Federal Reserve Balance Sheet Update: Week Of September 30

Tyler Durden's picture

Total Federal Reserve balance sheet assets for the week of September 30 of $2,139 billion ($6.4
billion higher compared to the prior week's $2,133 bn), now just $35
billion shy of the all time high of $2,174 billion recorded on April
22. Fed assets consisted of:

  • Securities held outright: $1,589 billion
    (an increase of $97.8 billion MoM, resulting from $18 billion in new
    Treasury purchases,
    $68 billion increase in MBS and $12 billion in Agency Debt), or $9.5 billion increase sequentially
  • Net borrowings: $307.3 billion, unchanged from prior week due to biweekly update of H.3
  • Float, liquidity swaps, Maiden Lane and other assets: $243.6
    billion,
    a $3.1 billion decrease based on a 892 million reduction in CPFF and a $2.4 billion reduction in liquidity swaps
    (and other net changes).

Foreign holdings barely increased by $583 million to 2,855 billion. 

Below is an update of the correlation between Fed Securities Held Outright purchases and the S&P (from start of QE until September 30). The two lines are about to intersect, and as Fed liquidity has been the driver of this most recent rally, once the liquidity ramp is found to provide no additional boost to equities, the resultant drop in the S&P will be ugly.