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Quarterly Report on Federal Reserve Balance Sheet Developments (March 2013)

Core Content

This report provides an overview of the Federal Reserve's balance sheet developments, financial statements, and monetary policy tools as of February 27, 2013. It highlights recent changes in the operations of the Federal Reserve's monetary policy instruments, including open market operations (OMOs), discount window lending, and special lending facilities. The report also outlines the Federal Reserve's efforts to meet transparency requirements under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.

Main Points

Recent Developments

• Federal Reserve Board Releases 2012 Financial Statements: The Federal Reserve System released the 2012 audited financial statements, showing total assets of $2.9 trillion, net income before remittances of $90.6 billion, and a net income of $88.4 billion provided to the U.S. Treasury.
• FOMC Announces Additional Treasury Purchases: The FOMC continued purchasing agency MBS at $40 billion per month and began purchasing longer-term Treasury securities at $45 billion per month, starting in January 2013.
• TALF Credit Protection Terminated: The Federal Reserve and Treasury terminated the credit protection for the Term Asset-Backed Securities Loan Facility (TALF), as the fees and income collected exceeded the outstanding loan balance.
• Extension of Dollar Liquidity Swaps: The FOMC extended temporary dollar liquidity swap arrangements with foreign central banks (Bank of Canada, Bank of England, Bank of Japan, European Central Bank, and Swiss National Bank) through February 1, 2014.
• FRBNY Pilot Program for Treasury Market Operations: The FRBNY introduced a pilot program to allow a few small broker-dealers to act as new counterparties in Treasury market operations, aimed at broadening access to OMOs and assessing the impact of new participants on operational capacity.

Federal Reserve System Financials

• Total Assets: $3,092 billion as of February 27, 2013, an increase of $268 billion from October 31, 2012.
• Securities Held Outright: $2,839 billion, with U.S. Treasury securities at $1,750 billion.
• Mortgage-Backed Securities (MBS): $1,016 billion, reflecting continued purchases and reinvestment of principal payments.
• Total Liabilities: $3,037 billion, with Federal Reserve notes in circulation at $1,129 billion.
• Total Capital: $55 billion, with limited changes noted.

Key Monetary Policy Tools

Permanent Open Market Operations (OMOs)

• The Federal Reserve conducts permanent OMOs, including the outright purchase and sale of securities such as Treasury securities, GSE debt, and MBS.
• These operations are used to manage the supply of reserve balances and maintain the federal funds rate near its target.
• The FOMC expanded its securities holdings through large-scale asset purchase programs (LSAPs), which included purchases of MBS and longer-term Treasury securities.

Temporary Open Market Operations and Reserve Management Tools

• The Federal Reserve uses temporary OMOs, such as repos and reverse repos, to address short-term reserve needs without altering the stance of monetary policy.
• These transactions are conducted with a range of counterparties, including primary dealers, money market funds, and GSEs.
• The FRBNY has expanded the list of eligible counterparties for reverse repos to include non-primary dealers, enhancing operational flexibility.

Discount Window Lending

• The Federal Reserve provides short-term liquidity to domestic banks and depository institutions through the discount window.
• The discount window credit outstanding to depository institutions was reported, with a concentration analysis of the types of institutions receiving credit.

Liquidity Arrangements with Foreign Central Banks

• The FOMC authorized extensions of dollar liquidity swap arrangements with foreign central banks to support international coordination and liquidity needs.

Special Lending Facilities

• Term Asset-Backed Securities Loan Facility (TALF): The facility was terminated as the accumulated fees and income exceeded the loan balance, with distributions to the Treasury and FRBNY.
• Maiden Lane LLC: This special purpose vehicle was used to support AIG and has been involved in various asset purchases and sales, with detailed transaction data released by the FRBNY.

Summary of Key Tables and Figures

• Table 1: Summary of selected assets, liabilities, and capital of the Federal Reserve System as of February 27, 2013.
• Table 2: Breakdown of domestic SOMA securities holdings, showing increases in MBS and Treasury securities.
• Table 3: Discount window credit outstanding to depository institutions.
• Table 4: Concentration of discount window credit by institution type.
• Table 5: Lendable value of collateral pledged by borrowing institutions.
• Table 6: Discount window credit as a percentage of collateral used.
• Table 7: Amounts outstanding under dollar liquidity swaps.
• Table 8: TALF borrower count and loan outstanding.
• Table 9: TALF collateral by loan type.
• Table 10: TALF collateral by rating.
• Table 11A and 11B: Issuers of non-CMBS and CMBS that collateralize TALF loans.
• Table 12: Outstanding principal balance of loans under Maiden Lane LLC.
• Table 13 and 14: Portfolio composition, cash equivalents, and securities distribution of Maiden Lane LLC.

Conclusion

The report emphasizes the Federal Reserve's ongoing efforts to maintain financial stability, enhance transparency, and manage its balance sheet effectively. It outlines the use of various monetary policy tools, including permanent and temporary OMOs, discount window lending, and special lending facilities, and provides detailed data on the impact of these operations on the balance sheet and financial markets.