Court filing
Periodic Report: Update on Outstanding Lending Facilities — February 8, 2021
Record facts
| Court | Board of Governors of the Federal Reserve System |
|---|---|
| Filed | 2021-02-08 |
Summary
A periodic report of the Board of Governors of the Federal Reserve System dated February 8, 2021, updating the Senate Banking Committee and House Financial Services Committee on lending facilities established under section 13(3) of the Federal Reserve Act (12 U.S.C. § 343). For each facility it reports, as of January 31, 2021, outstanding loans, collateral pledged and interest, fees and other revenue received. The Paycheck Protection Program Liquidity Facility section reports outstanding advances of $46,520,183,981 and revenue of $155,930,752. Other sections cover the PDCF, CPFF, MMLF, corporate credit facilities, TALF, MLF and the Main Street Lending Program, which reports FRBB loans to its SPV of $16,584,666,843. For each facility the Board states it continues to expect no losses to the Federal Reserve, and it refers to attached spreadsheets of transaction-specific disclosures.
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Periodic Report: Update on Outstanding Lending Facilities
Authorized by the Board under Section 13(3) of the Federal Reserve Act
February 8, 2021
Overview
The Board of Governors of the Federal Reserve System (Board) is providing
the following updates concerning certain lending facilities established by the Board
under section 13(3) of the Federal Reserve Act (12 U.S.C. § 343). Pursuant to
section 13(3)(C) of the Federal Reserve Act, the Board must provide the
Committee on Banking, Housing, and Urban Affairs of the Senate and the
Committee on Financial Services of the House of Representatives (the
Committees) an initial report regarding each facility established under
section 13(3) and periodic updates at least every 30 days thereafter. This report
provides the next periodic update on the Primary Dealer Credit Facility (PDCF),
the Money Market Mutual Fund Liquidity Facility (MMLF), the Commercial
Paper Funding Facility (CPFF), the Primary Market Corporate Credit Facility
(PMCCF), the Secondary Market Corporate Credit Facility (SMCCF), the Term
Asset-Backed Securities Loan Facility (TALF), the Municipal Liquidity Facility
(MLF), the Paycheck Protection Program Liquidity Facility (PPPLF), the Main
Street New Loan Facility (MSNLF), the Main Street Expanded Loan Facility
(MSELF), the Main Street Priority Loan Facility (MSPLF), the Nonprofit
Organization New Loan Facility (NONLF), and the Nonprofit Organization
Expanded Loan Facility (NOELF). The Board will provide periodic updates
concerning these facilities at least every 30 days, in accordance with section 13(3)
of the Federal Reserve Act.1
A. Primary Dealer Credit Facility
On March 17, 2020, the Board authorized the Federal Reserve Bank of
New York (FRBNY) to establish and operate the PDCF. The PDCF is a term
loan facility that provides funding to primary dealers in exchange for a broad
range of collateral and is intended to foster the functioning of financial markets
1 The PMCCF, SMCCF, MLF, and TALF ceased extending credit on December 31, 2020. The
MSNLF, MSELF, MSPLF, NONLF, and NOELF ceased purchasing participations in eligible
loans on January 8, 2021. In connection with the termination of these facilities, the Federal
Reserve returned a portion of the Department of the Treasury’s equity investment in each
facility. The return of these funds occurred in early January 2021 and is reflected in the
collateral values for each facility.
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more generally. The facility allows primary dealers to support smooth market
functioning and facilitate the availability of credit to businesses and households.
Additional information concerning the PDCF can be found on the Board’s public
website at https://www.federalreserve.gov/monetarypolicy/pdcf.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBNY’s loans under the
PDCF was $535,000,000.
The total value of the collateral pledged to the FRBNY was
$622,570,390.
The amount of interest, fees, and other revenue or items of value
received by the FRBNY, reported on an accrual basis, was
$12,717,931.
As described in the Board’s initial report to Congress regarding the
PDCF, the PDCF includes features that are intended to mitigate risk
to the Federal Reserve. The Board continues to expect that the
PDCF will not result in losses to the Federal Reserve.
