FEDERAL RESERVE statistical relea
H.4.1
Factors Affecting Rerve Balances of Depository Institutions and
Condition Statement of Federal Rerve Banks
December 27, 2012 1. Factors Affecting Rerve Balances of Depository Institutions
Millions of dollars
Averages of daily figures
Week ended
Dec 26, 2012Dec 19, 2012Dec 28, 2011
Wednesday Dec 26, 2012
Rerve Bank credit 2,905,205+ 5,495- 14,840 2,889,644 Securities held outright1 2,674,860+ 5,914+ 51,064 2,660,271 U.S. Treasury curities 1,656,666- 3,033- 14,778 1,656,930 Bills2 0 0- 18,423 0 Notes and bonds, nominal2 1,570,986- 3,025- 3,939 1,571,252 Notes and bonds, inflation-indexed2 74,740 0+ 6,272 74,740 Inflation compensation3 10,941- 7+ 1,313 10,938 Federal agency debt curities2 77,140- 2,143- 27,456 76,783 Mortgage-backed curities4 941,054+ 11,090+ 93,298 926,558 Repurcha agreements5 0 0 0 0 Loans 640- 199- 8,468 613 Primary credit 17+ 5+ 5 26 Secondary credit 0 0- 1 0 Seasonal credit 30+ 7+ 4 30 Term Ast-Backed Securities Loan Facility6 593- 210- 8,476 558 Other credit extensions 0 0 0 0 Net portfolio holdings of Maiden Lane LLC7 1,428- 5- 5,806 1,412 Net portfolio holdings of Maiden Lane II LLC8 61 0- 9,188 61 Net portfolio holdings of Maiden Lane III LLC9 22 0- 17,712 22 Net portfolio holdings of TALF LLC10 856 0+ 45 856 Float -644+ 120+ 10 -683 Central bank liquidity swaps11 8,889- 2,660- 90,934 8,889 Other Federal Rerve asts12 219,092+ 2,324+ 66,147 218,201 Gold stock 11,041 0 0 11,041 Special drawing rights certificate account 5,200 0 0 5,200 Treasury currency outstanding13 44,803+ 14+ 610 44,803
2,966,249+ 5,509- 14,231 2,950,688 Note: Components may not sum to totals becau of rounding. Footnotes appear at the end of the table.
1. Factors Affecting Rerve Balances of Depository Institutions (continued) Millions of dollars
Averages of daily figures
Week ended
Dec 26, 2012Dec 19, 2012Dec 28, 2011
Wednesday Dec 26, 2012
Currency in circulation13 1,163,598+ 6,846+ 90,009 1,167,122 Rever repurcha agreements14 101,360- 2,822+ 10,517 99,853 Foreign official and international accounts 101,360- 2,822+ 10,517 99,853 Others 0 0 0 0 Treasury cash holdings 148+ 4+ 27 150 Deposits with F.R. Banks, other than rerve balances 128,932+ 15,031- 79,871 84,570 Term deposits held by depository institutions 0 0 0 0 U.S. Treasury, General Account 55,563+ 577- 43,089 55,679 Foreign official 6,163+ 156+ 5,985 6,163 Service-related 0 0- 2,488 0 Required clearing balances 0 0-
2,488 0 Adjustments to compensate for float 0 0 0 0 Other 67,206+ 14,298- 40,278 22,729 Other liabilities and capital15 68,730+ 188- 4,259 66,343
1,462,767+ 19,246+ 16,423 1,418,037
1,503,482- 13,738- 30,653 1,532,651 Note: Components may not sum to totals becau of rounding.
1.Includes curities lent to dealers under the overnight curities lending facility; refer to table 1A.再教育
2.Face value of the curities.
3.Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed curities.
4.Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value of the curities, which is the remaining principal balance of
the underlying mortgages.
5.Cash value of agreements.
6.Includes credit extended by the Federal Rerve Bank of New York to eligible borrowers through the Term Ast-Backed Securities Loan Facility.
7.Refer to table 4 and the note on consolidation accompanying table 9.
8.Refer to table 5 and the note on consolidation accompanying table 9.
9.Refer to table 6 and the note on consolidation accompanying table 9.
10.Refer to table 7 and the note on consolidation accompanying table 9.
11.Dollar value of foreign currency held under the agreements valued at the exchange rate to be ud when the foreign currency is returned
to the foreign central bank. This exchange rate equals the market exchange rate ud when the foreign currency was acquired from the
foreign central bank.
