Accessible Version

Projected Evolution of the SOMA Portfolio and the 10-year Treasury Term Premium Effect Accessible Data

Figure 1
Date TSY Reinvestments TSY Redemptions TSY Cap MBS/Agy Reinvestments MBS/Agy Redemptions MBS Cap
1/1/2017 10.46 0.00 0.00 40.06 0.00 0.00
2/1/2017 20.33 0.00 0.00 24.80 0.00 0.00
3/1/2017 13.76 0.00 0.00 22.54 0.00 0.00
4/1/2017 14.52 0.00 0.00 21.98 0.00 0.00
5/1/2017 32.39 0.00 0.00 23.75 0.00 0.00
6/1/2017 12.88 0.00 0.00 24.91 0.00 0.00
7/1/2017 12.88 0.00 0.00 23.04 0.00 0.00
8/1/2017 21.85 0.00 0.00 18.35 0.00 0.00
9/1/2017 10.95 0.00 0.00 16.56 0.00 0.00
10/1/2017 2.70 6.00 6.00 12.76 4.00 4.00
11/1/2017 12.91 6.00 6.00 15.33 4.00 4.00
12/1/2017 11.50 6.00 6.00 10.86 4.00 4.00
1/1/2018 18.96 12.00 12.00 7.06 8.00 8.00
2/1/2018 36.61 12.00 12.00 8.53 8.00 8.00
3/1/2018 19.20 12.00 12.00 8.59 8.00 8.00
4/1/2018 16.64 18.00 18.00 4.04 12.00 12.00
5/1/2018 36.71 18.00 18.00 5.31 12.00 12.00
6/1/2018 12.45 18.00 18.00 6.83 10.02 12.00
7/1/2018 7.47 24.00 24.00 0.00 15.44 16.00
8/1/2018 20.00 24.00 24.00 0.00 13.66 16.00
9/1/2018 0.00 19.01 24.00 0.00 13.46 16.00
10/1/2018 0.00 23.86 30.00 0.00 13.75 20.00
11/1/2018 29.22 30.00 30.00 0.00 14.12 20.00
12/1/2018 0.00 18.21 30.00 0.00 12.49 20.00
1/1/2019 0.00 16.36 30.00 0.00 12.72 20.00
2/1/2019 26.05 30.00 30.00 0.00 13.84 20.00
3/1/2019 0.00 22.38 30.00 0.00 13.90 20.00
4/1/2019 2.07 30.00 30.00 0.00 13.65 20.00
5/1/2019 28.53 30.00 30.00 0.00 14.76 20.00
6/1/2019 0.00 21.46 30.00 0.00 14.42 20.00
7/1/2019 0.00 21.57 30.00 0.00 13.41 20.00
8/1/2019 39.97 30.00 30.00 0.00 12.11 20.00
9/1/2019 0.00 14.18 30.00 0.00 12.02 20.00
10/1/2019 0.00 15.75 30.00 0.00 12.31 20.00
11/1/2019 18.93 30.00 30.00 0.00 12.67 20.00
12/1/2019 0.00 11.73 30.00 0.00 11.24 20.00

