Chart Pack of Market Monitoring Metrics

Fw: Chart Pack of Market Monitoring Metrics for Fed Facilities 11-14-08 : i tP ar gM i a es
Rita C Proctor to: Chairman's Email R r r Sent by: Marie L Spicer ai ce

11/14/2008 03:19 PM
----- Forwarded by Marie L Spicer/BOARD/FRS on 11/14/2008 03:18 PM ----Warren a ren Hrung /NY/FRS@FR run NY/ FRS@ R Y S 11/14/2008 03:03 PM To Timothy Geithner/NY/FRS@FRS, Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Alejandro LaTorre/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, James White/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 11-14-08
***RESTRICTED F .R.*** TR C D * Contains PDCF and TSLF collateral information t s n F e o a
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Warren B. Hrung Analytical Development Markets Group Federal Reserve Bank of New York (212) 720 - 6054
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Restricted F.R. Fed Facility Utilization Across Institutions-CONFIDENTIAL

TSLF Utilization Across Institutions, #1-20
100% 100%
75% % allotted % allotted

S2 $25.0B S2 $25.0B S2 $2 .12B S2 $7.2 B S2 $16. 3B S2 $25.0B S2 $15. B S2 $21.3B S2 $25.0B S2 $25.0B $75.0B S1 $33.95B S1 $59. 6B S1 $28.77B S1 $ 6.13B S1 $26.9B S1 $36.83B S1 $26.1B S1 $50.8B S1 $28.1B S1
75%
50%
50%
25%
25%
0%
0%
S2 $25 0B S2 $25.0B S2 $35.0B S2 $25.0B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37.5B S1 $37.5B S2 $17.6B $39.25B S1 $26.65B S1 $ 0.85B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37.5B S1 $37.5B S2 $25.0B S2 $35.1B S1
Barclays BofA Morgan Stanley
Citigroup Merrill Lynch Countrywide
Goldman Sachs Lehman Greenwich
JPM BNP Paribas CSFB
UBS Deutsche Other
UBS Deutsche Other
TOP Awards Across Institutions

100%
75% % allotted
50%
25%
0%
8/27/2008 $25B-A 9/10/2008 $25B-A
9/2 /2008 $ 2.77B-E
11/10/2008 $50B-A
A Auction, E Exercise
Citigroup Merrill Lynch Greenwich
Goldman Sachs Lehman Cantor
JPM BNP Paribas Other
UBS Deutsche
19/26

$ Bill
175 150 125 100 75 50 25 0 9/2 9/9 9/16 9/23 9/30 10/7 10/15 10/22
Cantor Deutsche Merrill Lynch
PDCF Utilization since Sept. 2008
$ Bill
175 150 125 100 75 50 25 0
10/29
11/5
11/13
Bank of America CountryWide Goldman Sachs Morgan Stanley
Barclays CSFB JP Morgan UBS
BNP Paribas Daiwa Lehman
Citigroup Dresdner Securities Mizuho
20/26
Restricted F.R. Fed Facility Utilization Within Selected Institutions and 5-year CDS Spreads-CONFIDENTIAL
$ Bill 80
Goldman Sachs Fed Facility Usage and CDS

bps 600
5-yr CDS (RHS)
60
TSLF Sch 2 (LHS)
500
400
TSLF Sch 1 (LHS)
40
ST OMO (LHS) PDCF (LHS)
300
200
20
Average CDS 1/07-7/07 = 30.86 bps (RHS)
100
0 9/2 9/30 10/29
Morgan Stanley Fed Facility Usage and CDS

$ Bill 150
5-yr CDS (RHS) TSLF Sch 2 (LHS) TOP (LHS)
Merrill Lynch Fed Facility Usage and CDS

bps 2400 $ Bill 80
TOP (LHS) 5-yr CDS (RHS) ST OMO (LHS) PDCF (LHS) TSLF Sch 2 (LHS)
bps 600
2000 60 1600
500
100
TSLF Sch 1 (LHS) PDCF (LHS) ST OMO
400
1200
40
300
50
800 20 400 0
200
100
0 9/2 9/30 10/29
0 9/2 9/30 10/29
21/26
$ Bill 80
Citi Fed Facility Usage and CDS

bps 400
5-yr CDS (RHS) PDCF (LHS) TOP (LHS) ST OMO (LHS) TSLF Sch 2 (LHS)
Barclays Fed Facility Usage and CDS

