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Monthly Report on Credit and Liquidity Programs
and the Balance Sheet
| Other Lending Facilities: CPFF | Other Lending Facilities: AMLF | Other Lending Facilities: TALF |
Other Lending Facilities: Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF)
Recent Developments
- The amount outstanding under the AMLF has generally declined over recent weeks in concert with the overall improvement in funding markets.
- The amount borrowed under the AMLF, however, jumped in the week prior to the release of the results from the Supervisory Capital Assessment Program.
Background
The AMLF is a lending facility that finances the purchases of high-quality asset-backed commercial paper (ABCP) from money market mutual funds by U.S. depository institutions and bank holding companies. The program is intended to assist money funds that hold such paper to meet the demands for redemptions by investors and to foster liquidity in the ABCP market and money markets more generally. The loans extended through the AMLF are non-recourse loans; as a result, the Federal Reserve has rights only to the collateral securing the loan if the borrower elects not to repay.
Table 18. AMLF Credit: Number of Borrowers and Amount Outstanding
Daily average for the four weeks ending May 27, 2009
| Lending program | Number of institutions |
Borrowing ($ billions) |
|---|---|---|
|
Asset-Backed Commercial Paper Lending Facility (AMLF) |
* | 26 |
The initiation of the AMLF, announced on September 19, 2008, relied on authority under section 13(3) of the Federal Reserve Act. It is administered by the Federal Reserve Bank of Boston, which is authorized to make AMLF loans to eligible borrowers in all 12 Federal Reserve Districts. Lending through the AMLF is presented in table 1 of the H.4.1 statistical release and is included in “Other loans” in tables 9 and 10 of the H.4.1. The Federal Reserve Board has authorized extension of credit through the AMLF until October 30, 2009.
Collateral
Collateral eligible for the AMLF is limited to ABCP that:
- was purchased by the borrower on or after September 19, 2008, from a registered investment company that holds itself out as a money market mutual fund;
- was purchased by the borrower at the mutual fund's acquisition cost as adjusted for amortization of premium or accretion of discount on the ABCP through the date of its purchase by the borrower;
- is not rated lower than A1, P1, or F1 at the time it is pledged to the Federal Reserve Bank of Boston (this would exclude paper that is rated A1/P1/F1 but is on watch for downgrade by any major rating agency);
- was issued by an entity organized under the laws of the United States or a political subdivision thereof under a program that was in existence on September 18, 2008; and
- has a stated maturity that does not exceed 120 days if the borrower is a bank, or 270 days if the borrower is a non-bank.
Table 19. AMLF Collateral by Rating
As of May 27, 2009
| Type of collateral | Value ($ billions) |
|---|---|
| Asset-backed commercial paper with rating | |
| A-1/P-1/F-1 and not on watch for downgrade | 25 |
| A-1/P-1/F-1 but on watch for downgrade1 | 1 |
| Below A-1/P-1/F-1 | * |
| Total | 26 |
1. The AMLF accepts only U.S.-dollar denominated asset-backed commercial paper (ABCP) that is not rated lower than A-1, F-1, or P-1 by Moody's, S&P, or Fitch, and (effective April 22, 2009) is not on watch for downgrade. Collateral that is on watch for downgrade or is rated below A-1/P-1/F-1 is ABCP that has deteriorated after it was pledged. Return to table
* denotes amounts less than $500 million. Return to table
The qualifying ABCP must be transferred to the Federal Reserve Bank of Boston's restricted account at the Depository Trust Company before an advance, collateralized by that ABCP, will be approved. The collateral is valued at the amortized cost (as defined in the Letter of Agreement) of the eligible ABCP pledged to secure an advance. Advances made under the facility are made without recourse, provided the requirements in the Letter of Agreement are met.
