Cast your minds back to 2007, 2008 and 2009 — and think hard.
You’ll need to. The Federal Reserve has just released the mother-of-all data dumps — showing who received payouts from its circa $3,000bn bailout programmes, how much and against what collateral. The release is part of the US central bank’s response to Dodd-Frank, which requires the Fed to reveal borrowers in its emergency facilities after a two-year delay. It does, however, exclude the revelation of who used the Fed’s discount window.
Without further ado then — click here to get the Fed data.
And continue on for our guide to reading the figures, and remembering the circa-10 programmes involved here.
First up is the Fed’s MBS-buying.
Agency Mortgage-Backed Securities Program – This is one of the big ones. The US central bank bought $1,250bn worth of GSE MBS between January 2009 and March 2010, in an effort to lubricate conditions in the US housing market and spur a recovery.
The purchasing was done mostly through external investment managers — with the Fed buying on the secondary market on a daily basis, with primary dealers as counterparties. It wasn’t until March 2010 that the Fed began to use in-house staff for its purchases.
The Fed’s MBS data therefore includes the names of the investment managers used for each transaction, the primary dealer, prices, bond Cusips, trade dates, amounts, etc.
The Term Auction Facility — The TAF was started in late 2007 as a way for the US central bank to help short-term liquidity among commercial banks. The Fed would auction off short-term loans to banks — in exchange for a very wide variety of collateral — and only for those that were judged to be “financially sound” by their local Fed branches. At the time, the auction format was deemed less ‘stigmatic’ than borrowing directly from the Fed’s discount window, but plenty of commenters suspected banks would still only be using the kind of collateral for the TAF that they couldn’t find buyers for in the private market.
The Fed’s TAF data therefore includes the Federal Reserve district where the lending took place, the name of the borrowing institution, the loan amount, the loan’s interest rate, and type of collateral. The “unencumbered collateral” bit is the actual lendable value of TAF borrower’s discount window collateral, after margin requirements/haircuts.
Central Bank Liquidity Swap Lines – Remember these? Back in 2007 the Fed began providing both dollar liquidity and foreign-currency liquidity lines with other central banks, to combat the great dollar shortage.
The way it would work (and we’re paraphrasing the Fed here) is … a foreign central bank would draw on its swap line by selling a specified amount of its own currency to the Fed in exchange for dollars at the prevailing market exchange rate. The Fed would then hold the foreign currency in an account at the foreign central bank. The dollars that the Fed would provide would then be deposited in an account that the foreign central bank maintained at the FRBNY. At the same time, the Fed and the other, foreign, central bank would enter into a binding agreement for a second transaction, sometime in the future, that would obligate the foreign central bank to buy back its currency at the same exchange rate.
Phew. The Fed data therefore includes the central bank counter-party, the tenor of the swap (number of days outstanding), the settlement date (when the USDs were extended to the foreign central bank) and the maturity date (the date when the USDs were due to return to the Fed, and foreign FX was due to return to the foreign central bank). Interest and exchange rates are also included.
Primary Dealer Credit Facility – The PDCF is a fun one. Initiated in March 2008, in response to troubles at Bear Stearns and the seizing-up of money markets, the PDCF basically allowed primary dealers (the Fed’s official ‘trading partners’) to borrow from the central bank in return for posting (initially) only investment-grade collateral. Banks — including Lehman Brothers – we now know, created phantom securities specifically for use at the facility. The PDCF also (interestingly) used a triparty repo structure for the borrowings, with clearing banks actually valuing the the collateral pledged by financials to the Fed and selecting what they deemed to be appropriate margin requirements for it.
The Fed data therefore includes the name of the primary dealer that borrowed from the facility, the loan amount, the interest rate charged, and the type and market value of the collateral posted (before haircuts) and crucially (we think) the credit rating of the collateral posted.
Term Securities Lending Facility and the TSLF Options Program – TSLF and TOP may have slipped your minds. The Fed created the TSLF in March 2008 as a way to ease conditions for primary dealers. Under the TSLF, the Fed would lend US Treasuries to the dealers for 28-day terms and in exchange for pledging Treasury and Agency securities. The range of collateral was later broadened to include other investment-grade stuff. TOP was added as a way of further enhancing the TSLF, offering “options on a short-term fixed rate of [TSLF] bond-for-bond loan of general Treasury collateral against a pledge of eligible collateral,” according to the Fed.
The Fed data for the TSLF therefore includes the type of collateral pledged (Schedule 1 = collateral accepted for triparty repurchases arranged by the Open Market Trading Desk, and Schedule 2 = other investment-grade collateral like MBS or ABS), borrower name, lending fee, market value of the loan, par value of the loan, etc. Credit rating info is also provided.
Commercial Paper Funding Facility – The CPFF is another interesting one. It was started in October 2008 as a way to ease corporate credit conditions and help out money market funds. The way it worked was: the US would basically backstop active and American issuers of commercial paper (CP) through a special purpose vehicle (SPV) that would buy eligible three-month unsecured and asset-backed CP from issuers, using financing provided by the FRBNY. Pimco famously managed the facility.
The Fed date therefore includes the commercial paper purchased, the discount rate at which it was purchased, the credit enhancement surcharge (a fee paid up front on each sale of commercial paper to the CPFF SPV, though it could be avoided), and basics like the issuer name or the relevant sponsor.
Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility – What a mouthful. Similar to the CPFF, the AMLF was intended to help boost liquidity for asset-backed commercial paper (ABCP) back in 2008. US financials could borrow funds from the AMLF in order to buy eligible ABCP from a money market mutual fund, under certain conditions.
The Fed data therefore includes the name of the borrower, the loan amount, maturity date, interest rate, Cusips, and also the name of the money market fund from which ABCP was bought by the borrower. ABCP amortised cost is also included.
Term Asset-Backed Securities Loan Facility – The TALF is another FT Alphaville favourite. The programme saw the Fed support the ABS market by lending to holders of various types of ABS. Specifically, the Fed would lend an amount equal to the market value of the ABS minus a haircut and secured by the ABS itself. ABS accepted under the programme was also meant to meet what the central bank deemed ‘stressed’ value estimates.
The Fed data therefore includes a numeric identifier for each loan, the name of the borrower, loan amount, interest rate, initial collateral market value, Cusips, type of collateral, and material investors (name of companies/people who owned 10 per cent or more interest in any class of securities of a borrower).
Maiden Lane — The rest of the data looks at the Fed’s Maiden Lane I, II and II portfolios — or the vehicles created by the central bank to house the assets it acquired in the course of rescuing Bear Stearns (I) and AIG (II and III). The value of the Maiden Lane portfolios has already been the subject of intense scrutiny and some Freedom of Information requests.
The Fed date therefore includes collateral by asset type, principal balances, interest rates, distribution by credit rating, and the like.
Go forth and spreadsheet.