$ Bill 80
5-yr CDS (RHS) PDCF (LHS)
bps 300
250
TOP (LHS)
60
TSLF Sch 1 (LHS)
300
60
200
ST OMO (LHS)
40
200
40
TSLF Sch 2 (LHS) Average CDS 1/07-7/07 = 3.98 bps (RHS)
TSLF Sch 1 (LHS)
150
100 100 20
20
50
0 9/2 9/30 10/29
0 9/2 9/30 10/29
BNP Paribas Fed Facility Usage and CDS

$ Bill 80
5-yr CDS (RHS)
UBS Fed Facility Usage and CDS

bps 150 $ Bill 80
5-yr CDS (RHS)
bps 350 300
60
TSLF Sch 1 (LHS) TSLF Sch 2 (LHS)
60 100 40
PDCF (LHS) Average CDS 1/07-7/07 = 7.08 bps (RHS)
PDCF (LHS)
TSLF Sch 1 (LHS)
250 200
40
TSLF Sch 2 (LHS) ST OMO (LHS) Average CDS Jan'07-Jul'07 = 7.91 bps (RHS)
150 100 50 0
50
TOP (LHS) ST OMO (LHS)
20
20
0 9/2 9/30 10/29
0 9/2 9/30 10/29
22/26
Credit Suisse Fed Facility Usage and CDS

$ Bill 80
TSLF Sch 2 (LHS) 5-yr CDS (RHS) ST OMO (LHS) TSLF Sch 1 (LHS) TSLF Sch 2 (LHS)
Deutsche Fed Facility Usage and CDS

bps 200 $ Bill 80
TSLF Sch 1 (LHS) 5-yr CDS (RHS) ST OMO (LHS)
bps 200
60
150
60
150
TOP (LHS)
40
100
40
Average CDS Jan'07-Jul'07 = 13.04 bps (RHS
100
20
Average CDS Jan'07-Jul'07 = 14.28 bps (RHS)
50
20
50
0 9/2 9/30 10/29
0 9/2 9/30 10/29
$ Bill 80
Bank of America Fed Facility Usage and CDS

bps 250
5-yr CDS (RHS)
Greenwich Fed Facility Usage and CDS

$ Bill 80
bps 350 300

200 60
TOP (LHS)
60 150
5-yr CDS (RHS)
250 200
40
TSLF Sch 2 (LHS) TSLF Sch 1 (LHS) PDCF (LHS)
40 100 20 50 50
150 100
20
0 9/2 9/30 10/29
0 9/2 9/30 10/29
23/26
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Rita C Proctor to: R r r Sent by: Marie L Spicer ai ce
Chairman's Email
12/01/2008 03:20 PM
----- Forwarded by Marie L Spicer/BOARD/FRS on 12/01/2008 03:19 PM ----Warren a ren Hrung/NY/FRS@FR run Y R S 12/01/2008 03:17 PM To Timothy Geithner/NY/FRS@FRS, Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Alejandro LaTorre/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, James White/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 12-1-08
***RESTRICTED F .R.*** TR C D * Contains PDCF and TSLF collateral information t s n F e o a
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Warren B. Hrung Analytical Development Markets Group Federal Reserve Bank of New York (212) 720 - 6054
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100%
100%
75% % allotted
% allotted
75%
50%
50%
25%
25%
0%
0%
S2 $25.0B S2 $25.0B S2 $2 .12B S2 $7.2 B S2 $16. 3B S2 $25.0B S2 $15. B S2 $21.3B S2 $25.0B S2 $25.0B $75.0B S1 $33.95B S1 $59. 6B S1 $28.77B S1 $ 6.13B S1 $26.9B S1 $36.83B S1 $26.1B S1 $50.8B S1 $28.1B S1
S2 $25.0B S2 $25.0B S2 $35.0B S2 $25.0B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37.5B S1 $37.5B S2 $17.6B $39.25B S1 $26.65B S1 $ 0.85B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37.5B S1 $37.5B S2 $25.0B S2 $35.1B S1
UBS Deutsche Other
UBS Deutsche Other
TSLF Utilization Across Institutions, #41-present

