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Monthly Report on Credit and Liquidity Programs
and the Balance Sheet
August 2009 (1.3 MB PDF)
| Purpose | Overview | SOMA Holdings and Liquidity Swaps |
Overview
Recent Developments
- Continued improvements in financial market conditions have been accompanied by further declines in credit extended through many of the Federal Reserve's liquidity programs.
- The Federal Reserve has continued to purchase large volumes of Treasury, agency, and agency-guaranteed mortgage-backed securities (MBS) under its large-scale asset purchase programs. As a part of these programs, the Federal Reserve is in the process of buying $300 billion of Treasury securities. On August 12, the Federal Open Market Committee announced that in order to promote a smooth transition in markets as these purchases of Treasury securities are completed, it has decided to gradually slow the pace of these transactions and anticipates that the full amount will be purchased by the end of October.
- The quarterly revaluations of the portfolio holdings of Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC as of June 30, 2009, resulted in a net increase in fair value of $1.5 billion.
- Cash flows generated from the Maiden Lane II and Maiden Lane III portfolios are used to pay down the loans from the Federal Reserve Bank of New York (FRBNY). In the second quarter of 2009, those repayments totaled about $2.6 billion.
- Consistent with U.S. generally accepted accounting principles (GAAP), as of July 29, 2009, the reported value of the AIG revolving credit extension has been reduced by a $1.3 billion adjustment for loan restructuring. This adjustment is related to the most recent loan modification, announced on March 2, 2009, which eliminated the existing floor on the interest rate. This restructuring adjustment is intended to recognize the economic effect of the reduced interest rate.
- On August 17, the Federal Reserve Board and U.S. Treasury Department announced the extension of the Term Asset-Backed Securities Loan Facility (TALF) through March 31, 2010, for newly issued ABS and legacy CMBS, and through June 30, 2010, for newly issued CMBS. They also announced that they do not anticipate any further additions to the types of collateral that will be eligible for the facility.
- On August 19, the Federal Reserve announced changes to the lending margins on discount window collateral that will take effect on October 19. The Federal Reserve periodically reviews its collateral valuation practices, and the new collateral margins reflect the results of a broad-based review of methodology and data sources that began before the current financial crisis. For more information on the upcoming changes to collateral margins, see the Discount Window and Payments System Risk public website at www.frbdiscountwindow.org.
- As part of the Federal Reserve's ongoing efforts to enhance transparency, the Federal Reserve Bank of New York has made available agreements with certain vendors that are related to its financial stability and liquidity activities (see http://www.newyorkfed.org/aboutthefed/vendor_information.html).
Table 1. Selected Assets, Liabilities, and Capital Accounts of the Federal Reserve System
($ billions)
| Item |
Current July 29, 2009 |
Change from June 24, 2009 |
Change from July 30, 2008 |
|---|---|---|---|
| Total assets | 2,003 | -25 | +1,083 |
| Selected assets: | |||
| Securities held outright | 1,345 | +128 | +866 |
| U.S. Treasury securities1 | 696 | +43 | +217 |
| Agency securities1 | 106 | +9 | +106 |
| Agency-guaranteed mortgage-backed securities2 | 543 | +76 | +543 |
| Memo: TSLF | 3 | -4 | -120 |
| Memo: Overnight securities lending | 9 | -5 | -3 |
| Memo: Net commitments to purchase MBS3 | 135 | +19 | +135 |
| Lending to depository and other financial institutions | 275 | -73 | +108 |
| Primary, secondary, and seasonal credit | 36 | -13 | +19 |
| TAF | 238 | -45 | +88 |
| PDCF | 0 | 0 | 0 |
| AMLF | 1 | -14 | +1 |
| Foreign central bank liquidity swaps4 | 88 | -31 | +26 |
| Lending through other credit facilities | 98 | -51 | +98 |
| Net portfolio holdings of CPFF LLC5 | 67 | -57 | +67 |
| TALF | 30 | +5 | +30 |
| Support for specific institutions | 104 | -1 | +75 |
| Credit extended to AIG, net6 | 42 | -1 | +42 |
| Net portfolio holdings of Maiden Lane I, Maiden Lane II, and Maiden Lane III LLCs7 | 62 | * | +33 |
| Total liabilities | 1,954 | -26 | +1,074 |
| Selected liabilities: | |||
| Federal reserve notes in circulation | 871 | +4 | +75 |
| Deposits of depository institutions | 747 | +2 | +718 |
| U.S. Treasury, general account | 58 | -21 | +54 |
| U.S. Treasury, supplementary financing account | 200 | 0 | +200 |
| Other deposits | 1 | -4 | +1 |
| Total capital | 50 | +2 | +10 |
Note: Unaudited. Securities loans under the TSLF and 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. Components may not sum to total because of rounding.
* Increase of less than $500 million. Return to table
1. Face value. Return to table
2. Current face value, which is the remaining principal balance of the underlying mortgages. Does not include unsettled transactions. Return to table
3. Current face value. These generally settle within 180 days and include commitments associated with outright transactions as well as dollar rolls. Return to table
4. 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
5. Book value of net portfolio holdings, includes commercial paper holdings, net, and about $4 billion in other investments. Return to table
6. Excludes credit extended to Maiden Lane II and III LLCs. Return to table
7. Fair value, reflecting values as of June 30, 2009. 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
* Increase of less than $500 million. Return to table
1. Face value. Return to table
2. Current face value, which is the remaining principal balance of the underlying mortgages. Does not include unsettled transactions. Return to table
3. Current face value. These generally settle within 180 days and include commitments associated with outright transactions as well as dollar rolls. Return to table
4. 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
5. Book value of net portfolio holdings, includes commercial paper holdings, net, and about $4 billion in other investments. Return to table
6. Excludes credit extended to Maiden Lane II and III LLCs. Return to table
7. Fair value, reflecting values as of June 30, 2009. 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
Last update:
August 2, 2013
