The U.S. Federal Reserve's balance sheet expanded to a record size in the latest week, as the central bank continued to purchase bonds, Fed data released on Thursday showed.

The increase came as the central bank bought U.S. Treasuries as a part of its $600 billion program in an effort to help the economy.

The balance sheet -- a broad gauge of Fed lending to the financial system -- expanded to $2.528 trillion in the week ended March 2 from $2.516 trillion the prior week.

The central bank's holding of U.S. government securities jumped to $1.236 trillion on Wednesday from last week's $1.213 trillion total.

The Fed's ownership of mortgage bonds guaranteed by Fannie Mae , Freddie Mac and the Government National Mortgage Association (Ginnie Mae) fell to $948.932 billion in the latest week from $958.201 billion.

The Fed's holdings of debt issued by Fannie Mae, Freddie Mac and the Federal Home Loan Bank system totaled $143.249 billion, compared with $144.119 billion a week earlier.

The Fed's overnight direct loans to credit-worthy banks via its discount window averaged $18 million a day in the week ended Wednesday, unchanged on last week.

(Reporting by Karen Brettell; Editing by James Dalgleish)