FEDERAL RESERVE statistical release
 

H.4.1
Factors Affecting Reserve Balances of Depository Institutions and
Condition Statement of Federal Reserve Banks
                                                                                           January 28, 2010
1. Factors Affecting Reserve Balances of Depository Institutions
Millions of dollars

 

Note: Components may not sum to totals because of rounding.  Footnotes appear at the end of the table.
 

 

1. Factors Affecting Reserve Balances of Depository Institutions (continued)
Millions of dollars

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

1. Includes securities lent to dealers under the overnight and term securities lending facilities; refer
   to table 1A.  
2. Face value of the securities. 
3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed
   securities.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.  Current face value of the securities, which is 
   the remaining principal balance of the underlying mortgages.  
5. Cash value of agreements.
6. Includes credit extended through the Primary Dealer Credit Facility and credit extended to certain
   other broker-dealers.
7. Includes outstanding principal and capitalized interest net of unamortized deferred commitment fees and 
   allowance for loan restructuring.  Excludes credit extended to consolidated LLCs.
8. Includes credit extended by the Federal Reserve Bank of New York to eligible borrowers through the Term 
   Asset-Backed Securities Loan Facility, net of unamortized deferred administrative fees.
9. Refer to table 7 and the note on consolidation accompanying table 11.
10. Refer to table 4 and the note on consolidation accompanying table 11.
11. Refer to table 5 and the note on consolidation accompanying table 11.
12. Refer to table 6 and the note on consolidation accompanying table 11.
13. Refer to table 8 and the note on consolidation accompanying table 11.
14. Refer to table 9.
15. Dollar value of 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.  This exchange rate equals the market exchange 
    rate used when the foreign currency was acquired from the foreign central bank.
16. Includes other assets denominated in foreign currencies, which are revalued daily at market exchange rates,
    and accrued dividends on the Federal Reserve Bank of New York's preferred interests in AIA Aurora LLC and 
    ALICO Holdings LLC.
17. Estimated.
18. Cash value of agreements, which are collateralized by U.S. Treasury securities and federal agency debt 
    securities.
19. Includes the liabilities of Commercial Paper Funding Facility LLC, Maiden Lane LLC, Maiden Lane II LLC,  
    Maiden Lane III LLC, and TALF LLC to entities other than the Federal Reserve Bank of New York, including 
    liabilities that have recourse only to the portfolio holdings of these LLCs.  Refer to table 4 through 
    table 8 and the note on consolidation accompanying table 11.
 

Sources: Federal Reserve Banks and the U.S. Department of the Treasury.
 

 

1A. Memorandum Items 
Millions of dollars

 

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

1. Face value of the securities.  Includes U.S. Treasury STRIPS, other zero-coupon bonds, and mortgage-backed 
   securities at face value.
2. Includes debt and mortgage-backed securities.
3. Fully collateralized by U.S. Treasury securities.
4. U.S. Treasury securities only. Fully collateralized by U.S. Treasury securities, federal agency securities, and other highly rated debt securities. 
 

 

 

 

 

 

2. Maturity Distribution of Term Auction Credit, Other Loans, and Securities,   January 27, 2010
Millions of dollars

  
Note: Components may not sum to totals because of rounding.
---   Not applicable.
 

1. Excludes the loans from the Federal Reserve Bank of New York (FRBNY) to Commercial Paper Funding Facility LLC, Maiden 
   Lane LLC, Maiden Lane II LLC, Maiden Lane III LLC, and TALF LLC.  The loans were eliminated when preparing the FRBNY's 
   statement of condition consistent with consolidation under generally accepted accounting principles.
2. Face value.  For inflation-indexed securities, includes the original face value and compensation that adjusts for 
   the effect of inflation on the original face value of such securities.
3. Face value.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.  Current face value of the securities, which is the remaining 
   principal balance of the underlying mortgages.
5. Face value of commercial paper held by Commercial Paper Funding Facility LLC.
6. Face value of asset-backed securities held by TALF LLC, which is the remaining principal balance of the underlying assets.
7. Cash value of agreements.
8. Dollar value of 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.  This exchange rate equals the market exchange rate used when the 
   foreign currency was acquired from the foreign central bank.
 