100%
100%
75% % allotted
% allotted
75%
50%
50%
25%
25%
0%
0%
S2 $32. 5B $37.5B S2 S1 $25.0B
8/27/2008 $25B-A 9/10/2008 $25B-A
9/2 /2008 $ 2.77B-E
11/10/2008 $50B-A
11/25/2008 $8.0 B-E
UBS Deutsche Other
JPM BNP Paribas Other
UBS Deutsche
16/23

NR
$ Bill
175 150 125 100 75 50 25 0 9/2 9/9 9/16 9/23
$ Bill
175 150 125 100 75 50 25 0
9/30
10/7 10/15 10/22 10/29 11/5 11/13 11/20 11/28

BNP Paribas Daiwa Lehman Cantor Deutsche Merrill Lynch Citigroup Dresdner Securities Mizuho
17/23
$ Bill 80

bps 600
5-yr CDS (RHS)
60
500
400
40
ST OMO (LHS) PDCF (LHS)
300
200 20
Average CDS 1/07 7/07 = 30.86 bps (RHS)
100
0 9/2 9/30 10/29 11/28

$ Bill 150
5-yr CDS (RHS) TOP (LHS)

bps 1600 $ Bill 80
bps 600
ST OMO (LHS)
PDCF (LHS)
100
TSLF Sch 2 (LHS) TSLF Sch 1 (LHS) PDCF (LHS) ST OMO (LHS) Average CDS 1/07-7/07 = 32.41 bps (RHS)
1200
60
TSLF Sch 2 (LHS)
500
400
800
40
300
50
400
20
200
100
0 9/2 9/30 10/29 11/28
0 9/2 9/30 10/29 11/28
18/23
$ Bill 80

bps 500
5-yr CDS (RHS) PDCF (LHS) ST OMO (LHS) TSLF Sch 2 (LHS)

$ Bill 80
5-yr CDS (RHS)
bps 300
60
TSLF Sch 1 (LHS)
TOP (LHS)
400 60 300 40 200

TSLF Sch 2 (LHS) Average CDS 1/07-7/07 = 3.98 bps (RHS) PDCF (LHS) TOP (LHS)
250
200
ST OMO (LHS) TSLF Sch 1 (LHS)
40
150
100 20 100
20
50
0 9/2 9/30 10/29 11/28
0 9/2 9/30 10/29 11/28

$ Bill 80
5-yr CDS (RHS)

bps 150 $ Bill 80
5-yr CDS (RHS)
bps 350 300
60
60 100 40
PDCF (LHS) Average CDS 1/07-7/07 = 7.08 bps (RHS) TSLF Sch 2 (LHS) PDCF (LHS) TSLF Sch 1 (LHS)
250 200 150
40
50
20
20
ST OMO (LHS)
100 50 0
0 9/2 9/30 10/29 11/28
0 9/2 9/30 10/29 11/28
19/23

$ Bill 80
TSLF Sch 2 (LHS) 5-yr CDS (RHS) ST OMO (LHS) TSLF Sch 1 (LHS) TSLF Sch 2 (LHS)

bps 200 $ Bill 80
5-yr CDS (RHS) TSLF Sch 1 (LHS) TOP (LHS) ST OMO (LHS)
bps 200
60
150
60
150
40
100
40
100
20
50
20
50
0 9/2 9/30 10/29 11/28
0 9/2 9/30 10/29 11/28
$ Bill 80

bps 250
5-yr CDS (RHS)