Source: Federal Reserve Bank of New York and author calculations

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Figure 2

Period SOMA Holdings Reserve Balances
Longer-Run Reserves $100 billion (Billions of Dollars) Longer-Run Reserves $613 billion (Billions of Dollars) Longer-Run Reserves $100 billion (Billions of Dollars) Longer-Run Reserves $613 billion (Billions of Dollars)
1/1/2006 748.82 748.82 22.25 22.25
2/1/2006 754.68 754.68 24.24 24.24
3/1/2006 758.54 758.54 21.02 21.02
4/1/2006 759.69 759.69 21.41 21.41
5/1/2006 762.41 762.41 23.4 23.4
6/1/2006 766.36 766.36 20.96 20.96
7/1/2006 764.81 764.81 24.49 24.49
8/1/2006 766.74 766.74 19.53 19.53
9/1/2006 768.92 768.92 17.33 17.33
10/1/2006 768.49 768.49 20 20
11/1/2006 772.60 772.60 20.38 20.38
12/1/2006 778.91 778.91 18.7 18.7
1/1/2007 778.86 778.86 24.23 24.23
2/1/2007 780.79 780.79 22.91 22.91
3/1/2007 780.90 780.90 18.33 18.33
4/1/2007 787.19 787.19 17.83 17.83
5/1/2007 790.27 790.27 21.9 21.9
6/1/2007 790.52 790.52 17.29 17.29
7/1/2007 790.80 790.80 21.54 21.54
8/1/2007 779.64 779.64 12.77 12.77
9/1/2007 779.63 779.63 23.01 23.01
10/1/2007 779.59 779.59 20.72 20.72
11/1/2007 779.70 779.70 17.91 17.91
12/1/2007 740.61 740.61 20.77 20.77
1/1/2008 713.38 713.38 17.66 17.66
2/1/2008 713.35 713.35 20.26 20.26
3/1/2008 591.23 591.23 24.16 24.16
4/1/2008 548.69 548.69 20.3 20.3
5/1/2008 486.90 486.90 18.77 18.77
6/1/2008 478.84 478.84 33.5 33.5
7/1/2008 479.24 479.24 23.22 23.22
8/1/2008 479.70 479.70 20.17 20.17
9/1/2008 491.13 491.13 222.06 222.06
10/1/2008 490.09 490.09 501.31 501.31
11/1/2008 488.62 488.62 642.25 642.25
12/1/2008 495.63 495.63 860 860
1/1/2009 510.79 510.79 691.99 691.99
2/1/2009 581.68 581.68 685.58 685.58
3/1/2009 779.35 779.35 805.21 805.21
4/1/2009 983.18 983.18 718.62 718.62
5/1/2009 1113.52 1113.52 877.7 877.7
6/1/2009 1215.52 1215.52 660.54 660.54
7/1/2009 1354.07 1354.07 703.15 703.15
8/1/2009 1491.50 1491.50 783.48 783.48
9/1/2009 1592.70 1592.70 848.09 848.09
10/1/2009 1697.80 1697.80 1113.54 1113.54
11/1/2009 1783.76 1783.76 1081.68 1081.68
12/1/2009 1844.84 1844.84 976.99 976.99
1/1/2010 1910.42 1910.42 1153.99 1153.99
2/1/2010 1970.83 1970.83 1225.13 1225.13
3/1/2010 2014.39 2014.39 1053.88 1053.88
4/1/2010 2042.12 2042.12 1003.07 1003.07
5/1/2010 2057.14 2057.14 1082.73 1082.73
6/1/2010 2059.88 2059.88 972.34 972.34
7/1/2010 2053.99 2053.99 1079.1 1079.1
8/1/2010 2045.95 2045.95 984.28 984.28
9/1/2010 2044.31 2044.31 932.44 932.44
10/1/2010 2040.23 2040.23 1009.66 1009.66
11/1/2010 2081.47 2081.47 965.89 965.89
12/1/2010 2161.09 2161.09 968.05 968.05
1/1/2011 2238.30 2238.30 1043.44 1043.44
2/1/2011 2319.84 2319.84 1255.65 1255.65
3/1/2011 2410.10 2410.10 1406.98 1406.98
4/1/2011 2472.32 2472.32 1481.15 1481.15
5/1/2011 2567.25 2567.25 1552.05 1552.05
6/1/2011 2645.10 2645.10 1595.94 1595.94
7/1/2011 2647.93 2647.93 1614.46 1614.46
8/1/2011 2646.83 2646.83 1592 1592
9/1/2011 2643.81 2643.81 1592.41 1592.41
10/1/2011 2619.75 2619.75 1539.4 1539.4
11/1/2011 2605.00 2605.00 1487.25 1487.25
12/1/2011 2605.12 2605.12 1562.25 1562.25
1/1/2012 2597.45 2597.45 1532.3 1532.3
2/1/2012 2603.21 2603.21 1607.11 1607.11
3/1/2012 2594.40 2594.40 1546.87 1546.87
