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Finance and Economics Discussion Series: Data for FEDS 2012-57 ♣

Expectations about the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates

Jane Ihrig, Elizabeth Klee, Canlin Li, Brett Schulte, and Min Wei

Figure 1: LSAP I Select Assets of the Balance Sheet

Monthly Date SOMA Holdings LSAP I SOMA Holdings Counterfactual SOMA Treasury Holdings LSAP I SOMA Treasury Holdings Counterfactual SOMA Agency MBS Holdings LSAP I SOMA Agency MBS Holdings Counterfactual SOMA Treasury Ten Year Equivalents LSAP I SOMA Treasury Ten Year Equivalents Counterfactual
Oct-08 490.089143703 448.7272372 476.469143703 448.7272372 0 0 236.475987104158 235.432313972253
Nov-08 488.628462703 434.6142292 476.407462703 434.6142292 0 0 251.08467390795 233.443206601084
Dec-08 495.629242704 428.4751212 475.921242704 428.4751212 0 0 282.926641230755 229.711513635341
Jan-09 510.8709399569 421.7619822 475.129170704 421.7619822 7.3767692529 0 283.705509492735 226.278950265739
Feb-09 581.725905893 413.3149662 474.642924704 413.3149662 68.744981189 0 257.127155582175 224.083892046253
Mar-09 761.295233174 407.5493042 474.746240704 407.5493042 236.15599247 0 320.73944565946 220.341410473974
Apr-09 934.930981077546 402.8331802 521.123076 402.8331802 345.649905077546 0 329.394815682991 218.713516339855
May-09 1089.918719299 386.7932132 555.083109 386.7932132 455.082610298999 0 353.030051707201 215.190589649201
Jun-09 1262.28134428555 458.639895266017 601.375915 458.639895266017 564.279429285553 0 380.088209630968 221.306871860292
Jul-09 1426.39789759481 593.09524849398 647.261141 593.09524849398 673.221756594806 0 407.144790347 240.701319364944
Aug-09 1581.6938404534 620.049030292379 682.397129 620.049030292379 781.904711453401 0 431.057704575194 253.198448046619
Sep-09 1751.75113831863 732.378684514522 730.265283 732.378684514522 890.30985531863 0 457.379253493519 287.131044497442
Oct-09 1866.81533142204 588.099008405389 726.795479 588.099008405389 998.418852422036 0 458.723551605057 243.243451432261
Nov-09 1974.46068531484 616.548701250259 713.181206 616.548701250259 1106.21347931484 0 460.044897466087 256.486185368769
Dec-09 2082.84062035149 791.857192571162 709.285986 791.857192571162 1213.67563435149 0 456.709858701217 312.133550878875
Jan-10 2078.91972710309 817.17728260631 704.45938 817.17728260631 1210.78734710309 0 458.19184302481 327.227516651707
Feb-10 2066.6901455291 751.25193554669 692.463178 751.25193554669 1207.6939675291 0 455.505169847156 308.165325416333
Mar-10 2060.98071652437 897.749801224759 687.596077 897.749801224759 1204.39663952437 0 453.978320065962 356.303674024386
Apr-10 2046.79404075787 950.266153101552 676.994427766667 950.266153101552 1200.8966129912 0 452.742020956646 378.699795825426
May-10 2027.20736678395 923.487097279324 662.635123633333 923.487097279324 1197.19524315061 0 444.304165548244 371.76355597825
Jun-10 2011.91480006151 1014.85053598893 653.8588103 1014.85053598893 1193.29398976151 0 428.781569144761 392.971087622457
Jul-10 1993.85640421485 963.971654231013 645.280987966667 963.971654231013 1189.19441624818 0 423.541180620282 380.571910839572
Aug-10 1974.46522507005 947.8112523875 633.065036333333 947.8112523875 1184.89818873672 0 416.021147130182 376.485500375665
Sep-10 1958.43782620108 1017.03420399666 623.9257512 1017.03420399666 1180.40707500108 0 404.003135587675 396.534688480459
Oct-10 1947.24326651961 984.890512149488 621.8393232 984.890512149488 1175.72294331961 0 400.195353285297 389.479757988365
Nov-10 1936.14734984285 982.061614407156 617.1215886 982.061614407156 1170.84776124285 0 398.858176619727 389.003269917595
Dec-10 1907.65337445029 1109.58467196767 613.7382749 1109.58467196767 1146.45509955029 0 395.050632044353 429.466194055831
Jan-11 1878.13391895773 1161.05074247328 611.4474811 1161.05074247328 1122.06243785773 0 395.865740021337 451.579246845365
Feb-11 1847.50954296517 1001.74327859298 605.7207668 1001.74327859298 1097.66977616517 0 393.256902747762 397.23850952875
Mar-11 1807.74489667261 944.547082510538 601.9727822 944.547082510538 1073.27711447261 0 390.169139827263 385.438450994633
Apr-11 1761.93439964672 1022.12691661286 586.863946866667 1022.12691661286 1048.88445278005 0 389.576351207374 417.160673083167