 

3. Supplemental Information on Mortgage-Backed Securities Purchase Program
Millions of dollars

 

1. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.  Current face value of the securities, which is the
   remaining principal balance of the underlying mortgages.
2. Current face value.  Generally settle within 180 days and include commitments associated with outright
   transactions as well as dollar rolls.
3. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 10 and table 11.
 

 

4. Information on Principal Accounts of Maiden Lane LLC
Millions of dollars

 
1. Fair value. 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.  Revalued quarterly. 
   This table reflects valuations as of September 30, 2009.  Any assets purchased after this valuation date 
   are initially recorded at cost until their estimated fair value as of the purchase date becomes available.
2. Book value.  This amount was eliminated when preparing the Federal Reserve Bank of New York's statement
   of condition consistent with consolidation under generally accepted accounting principles.  Refer to
   the note on consolidation accompanying table 11.
3. Book value.  The fair value of these obligations is included in other liabilities and capital in table 1 
   and in other liabilities and accrued dividends in table 10 and table 11.
 

Note:  On June 26, 2008, the Federal Reserve Bank of New York (FRBNY) extended credit to Maiden Lane LLC 
under the authority of section 13(3) of the Federal Reserve Act.  This limited liability company was formed 
to acquire certain assets of Bear Stearns and to manage those assets through time to maximize repayment of 
the credit extended and to minimize disruption to financial markets.  Payments by Maiden Lane LLC from the 
proceeds of the net portfolio holdings will be made in the following order: operating expenses of the LLC, 
principal due to the FRBNY, interest due to the FRBNY, principal due to JPMorgan Chase & Co., and interest 
due to JPMorgan Chase & Co.  Any remaining funds will be paid to the FRBNY.
 

 

 

5. Information on Principal Accounts of Maiden Lane II LLC
Millions of dollars

 

1. Fair value.  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.  Revalued quarterly.  
   This table reflects valuations as of September 30, 2009.  Any assets purchased after this valuation date 
   are initially recorded at cost until their estimated fair value as of the purchase date becomes available.
2. Book value.  This amount was eliminated when preparing the Federal Reserve Bank of New York's statement 
   of condition consistent with consolidation under generally accepted accounting principles.  Refer to the 
   note on consolidation accompanying table 11.
3. Book value.  The deferred payment represents the portion of the proceeds of the net portfolio holdings due 
   to subsidiaries of American International Group, Inc. in accordance with the asset purchase agreement.  
   The fair value of this payment and accrued interest payable are included in other liabilities and capital 
   in table 1 and in other liabilities and accrued dividends in table 10 and table 11.
 

Note:  On December 12, 2008, the Federal Reserve Bank of New York (FRBNY) began extending credit to Maiden 
Lane II LLC under the authority of section 13(3) of the Federal Reserve Act.  This limited liability company 
was formed to purchase residential mortgage-backed securities from the U.S. securities lending reinvestment 
portfolio of subsidiaries of American International Group, Inc. (AIG subsidiaries).  Payments by Maiden 
Lane II LLC from the proceeds of the net portfolio holdings will be made in the following order:  operating 
expenses of Maiden Lane II LLC, principal due to the FRBNY, interest due to the FRBNY, and deferred payment 
and interest due to AIG subsidiaries.  Any remaining funds will be shared by the FRBNY and AIG subsidiaries.
 

 

6. Information on Principal Accounts of Maiden Lane III LLC
Millions of dollars

 

1. Fair value.  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.  Revalued quarterly.  
   This table reflects valuations as of September 30, 2009.  Any assets purchased after this valuation date 
   are initially recorded at cost until their estimated fair value as of the purchase date becomes available.
2. Book value.  This amount was eliminated when preparing the Federal Reserve Bank of New York's statement 
   of condition consistent with consolidation under generally accepted accounting principles.  Refer to the 
   note on consolidation accompanying table 11.
3. Book value.  The fair value of these obligations is included in other liabilities and capital in table 1 
   and in other liabilities and accrued dividends in table 10 and table 11.
 