$ Bill 80
bps 350 300

200 60
TOP (LHS)
60 150
5-yr CDS (RHS)
250 200
40
Average CDSTSLF Sch 2 (LHS) Jan'07-Jul'07 = 12.49 bps (RHS) PDCF (LHS) TSLF Sch 1 (LHS) ST OMO (LHS)
40 100 20 50 50
150 100
20
0 9/2 9/30 10/29 11/28
0 9/2 9/30 10/29 11/28
20/23
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NR
Rita C Proctor to: R r r
Chairman's Email
12/22/2008 02:52 PM
Warren arren Hrung/NY/FRS@FR run Y R S 12/22/2008 02:40 PM
To Alejandro LaTorre/NY/FRS@FRS, Arthur Angulo/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS, Brian F Madigan/BOARD/FRS@BOARD, Brian Peters/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Christine Cumming/NY/FRS@FRS, Clara M Sheets/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Donald L Kohn/BOARD/FRS@BOARD, Hayley Boesky/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, James White/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, rita.c.proctor@frb.gov, Spence Hilton/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, Timothy Geithner/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, William Dudley/NY/FRS@FRS, YoonHi Greene/NY/FRS@FRS cc Subject Re: Chart Pack of Market Monitoring Metrics for Fed Facilities 12-19-08
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Warren B. Hrung Monetary Projections Markets Group Federal Reserve Bank of New York (212) 720 - 6054 Warren Hrung/NY/FRS
Warren arren Hrung/NY/FRS run Y 12/19/2008 03:00 PM
To Timothy Geithner/NY/FRS@FRS, Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Alejandro LaTorre/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, James White/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS, Clara M Sheets/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 12-19-08
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Warren B. Hrung Monetary Projections Markets Group Federal Reserve Bank of New York (212) 720 - 6054
Rita C Proctor to: R r r
Chairman's Email
01/10/2009 09:29 AM
Karin.Kim Kimbrough @n n y.frb.org f 01/09/2009 07:25 PM
To Timothy.Geithner@ny.frb.org, Christine.Cumming@ny.frb.org, rita.c.proctor@frb.gov, Donald.L.Kohn@frb.gov, Brian.F.Madigan@frb.gov, Meg.McConnell@ny.frb.org, William.Dudley@ny.frb.org, Debby.Perelmuter@ny.frb.org, Patricia.Mosser@ny.frb.org, Spence.Hilton@ny.frb.org, Susan.McLaughlin@ny.frb.org, Brian.Peters@ny.frb.org, Hayley.Boesky@ny.frb.org, Karin.Kimbrough@ny.frb.org, Lorie.Logan@ny.frb.org, Alejandro.LaTorre@ny.frb.org, Chris.Burke@ny.frb.org, Kristin.Mayer@ny.frb.org, Susan.Stiehm@ny.frb.org, Marie.L.Spicer@frb.gov, Arthur.Angulo@ny.frb.org, James.Bergin@ny.frb.org, Til.Schuermann@ny.frb.org, William.BRODOWS@ny.frb.org, Steven.Friedman@ny.frb.org, Anna.Nordstrom@ny.frb.org, Richard.Dzina@ny.frb.org cc YoonHi.Greene@ny.frb.org, Warren.Hrung@ny.frb.org, James.White@ny.frb.org, project.13@ny.frb.org, Audrey.Stern@ny.frb.org, Clara.Sheets@ny.frb.org Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 1-09-09
***RESTRICTED F .R.*** TR C D *
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___________________________ Karin Kimbrough Analytical Development, Markets Group, Federal Reserve Bank of New York Phone 212-720-5431
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100%
100%
75% % allotted
% allotted
75%
50%
50%
25%
25%
0%
0%
S2 $25.0B S2 $25.0B S2 $2 .12B S2 $7.2 B S2 $16. 3B S2 $25.0B S2 $15. B S2 $21 3B S2 $25.0B S2 $25.0B $75.0B S1 $33.95B S1 $59. 6B S1 $28.77B S1 $ 6.13B S1 $26 9B S1 $36.83B S1 $26.1B S1 $50.8B S1 $28.1B S1
S2 $25.0B S2 $25.0B S2 $35.0B S2 $25.0B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37 5B S1 $37.5B S2 $17.6B $39.25B S1 $26.65B S1 $ 0.85B S2 $35.0B S1 $37.5B S2 $25.0B S2 $37.5B S1 $37.5B S2 $25.0B S2 $35.1B S1
UBS Deutsche Other
UBS Deutsche Other
TSLF Utilization Across Institutions, #41-present