May-11 1718.81122262082 944.755503975007 575.226431533333 944.755503975007 1024.49179108749 0 381.822342757885 390.470448569965
Jun-11 1679.41922759493 1003.84635513401 562.6160982 1003.84635513401 1000.09912939493 0 375.45511659883 404.891096098291
Jul-11 1638.96542156904 952.775493446187 550.823953866667 952.775493446187 975.706467702371 0 368.423834905069 392.129232668178
Aug-11 1597.84974854314 1001.2009623099 536.759942533333 1001.2009623099 951.313806009812 0 360.964976240631 409.537856127116
Sep-11 1560.64575351725 1048.88990377146 525.4566092 1048.88990377146 926.921144317252 0 874.560019880427 421.885702916923
Oct-11 1533.27658982469 1022.68704948167 523.0801072 1022.68704948167 902.528482624693 0 861.340705190764 418.131982978315
Nov-11 1499.64509463213 1040.91982304177 515.6002737 1040.91982304177 878.135820932134 0 852.011183547949 425.582155826046
Dec-11 1471.34004423957 1049.86397113094 513.602885 1049.86397113094 853.743159239575 0 846.104769674777 426.160458677918
Jan-12 1440.02404031368 1058.65224884981 508.9471261 1058.65224884981 829.350497547015 0 843.479369055951 434.180207775077
Feb-12 1403.84416808779 1067.45688209999 499.4274989 1067.45688209999 804.957835854456 0 834.039294474361 438.478497248616
Mar-12 1368.5993706619 1076.27794039249 490.8429465 1076.27794039249 780.565174161897 0 821.131865450758 442.389012912599
Apr-12 1332.56120996934 1085.11549353373 481.465030833333 1085.11549353373 756.172512469337 0 815.170511710816 452.249474913283
May-12 1299.20945927678 1093.03537370331 474.773525166667 1093.03537370331 731.779850776778 0 801.885403461875 455.655853791613
Jun-12 1265.96007458422 1100.63306057294 468.1843855 1100.63306057294 707.387189084219 0 787.123793856122 452.778376838212
Jul-12 1230.54626689166 1106.75698203399 459.430822833333 1106.75698203399 682.99452739166 0 775.584581138709 461.216092181031
Aug-12 1193.3544111991 1112.70233236219 448.899212166667 1112.70233236219 658.6018656991 0 758.964910807236 465.177602996432
Sep-12 1160.04927850654 1118.66453104675 442.2543245 1118.66453104675 634.209204006541 0 739.502099082418 464.573195471464
Oct-12 1139.17480564967 1124.64364969317 448.040096669025 1124.64364969317 609.816542313982 0 729.149210039679 470.171679039946
Nov-12 1146.46565554915 1130.63976021129 481.991191594394 1130.63976021129 585.423880621423 0 720.009398333304 473.440230833434
Dec-12 1153.76899399174 1136.65293481658 515.954775062877 1136.65293481658 561.031218928863 0 708.183627487947 472.876123617389
Jan-13 1160.96934486933 1142.65494665787 549.177954299694 1142.65494665787 536.638557236304 0 699.894346564339 477.267011355469
Feb-13 1167.66880366123 1148.15789245633 581.900241450822 1148.15789245633 512.245895543745 0 685.695797668537 479.436084565808
Mar-13 1174.38386091704 1153.67812083502 614.638127065852 1153.67812083502 487.853233851185 0 668.586073562929 482.026341290187
Apr-13 1181.09883449425 1159.21570524492 647.375929002287 1159.21570524492 463.460572158626 0 664.108181133702 484.872907737592
May-13 1187.80780267468 1164.77071944916 680.10772554195 1164.77071944916 439.067910466067 0 658.896557736728 487.282094238954
Jun-13 1194.51793308746 1170.34323752437 712.840684313951 1170.34323752437 414.675248773508 0 654.108113630365 483.179932976942
Jul-13 1201.21360511022 1175.933333862 745.559184695934 1175.933333862 390.282587080948 0 651.772957102759 486.162253857371
Aug-13 1207.90238565132 1181.54108316966 778.270793596264 1181.54108316966 365.889925388389 0 647.756768316013 489.978876518264
Sep-13 1214.58180507267 1187.16656047248 810.973041376835 1187.16656047248 341.49726369583 0 638.697387844175 489.142619316922
Oct-13 1221.25710377588 1192.80984111443 843.671168439279 1192.80984111443 317.104602003271 0 630.648998438018 491.285797426906
Nov-13 1227.94258456427 1198.47100075971 876.379477586897 1198.47100075971 292.711940310711 0 625.853848427923 494.009266586619
Dec-13 1234.64016402395 1204.15011539408 909.099885405795 1204.15011539408 268.319278618152 0 616.82359953317 493.095099910667
Jan-14 1241.47976528046 1209.97880407044 941.877481688203 1209.97880407044 243.926616925593 0 613.327351626068 495.408306555625