B. Commercial Paper Funding Facility
On March 17, 2020, the Board authorized the FRBNY to establish and
operate the CPFF. The purpose of the CPFF is to provide liquidity to short-term
funding markets. The CPFF provides a liquidity backstop to U.S. issuers of
commercial paper, including municipalities, by purchasing three-month unsecured
and asset-backed commercial paper directly from eligible issuers. Additional
information concerning the CPFF can be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/cpff.htm.
Update. As of January 31, 2021:
The outstanding amount of the FRBNY’s loans to the special purpose
vehicle (SPV) was $0.
The total outstanding amount of the commercial paper held by the
SPV was $0.
The total value of the collateral pledged to secure the FRBNY’s loan
to the SPV was $10,057,578,448.2
The amount of interest, fees, and other revenue or items of value
2 Includes $10 billion equity investment from the Department of the Treasury and interest
earned thereon.
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received by the FRBNY, reported on an accrual basis, was
$1,054,580.
The amount of interest, fees, and other revenue or items of value
received by the SPV, reported on an accrual basis, was $57,034,281.
As described in the Board’s initial report to Congress regarding the
CPFF, the CPFF includes features that are intended to mitigate risk to
the Federal Reserve. The Board continues to expect that the CPFF
will not result in losses to the Federal Reserve.
C. Money Market Mutual Fund Liquidity Facility
On March 18, 2020, the Board authorized the Federal Reserve Bank of
Boston (FRBB) to establish and operate the MMLF. The MMLF provides
funding to U.S. depository institutions and bank holding companies to finance
their purchases of certain types of assets from money market mutual funds under
certain conditions. The program is intended to assist money market mutual funds
that hold such paper in meeting demands for redemptions by investors and to
foster liquidity in the markets for the assets held by money market mutual funds,
including the market for short-term municipal securities. Additional information
concerning the MMLF can be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/mmlf.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBB’s loans under the MMLF
was $1,924,935,894.
The total value of the collateral pledged to secure the FRBB’s loans
was $1,907,154,231. In addition, the Department of the Treasury is
providing $10 billion as credit protection to the FRBB.
The amount of interest, fees, and other revenue or items of value
received by the FRBB, reported on an accrual basis, was
$184,349,579.
As described in the Board’s initial report to Congress regarding the
MMLF, the MMLF includes features that are intended to mitigate
risk to the Federal Reserve. The Board continues to expect that the
MMLF will not result in losses to the Federal Reserve.
D. Corporate Credit Facilities
The Board authorized two facilities to support credit to large employers—
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the PMCCF for new bond and loan issuance and the SMCCF to provide liquidity
for outstanding corporate bonds (together, corporate credit facilities, or the
CCFs). The FRBNY established one SPV to manage and operate the CCFs. The
CCFs ceased purchasing eligible assets on December 31, 2020. This section
provides aggregate information about the CCFs. Additional information about
the CCFs can be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/pmccf.htm and
https://www.federalreserve.gov/monetarypolicy/smccf.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBNY’s loans under the CCFs
was $14,058,380,626.3 All loans were extended under the SMCCF.
The total value of the collateral pledged to secure the FRBNY’s
loans to the SPV was $28,392,464,577.4
The total amount of interest, fees, and other revenue received by the
SPV with respect to the CCFs, reported on an accrual basis, was
$193,296,756.
The total amount of interest, fees, and other revenue or items of
value received by the FRBNY with respect to the CCFs, reported on
an accrual basis, was $8,205,394.
As described in the Board’s initial report to Congress regarding the
CCFs, the CCFs include features that are intended to mitigate risk to
the Federal Reserve. The Board continues to expect that the CCFs
will not result in losses to the Federal Reserve.
Additional transaction-specific disclosures regarding the SMCCF may be
found in the attached spreadsheet (Spreadsheet A). The SMCCF ceased
purchasing eligible assets on December 31, 2020. As a result, information on
the Broad Market Index, which was used to guide bond purchases, is not
provided in Spreadsheet A. No transactions occurred under the PMCCF during
the period it was operational. Accordingly, there are no transaction-specific
3 Loans were extended to the SPV by the FRBNY on the basis of settled securities purchase
transactions.
