Tracking the Fed Balance Sheet

The aspects of the Fed’s balance sheet that we track weekly (see The Fed’s Balance Sheet) are shown here in a snapshot view and below in some detail. The snapshot is a visual indication of the week-over-week (wow) and year-over-year (yoy) changes in dollar value shown in Table 8 of the H.4.1 statistical release. We also can track activity through the weekly New York Fed System Open Market Account Holdings.

Aug 7, 2014 (Millions) WOW
Change
YOY
Change
Total assets (size of balance sheet WALCL)  + 3,474 + 824,752
Gold certificate account (WGCAL)  0  0
U.S. Treasury securities (WSHOSNB)  + 2,280  + 832,196
Federal agency debt securities (GSE) (WSHOFDSL)  0 – 24,394
Mortgage-backed securities (MBS) (WSHOMCB)  0  + 427,399
Central bank liquidity swaps (see WACBS)  0  – 1,404
Federal Reserve notes, net of F.R. Bank holdings (WCURCIR)  + 2,493 + 87,549
Other deposits held by depository institutions (WRESBAL)
 + 3,608  + 628,424
U.S. Treasury, General Account (WLTGAL) – 799  + 6,645
Other (deposits) (WLDOL)  – 3,265  – 17,227

This is the first update since May. We are not actively tracking it any more.

Although the balance sheet is still growing the rate of growth is decreasing due to the “Taper”. When QE purchases are finished in Sept. or Oct. it will be interesting to watch the balance sheet to see whether the Fed allows it to shrink by normal maturation of assets or whether the Fed rolls maturing assets over.


this area under construction

In particular, the Central bank liquidity swaps line gives us insight into the global monetary system. These swaps with other central banks reveal what countries may be having liquidity problems in their banking sectors. FRED shows it as (WALCL):

The Total factors supplying reserve funds line gives us a picture of the Fed’s activity with respect to money creation. We have to look elsewhere to see the details in terms of currency and reserve account balances of commercial banks.

For further detail on the counterparties in the swap operations we go to the Federal Reserve Bank of New York (FRBNY) and look at Federal Reserve Foreign Exchange Swap Agreements.

The weekly analyses are shown below. We would note that ECB swap activity tends to occur on the first day of the Fed’s and FRBNY reporting periods so the visibility is delayed a week.

As a note, although we are primarily interested in Fed operations, we may comment on ECB Main Refinancing Operations (MRO) and Longer Term Refinancing Operations (LTRO). For a graphic picture of the Fed’s sheet (and other central banks) see Cumberland Associates website.

  • 20120209
    • From the ECB’s open market operations we see a 7-day currency swap of $4.138 bn which settled yesterday. We also see they initiated a 7-day MRO with their member banks for $109.462 bn the same day.
    • From the FRBNY we see that $10.367 bn in swaps matured while $14.670 bn in new swaps were created. The increase came from additional 84-day swaps with the ECB increasing their position to $85.560 bn. 7-day swaps have been reduced to $3.738 bn.
    • The bank of Japan rolled over 3/4 of their 7-day swaps leaving a balance of $1.572 bn. Japan’s liquidity crisis is over and we will not comment further unless the position balloons again.
    • The Fed’s balance sheet, increased by $3.319 bn. The net currency swap position increased by $4.303 bn. So the entire increase was due to swaps. There was a small net decrease in securities held. The “other” category of assets increased by $4.303 bn.
    • On the liability side of their balance sheet, Federal Reserve notes increased by $8.056 bn.
  • 20120202
    • From the ECB’s open market operations we see a 7-day currency swap of $3.738 bn and a $9.360 bn 84-day swap, both of which settled today. The latter shows up next week on the FRBNY report.
    • From the FRBNY we see that $8.689 bn in swaps matured while $9.972 bn in new swaps were created. The increase came from additional 7-day swaps with the ECB increasing their position by $2.036 bn.
    • We note that the bank of Japan rolled over most of their 7-day swaps for a net decrease in their the balance.
    • The Fed’s balance sheet, increased by $5.382 bn. The net currency swap position increased by $1.283 bn. About 52% of the increase is in the “other” category.
  • 20120126
    • From the FRBNY we see that $8.684 bn in swaps matured while $8.589 bn in new swaps were created. The main activity with the ECB was the rolling over their 7-day swaps and increasing their position by $0.170 bn.
    • The bank of Japan rolled most of their 6-day swaps into 7-day swaps for a small net decrease in position.
    • The Fed’s balance sheet, increased by $0.118 bn. The net currency swap position decreased by $0.095 bn.
  • 20120119
    • From the FRBNY we see that $9.433 bn in swaps matured while $21.240 bn in new swaps were created. The main activity with the ECB was the rolling over of most of the 7-day swaps maturing.
    • The bank of Japan rolled most of their 6-day swaps into 8-day swaps but took out a new swap line of $12,556 bn 84-day swaps.
    • The Fed’s balance sheet, increased by $20.248 bn. The net currency swap position increased by $11.807 bn. Of the remainder, the largest component was an increase in securities held outright in their portfolio.
  • 20120112
    • From the ECB’s open market operations we see a 7-day currency swap of $5.723 bn that settled today. This will show upon the Fed’s balance sheet and the FRBNY report next week. Also, a $25.515 bn 84-day swap that settled on Jan. 5 is shown.
    • From the FRBNY we see that $43.712 bn in swaps matured while $35.348 bn in new swaps were created. In particular the $25.515 bn swap with the ECB may be viewed as a maturing 7-day swap being rolled out 84 days.
    • We note that the bank of Japan rolled over about 1/3 of their 6-day swaps while closing the balance.
    • The Fed’s balance sheet, decreased by $17.814 bn. This was due to both swaps and securities maturing.
  • 20120105
    • From the ECB’s open market operations we see a 7-day currency swap of $6.15 billion that settled today. This will show upon the Fed’s balance sheet next week.
    • From the FRBNY we see there has been no swap activity this week.
    • The Fed’s balance sheet, decreased by $18.584 billion. This was due to securities maturing.
  • 20111229:
    • From the ECB’s open market operations we see the 7-day currency swap of $5.12 billion that settled  on Dec. 15 has been unwound. This will reduce the Fed’s swap line by this amount. The swap line increase for the week from new transactions with the ECB is a 14-day $33.004 billion swap.
    • From the FRBNY swap agreements we see the Bank of Japan borrowed $9.035 billion in a 15-day swap with the Fed. We may conclude that the problem in Europe is stable or improving but there may be a problem emerging in Japan. The latter bears watching because Japan is off of people’s radar screens at the moment.
    • If we look at the total line of the Fed’s balance sheet, we see it increased by $35.385 billion while the total liquidity swaps increased by $37.224 billion. This means that the entire increase in the Fed’s balance sheet has been due to liquidity swaps and apart from the swaps, the Fed’s balance sheet shrunk by about $2 billion.

Graphical Representations of the Balance Sheet

Charting the Federal Reserve’s Assets – 1915 to 2012

Comments

One curious change in the Fed’s balance sheet’s behavior is the formerly sleepy little deposit account, U.S. Treasury, General Account (Table 8A), which has been going nuts since around September 2008. It coincides with the point that excess reserves of depository institutions started their massive buildup (Quantitative Easing: Facts and Fallacies).

Related Posts

Powered by WordPress | Designed by: photography charlottesville va | Thanks to ppc software, penny auction and larry goins