2024-01-28-纽约联储-公开市场2022年年度报告_63页_2mb

Federal Open Market Committee - Open Market Operations During 2022

Key Developments:

• Monetary Policy Implementation: The Federal Open Market Committee (FOMC) pursued maximum employment and price stability. The target federal funds rate range increased from 0.00-0.25% to 4.25-4.50% throughout 2022, driven by inflation concerns and a strong labor market. The effective federal funds rate (EFFR) remained consistently within the target range.
• Balance Sheet Management: The Federal Reserve reduced its balance sheet for the first time since the Global Financial Crisis. Balance sheet size decreased from $8.97 trillion at Q2 2022 to $8.55 trillion at year-end. Net assets fell by $205.1 billion. Total assets as a share of nominal GDP declined from 36% to 33%.
• Balance Sheet Composition: Reserve balances (the largest liability) increased slightly in early 2022 due to high Reverse Repo Facility usage but ended the year lower at an average $3.09 trillion. Federal Reserve Notes grew by 3%. Treasury General Account (TGA) balances fluctuated significantly. The Securities Lending Facility saw increased activity.
• Open Market Operations:
  • Reverse Repo Facility (ON RRP): Usage doubled during 2022 due to uncertainty about future policy rates and higher yields on alternatives like repo, reaching an average $2.18 trillion by year-end.
  • Standing Repo Facility (SRF): Minimal usage due to low overnight rates below the facility's target range.
  • Agency MBS Operations: Net purchases slowed throughout the year following the FOMC's balance sheet reduction plans, decreasing from ~$30B/month in early 2022 to $0.0B/month by year-end (runoff started). Reinvestments of principal payments began in June.
  • Treasury Operations: Net purchases slowed significantly throughout 2022, concluding in early March.
  • Foreign Reserves: Holdings remained relatively flat at $18.6B, with Euro deposits comprising $11.5B (63%) and Yen deposits $7.1B (38%). The portfolio benefited from competition with other dollar assets.
  • Emergency Programs: Reduced significantly throughout 2022 due to maturities and improved financial conditions, though loans remained outstanding under some facilities like Term Asset-Backed Securities Loan Facility (TALF) and Municipal Liquidity Facility (MLF).
  • Primary Credit Program: Usage increased as rates approached target ranges of FHLB advances.
• Assets & Portfolios: Holdings shifted towards Treasuries (68%) and away from Agency MBS (32%) due to balance sheet runoff plans. A larger unrealized loss position emerged due to rising market yields ($1.08T loss). Foreign currency holdings saw a slight decrease.
• Financial Results: SOMA net income decreased from $114.8B to $65.7B due to higher interest expense from increased administered rates and foreign currency translation losses. This resulted in a Deferred Asset of $16.6B.

Additional Notes:

• The Federal Funds rate was sanctioned to hold rates near zero until late 2023.
• Projections suggest continued balance sheet reduction and maintenance until reserves reach a level deemed ample for the FOMC, resuming growth thereafter when needed.
• Most Reserve Banks suspended weekly remittances to the Treasury effective September 2022, accumulating a Deferred Asset.
• The ON RRP facility is expected to decline as reserve balances reach their long-run level.