FRB美联储资产负债表发展季度报告-monthlyclbsreport201203_42页_1mb

Summary of the Federal Reserve System Monthly Report on Credit and Liquidity Programs and the Balance Sheet (March 2012)

Core Content

This report provides a detailed overview of the Federal Reserve's credit and liquidity programs, as well as the financial status of the Federal Reserve System for calendar year 2011. It emphasizes the Federal Reserve's efforts to enhance transparency and accountability to Congress and the public in response to the financial crisis. The report outlines key developments in the operations of these programs and facilities, and includes financial data and summaries.

Main Purpose

• To increase transparency regarding the credit and liquidity programs implemented during the financial crisis.
• To ensure accountability to Congress and the public.
• To provide financial reporting for the Federal Reserve System for the year 2011.
• To fulfill reporting requirements under the Emergency Economic Stabilization Act of 2008 and the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.

Key Programs and Facilities

Lending Facilities to Support Overall Market Liquidity

• Discount Window Credit: Provided to depository institutions.
• Term Asset-Backed Securities Loan Facility (TALF): Aimed at improving credit availability by supporting asset-backed securities.
• Term Deposit Facility (TDF): Conducted a small-value auction of $3 billion of 28-day term deposits.
• Reverse Repurchase Transactions (Reverse Repos): Conducted to manage liquidity without affecting monetary policy stance.
• Central Bank Liquidity Swaps: Used to provide liquidity to foreign central banks.

Lending in Support of Specific Institutions

• Maiden Lane LLC, II LLC, and III LLC: These were special purpose vehicles (SPVs) created to support financial institutions like Bear Stearns and AIG.
• Maiden Lane II LLC: The senior loan was fully repaid on March 1, 2012, with residual proceeds split between the Federal Reserve Bank of New York (FRBNY) and AIG subsidiaries.
• Maiden Lane III LLC: Still active, with ongoing support for specific institutions.

Financial Highlights

Federal Reserve System Financial Statements (2011)

• Total assets: $2.928 trillion as of February 29, 2012.
• Total liabilities: $2.874 trillion.
• Total capital: $55 billion.
• Comprehensive income: $77.4 billion, with $75.4 billion provided to the U.S. Treasury.
• Interest earnings:
  • $42.3 billion on U.S. Treasury securities.
  • $38.3 billion on federal agency and GSE MBS.
  • $3.1 billion on GSE debt securities.
  • $0.7 billion on loans to depository institutions.

Selected Assets and Liabilities

• Securities held outright: $2.603 trillion.
• U.S. Treasury securities: $1.662 trillion.
• Federal agency debt securities: $101 billion.
• Mortgage-backed securities (MBS): $841 billion.
• Lending to depository institutions: $1.2 trillion (as of February 29, 2012).
• Central bank liquidity swaps: $108 billion.
• TALF LLC holdings: $1 billion (as of February 29, 2012).
• Support for specific institutions: $31 billion.

Recent Developments

• The Federal Reserve continued its open market operations (OMOs) under the Large-Scale Asset Purchase Programs (LSAPs) to support market liquidity and stability.
• The FRBNY repaid the senior loan to Maiden Lane II LLC and a portion of the fixed deferred purchase price on March 1, 2012, with the remaining fixed deferred purchase price repaid on March 15, 2012.
• The FRBNY announced another series of small-scale, real-value reverse repos starting on February 29, 2012, using all eligible collateral types.
• The Federal Reserve conducted a $3 billion TDF auction on March 19, 2012, to manage liquidity.

System Open Market Account (SOMA)

Domestic SOMA Portfolio

• Treasury securities: Slight changes between January 25 and February 29, 2012.
• Agency debt securities: Declined slightly due to principal payments.
• Agency MBS: Increased due to reinvestment of principal payments from agency debt and MBS.
• CUSIP Aggregation: Used to streamline the management of agency MBS holdings.

Reinvestment Policy

• The Federal Reserve reinvested principal payments from agency debt and MBS into longer-term Treasury securities starting in August 2009.
• In November 2010, the FOMC expanded the reinvestment policy to include an additional $600 billion in longer-term Treasury securities by the end of the second quarter of 2011.

Transparency and Accountability

• The report includes Appendix A with additional information on credit facilities under Section 129 of the Emergency Economic Stabilization Act of 2008.
• Appendix B provides details on closed and expired credit and liquidity facilities.
• Appendix C outlines the transparency provisions of the Dodd-Frank Act, including the disclosure of loan and participation data.

Financial Reporting

• Financial data in the report is unaudited and will be audited annually.
• The report is available on the Federal Reserve Board's website and includes detailed financial summaries for the Federal Reserve Banks, SOMA, and loan programs.

Additional Information

• TALF Collateral: Detailed by loan type and rating.
• Maiden Lane Portfolio: Includes information on securities distribution and portfolio composition.
• Reverse Repos: Conducted weekly and reported in the H.4.1 statistical release.

Key Notes

• The Federal Reserve's actions were aimed at maintaining financial stability and supporting economic growth.
• The report emphasizes that the credit and liquidity programs were implemented in response to extraordinary strains in financial markets.
• The Federal Reserve maintains a balance between liquidity support and monetary policy objectives.