100%

100%
75% % allotted
75% % allotted
S2 $32. 5B $37.5B S2 S1 $25.0B $37.5B S2 S2 $26.9B $23.0B S1 S2 $25.7B $29.5B S2 S1 $22 0B $28 8B S2 S2 $15.5B $9.58B S1
50%
50%
25%
25%
0%
0%
8/27 2008 $25B-A 9 10/2008 $25B-A
9/2 /2008 $ 2.77B-E
11/10/2008 $50BA
11/2 /2008 $8.0 B-E
12/1/2008 $50B-A 12/22/2008 $7.0BE
Barclays UBS BNP Paribas Greenwich
Citigroup BofA Deutsche CSFB
Goldman Sachs Merrill Lynch Morgan Stanley Other
JPM Lehman Countrywide Cantor
UBS Deutsche Other
20/27

NR
$ Bill
175 150 125 100 75 50 25 0 9/2 9/16 9/30
$ Bill
175 150 125 100 75 50 25 0
10/15
10/29
BNP Paribas Daiwa Lehman
11/13
11/28
Cantor Deutsche Merrill Lynch
12/12
12/29
Citigroup Dresdner Securities Mizuho
21/27
$ Bill 80

bps 600
5-yr CDS (RHS) ST OMO (LHS) TSLF Sch 2 (LHS)
500
60
TSLF Sch 1 (LHS) PDCF (LHS)
400
40
TOP (LHS)
300
200 20
100
0 9/2 10/7 11/13 12/19

$ Bill 150

bps 1600 $ Bill 80
5-yr CDS (RHS) TOP (LHS) ST OMO (LHS) PDCF (LHS) TSLF Sch 2 (LHS)
bps 600
500
100
PDCF (LHS)
1200
60
400
ST OMO (LHS)
800
40
300
50
400
20
200
100
0 9/2 9/30 10/29 11/28 12/29
0 9/2 9/30 10/29 11/28 12/29
22/27
$ Bill 80

bps 500
5-yr CDS (RHS) PDCF (LHS)

$ Bill 80
5-yr CDS (RHS) PDCF (LHS) ST OMO (LHS) TOP (LHS)
bps 300
60
TSLF Sch 1 (LHS)
TOP (LHS)
400 60 300 40 200
ST OMO (LHS) TSLF Sch 2 (LHS)
TSLF Sch 2 (LHS)
250
200
TSLF Sch 1 (LHS)
40
150
100 20 100
20
50
0 9/2 9/30 10/29 11/28 12/29
0 9/2 9/30 10/29 11/28 12/29

$ Bill 80
5-yr CDS (RHS)

bps 150 $ Bill 80
5-yr CDS (RHS)
bps 350 300
60
60 100 40
Average CDS PDCF (LHS) 1/07-7/07 = 7.08 bps (RHS) TOP (LHS) TSLF Sch 2 (LHS) PDCF (LHS) TSLF Sch 1 (LHS)
250 200 150
40
50
ST OMO (LHS)
20
20
ST OMO (LHS)
100 50 0
0 9/2 9/30 10/29 11/28 12/29
0 9/2 9/30 10/29 11/28 12/29
23/27

$ Bill 80
TSLF Sch 2 (LHS) 5-yr CDS (RHS) TSLF Sch 1 (LHS) ST OMO (LHS)

bps 250 $ Bill 80
TSLF Sch 2 (LHS) 5-yr CDS (RHS) TOP (LHS) TSLF Sch 1 (LHS) ST OMO (LHS)
bps 200
200 60 150
60
150
40 100 20
40
Average CDS Jan'07-Jul 0 = 13.04 bps S
100
20 50
50
0 9/2 9/30 10/29 11/28 12/29
0 9/2 9/30 10/29 11/28 12/29
$ Bill 80

bps 250
5-yr CDS (RHS)