4/1/2012 2603.40 2603.40 1440.65 1440.65
5/1/2012 2606.44 2606.44 1467.05 1467.05
6/1/2012 2606.40 2606.40 1506.98 1506.98
7/1/2012 2589.00 2589.00 1497.54 1497.54
8/1/2012 2573.34 2573.34 1514.78 1514.78
9/1/2012 2563.68 2563.68 1437.32 1437.32
10/1/2012 2579.27 2579.27 1434.4 1434.4
11/1/2012 2620.64 2620.64 1516.87 1516.87
12/1/2012 2669.59 2669.59 1491.04 1491.04
1/1/2013 2750.98 2750.98 1599.21 1599.21
2/1/2013 2844.07 2844.07 1695.14 1695.14
3/1/2013 2939.42 2939.42 1787.31 1787.31
4/1/2013 3036.42 3036.42 1771.11 1771.11
5/1/2013 3124.08 3124.08 2004.95 2004.95
6/1/2013 3213.90 3213.90 2013.26 2013.26
7/1/2013 3295.89 3295.89 2120.84 2120.84
8/1/2013 3385.57 3385.57 2267.38 2267.38
9/1/2013 3475.02 3475.02 2220.74 2220.74
10/1/2013 3570.52 3570.52 2377.37 2377.37
11/1/2013 3661.90 3661.90 2485.2 2485.2
12/1/2013 3756.16 3756.16 2249.07 2249.07
1/1/2014 3831.69 3831.69 2524.8 2524.8
2/1/2014 3904.80 3904.80 2608.27 2608.27
3/1/2014 3970.06 3970.06 2430.06 2430.06
4/1/2014 4027.11 4027.11 2514.44 2514.44
5/1/2014 4066.82 4066.82 2664.83 2664.83
6/1/2014 4108.14 4108.14 2363.42 2363.42
7/1/2014 4136.79 4136.79 2690.41 2690.41
8/1/2014 4156.86 4156.86 2761.89 2761.89
9/1/2014 4188.17 4188.17 2537.85 2537.85
10/1/2014 4219.16 4219.16 2519.84 2519.84
11/1/2014 4230.13 4230.13 2416.55 2416.55
12/1/2014 4236.87 4236.87 2378 2378
1/1/2015 4237.01 4237.01 2665.59 2665.59
2/1/2015 4237.20 4237.20 2513.02 2513.02
3/1/2015 4228.37 4228.37 2437.28 2437.28
4/1/2015 4214.81 4214.81 2508.28 2508.28
5/1/2015 4219.05 4219.05 2400.86 2400.86
6/1/2015 4228.91 4228.91 2242.47 2242.47
7/1/2015 4231.48 4231.48 2563.64 2563.64
8/1/2015 4233.68 4233.68 2596.55 2596.55
9/1/2015 4238.27 4238.27 2197.66 2197.66
10/1/2015 4240.02 4240.02 2596.44 2596.44
11/1/2015 4239.34 4239.34 2425.13 2425.13
12/1/2015 4241.96 4241.96 1977.17 1977.17
1/1/2016 4236.81 4236.81 2329.31 2329.31
2/1/2016 4244.28 4244.28 2407.37 2407.37
3/1/2016 4243.67 4243.67 2125.36 2125.36
4/1/2016 4233.35 4233.35 2342.41 2342.41
5/1/2016 4229.91 4229.91 2317.12 2317.12
6/1/2016 4230.97 4230.97 2038.27 2038.27
7/1/2016 4226.42 4226.42 2274.55 2274.55
8/1/2016 4230.12 4230.12 2230.61 2230.61
9/1/2016 4220.83 4220.83 1923.02 1923.02
10/1/2016 4217.90 4217.90 2042.23 2042.23
11/1/2016 4223.03 4223.03 2015.31 2015.31
12/1/2016 4221.19 4221.19 1759.67 1759.67
1/1/2017 4224.24 4224.24 2084.3 2084.3
2/1/2017 4239.98 4239.98 2203.86 2203.86
3/1/2017 4246.84 4246.84 2151.98 2151.98
4/1/2017 4245.63 4245.63 2136.29 2136.29
5/1/2017 4244.49 4244.49 2129.61 2129.61
6/1/2017 4243.46 4243.46 1985.88 1985.88
7/1/2017 4242.30 4242.30 2175.56 2175.56
8/1/2017 4236.44 4236.44 2371.51 2371.51
9/1/2017 4235.01 4235.01 2362.93 2362.93
10/1/2017 4229.63 4229.63 2350.37 2350.37
11/1/2017 4219.42 4219.42 2333.1 2333.1
12/1/2017 4212.85 4212.85 2319.87 2319.87
1/1/2018 4199.23 4199.23 2299.39 2299.39
2/1/2018 4180.32 4180.32 2273.39 2273.39
3/1/2018 4159.88 4159.88 2246.36 2246.36
4/1/2018 4134.57 4134.57 2213.92 2213.92
5/1/2018 4106.04 4106.04 2178.33 2178.33
6/1/2018 4074.30 4074.30 2139.32 2139.32
7/1/2018 4041.04 4041.04 2098.88 2098.88
8/1/2018 4007.31 4007.31 2057.87 2057.87
9/1/2018 3975.43 3975.43 2018.62 2018.62
