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An Analysis of the Interest Rate Risk of the Federal Reserve’s Balance Sheet, Part 1: Background and Historical Perspective, Accessible data

Figure 1: SOMA Unrealized Gain/Loss Position and 10-year Treasury yield
Date Unrealized Gain/Loss Position (Billions of dollars) 10-year Treasury Yield (Percent)
1/31/2012 219.92 1.89
3/31/2012 177.23 2.23
6/30/2012 239.93 1.67
9/30/2012 247.81 1.65
12/31/2012 214.32 1.78
3/31/2013 184.64 1.87
6/30/2013 34.94 2.52
9/30/2013 24.84 2.64
12/31/2013 -53.27 3.04
3/31/2014 13.56 2.73
6/30/2014 90.61 2.53
9/30/2014 80.68 2.52
12/31/2014 174.02 2.17
3/31/2015 225.27 1.94
6/30/2015 108.36 2.35
9/30/2015 165.23 2.06
12/31/2015 106.46 2.27
3/31/2016 219.26 1.78
6/30/2016 282.14 1.49
9/30/2016 258.07 1.60
12/31/2016 66.56 2.45
3/31/2017 68.90 2.40
6/30/2017 90.89 2.31
9/30/2017 94.24 2.33
12/31/2017 80.12 2.40
3/31/2018 -0.46 2.74
6/30/2018 -19.55 2.85
9/30/2018 -66.45 3.05
12/31/2018 -6.14 2.69
3/31/2019 60.75 2.41
6/30/2019 136.91 2.00
9/30/2019 200.64 1.68
12/31/2019 160.63 1.92
3/31/2020 391.27 0.70
6/30/2020 414.51 0.66
9/30/2020 404.45 0.69
12/31/2020 354.00 0.93
3/31/2021 77.53 1.74
6/30/2021 168.36 1.45
9/30/2021 143.06 1.52
12/31/2021 127.87 1.52
3/31/2022 -330.50 2.32

Source: Federal Reserve, H.15 Select Interest Rates, https://www.federalreserve.gov/releases/h15/; Federal Reserve, Federal Reserve Banks Combined Quarterly Financial Report and Federal Reserve Banks Combined Financial Statements.

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Figure 2: Earnings Remittances and Transfers to the U.S. Treasury
Year Earnings Remittances (Billions of dollars) Transfers of Capital Surplus (Billions of dollars) Remittances and Transfers as a Percent of GDP (Percent)
2000 25.3 0 0.24
2001 27.1 0 0.25
2002 24.5 0 0.22
2003 22 0 0.19
2004 18.1 0 0.14
2005 21.5 0 0.16
2006 29.1 0 0.21
2007 34.6 0 0.24
2008 31.7 0 0.22
2009 47.4 0 0.32
2010 79.3 0 0.52
2011 75.4 0 0.48
2012 88.4 0 0.54
2013 79.6 0 0.46
2014 96.9 0 0.54
2015 97.7 19.3 0.64
2016 91.5 0 0.48
2017 80.6 0 0.41
2018 62.1 3.2 0.31
2019 54.9 0 0.25
2020 86.9 0 0.40
2021 109 0.04 0.45

Note: The light blue bars indicate transfers of Reserve Bank capital surplus from the Federal Reserve to the Treasury. The transfers in the amounts shown were necessary to reduce aggregate Reserve Bank surplus to prevailing aggregate surplus limitations.

Source: Board of Governors of the Federal Reserve System; Bureau of Economic Analysis

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Last Update: July 15, 2022