$ Bill 80
bps 350 300

200 60
TOP (LHS)
60 150
5-yr CDS (RHS
250 200
40
TSLF Sch 2 (LHS) Average CDS Jan'07-Jul'07 = 12.49 bps (RHS) PDCF (LHS) TSLF Sch 1 (LHS) ST OMO (LHS)
40 100 20 50 50
150 100
20
0 9/2 9/30 10/29 11/28 12/29
0 9/2 9/30 10/29 11/28 12/29
24/27
NR
NR
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01/23/2009 06:38 PM
----- Forwarded by Marie L Spicer/BOARD/FRS on 01/23/2009 06:38 PM ----Karin.Kim Kimbrough @n n y.frb.org f 01/23/2009 06:36 PM To Timothy.Geithner@ny.frb.org, Christine.Cumming@ny.frb.org, rita.c.proctor@frb.gov, Donald.L.Kohn@frb.gov, Brian.F.Madigan@frb.gov, Meg.McConnell@ny.frb.org, William.Dudley@ny.frb.org, Debby.Perelmuter@ny.frb.org, Patricia.Mosser@ny.frb.org, Spence.Hilton@ny.frb.org, Susan.McLaughlin@ny.frb.org, Brian.Peters@ny.frb.org, Hayley.Boesky@ny.frb.org, Karin.Kimbrough@ny.frb.org, Lorie.Logan@ny.frb.org, Chris.Burke@ny.frb.org, Kristin.Mayer@ny.frb.org, Susan.Stiehm@ny.frb.org, Marie.L.Spicer@frb.gov, Arthur.Angulo@ny.frb.org, James.Bergin@ny.frb.org, Til.Schuermann@ny.frb.org, William.BRODOWS@ny.frb.org, Steven.Friedman@ny.frb.org, Anna.Nordstrom@ny.frb.org, Richard.Dzina@ny.frb.org, Kathryn.Chen@ny.frb.org cc YoonHi.Greene@ny.frb.org, Warren.Hrung@ny.frb.org, James.White@ny.frb.org, project.13@ny.frb.org, Audrey.Stern@ny.frb.org, Clara.Sheets@ny.frb.org Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 1-23-09
***RESTRICTED F.R.***
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Restricted F.R. TSLF and Relevant Data
LENDING TO FINANCIAL INSTITUTIONS 6/19
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Restricted F.R. PDCF

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Restricted F.R. Fed Facilities Utilization by Institutions-CONFIDENTIAL
Fed Facilities Utilization by Institutions-CONFIDENTIAL 11/19
Restricted F.R.
Restricted F.R. Fed Facilities Utilization by Institutions-CONFIDENTIAL
PROVIDING LIQUIDITY TO BORROWERS AND INVESTORS 13/19
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Christine Cumming, rita.c.proctor, Donald L Karin Kimbrough to: Kohn, Brian F Madigan, Meg McConnell, K Km o William Dudley, Debby Perelmuter, Patricia
Cc: 01/30/2009 05:32 PM
YoonHi Greene, Warren Hrung, James White, NY Project 13, Audrey Stern, Clara M Sheets
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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS TSLF and Relevant Data
6/18
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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS PDCF

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10/18
Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS Fed Facilities Utilization by Institutions-CONFIDENTIAL
11/18
12/18
13/18
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Chart Pack of Market Monitoring Metrics for Fed Facilities 4-3-09 Ch t P k r Me i s e a s 0

Christine Cumming, rita.c.proctor, Donald L Clara M Sheets to: Kohn, Brian F Madigan, Meg McConnell, C r William Dudley, Debby Perelmuter, Patricia
Cc: History: 04/03/2009 06:15 PM
YoonHi Greene, Warren Hrung, NY Project 13, Audrey Stern, Clara M Sheets
This message has been replied to.
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Clara Sheets Markets Group Federal Reserve Bank of New York 33 Liberty Street New York, NY 10045 (212) 720-1230 clara.sheets@ny.frb.org
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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS Fed Facilities Utilization and Collateral
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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS TAF and Relevant Data
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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS TSLF and Relevant Data*

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Restricted F.R. LENDING TO FINANCIAL INSTITUTIONS PDCF and Relevant Data