4 Includes the market value of exchange-traded fund holdings under the SMCCF in the amount
of $8,701,747,203 and the amortized cost of corporate bonds purchased under the SMCCF in the
amount of $5,490,221,413, each of which is the recorded value of transactions that have reached
their contractual settlement date as of January 31, 2021. Also includes equity investment from
the Department of the Treasury and related reinvestment earnings of $13,896,769,618; cash
equivalents of $257,706,982; and interest and other miscellaneous receivables of $46,019,361.
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disclosures for the PMCCF.
E. Term Asset-Backed Securities Loan Facility
On March 22, 2020, the Board authorized the FRBNY to establish and
operate the TALF. Under the TALF, the FRBNY lent to an SPV, which made
loans to U.S. companies secured by certain AAA-rated asset-backed securities
(ABS) backed by recently originated consumer and business loans. The TALF
was intended to support the provision of credit to consumers and businesses by
enabling the issuance of ABS backed by private student loans, auto loans and
leases, consumer and corporate credit card receivables, certain loans guaranteed
by the Small Business Administration, and certain other assets. The TALF ceased
extending credit on December 31, 2020. Additional information about the TALF
can be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/talf.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBNY’s loans to the SPV
under the TALF was $3,381,516,546.5
The total outstanding amount of loans made by the SPV to eligible
borrowers was $2,932,421,633.
The total value of the collateral pledged to secure the FRBNY’s
loans to the SPV was $6,952,856,349.6
The total value of the collateral pledged to secure the SPV’s loans to
eligible borrowers was $3,462,319,295.7
The total amount of interest, fees, and other revenue received by the
SPV with respect to the TALF, reported on an accrual basis, was
$23,269,634.
The total amount of interest, fees, and other revenue or items of
value received by the FRBNY, reported on an accrual basis, was
$1,685,866.
As described in the Board’s initial report to Congress regarding the
TALF, the TALF includes features that are intended to mitigate risk
to the Federal Reserve. The Board continues to expect that the
5 Loans were extended to the SPV by the FRBNY on the loan closing date.
6 Includes $3.5 billion equity investment from the Department of the Treasury and interest
earned thereon.
7 Reflects the estimated market value of the collateral, based on information from third-party
vendors.
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TALF will not result in losses to the Federal Reserve.
Additional transaction-specific disclosures regarding the TALF may be
found in the attached spreadsheet (Spreadsheet B).8
F. Municipal Liquidity Facility
On April 8, 2020, the Board authorized the establishment of the MLF.
The MLF was intended to support lending to state, city, and county governments,
certain multistate entities, and other issuers of municipal securities. The Board
authorized the FRBNY to operate the MLF. The MLF ceased purchasing
eligible notes on December 31, 2020. Additional information about the MLF can
be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/muni.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBNY’s loans to the SPV was
$6,283,000,000.9
The total outstanding amount of the notes held by the SPV was
$6,203,000,000.
The total value of the collateral pledged to secure the FRBNY’s
loans to the SPV was $12,612,987,422.10
The total amount of interest, fees, and other revenue received by the
SPV with respect to the MLF, reported on an accrual basis, was
$51,412,661.
The total amount of interest, fees, and other revenue or items of
value received by the FRBNY, reported on an accrual basis, was
$1,554,376.
As described in the Board’s initial report to Congress regarding the
MLF, the MLF includes features that are intended to mitigate risk to
the Federal Reserve. The Board continues to expect that the MLF
will not result in losses to the Federal Reserve.
8 Transaction-specific disclosures regarding the TALF include the material investors identified
to the Board by TALF agents on or before the as-of date. This information may be updated in
future reports should the Board receive revised material investor information.
9 Loans were extended to the SPV by the FRBNY on the basis of settled note purchase
transactions.
10 Includes $6.3 billion equity investment from the Department of the Treasury and interest
earned thereon.
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Additional transaction-specific disclosures regarding the MLF may be
found in the attached spreadsheet (Spreadsheet C).
G. Paycheck Protection Program Liquidity Facility
On April 8, 2020, the Board authorized each of the 12 Federal Reserve
Banks to establish and operate the PPPLF. The PPPLF offers a source of
liquidity to financial institution lenders that lend to small businesses through the
Small Business Administration’s Paycheck Protection Program. Additional
information about the PPPLF can be found on the Board’s public website at
https://www.federalreserve.gov/monetarypolicy/ppplf.htm.