12.Includes other asts denominated in foreign currencies, which are revalued daily at market exchange rates, and the fair value adjustment
to credit extended by the FRBNY to eligible borrowers through the Term Ast-Backed Securities Loan Facility.
13.Estimated.
14.Cash value of agreements, which are collateralized by U.S. Treasury curities, federal agency debt curities, and mortgage-backed curities.
15.Includes the liabilities of Maiden Lane LLC, Maiden Lane II LLC, Maiden Lane III LLC, and TALF LLC to entities other than the Federal Rerve
Bank of New York, including liabilities that have recour only to the portfolio holdings of the LLCs. Refer to table 4 through table 7 and the note on consolidation accompanying table 9. Also includes the liability for interest on Federal Rerve notes due to U.S. Treasury. Refer to table 8 and table 9.
Sources: Federal Rerve Banks and the U.S. Department of the Treasury.
1A. Memorandum Items Millions of dollars
Averages of daily figures
Week ended
Dec 26, 2012Dec 19, 2012Dec 28, 2011
Wednesday Dec 26, 2012
Securities held in custody for foreign official and international
accounts 3,236,361+ 6,082+ 186,777 3,238,440 Marketable U.S. Treasury curities1 2,887,591+ 9,230+ 278,585 2,891,366 Federal agency debt and mortgage-backed curities2 312,758- 3,251- 93,034 311,053 Other curities3 36,011+ 102+ 1,226 36,020 Securities lent to dealers 8,671+ 2,790- 7,573 9,346 Overnight facility4 8,671+ 2,790- 7,573 9,346 U.S. Treasury curities 7,957+ 2,849- 7,036 8,629 Federal agency debt curities 714- 59- 537 717 Note: Components may not sum to totals becau of rounding.
1.Includes curities and U.S. Treasury STRIPS at face value, and inflation compensation on TIPS. Does not include curities pledged as collateral
to foreign official and international account holders against rever repurcha agreements with the Federal Rerve prented in tables 1, 8, and 9. 2.Face value of federal agency curities and curre
nt face value of mortgage-backed curities, which is the remaining principal balance of the
underlying mortgages.
3.Includes non-marketable U.S. Treasury curities, supranationals, corporate bonds, ast-backed curities, and commercial paper at face value.
4.Face value. Fully collateralized by U.S. Treasury curities.
2. Maturity Distribution of Securities, Loans, and Selected Other Asts and Liabilities, December 26, 2012 Millions of dollars
Remaining Maturity Within 15
days
16 days to
90 days
91 days to
1 year
Over 1 year
to 5 years
Over 5 year
to 10 years
Over 10coleman
years
All
Loans1 56 51 0 506 0 (613)
U.S. Treasury curities2
382 4 16 365,270 866,016 425,241 1,656,930 Weekly changes 0 0 0- 7,422- 2+ 5,502- 1,921 Federal agency debt curities3
422 3,938 15,202 52,830 2,044 2,347 76,783 Weekly changes- 2,078- 13- 409 0 0 0- 2,500 Mortgage-backed curities4
0 0 2 1 2,358 924,197 926,558
Weekly changes 0 0- 1 0+ 78- 6,910- 6,833 Ast-backed curities held by
TALF LLC5 0 0 0 0 0 0 0 Repurcha agreements6 0 0 0
Central bank liquidity swaps7 1,742 7,147 0 0 0 0 8,889
99,853 0............ 99,853 Term deposits 0 0 0 0
Note: Components may not sum to totals becau of rounding.
...Not applicable.
1.Excludes the loans from the Federal Rerve Bank of New York (FRBNY) to Maiden Lane LLC, Maiden Lane II LLC, Maiden
Lane III LLC, and TALF LLC. The loans were eliminated when preparing the FRBNY’s statement of c
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ondition consistent with consolidation
under generally accepted accounting principles.
2.Face value. For inflation-indexed curities, includes the original face value and compensation that adjusts for the effect of inflation on the
original face value of such curities.
3.Face value.
4.Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value of the curities, which is the remaining principal balance of the
underlying mortgages.
5.Face value of ast-backed curities held by TALF LLC, which is the remaining principal balance of the underlying asts.
6.Cash value of agreements.