10/1/2018 3938.07 3938.07 1973.97 1973.97
11/1/2018 3894.21 3894.21 1922.62 1922.62
12/1/2018 3863.77 3863.77 1884.96 1884.96
1/1/2019 3834.93 3834.93 1848.79 1848.79
2/1/2019 3791.35 3791.35 1797.84 1797.84
3/1/2019 3755.23 3755.23 1754.96 1754.96
4/1/2019 3711.82 3711.82 1704.36 1704.36
5/1/2019 3667.28 3667.28 1652.79 1652.79
6/1/2019 3631.64 3631.64 1609.95 1609.95
7/1/2019 3596.90 3596.90 1568.21 1568.21
8/1/2019 3555.03 3555.03 1519.19 1519.19
9/1/2019 3529.08 3529.08 1486.14 1486.14
10/1/2019 3501.26 3501.26 1451.31 1451.31
11/1/2019 3458.83 3458.83 1401.68 1401.68
12/1/2019 3436.10 3436.10 1371.98 1371.98
1/1/2020 3409.55 3409.55 1338.2 1338.2
2/1/2020 3367.41 3367.41 1288.81 1288.81
3/1/2020 3336.06 3336.06 1250.64 1250.64
4/1/2020 3312.40 3312.40 1219.79 1219.79
5/1/2020 3269.25 3269.25 1169.61 1169.61
6/1/2020 3238.51 3238.51 1131.71 1131.71
7/1/2020 3211.79 3211.79 1098.01 1098.01
8/1/2020 3170.85 3170.85 1049.92 1058.25
9/1/2020 3151.32 3151.32 1023.3 1039.97
10/1/2020 3139.13 3139.13 1004.1 1029.1
11/1/2020 3101.35 3101.35 959.09 992.43
12/1/2020 3085.49 3085.49 936.25 977.92
1/1/2021 3064.15 3064.15 907.6 957.6
2/1/2021 3023.12 3023.12 859.24 917.57
3/1/2021 3000.23 3000.23 829.66 896.33
4/1/2021 2975.22 2975.22 797.44 872.44
5/1/2021 2933.51 2933.51 748.69 832.03
6/1/2021 2915.22 2915.22 723.24 814.9
7/1/2021 2900.87 2900.87 701.88 801.88
8/1/2021 2861.17 2861.17 654.99 754.99
9/1/2021 2849.47 2849.47 636.13 736.13
10/1/2021 2837.61 2837.61 617.19 717.19
11/1/2021 2797.59 2797.59 569.86 669.86
12/1/2021 2784.20 2784.20 557.82 649.48
1/1/2022 2770.11 2770.11 544.73 628.06
2/1/2022 2730.62 2762.40 506.23 613
3/1/2022 2717.02 2769.12 494.23 613
4/1/2022 2702.81 2776.38 481.09 613
5/1/2022 2662.81 2783.47 442.34 613
6/1/2022 2649.08 2790.75 429.67 613
7/1/2022 2636.33 2797.86 418.13 613
8/1/2022 2598.23 2805.17 381.07 613
9/1/2022 2586.69 2812.47 370.55 613
10/1/2022 2577.78 2819.70 362.74 613
11/1/2022 2539.68 2827.15 325.53 613
12/1/2022 2528.70 2834.36 307.34 613
1/1/2023 2515.43 2841.93 286.5 613
2/1/2023 2477.87 2849.52 241.36 613
3/1/2023 2457.28 2856.42 213.86 613
4/1/2023 2437.59 2863.91 186.68 613
5/1/2023 2399.67 2871.19 141.48 613
6/1/2023 2383.88 2878.69 118.19 613
7/1/2023 2373.04 2886.04 100 613
8/1/2023 2380.58 2893.58 100 613
9/1/2023 2388.10 2901.10 100 613
10/1/2023 2395.54 2908.54 100 613
11/1/2023 2403.20 2916.20 100 613
12/1/2023 2410.63 2923.63 100 613
1/1/2024 2418.35 2931.35 100 613
2/1/2024 2426.08 2939.08 100 613
3/1/2024 2433.35 2946.35 100 613
4/1/2024 2441.08 2954.08 100 613
5/1/2024 2448.59 2961.59 100 613
6/1/2024 2456.33 2969.33 100 613
7/1/2024 2463.90 2976.90 100 613
8/1/2024 2471.69 2984.69 100 613
9/1/2024 2479.49 2992.49 100 613
10/1/2024 2487.21 3000.21 100 613
11/1/2024 2495.16 3008.16 100 613
12/1/2024 2502.86 3015.86 100 613
1/1/2025 2510.95 3023.95 100 613
2/1/2025 2519.03 3032.03 100 613
3/1/2025 2526.40 3039.40 100 613
4/1/2025 2534.39 3047.39 100 613
5/1/2025 2542.16 3055.16 100 613
6/1/2025 2550.16 3063.16 100 613
7/1/2025 2557.99 3070.99 100 613
8/1/2025 2566.06 3079.06 100 613
9/1/2025 2574.12 3087.12 100 613
10/1/2025 2582.09 3095.09 100 613
11/1/2025 2590.31 3103.31 100 613
12/1/2025 2598.29 3111.29 100 613