Update. As of January 31, 2021:
The total outstanding amount of all advances under the PPPLF was
$46,520,183,981.
The total value of the collateral pledged to secure outstanding
advances was $46,520,183,981.
The amount of interest, fees, and other revenue or items of value
received under the facility, reported on an accrual basis, was
$155,930,752.
As described in the Board’s initial report to Congress regarding the
PPPLF, the PPPLF includes features that are intended to mitigate
risk to the Federal Reserve. The Board continues to expect that the
PPPLF will not result in losses to the Federal Reserve.
Additional transaction-specific disclosures regarding the PPPLF may be
found in the attached spreadsheet (Spreadsheet D).
H. Main Street Lending Program
The Board authorized a Main Street Lending Program (MSLP) to support
lending to small and medium-sized businesses and nonprofit organizations that
were in sound financial condition before the onset of the COVID-19 pandemic.
The MSLP includes five facilities: the MSNLF, MSELF, MSPLF, NONLF, and
NOELF. The FRBB established one SPV to manage and operate all five
facilities.
In order to allow more time to process and fund loans that were submitted
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to the MSLP lender portal on or before December 14, 2020, the Board on
December 29, 2020, extended the termination date of the MSLP to January 8,
2021. The extension is consistent with section 1005 of the Consolidated
Appropriations Act and was also approved by the Secretary of the Treasury. The
MSLP ceased purchasing participations in eligible loans on January 8, 2021;
purchases made after December 31, 2020, until January 8, 2021, were limited to
participations in eligible loans initially submitted to the MSLP lender portal on or
before December 14, 2020.
This periodic update provides aggregate information about the MSLP and
transaction-level disclosures about the MSNLF, MSELF, MSPLF, and NONLF.
Additional information about the MSLP can be found on the Board’s public
website at https://www.federalreserve.gov/monetarypolicy/mainstreetlending.htm.
Update. As of January 31, 2021:
The total outstanding amount of the FRBB’s loans to the SPV under
the MSLP was $16,584,666,843.11
The total value of the collateral pledged to secure the FRBB’s loans
to the SPV was $33,305,176,256.12
The total amount of interest, fees, and other revenue received by the
SPV with respect to the MSLP, reported on an accrual basis, was
$122,957,378. This comprises $14,489,741 received on
commingled investments of the MSLP, such as the equity
investment from the Department of the Treasury, and amounts
received of $19,471,615 under the MSNLF; $12,089,134 under the
MSELF; $76,684,146 under the MSPLF; and $222,742 under the
NONLF related to separately identifiable assets and accounts of the
facilities.
The total amount of interest, fees, and other revenue or items of
value received by the FRBB, reported on an accrual basis, was
11 Loans were extended to the SPV by the FRBB on the basis of settled transactions.
12 Includes the amortized cost of participations, net of allowance, if any, purchased under the
MSNLF in the amount of $2,522,402,009; purchased under the MSELF in the amount of
$1,715,694,129; purchased under the MSPLF in the amount of $12,174,591,219; and purchased
under the NONLF in the amount of $35,760,674. No participations were purchased under the
NOELF. Also includes equity investment from the Department of the Treasury and related
reinvestment earnings of $16,586,544,452; cash equivalents of $189,220,905; and interest and
other receivables of $80,962,868. The total collateral value reflects the inclusion of an
allowance for loan losses in alignment with generally accepted accounting principles. See infra,
n.13.
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$3,129,714.
As described in the Board’s initial reports to Congress regarding the
MSNLF, MSELF, MSPLF, NONLF, and NOELF, the MSLP
includes features that are intended to mitigate risk to the Federal
Reserve. The Board continues to expect that the MSLP will not
result in losses to the Federal Reserve.13
Additional transaction-specific disclosures regarding the MSLP may be
found in the attached spreadsheet (Spreadsheet E).
13 The evaluation of loan participations purchased by the MSLP resulted in the SPV recording a
loan loss allowance in the amount of $96 million as of September 30, 2020. The allowance for
loan losses is estimated based upon the MSLP’s holdings as of September 30, 2020, and does not
indicate actual losses experienced by the program. The estimated allowance for loan losses for
the MSLP will be updated on a quarterly basis. An updated allowance, as of December 31,
2020, is expected to be reflected in the next report.File and source
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