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Over the week, U.S. primary dealers continued to pare back their facility usage by decreasing their TSLF funding. Bank of America did not roll-over its maturing TSLF schedule 2 credit.
9/18
European primary dealers continued to pare back their facility usage, as most decreased their TSLF funding.
10/18
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Rita C Proctor to: Chairman's Email R r r
04/03/2009 06:33 PM
Clara M l Sheets /NY/FRS@F / R @ RS S 04/03/2009 06:15 PM
To Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS, Anna Nordstrom/NY/FRS@FRS, Richard Dzina/NY/FRS@FRS, Kathryn Chen/NY/FRS@FRS, Matthew Lieber/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS, Clara M Sheets/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 4-3-09
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Over the week, U.S. primary dealers continued to pare back their facility usage by decreasing their TSLF funding. Bank of America did not roll-over its maturing TSLF schedule 2 credit.
9/18
European primary dealers continued to pare back their facility usage, as most decreased their TSLF funding.
10/18
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04/17/2009 07:18 PM
----- Forwarded by Marie L Spicer/BOARD/FRS on 04/17/2009 07:17 PM ----Clara M l Sheets /NY/FRS@F NY/ FRS@ R RS S 04/17/2009 06:32 PM To Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS, Anna Nordstrom/NY/FRS@FRS, Richard Dzina/NY/FRS@FRS, Kathryn Chen/NY/FRS@FRS, Matthew Lieber/NY/FRS@FRS, Michael Holscher/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS, Clara M Sheets/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 4-17-09
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This week, Bank of America and Citi, the only two dealers active in PDCF, pared back their usage. Only Citi completely rolled over its maturing position in this weeks Schedule 2 TSLF auction.
9/17
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Rita C Proctor to: Chairman's Email R r r
04/24/2009 02:19 PM
Clara M l Sheets /NY/FRS@F / R @ RS S 04/24/2009 02:18 PM
To Christine Cumming/NY/FRS@FRS, rita.c.proctor@frb.gov, Donald L Kohn/BOARD/FRS@BOARD, Brian F Madigan/BOARD/FRS@BOARD, Meg McConnell/NY/FRS@FRS, William Dudley/NY/FRS@FRS, Debby Perelmuter/NY/FRS@FRS, Patricia Mosser/NY/FRS@FRS, Spence Hilton/NY/FRS@FRS, Susan McLaughlin/NY/FRS@FRS, Brian Peters/NY/FRS@FRS, Hayley Boesky/NY/FRS@FRS, Karin Kimbrough/NY/FRS@FRS, Lorie Logan/NY/FRS@FRS, Chris Burke/NY/FRS@FRS, Kristin Mayer/NY/FRS@FRS, Susan Stiehm/NY/FRS@FRS, Marie L Spicer/BOARD/FRS@BOARD, Arthur Angulo/NY/FRS@FRS, James P Bergin/NY/FRS@FRS, Til Schuermann/NY/FRS@FRS, William BRODOWS/NY/FRS@FRS, Steven Friedman/NY/FRS@FRS, Anna Nordstrom/NY/FRS@FRS, Richard Dzina/NY/FRS@FRS, Kathryn Chen/NY/FRS@FRS, Matthew Lieber/NY/FRS@FRS, Michael Holscher/NY/FRS@FRS cc YoonHi Greene/NY/FRS@FRS, Warren Hrung/NY/FRS@FRS, NY Project 13/NY/FRS@FRS, Audrey Stern/NY/FRS@FRS, Clara M Sheets/NY/FRS@FRS Subject Chart Pack of Market Monitoring Metrics for Fed Facilities 4-24-09
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RBS increased its credit outstanding at this weeks TSLF schedule 2 auction, which settled on Thursday. All other dealers decreased their TSLF Schedule 2 usage. Bank of America continued to pare back its PDCF usage.
9/17
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Chart Pack of Market Monitoring Metrics for Fed Facilities 5-12-09 Ch t P k r Me i s e a s

