the maximum $200 billion of TALF lending that had been authorized by the Federal Reserve. However, the TALF program closed to new lending on June 30, 2010, with $43 billion in TALF loans outstanding; the reduction in TARP funds committed for credit protection is consistent with the actual amount of TALF loans. To date, the TALF program has experienced no losses and all outstanding TALF loans are well collateralized. The Federal Reserve anticipates that the accumulated excess interest spread will cover any loan losses that may occur without recourse to the dedicated TARP funds.

Table 1. Assets, Liabilities, and Capital of the Federal Reserve System
Billions of dollars

Item Current
June 30, 2010 		Change from
May 26, 2010 		Change from
July 1, 2009
Total assets 2,334 -4 +326
Selected assets
   Securities held outright 2,060 +3 +836
       U.S. Treasury securities1 777 +* +114
       Federal agency debt securities1 165 -2 +67
       Mortgage-backed securities2 1,118 +5 +656
       Memo: Overnight securities lending3 14 +11 +7
       Memo: Net commitments to purchase mortgage-backed securities4 16 -20 -124
   Lending to depository institutions5 1 -4 -35
   Central bank liquidity swaps6 1 +* -114
   Lending through other credit facilities 43 -2 -98
       Net portfolio holdings of Commercial Paper Funding Facility LLC7 * -* -115
       Term Asset-Backed Securities Loan Facility8 43 -2 +17
   Net portfolio holdings of TALF LLC9 1 +1 +1
   Support for specific institutions 118 -1 +12
       Credit extended to American International Group, Inc., net10 25 -1 -18
       Net portfolio holdings of Maiden Lane LLC11 28 +* +2
       Net portfolio holdings of Maiden Lane II LLC11 16 -* -*
       Net portfolio holdings of Maiden Lane III LLC11 23 -* +3
       Preferred interests in AIA Aurora LLC and ALICO Holdings LLC8 26 +1 +26
Total liabilities 2,278 -4 +319
Selected liabilities
   Federal Reserve notes in circulation 904 +4 +33
   Term deposits of depository institutions 1 +1 +1
   Other deposits of depository institutions 972 -116 +246
   U.S. Treasury, general account 88 +71 +10
   U.S. Treasury, supplementary financing account 200 +* +*
   Other deposits 28 +28 +28
Total capital 56 +1 +7
Note: Unaudited. Components may not sum to totals because of rounding.
* 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. Includes about $1 million in other investments as of June 30, 2010. Return to table
8. Book value. Return to table
9. As of June 30, 2010, TALF LLC had purchased no assets from the FRBNY. Return to table
10. Excludes credit extended to Maiden Lane II and III LLCs. Return to table
11. Fair value, reflecting values as of March 31, 2010. 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 Reserve's Balance Sheet

Figure 1. Credit and Liquidity Programs and the Federal Reserve's Balance Sheet
Accessible Version

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Last update: August 2, 2013