7.Dollar value of foreign currency held under the agreements valued at the exchange rate to be ud when the foreign currency is returned to
the foreign central bank. This exchange rate equals the market exchange rate ud when the foreign currency was acquired from the foreign central bank.
3. Supplemental Information on Mortgage-Backed Securities
Millions of dollars
Wednesday
Account name
尺子英文Dec 26, 2012
Mortgage-backed curities held outright1 926,558
Commitments to buy mortgage-backed curities2 106,935 Commitments to ll mortgage-backed curities2 0
Cash and cash equivalents3 125
1.Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. Current face value of the curities, which is the remaining principal balance of the
underlying mortgages.
2.Current face value. Generally ttle within 180 days and include commitments associated with outright transactions, dollar rolls, and coupon swaps.
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3.This amount is included in other Federal Rerve asts in table 1 and in other asts in table 8 and table 9.
4. Information on Principal Accounts of Maiden Lane LLC
Millions of dollars
Wednesday
Account name
Dec 26, 2012
Net portfolio holdings of Maiden Lane LLC1 1,412
Outstanding principal amount of loan extended by the Federal Rerve Bank of New York2 0
Accrued interest payable to the Federal Rerve Bank of New York2 0 Outstanding principal amount and accrued interest on loan payable to JPMorgan Cha & Co.3 0
1.Fair value. Fair value reflects an estimate of the price that would be received upon lling an ast if the transaction were to be conducted in an
orderly market on the measurement date. Revalued quarterly. This table reflects valuations as of September 30, 2012. Any asts purchad after this valuation date are initially recorded at cost until their estimated fair value as of the purcha date becomes available.
2.Book value. This amount was eliminated when preparing the Federal Rerve Bank of New York’s statement of condition consistent with
consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 9.
3.Book value. The fair value of the obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in
table 8 and table 9.
Note: On June 26, 2008, the Federal Rerve Bank of New York (FRBNY) extended credit to Maiden Lane LLC under the authority of ction 13(3) of the Federal Rerve Act. This limited liability company was formed to acquire certain asts of Bear Stearns and to manage tho asts through time to maximize repayment of the credit extended and to minimize disruption to financial markets. Payments by Maiden Lane LLC from the proceeds of the net portfolio holdings will be made in the following order: operating expens of the LLC, principal due to the FRBNY, interest due to the FRBNY, principal due to JPMorgan Cha & Co., and interest due to JPMorgan Cha & Co. Any remaining funds will be paid to the FRBNY.
5. Information on Principal Accounts of Maiden Lane II LLC
Millions of dollars
Wednesday
Account name
Dec 26, 2012
Net portfolio holdings of Maiden Lane II LLC1 61
Outstanding principal amount of loan extended by the Federal Rerve Bank of New York2 0
Accrued interest payable to the Federal Rerve Bank of New York2 0
Deferred payment and accrued interest payable to subsidiaries of American International Group, Inc.3 0
1.Fair value. Fair value reflects an estimate of the price that would be received upon lling an ast if the transaction were to be conducted in an
orderly market on the measurement date. Revalued quarterly. This table reflects valuations as of September 30, 2012. Any asts purchad after this valuation date are initially recorded at cost until their estimated fair value as of the purcha date becomes available.
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2.Book value. This amount was eliminated when preparing the Federal Rerve Bank of New York’s statement of condition consistent with
consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 9.
3.Book value. The deferred payment reprents the portion of the proceeds of the net portfolio holdings due to subsidiaries of American
International Group, Inc. in accordance with the ast purcha agreement. The fair value of this payment and accrued interest payable are included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in table 8 and table 9.
Note: On December 12, 2008, the Federal Rerve Bank of New York (FRBNY) began extending credit to Maiden Lane II LLC under the authority of ction 13(3) of the Federal Rerve Act. This limited liability company was formed to purcha residential mortgage-backed curities from the U.S. curities lending reinvestment portfolio of subsidiaries of American International Group, Inc. (AIG subsidiaries). Payments by Maiden Lane II LLC from the proceeds of the net portfolio holdings will be made in the following order: operating expens of Maiden Lane II LLC, principal due to the Frecite
RBNY, interest due to the FRBNY, and deferred payment and interest due to AIG subsidiaries. Any remaining funds will be shared by the FRBNY and AIG subsidiaries.
