FRB美联储资产负债表发展季度报告-quarterly_balance_sheet_developments_report_201211_34页_1mb

Quarterly Report on Federal Reserve Balance Sheet Developments - November 2012

Core Content

This report outlines recent developments in the Federal Reserve's monetary policy tools and balance sheet as of October 31, 2012. It emphasizes transparency and accountability, aligning with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The report includes data on the Federal Reserve's assets, liabilities, and capital, as well as details on its open market operations, discount window lending, and special lending facilities.

Main Points

Monetary Policy Tools

• The Federal Reserve uses permanent open market operations (OMOs) and temporary OMOs to manage monetary policy.
• Permanent OMOs involve the outright purchase or sale of securities and are used to adjust the balance sheet over time.
• Temporary OMOs include repurchase agreements (repos) and reverse repos, used to manage short-term liquidity and interest rates.

Recent Developments in Monetary Policy

• On September 13, 2012, the FOMC announced an increase in policy accommodation by purchasing $40 billion per month of agency-guaranteed mortgage-backed securities (MBS).
• The FOMC also continued its maturity extension program, which aims to put downward pressure on longer-term interest rates and support financial conditions.
• These actions will increase the Federal Reserve's holdings of longer-term securities by about $85 billion per month through the end of 2012.

Transparency Initiatives

• On September 28, 2012, the Federal Reserve began publishing transaction-level information on discount window borrowings and open market operations.
• The data covers transactions from July 22, 2010, to September 30, 2010, and is updated quarterly with a two-year lag.

Financial Reporting

• On November 29, 2012, the Federal Reserve Board published the "Federal Reserve Banks Combined Quarterly Financial Report" for Q3 2012.
• All financial information is unaudited and available on the Federal Reserve Board's website.

Small-Value Operations

• Starting on September 6, 2012, the FRBNY conducted small-scale, real-value reverse repos using all eligible collateral types.
• These operations are part of prudent planning and have no material impact on reserves or market rates.
• The FRBNY also conducted $3 billion auctions of 28-day term deposits through the Term Deposit Facility (TDF) on September 10 and November 5, 2012.

Key Information

Balance Sheet Summary (as of October 31, 2012)

• Total assets: $2,825 billion
• Total liabilities: $2,770 billion
• Total capital: $55 billion

Selected Assets

• Securities held outright: $2,579 billion
• U.S. Treasury securities: $1,645 billion
• Federal agency debt securities: $82 billion
• Mortgage-backed securities (MBS): $852 billion
• Net commitments to purchase MBS: $105 billion (up from $30 billion in July 2012)

Selected Liabilities

• Federal Reserve notes in circulation: $1,100 billion
• Other deposits held by depository institutions: $1,434 billion
• U.S. Treasury, general account: $100 billion

Special Lending Facilities

• Term Asset-Backed Securities Loan Facility (TALF):
  • Outstanding loans: $1 billion
  • Collateral by loan type: Detailed in Table 8
  • Collateral by rating: Detailed in Table 10
• Maiden Lane LLC:
  • Outstanding principal balance of loans: $2 billion
  • Portfolio composition: Detailed in Table 13
  • Securities distribution by sector and rating: Detailed in Table 14 and Figure 2

Tables and Figures

Table 1: Assets, liabilities, and capital of the Federal Reserve System

• Reports changes in assets, liabilities, and capital from July 25, 2012, and November 2, 2011.

Figure 1: Credit and liquidity programs and the Federal Reserve's balance sheet

• Displays the levels of selected assets and liabilities since April 2010.

Table 2: Domestic SOMA securities holdings

• Shows the par value of different security types as of October 31, 2012.

Table 3: Discount window credit outstanding to depository institutions

• Provides data on the amount of credit extended to depository institutions.

Table 4: Concentration of discount window credit

• Details the concentration of credit by type of institution.

Table 5: Lendable value of collateral pledged

• Lists the value of collateral pledged by depository institutions.

Table 6: Discount window credit outstanding—percent of collateral used

• Shows the percentage of collateral used in discount window lending.

Table 7: Amounts outstanding under dollar liquidity swaps

• Reports the dollar value of foreign currency held under these agreements.

Table 8: TALF: Number of borrowers and loans outstanding

• Details the number of borrowers and the amount of loans outstanding under the TALF.

Table 9: TALF collateral by loan type

• Provides a breakdown of TALF collateral by type of loan.

Table 10: TALF collateral by rating

• Shows TALF collateral by credit rating.

Table 11A and 11B: Issuers of non-CMBS and CMBS that collateralize TALF loans

• Lists the issuers of collateral for TALF loans.

Table 12: Maiden Lane LLC outstanding principal balance of loans

• Reports the outstanding principal balance of loans under Maiden Lane LLC.

Table 13: Maiden Lane LLC summary of portfolio composition

• Summarizes the portfolio composition, cash, and other assets/liabilities.

Table 14: Maiden Lane LLC securities distribution by sector and rating

• Details the distribution of securities by sector and rating.

Figure 2: Maiden Lane LLC securities distribution as of September 30, 2012

• Visual representation of the securities held by Maiden Lane LLC.

Summary of Key Policies

• The Federal Reserve continues to use open market operations to manage liquidity and interest rates.
• Discount window lending remains stable, with limited amounts of credit outstanding.
• Special lending facilities like TALF and Maiden Lane LLC are used to support specific sectors and institutions.
• The Federal Reserve is committed to enhancing transparency and accountability, as required by the Dodd-Frank Act.