FRB美联储资产负债表发展季度报告-monthlyclbsreport201202_41页_1mb

Federal Reserve System Monthly Report on Credit and Liquidity Programs and the Balance Sheet - February 2012 Summary

Core Content

This report provides an overview of the Federal Reserve's credit and liquidity programs, highlighting recent developments and financial data for the Federal Reserve System as of January 25, 2012. It aims to enhance transparency and accountability to Congress and the public, especially in response to the financial crisis.

Main Purpose

The Federal Reserve's mandate includes fostering maximum employment and stable prices, with financial stability being a critical prerequisite. To support this, the Federal Reserve implemented various credit and liquidity programs. The report also includes financial reporting for the third quarter of 2011 and updates for the full year of 2011 following the release of audited financial statements.

Key Information

• The Federal Reserve System's total assets were $2,922 billion as of January 25, 2012, with a decrease of $7 billion from the previous month and an increase of $475 billion from the same period in 2011.
• The report includes unaudited financial data and notes that annual audits are conducted and available at the specified website.
• The Federal Reserve Bank of New York (FRBNY) sold $13.2 billion in face value of Maiden Lane II LLC assets to Credit Suisse and Goldman Sachs, enabling repayment of the remaining senior loan balance.
• The maturity extension program, announced in September 2011, had reached approximately half of its $400 billion target by February 10, 2012.

Abbreviations

• ABCP: Asset-backed commercial paper
• ABS: Asset-backed securities
• AIG: American International Group, Inc.
• AIGFP: AIG Financial Products Corp.
• TALF: Term Asset-Backed Securities Loan Facility
• MBS: Mortgage-backed securities
• SOMA: System Open Market Account
• FRBNY: Federal Reserve Bank of New York
• FOMC: Federal Open Market Committee
• LSAPs: Large-scale asset purchase programs
• TAF: Term Auction Facility
• CPFF: Commercial Paper Funding Facility
• MMF: Money market mutual fund
• Dodd-Frank Act: Dodd-Frank Wall Street Reform and Consumer Protection Act

Contents Overview

Overview

• Highlights recent developments in the Federal Reserve's credit and liquidity programs.
• Provides data on changes in assets, liabilities, and capital of the Federal Reserve System as of January 25, 2012.

System Open Market Account

• Domestic SOMA Portfolio: Holdings of U.S. Treasury securities and agency debt declined between December 28, 2011, and January 25, 2012, due to principal payments and reinvestment policies.
• Liquidity Arrangements with Foreign Central Banks: Includes data on dollar liquidity swaps and their impact on the balance sheet.

Lending Facilities to Support Overall Market Liquidity

• Discount Window Credit: Outstanding credit to depository institutions decreased slightly, with data on collateral value and rating.
• TALF: Details on the number of borrowers, loan amounts, and collateral types, including CMBS and RMBS, are provided. TALF LLC had no purchases from the FRBNY as of January 25, 2012.

Lending in Support of Specific Institutions

• Maiden Lane LLC: Summary of portfolio composition, cash, and other assets/liabilities.
• Maiden Lane II LLC: Details on senior loans and RMBS holdings.
• Maiden Lane III LLC: Information on senior loans and equity contributions.

Federal Reserve Banks' Financial Tables

• Combined Statement of Income and Comprehensive Income: Shows the financial performance of the Federal Reserve Banks.
• SOMA Financial Summary: Includes data on securities holdings, fair value adjustments, and other financial metrics.
• Loan Programs Financial Summary: Details the financial performance of the loan programs.
• Consolidated VIEs Financial Summary: Information on the financial status of Variable Interest Entities (VIEs).

Recent Developments

• FRBNY Sells Maiden Lane II LLC Assets: Sold $7.014 billion to Credit Suisse and $6.2 billion to Goldman Sachs, aiding in the repayment of the senior loan.
• Quarterly Accounting Updates: Released fair value adjustments for the three Maiden Lane LLCs and TALF as of January 25, 2012.
• Maturity Extension Program Progress: Completed about half of the $400 billion program by February 10, 2012.
• Unaudited Financial Information: Released by FRBNY on February 15, 2012, for Maiden Lane LLC, II, and III.

Open Market Operations (OMOs)

• OMOs are key monetary policy tools used by the Federal Reserve to adjust reserve balances.
• OMOs are divided into permanent and temporary types:
  • Permanent OMOs: Outright purchases or sales of securities for the SOMA.
  • Temporary OMOs: Repurchase agreements (repos) and reverse repos.
• The FRBNY conducts OMOs with traditional counterparties, primarily primary dealers, and has expanded to include other entities.

Large-Scale Asset Purchase Programs (LSAPs)

• Launched in November 2008 to support housing credit and reduce mortgage-backed securities (MBS) costs.
• In March 2009, the FOMC authorized purchases of up to $1.25 trillion of agency MBS and $200 billion of agency direct obligations.
• In August 2009, the FOMC began purchasing on-the-run agency debt to promote market functioning.
• The FRBNY streamlined the number of external investment managers for MBS purchases and began using its own staff for some transactions.

Reverse Repos

• Reverse repos are used to manage reserve levels and are not intended to signal changes in monetary policy stance.
• They are conducted periodically to ensure operational readiness and have no material impact on reserves or market rates.

Expanded Counterparties

• The FRBNY has expanded reverse repo counterparties to include money market funds and other entities.
• Each expansion included updated eligibility criteria and legal terms for the Reverse Repurchase Program.

Tables and Figures

• Table 1: Summarizes the assets, liabilities, and capital of the Federal Reserve System.
• Figure 1: Illustrates the levels of selected assets and liabilities, securities holdings, and credit extended through liquidity facilities since 2007.
• Table 2: Lists the domestic SOMA securities holdings, including U.S. Treasury bills, notes, bonds, agency debt, and MBS.
• Table 3: Reports amounts outstanding under dollar liquidity swaps.
• Tables 4-12: Provide detailed data on discount window credit, TALF collateral, and Maiden Lane LLC portfolio composition and distribution.
• Tables 23-26: Include financial summaries for the Federal Reserve Banks, SOMA, loan programs, and VIEs.

Appendices

• Appendix A: Additional information under Section 129 of the Emergency Economic Stabilization Act of 2008.
• Appendix B: Information about closed and expired credit and liquidity facilities.
• Appendix C: Details on the Federal Reserve's disclosure requirements and transparency provisions under the Dodd-Frank Act.

Notes

• All financial information is unaudited.
• Data is presented on a settlement basis, not a commitment basis.
• The Federal Reserve's financial reporting and transparency measures are aligned with the Dodd-Frank Act.