FRB美联储资产负债表发展季度报告-monthlyclbsreport201208_43页_1mb

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

Core Content

The August 2012 Federal Reserve System Monthly Report on Credit and Liquidity Programs and the Balance Sheet outlines the Federal Reserve's efforts to enhance transparency and ensure accountability regarding its financial crisis response programs. The report details the status of credit and liquidity programs, the balance sheet changes, and the financial operations of the Federal Reserve System.

Main Purpose

• To provide 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 report on the financial status of the Federal Reserve System for the second quarter of 2012.

The Federal Reserve's statutory mandate includes fostering maximum employment and stable prices. Financial stability is crucial for achieving these goals, and the report highlights the measures taken to support market liquidity and financial institutions.

Key Developments

1. Maiden Lane III LLC Securities Sale

• On August 23, 2012, the Federal Reserve Bank of New York (FRBNY) announced the sale of all remaining Maiden Lane III LLC securities.
• The sale resulted in a net gain of approximately $6.6 billion for the U.S. public.
• The securities were sold to provide liquidity and reduce the Federal Reserve's exposure to specific institutions.

2. Quarterly Financial Reports

• The Federal Reserve Board began publishing quarterly financial reports, replacing the monthly report.
• These reports provide summary information on the combined financial position and results of operations of the Reserve Banks and consolidated variable interest entities (VIEs).
• All financial information is unaudited.

3. Repo Transactions

• On August 2, 2012, the FRBNY announced a series of small-value repurchase agreement (repo) transactions with primary dealers.
• These transactions are part of prudent planning and do not represent a change in monetary policy stance.
• Repo operations are conducted using all eligible collateral types and are reported weekly in the H.4.1 statistical release.

4. Transition to Quarterly Reporting

• The August 2012 report is the final monthly report.
• Beginning later in 2012, the report will be published quarterly.

Key Information

Federal Reserve System Assets, Liabilities, and Capital (as of July 25, 2012)

Notes:

• Unaudited. Components may not sum to totals due to rounding.
• • Less than $500 million.
• 1 Face value.
• 2 Direct obligations of Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.
• 3 Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value of the securities, which is the remaining principal balance of the underlying mortgages.

Summary of Credit and Liquidity Programs

The Federal Reserve implemented various credit and liquidity programs to support financial institutions and stabilize financial markets during the financial crisis. These include:

• Lending to Depository Institutions: This includes primary, secondary, and seasonal credit.
• Term Asset-Backed Securities Loan Facility (TALF): Provides loans to financial institutions using asset-backed securities as collateral.
• Primary Dealer Credit Facility (PDCF): Offers credit to primary dealers to support their liquidity.
• Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility (AMLF): Supports money market mutual funds by providing liquidity through asset-backed commercial paper.
• Commercial Paper Funding Facility (CPFF): Provides funding to financial institutions through commercial paper.
• Central Bank Liquidity Swaps: Facilitates the exchange of U.S. dollars for foreign currencies with foreign central banks.
• Term Securities Lending Facility (TSLF): Allows the Federal Reserve to lend securities to financial institutions.
• Maiden Lane LLC Series: Includes Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC, which were established to support financial institutions during the crisis.

Maturity Extension Program

• On September 21, 2011, the FOMC announced the maturity extension program to extend the average maturity of its securities holdings by purchasing $400 billion par of long-term Treasury securities and selling short-term ones.
• By the end of June 2012, the program was completed, and the FOMC announced its continuation through the end of 2012.
• The program involves reinvesting principal payments from agency debt and MBS into agency MBS.
• The Federal Reserve suspended its policy of rolling over maturing Treasury securities into new issues at auction during the program.

Open Market Operations (OMOs)

• OMOs are conducted by the Trading Desk at the FRBNY to adjust the supply of reserve balances.
• They are used to keep the federal funds rate around the target set by the FOMC.
• OMOs include both permanent and temporary operations:
  • Permanent OMOs: Outright purchases or sales of securities for the SOMA.
  • Temporary OMOs: Repurchase agreements (repos) and reverse repos.
• The FRBNY has expanded the types of counterparties for some OMOs to include entities other than primary dealers.

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: Details on the Dodd-Frank Act's transparency requirements and related provisions.

Tables and Figures

• Table 1: Summary of the Federal Reserve System's assets, liabilities, and capital.
• Figure 1: Illustrates the levels of selected Federal Reserve assets, liabilities, and credit extended through liquidity facilities since 2007.
• Table 2: Breakdown of the Domestic SOMA securities holdings.
• Table 3: Amounts outstanding under dollar liquidity swaps.
• Table 4: Discount window credit outstanding to depository institutions.
• Table 5: Concentration of discount window credit outstanding to depository institutions.
• Table 6: Lendable value of collateral pledged by borrowing depository institutions.
• Table 7: Lendable value of securities pledged by depository institutions by rating.
• Table 8: Discount window credit outstanding to borrowing depository institutions—percent of collateral used.
• Table 9: TALF: Number of borrowers and loans outstanding.
• Table 10: TALF collateral by underlying loan type.
• Table 11: TALF collateral by rating.
• Table 12A–C: Issuers of non-CMBS, newly issued CMBS, and legacy CMBS that collateralize outstanding TALF loans.
• Table 13–21: Details on the portfolio composition, cash, and other assets and liabilities for Maiden Lane LLC, II, and III.
• Figure 2–3: Visual representations of securities distribution for Maiden Lane LLC series.
• Table 22–25: Financial summaries for the Federal Reserve Banks, including income, capital, and VIEs.

Summary of Key Policies and Operations

• The Federal Reserve continues to prioritize financial stability and market liquidity.
• It has wound down most of its crisis-related programs over the past three years.
• The report emphasizes transparency and accountability, including detailed portfolio holdings and transaction-level data.
• The Federal Reserve is transitioning to quarterly financial reporting to streamline its disclosures.
• The maturity extension program and reinvestment policies are key components of the Federal Reserve's strategy to manage its balance sheet and support market conditions.