Note: On November 25, 2008, the Federal Reserve Bank of New York (FRBNY) began extending credit to Maiden Lane 
III LLC under the authority of section 13(3) of the Federal Reserve Act.  This limited liability company was 
formed to purchase multi-sector collateralized debt obligations (CDOs) on which the Financial Products group 
of American International Group, Inc. (AIG) has written credit default swap (CDS) contracts.  In connection 
with the purchase of CDOs, the CDS counterparties will concurrently unwind the related CDS transactions.  
Payments by Maiden Lane III LLC from the proceeds of the net portfolio holdings will be made in the following 
order: operating expenses of Maiden Lane III LLC, principal due to the FRBNY, interest due to the FRBNY, 
principal due to AIG, and interest due to AIG.  Any remaining funds will be shared by the FRBNY and AIG.
 

 

7. Information on Principal Accounts of Commercial Paper Funding Facility LLC
Millions of dollars

 

1. Book value, which includes amortized cost and related fees.
2. Book value.  This amount was eliminated when preparing the Federal Reserve Bank of New York's statement of 
   condition consistent with consolidation under generally accepted accounting principles.  Refer to the 
   note on consolidation accompanying table 11.
 

Note: On October 27, 2008, the Federal Reserve Bank of New York began extending loans under the authority of 
section 13(3) of the Federal Reserve Act to Commercial Paper Funding Facility LLC.  This LLC is a limited 
liability company formed to purchase three-month U.S. dollar-denominated commercial paper from eligible issuers 
and thereby foster liquidity in short-term funding markets and increase the availability of credit for 
businesses and households.
 

 

8. Information on Principal Accounts of TALF LLC
Millions of dollars

 

1. Fair value.  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.  
2. Book value.  This amount was eliminated when preparing the Federal Reserve Bank of New York's statement of 
   condition consistent with consolidation under generally accepted accounting principles.  Refer to the note 
   on consolidation accompanying table 11.
3. Book value.  The fair value of these obligations is included in other liabilities and capital in table 1 
   and in other liabilities and accrued dividends in table 10 and table 11.
 

Note:  On November 25, 2008, the Federal Reserve announced the creation of the Term Asset-Backed Securities Loan
Facility (TALF) under the authority of section 13(3) of the Federal Reserve Act.  The TALF is a facility under 
which the Federal Reserve Bank of New York (FRBNY) extends loans with a term of up to five years to holders of 
eligible asset-backed securities.  The TALF is intended to assist financial markets in accommodating the credit 
needs of consumers and businesses by facilitating the issuance of asset-backed securities collateralized by a 
variety of consumer and business loans. The loans provided through the TALF to eligible borrowers are non-recourse, 
meaning that the obligation of the borrower can be discharged by surrendering the collateral to the FRBNY.  The 
loans are extended for the market value of the security less an amount known as a haircut.  As a result, the 
borrower bears the initial risk of a decline in the value of the security. 
 

TALF LLC is a limited liability company formed to purchase and manage any asset-backed securities received by
the FRBNY in connection with the decision of a borrower not to repay a TALF loan. TALF LLC has committed, for a 
fee, to purchase all asset-backed securities received by the FRBNY in conjunction with a TALF loan at a price 
equal to the TALF loan plus accrued but unpaid interest.  Losses on asset-backed securities held by TALF LLC 
will be offset in the following order: by the commitment fees collected by TALF LLC, by the interest received on 
investments of TALF LLC, by up to $20 billion in subordinated debt funding provided by the U.S. Treasury, and 
finally, by senior debt funding provided by the FRBNY.  Payments by TALF LLC from the proceeds of its net portfolio 
holdings will be made in the following order: operating expenses of TALF LLC, principal due to the FRBNY, principal 
due to the U.S. Treasury, interest due to the FRBNY, and interest due to the U.S. Treasury.  Any remaining funds 
will be shared by the FRBNY and the U.S. Treasury.
 