Cc: 05/12/2009 11:18 AM
***RESTRICTED F.R.*** Key takeaways from last week:
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Facility utilization by institutions was similar to the previous week with little change in TSLF credit after last weeks Schedule 2 auction.
9/17
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Cc: 05/19/2009 12:09 PM
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Bank of America ceased use of all Fed facilities while other primary dealer usage in TSLF Schedule 2 was nearly constant last week.
9/17
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Cc: YoonHi Greene, Warren Hrung, NY Project 13, Audrey Stern, Clara M Sheets 05/27/2009 02:35 PM
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Goldman Sachs ceased usage of TSLF Schedule 2 funding, all other dealers positions held nearly constant over the course of last week.
9/17
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Cc: YoonHi Greene, Warren Hrung, NY Project 13, Audrey Stern, Clara M Sheets 06/02/2009 04:57 PM
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Dealer facility usage remained constant last week as no TSLF credit matured.
9/17
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Cc: 06/09/2009 03:33 PM
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Citi halted usage of TSLF as it did not rollover its maturing TSLF Schedule 2 credit.
9/17
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Cc: 06/16/2009 04:06 PM
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Cc: 06/25/2009 10:33 AM
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Fw: Chart Pack of Market Monitoring Metrics for Fed Facilities 11-14-08 : i tP ar gM i a es

Rita C Proctor to: Chairman's Email R r r Sent by: Marie L Spicer ai ce

***RESTRICTED F .R.*** TR C D * Contains PDCF and TSLF collateral information t s n F e o a

Restricted F.R. Fed Facility Utilization Across Institutions-CONFIDENTIAL

TSLF Utilization Across Institutions, #21-40

75% % allotted % allotted

Barclays BofA Morgan Stanley

Citigroup Merrill Lynch Countrywide

Goldman Sachs Lehman Greenwich

JPM BNP Paribas CSFB

UBS Deutsche Other

Barclays BofA Morgan Stanley

Citigroup Merrill Lynch Countrywide

Goldman Sachs Lehman Greenwich

JPM BNP Paribas CSFB

UBS Deutsche Other

TOP Awards Across Institutions

8/27/2008 $25B-A 9/10/2008 $25B-A

9/2 /2008 $ 2.77B-E

Barclays BofA Morgan Stanley

Citigroup Merrill Lynch Greenwich

Goldman Sachs Lehman Cantor

JPM BNP Paribas Other

Restricted F.R. Fed Facility Utilization Across Institutions-CONFIDENTIAL

PDCF Utilization since Sept. 2008

Bank of America CountryWide Goldman Sachs Morgan Stanley

Barclays CSFB JP Morgan UBS

BNP Paribas Daiwa Lehman

Citigroup Dresdner Securities Mizuho

Goldman Sachs Fed Facility Usage and CDS

5-yr CDS (RHS)

TSLF Sch 2 (LHS)

ST OMO (LHS) PDCF (LHS)

Average CDS 1/07-7/07 = 30.86 bps (RHS)

0 9/2 9/30 10/29

Morgan Stanley Fed Facility Usage and CDS

Merrill Lynch Fed Facility Usage and CDS

Average CDS 1/07-7/07 = 30.55 bps (RHS)

0 9/2 9/30 10/29

0 9/2 9/30 10/29

Citi Fed Facility Usage and CDS

Barclays Fed Facility Usage and CDS

TSLF Sch 1 (LHS)

TSLF Sch 2 (LHS) Average CDS 1/07-7/07 = 3.98 bps (RHS)

TSLF Sch 1 (LHS)

0 9/2 9/30 10/29

0 9/2 9/30 10/29

BNP Paribas Fed Facility Usage and CDS

UBS Fed Facility Usage and CDS

bps 350 300

TSLF Sch 1 (LHS)

0 9/2 9/30 10/29

0 9/2 9/30 10/29

Credit Suisse Fed Facility Usage and CDS

Deutsche Fed Facility Usage and CDS

0 9/2 9/30 10/29

0 9/2 9/30 10/29

Bank of America Fed Facility Usage and CDS

Greenwich Fed Facility Usage and CDS

bps 350 300

5-yr CDS (RHS)

0 9/2 9/30 10/29

0 9/2 9/30 10/29

***RESTRICTED F .R.*** TR C D * Contains PDCF and TSLF collateral information t s n F e o a

RESTRICTED F .R. TR C D * Contains PDCF and TSLF collateral information t s n F e o a

RESTRICTED F .R. TR C D * Contains PDCF and TSLF collateral information t s n F e o a