6. Information on Principal Accounts of Maiden Lane III LLC
Millions of dollars
Wednesday
Account name
Dec 26, 2012
Net portfolio holdings of Maiden Lane III LLC1 22
Outstanding principal amount of loan extended by the Federal Rerve Bank of New York2 0
Accrued interest payable to the Federal Rerve Bank of New York2 0
Outstanding principal amount and accrued interest on loan payable to American International Group, Inc.3 0
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1.Fair value. Fair value reflects an estimate of the price that would be received upon lling an ast if the transaction were to be conducted in an
orderly market on the measurement date. Revalued quarterly. This table reflects valuations as of September 30, 2012. Any asts purchad after this valuation date are initially recorded at cost until their estimated fair value as of the purcha date becomes available.
2.Book value. This amount was eliminated when preparing the Federal Rerve Bank of New York’s statement of condition consistent with
consolidation under generally accepted accounting principles. Refer to the note on consolidation accompanying table 9.
3.Book value. The fair value of the obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in
table 8 and table 9.
Note: On November 25, 2008, the Federal Rerve Bank of New York (FRBNY) began extending credit to Maiden Lane III LLC under the authority of
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ction 13(3) of the Federal Rerve Act. This limited liability company was formed to purcha multi-ctor collateralized debt obligations (CDOs) on
which the Financial Products group of American International Group, Inc. (AIG) has written credit default swap (CDS) contracts. In connection with the purcha of CDOs, the CDS counterparties will concurrently unwind the related CDS transactions. Payments by Maiden Lane III LLC from the proceeds
of the net portfolio holdings will be made in the following order: operating expens of Maiden Lane III LLC, principal due to the FRBNY, interest due to
the FRBNY, principal due to AIG, and interest due to AIG. Any remaining funds will be shared by the FRBNY and AIG.
7. Information on Principal Accounts of TALF LLC
purposMillions of dollars
Wednesday
Account name
Dec 26, 2012
Ast-backed curities holdings1 0
Other investments, net 856
Net portfolio holdings of TALF LLC 856
Outstanding principal amount of loan extended by the Federal Rerve Bank of New York2 0
Accrued interest payable to the Federal Rerve Bank of New York2 0
Funding provided by U.S. Treasury to TALF LLC, including accrued interest payable3 113
1.Fair value. Fair value reflects an estimate of the price that would be received upon lling an ast if the transaction were to be conducted in an orderly
market on the measurement date.
2.Book value. This amount was eliminated when preparing the Federal Rerve Bank of New York’s statement of condition consistent with consolidation
under generally accepted accounting principles. Refer to the note on consolidation accompanying table 9.
3.Book value. The fair value of the obligations is included in other liabilities and capital in table 1 and in other liabilities and accrued dividends in table 8
and table 9.
Note: On November 25, 2008, the Federal Rerve announced the creation of the Term Ast-Backed Securities Loan Facility (TALF) under the authority of ction 13(3) of the Federal Rerve Act. The TALF is a facility under which the Federal Rerve Bank of New York (FRBNY) extends loans with a term of up to five years to holders of eligible ast-backed curities. The TALF is intended to assist financial markets in accommodating the credit needs of consumers and business by facilitating the issuance of ast-backed curities collateralized by a variety of consumer and business loans. The loans provided through the TALF to eligible borrowers are non-recour, meaning that the obligation of the borrower can be discharged by surrendering the collateral to the FRBNY. The loans are extended for the market value of the curity less an amount known as a haircut. As a result, the borrower bears the initial risk of a decline in the value of the curity.
TALF LLC is a limited liability company formed to purcha and manage any ast-backed curities received by the FRBNY in connection with the decision of a borrower not to repay a TALF loan. TALF LLC has committed, for a fee, to purcha all ast-backed curities received by the FRBNY in conjunction with a TALF loan at a price equal to the TALF loan plus accrued but unpaid interest. Loss on ast-backed curities held by TALF LLC will be offt in the following order: by the commitment fees collected by TALF LLC, by the interest received on investments of TALF LLC, by up to $1.4 billion in subordinated
debt funding provided by the U.S. Treasury, and finally, by nior debt funding provided by the FRBNY. Payments by TALF LLC from the proceeds of its net portfolio holdings will be made in the following order: operating expens of TALF LLC, principal due to the FRBNY, principal due to the U.S. Treasury, interest due to the FRBNY, and interest due to the U.S. Treasury. Any remaining funds will be shared by the FRBNY and the U.S. Treasury.