 

9.  Supplemental Information on the Federal Reserve Bank of New York's Preferred Interests in AIA Aurora LLC and 
    ALICO Holdings LLC
Millions of dollars

 

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

1. Book value.
2. This amount is included in other Federal Reserve assets in table 1 and in other assets in table 10 and table 11.
 

Note on preferred interests:  
 

In conjunction with the restructuring of the government's assistance to American 
International Group, Inc. (AIG) announced March 2, 2009, the outstanding balance and amount available of revolving 
credit provided to AIG by the FRBNY has been reduced in exchange for preferred interests in two special purpose 
vehicles, AIA Aurora LLC and ALICO Holdings LLC.  These two limited liability companies were created to directly or 
indirectly hold all of the outstanding common stock of American International Assurance Company Ltd. (AIA) and 
American Life Insurance Company (ALICO), two life insurance subsidiaries of AIG.  AIG will retain control of AIA 
Aurora LLC and ALICO Holdings LLC, and the FRBNY will have certain consent, disposition, and conversion rights with 
respect to its preferred interests.
 

Dividends accrue as a percentage of the FRBNY's preferred interests in AIA Aurora LLC and ALICO Holdings LLC.  On a 
quarterly basis, the accrued dividends are capitalized and added to the FRBNY's preferred interests in AIA Aurora LLC 
and ALICO Holdings LLC.
 

 

10. Consolidated Statement of Condition of All Federal Reserve Banks
Millions of dollars

 

Note: Components may not sum to totals because of rounding.  Footnotes appear at the end of the table.
 

 

10. Consolidated Statement of Condition of All Federal Reserve Banks (continued)
Millions of dollars

 

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

1. Includes securities lent to dealers under the overnight and term securities lending facilities; refer
   to table 1A.
2. Face value of the securities.
3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed
   securities.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.  Current face value of the securities, which is 
   the remaining principal balance of the underlying mortgages. 
5. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities.
6. Refer to table 7 and the note on consolidation accompanying table 11.
7. Refer to table 4 and the note on consolidation accompanying table 11.
8. Refer to table 5 and the note on consolidation accompanying table 11.
9. Refer to table 6 and the note on consolidation accompanying table 11.
10. Refer to table 8 and the note on consolidation accompanying table 11.
11. Refer to table 9.
12. Dollar value of 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.  This exchange rate equals the market 
    exchange rate used when the foreign currency was acquired from the foreign central bank. 
13. Includes other assets denominated in foreign currencies, which are revalued daily at market exchange rates,
    and accrued dividends on the Federal Reserve Bank of New York's preferred interests in AIA Aurora LLC and 
    ALICO Holdings LLC.
14. Cash value of agreements, which are collateralized by U.S. Treasury securities and federal agency debt 
    securities.
15. Includes the liabilities of Commercial Paper Funding Facility LLC, Maiden Lane LLC, Maiden Lane II LLC,  
    Maiden Lane III LLC, and TALF LLC to entities other than the Federal Reserve Bank of New York, including 
    liabilities that have recourse only to the portfolio holdings of these LLCs.  Refer to table 4 through 
    table 8 and the note on consolidation accompanying table 11. 
 

 

11. Statement of Condition of Each Federal Reserve Bank,   January 27, 2010
Millions of dollars

 

Note: Components may not sum to totals because of rounding.  Footnotes appear at the end of the table.
 

 

11. Statement of Condition of Each Federal Reserve Bank,   January 27, 2010 (continued)
Millions of dollars

                              
Note: Components may not sum to totals because of rounding.  Footnotes appear at the end of the table.
 

