Remarks at the Westchester County Bankers Association, Tarrytown, New York.Bank liquidity ; Federal Reserve System ; Recessions ; Bank failures ; Bank investments ; Mortgages ; Housing - Prices ; Credit ; Repurchase agreements ; Subprime mortgage ; Asset-backed financing ; Federal Open Market Committee ; Discount window

Joseph S. Tracy

English

Research Papers in Economics

for internal use only
Joseph Tracy
Federal Reserve Bank of NY
What the Fed Did and Why
The views of the speaker are his own and do not necessarily reflect the views of the Federal Reserve Bank 
of New York or Federal Reserve System.2
for internal use only
Chart 1: Market Based and Bank Based Holding of Home Mortgages
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Source: Tobias Adrian and Hyun Song Shin. 2010. "The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-2009."
Federal Reserve Bank of New York, Staff Reports, no. 439, Revised April, Figure 4 page 33
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Chart 2: ABS Issuance Growth and Collapse
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B
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Other
Non-U.S. Residential
Mortgages
Student Loans
Credit Cards
Autos
Commercial Real
Estate
Home Equity
(Subprime)
Source:  JP Morgan4
for internal use only
Short Term Funding: CP, Repo, M1
500
1000
1500
2000
2500
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500
1000
1500
2000
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1995 2000 2005
Reverse Repo
Billions of Dollars Billions of Dollars
Source: Federal Reserve Board
CommercialPaper
M1
Chart 3: Short Term Funding: CP, Repo, M15
for internal use only
Chart 4: Housing Boom Cities
1980
1982
1983
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1985
1986 1987 1988 1989
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1991 1992 1993
1994 1995 1996 1997 1998 1999 2000
2001 2002
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Las Vegas, NV: FHFA Price/MPPC
1980 1982
1983 1984 1985
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Vallejo, CA: FHFA Price/MPPC
1980 1982
1983 1984
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1981q3 1986q3 1996q3 2006q32009q3
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Miami, FL  (MSAD): FHFA Price/MPPC
1980 1982 1983 1984
1985
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1996 1997
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Phoenix, AZ: FHFA Price/MPPC
Source:  Joseph Gyourko, Wharton Real Estate Group, University of Pennsylvania6
for internal use only
Chart 5: Cities without a Housing Boom 
1980
1982 1983
1984
1985 1986
1987
1988
1989 1990 1991 1992 1993 1994 1995 1996 1997 1998
1999
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2001 2002 2003 2004
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Dallas, TX  (MSAD): FHFA Price/MPPC
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1982 1983
1984 1985
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1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999
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Chicago, IL  (MSAD): FHFA Price/MPPC
Source: Joseph Gyourko, Wharton 
Real Estate Group, University of 
Pennsylvania7
for internal use only
Chart 6: Repo Haircuts
Haircuts (%) Spreads
May-07 May-08 May-09 May-07 May-08 May-09
Corporate Debt A 5 10 20 86 235 364
Corporate Debt Baa 5 20 30 115 278 508
ABS Aaa 10 25 35 73 327 350
Corporate Debt Ba 25 30 40 177 433 833
Corporate Debt B 25 40 50 239 618 996
Corporate Debt Caa 25 100 100 396 932 1573
Note: Credit spreads are option adjusted. Haircuts are for triparty repos.
Source: DTCC, Bloomberg.8
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Chart 7: 3-Month Libor-OIS Spread (bps)
Source:  Bloomberg9
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Chart 8: Discount Window and PDCF
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150
Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09
Discount Window and PDCF Borrowing
Billions of Dollars
Source: Federal Reserve Board
DW
Billions of Dollars
Jul 15: 
34.46
Jul 15: 
0.0
PDCF
Source: Federal Reserve Board10
for internal use only
Chart 9: Commercial Paper Funding Facility (CPFF)
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Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09
CPFF and Commercial Paper Outstanding
Billions of Dollars
Source: Federal Reserve Board, Haver
Total
(left axis)
Billions of Dollars
Jul 17: 
1096.7
Jul 17: 
107.1
FederalReserve
Net Holdings
(right axis) FDIC 
TLGP
(right axis)
Jun 30: 
339.0
Sources: Federal Reserve Board, Haver11
for internal use only
Appendix Slides12
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Q107Q207Q307Q407Q108Q208Q308Q408Q109Q209Q309
$Bln
2nd axis
Equipment TALF
Student Loan 
TALF
Credit Card TALF
Auto TALF
SBA non-TALF
Equipment non-
TALF
Student Loan 
non-TALF
Credit Card non-
TALF
Auto non-TALF
Source: JPMorgan
Chart 10: ABS Issuance and TALF13
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Chart 11: Central Bank Liquidity Swaps
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600
Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09
Central Bank Liquidity Swaps
Billions of Dollars
Source: Federal Reserve Board, Bloomberg
Billions of Dollars
Jul 15: 
111.8
Sources: Federal Reserve Board, Bloomberg

What the Fed did and why

http://www.newyorkfed.org/newsevents/speeches/2010/tra100625.html

What the Fed did and why

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