FRB美联储资产负债表发展季度报告-monthlyclbsreport201207_40页_1mb

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

Core Content

This report provides an overview of the Federal Reserve's credit and liquidity programs and the balance sheet status of the Federal Reserve System as of June 27, 2012. It aims to increase transparency and accountability regarding the Federal Reserve's actions in response to the financial crisis, and includes detailed financial data and policy updates.

Main Purpose

• To enhance transparency about the range of credit and liquidity programs implemented in response to the financial crisis.
• To ensure accountability to Congress and the public.
• To provide financial reporting for the Federal Reserve System for the first quarter of 2012.

The Federal Reserve's statutory mandate includes fostering maximum employment and stable prices, with financial stability being a critical prerequisite for economic growth and price stability.

Key Policy Tools and Programs

Credit and Liquidity Programs

• The Federal Reserve implemented a number of credit and liquidity programs to support financial institutions and improve market conditions.
• These programs included:
  • Term Asset-Backed Securities Loan Facility (TALF)
  • Primary Dealer Credit Facility (PDCF)
  • Commercial Paper Funding Facility (CPFF)
  • Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF)
  • Term Auction Facility (TAF)
  • Central bank liquidity swaps
  • Maiden Lane LLC, II, and III
  • Troubled Asset Relief Program (TARP)

TALF Program Update

• On June 28, 2012, the Federal Reserve and U.S. Treasury reduced the credit protection for TALF from $43 billion to $1.4 billion.
• The reduction reflects the rapid repayment of TALF loans and the likelihood that no further recourse to TARP funds will be necessary.
• TALF has not experienced any losses to date.

Term Deposit Facility (TDF)

• On July 16, 2012, the Federal Reserve conducted a $3 billion auction of 28-day term deposits.
• These small-value TDF offerings are part of prudent planning and have no immediate implications for monetary policy.

Federal Reserve System Financial Overview

Assets, Liabilities, and Capital

• Total assets: $2,866 billion (up +21 billion from May 30, 2012; down -3 billion from June 29, 2011).
• Selected assets:
  • Securities held outright: $2,613 billion (up +11 billion from May 30, 2012; down -30 billion from June 29, 2011).
  • U.S. Treasury securities: $1,667 billion (up +10 billion from May 30, 2012; up +50 billion from June 29, 2011).
  • Federal agency debt: $91 billion (down -2 billion from May 30, 2012; down -26 billion from June 29, 2011).
  • Mortgage-backed securities (MBS): $855 billion (up +3 billion from May 30, 2012; down -54 billion from June 29, 2011).
• Total liabilities: $2,811 billion (up +21 billion from May 30, 2012; down -5 billion from June 29, 2011).
• Total capital: $55 billion (up +2 billion from June 29, 2011).

System Open Market Account (SOMA)

Recent Developments

• Treasury securities holdings increased slightly between May 30 and June 27, 2012, due to ongoing purchases and sales under the maturity extension program.
• Agency debt holdings decreased slightly, while agency MBS holdings increased due to reinvestment of principal payments.

Background

• Open market operations (OMOs) are a key tool for implementing monetary policy, used to adjust the supply of reserve balances.
• The Federal Reserve conducts OMOs through the Trading Desk at the Federal Reserve Bank of New York (FRBNY).
• OMOs are divided into permanent (outright purchases/sales) and temporary (repos and reverse repos).

Maturity Extension Program

• Announced on September 21, 2011, the FOMC extended the average maturity of its securities holdings by purchasing $400 billion par of long-term Treasury securities and selling short-term ones.
• This program continued through the end of 2012, with the purchase and sale of about $267 billion in Treasury securities.
• The Federal Reserve also reinvested principal payments from agency debt and MBS into agency MBS.

Reverse Repos

• Reverse repos are used to support the reduction of monetary accommodation when appropriate.
• They involve the FRBNY selling securities with an agreement to repurchase them later.
• These transactions are conducted to ensure operational readiness and have no material impact on reserves or market rates.
• Reverse repos are part of the Federal Reserve's prudent advance planning and do not signal a change in monetary policy stance.

Expanded Counterparties

• Since late 2009, the FRBNY expanded the types of counterparties for reverse repos beyond primary dealers.
• The expanded counterparties include:
  • Money market mutual funds
  • Government-sponsored enterprises (GSEs)
  • Banks and savings associations
• The FRBNY published updated eligibility criteria and legal terms for each wave of counterparty expansion.
• These counterparties are not eligible for other types of transactions except reverse repos.

Appendices

• Appendix A: Additional information on credit facilities implemented under Section 129 of the Emergency Economic Stabilization Act of 2008.
• Appendix B: Information on closed and expired credit and liquidity facilities and programs.
• Appendix C: Disclosure requirements and transparency provisions under the Dodd-Frank Act.

Transparency and Reporting

• The Dodd-Frank Act requires disclosure of information about entities that participated in Federal Reserve programs.
• Transaction-level details and audit information from December 1, 2007, to July 21, 2010, are available on the Federal Reserve Board's public website.
• Financial data in this report is unaudited and updated annually.

Financial Tables

• Table 1: Assets, liabilities, and capital of the Federal Reserve System.
• Table 2: Domestic SOMA securities holdings.
• Table 3: Dollar liquidity swaps.
• Table 4: Discount window credit outstanding.
• Table 5: Concentration of discount window credit.
• Table 6: Lendable value of collateral pledged.
• Table 7: Lendable value of securities pledged by rating.
• Table 8: Discount window credit as a percentage of collateral used.
• Table 9: TALF borrowers and loans outstanding.
• Table 10: TALF collateral by loan type.
• Table 11: TALF collateral by rating.
• Table 12A-C: Issuers of TALF collateral.
• Table 13-21: Financial summaries of Maiden Lane LLC, II, and III.
• Table 22-25: Financial tables for the Federal Reserve Banks.

Summary of Key Information

• The Federal Reserve continues to manage its balance sheet and liquidity programs to support financial stability and economic growth.
• TALF has seen rapid repayment and is unlikely to require further TARP funding.
• The maturity extension program and reinvestment policy are ongoing to adjust the Federal Reserve's securities holdings.
• Reverse repos are a tool for managing reserves and are part of the Federal Reserve's operational planning.
• Counterparty expansions have increased the range of entities that can participate in reverse repos, enhancing the Federal Reserve's capacity to manage liquidity.