 

11. Statement of Condition of Each Federal Reserve Bank,   January 27, 2010 (continued)
 

1. Includes securities lent to dealers under the overnight and term securities lending facilities; refer to table 1A.
2. Face value of the securities.
3. Includes the original face value of inflation-indexed securities and compensation that adjusts for the effect of inflation on the original face value of such securities.
4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae.  Current face value of the securities, which is the remaining principal balance of the underlying mortgages. 
5. Cash value of agreements, which are collateralized by U.S. Treasury and federal agency securities.
6. Refer to table 7 and the note on consolidation below.
7. Refer to table 4 and the note on consolidation below.
8. Refer to table 5 and the note on consolidation below.
9. Refer to table 6 and the note on consolidation below.
10. Refer to table 8 and the note on consolidation below.
11. Refer to table 9.
12. Dollar value of 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.  This 
    exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank.
13. Includes other assets denominated in foreign currencies, which are revalued daily at market exchange rates, and accrued dividends on the Federal Reserve Bank of New York's 
    preferred interests in AIA Aurora LLC and ALICO Holdings LLC.
14. Cash value of agreements, which are collateralized by U.S. Treasury securities and federal agency debt securities.
15. Includes the liabilities of Commercial Paper Funding Facility LLC, Maiden Lane LLC, Maiden Lane II LLC, Maiden Lane III LLC, and TALF LLC to entities other than the Federal Reserve 
    Bank of New York, including liabilities that have recourse only to the portfolio holdings of these LLCs.  Refer to table 4 through table 8 and the note on consolidation below.
 

Note on consolidation:
 

The Federal Reserve Bank of New York (FRBNY) has extended loans to several limited liability companies under the authority of section 13(3) of the Federal Reserve Act. On June 26, 2008, 
a loan was extended to Maiden Lane LLC, which was formed to acquire certain assets of Bear Stearns.  On October 27, 2008, the FRBNY began extending loans to Commercial Paper Funding 
Facility LLC, which was formed to purchase three-month U.S. dollar-denominated commercial paper from eligible issuers. On November 25, 2008, a loan was extended to Maiden Lane III LLC, 
which was formed to purchase multi-sector collateralized debt obligations on which the Financial Products group of the American International Group, Inc. has written credit default swap 
contracts.  On December 12, 2008, a loan was extended to Maiden Lane II LLC, which was formed to purchase residential mortgage-backed securities from the U.S. securities lending 
reinvestment portfolio of subsidiaries of American International Group, Inc.  On November 25, 2008, the Federal Reserve Board authorized the FRBNY to extend credit to TALF LLC, which was 
formed to purchase and manage any asset-backed securities received by the FRBNY in connection with the decision of a borrower not to repay a loan extended under the Term Asset-Backed 
Securities Loan Facility.
 

The FRBNY is the sole beneficiary of Commercial Paper Funding Facility LLC.  The FRBNY is the primary beneficiary of TALF LLC, because of the two beneficiaries of the LLC, the FRBNY and the 
U.S. Treasury, the FRBNY is primarily responsible for directing the financial activities of TALF LLC.  The FRBNY is the primary beneficiary of the other LLCs cited above because it will receive 
a majority of any residual returns of the LLCs and absorb a majority of any residual losses of the LLCs.  Consistent with generally accepted accounting principles, the assets and liabilities of 
these LLCs have been consolidated with the assets and liabilities of the FRBNY in the preparation of the statements of condition shown on this release.  As a consequence of the consolidation, 
the extensions of credit from the FRBNY to the LLCs are eliminated, the net assets of the LLCs appear as assets on the previous page (and in table 1 and table 10), and the liabilities of the
LLCs to entities other than the FRBNY, including those with recourse only to the portfolio holdings of the LLCs, are included in other liabilities in this table (and table 1 and table 10).
 

 

12. Collateral Held against Federal Reserve Notes: Federal Reserve Agents' Accounts
Millions of dollars

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

1. Includes face value of U.S. Treasury, agency debt, and mortgage-backed securities held outright, 
   compensation to adjust for the effect of inflation on the original face value of inflation-indexed 
   securities, and cash value of repurchase agreements.
2. Includes securities lent to dealers under the overnight and term securities lending facilities; refer
   to table 1A.

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