Source: Federal Reserve Board,H.4.1 statistical release,Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks and author calculations.

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Figure 3

10-Year Term Premium Effect (Longer-Run Reserves $100 billion)

Period 10-Year Term Premium Effect 90% Confidence Interval Upper Bound 90% Confidence Interval Lower Bound
9/1/2017 -0.88 -0.46 -1.29
12/1/2017 -0.84 -0.44 -1.24
3/1/2018 -0.80 -0.41 -1.19
6/1/2018 -0.77 -0.39 -1.15
9/1/2018 -0.73 -0.37 -1.10
12/1/2018 -0.70 -0.35 -1.05
3/1/2019 -0.67 -0.32 -1.01
6/1/2019 -0.63 -0.30 -0.96
9/1/2019 -0.60 -0.28 -0.92
12/1/2019 -0.57 -0.27 -0.88
3/1/2020 -0.54 -0.25 -0.84
6/1/2020 -0.52 -0.23 -0.80
9/1/2020 -0.49 -0.21 -0.77
12/1/2020 -0.47 -0.20 -0.73
3/1/2021 -0.44 -0.19 -0.70
6/1/2021 -0.42 -0.17 -0.67
9/1/2021 -0.40 -0.16 -0.63
12/1/2021 -0.37 -0.15 -0.60
3/1/2022 -0.35 -0.13 -0.57
6/1/2022 -0.33 -0.12 -0.54
9/1/2022 -0.31 -0.11 -0.52
12/1/2022 -0.29 -0.10 -0.49
3/1/2023 -0.28 -0.09 -0.46
6/1/2023 -0.26 -0.08 -0.43
9/1/2023 -0.24 -0.07 -0.41
12/1/2023 -0.22 -0.07 -0.38
3/1/2024 -0.21 -0.06 -0.36
6/1/2024 -0.19 -0.05 -0.34
9/1/2024 -0.18 -0.05 -0.31
12/1/2024 -0.17 -0.04 -0.29
3/1/2025 -0.16 -0.04 -0.27
6/1/2025 -0.14 -0.03 -0.25
9/1/2025 -0.13 -0.03 -0.24
12/1/2025 -0.12 -0.03 -0.22

10−Year Term Premium Effect (Longer−Run Reserves $613 billion)

Period 10-Year Term Premium Effect 90% Confidence Interval Upper Bound 90% Confidence Interval Lower Bound
9/1/2017 -0.89 -0.48 -1.29
12/1/2017 -0.85 -0.45 -1.25
3/1/2018 -0.82 -0.43 -1.20
6/1/2018 -0.78 -0.41 -1.15
9/1/2018 -0.75 -0.39 -1.11
12/1/2018 -0.72 -0.37 -1.06
3/1/2019 -0.69 -0.35 -1.02
6/1/2019 -0.66 -0.33 -0.98
9/1/2019 -0.63 -0.32 -0.94
12/1/2019 -0.60 -0.30 -0.90
3/1/2020 -0.57 -0.29 -0.86
6/1/2020 -0.55 -0.27 -0.83
9/1/2020 -0.53 -0.26 -0.79
12/1/2020 -0.50 -0.25 -0.76
3/1/2021 -0.48 -0.24 -0.73
6/1/2021 -0.46 -0.22 -0.70
9/1/2021 -0.44 -0.21 -0.67
12/1/2021 -0.42 -0.20 -0.64
3/1/2022 -0.40 -0.19 -0.61
6/1/2022 -0.38 -0.18 -0.59
9/1/2022 -0.37 -0.17 -0.56
12/1/2022 -0.35 -0.16 -0.54
3/1/2023 -0.33 -0.15 -0.51
6/1/2023 -0.32 -0.15 -0.49
9/1/2023 -0.30 -0.14 -0.47
12/1/2023 -0.29 -0.13 -0.45
3/1/2024 -0.27 -0.12 -0.42
6/1/2024 -0.26 -0.11 -0.40
9/1/2024 -0.24 -0.11 -0.38
12/1/2024 -0.23 -0.10 -0.35
3/1/2025 -0.21 -0.09 -0.33
6/1/2025 -0.20 -0.08 -0.31
9/1/2025 -0.18 -0.07 -0.28
12/1/2025 -0.16 -0.07 -0.26

Author calculations.

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Last Update: September 22, 2017