Feb-14 1248.33352442696 1215.8256006776 974.669235860592 1215.8256006776 219.533955233033 0 606.898440682443 496.932811025113
Mar-14 1255.20242561801 1221.69058217429 1007.47613207754 1221.69058217429 195.141293540474 0 598.246494569348 498.998928533559
Apr-14 1262.06994747239 1227.57382584627 1040.28164895781 1227.57382584627 170.748631847915 0 591.179779266145 501.06348300516
May-14 1268.94278581771 1233.47540930779 1078.83852994806 1233.47540930779 146.355970155356 0 585.177217263313 504.008475830653
Jun-14 1275.823087979 1239.39541050296 1117.4028747543 1239.39541050296 121.963308462796 0 579.272125961563 500.380735784081
Jul-14 1282.70625602708 1245.33390770714 1155.97008544732 1245.33390770714 97.5706467702371 0 572.166866507764 502.518750521173
Aug-14 1289.54540418893 1251.23982506434 1194.49327625411 1251.23982506434 73.1779850776778 0 565.27942981941 504.721723610646
Sep-14 1296.3503126907 1257.12347875239 1232.98222740082 1257.12347875239 48.7853233851185 0 554.127961338788 502.413122377491
Oct-14 1303.15727783848 1263.02586527724 1271.47323519354 1263.02586527724 24.3926616925592 0 545.980110507002 504.78654855722
Nov-14 1309.97762681773 1268.94706425345 1309.97762681773 1268.94706425345 -8.5265128291212e-14 0 540.278010348588 507.649790100953
Dec-14 1316.81287407549 1274.88715563393 1316.81287407549 1274.88715563393 0 0 539.594390496371 507.01418372885
Jan-15 1323.99562925236 1280.99749386724 1323.99562925236 1280.99749386724 0 0 542.301436684357 509.166560475378
Feb-15 1331.19683475222 1287.1268854315 1331.19683475222 1287.1268854315 0 0 544.726825548703 511.249567234836
Mar-15 1338.25035033181 1293.10771229419 1338.25035033181 1293.10771229419 0 0 542.403953188542 513.501370102911
Apr-15 1344.99777235988 1298.80802078503 1344.99777235988 1298.80802078503 0 0 548.400085336209 515.467745594597
May-15 1351.74210209961 1304.52762657072 1351.74210209961 1304.52762657072 0 0 553.598150406902 518.136119801599
Jun-15 1358.48114458778 1310.26661166475 1358.48114458778 1310.26661166475 0 0 558.090549468833 515.345524937162
Jul-15 1365.20917079908 1316.02505842918 1365.20917079908 1316.02505842918 0 0 562.618613074822 517.518214111264
Aug-15 1371.93541350205 1321.80304957612 1371.93541350205 1321.80304957612 0 0 567.975190834798 520.370585918907
Sep-15 1378.6599133207 1327.60066816919 1378.6599133207 1327.60066816919 0 0 568.995665470837 519.240868159146
Oct-15 1385.38569215445 1333.41799762504 1385.38569215445 1333.41799762504 0 0 570.047351136605 521.570554894389
Nov-15 1392.13052852607 1339.25512171483 1392.13052852607 1339.25512171483 0 0 573.808157097688 524.775010566244
Dec-15 1398.89527263924 1345.11212456576 1398.89527263924 1345.11212456576 0 0 573.639043721893 524.530376101022
Jan-16 1405.54584876999 1351.16305594176 1405.54584876999 1351.16305594176 0 0 576.229794032539 526.72106134768
Feb-16 1412.21640720205 1357.23403540742 1412.21640720205 1357.23403540742 0 0 579.871003156653 528.761499536896
Mar-16 1418.90753379838 1363.32514816713 1418.90753379838 1363.32514816713 0 0 580.341168645885 530.092015403573
Apr-16 1425.59709082911 1369.43647978739 1425.59709082911 1369.43647978739 0 0 583.91013539733 532.166977761129
May-16 1432.30192012253 1375.56811619836 1432.30192012253 1375.56811619836 0 0 587.433133856963 535.60602955311
Jun-16 1439.0211323441 1381.72014369539 1439.0211323441 1381.72014369539 0 0 590.050978254597 533.769965982036
Jul-16 1445.74081285758 1387.89264894061 1445.74081285758 1387.89264894061 0 0 593.352294504449 537.184536446903
Aug-16 1452.47627084806 1394.08571896443 1452.47627084806 1394.08571896443 0 0 596.192273021347 539.641092176195
Sep-16 1459.22719734074 1400.29944116718 1459.22719734074 1400.29944116718 0 0 595.348265459473 539.05860820754
Oct-16 1465.9875817379 1406.53390332061 1465.9875817379 1406.53390332061 0 0 596.81747859903 541.39438426798
Nov-16 1472.76939950999 1412.78919356951 1472.76939950999 1412.78919356951 0 0 601.487443714524 545.340424653374
Dec-16 1479.57245102394 1419.06540043329 1479.57245102394 1419.06540043329 0 0 601.988460636069 546.152078650407
Jan-17 1486.57136141422 1425.56267287863 1486.57136141422 1425.56267287863 0 0 605.473753532345 549.267776938463
Feb-17 1493.59163253567 1432.08104010788 1493.59163253567 1432.08104010788 0 0 607.665911795288 551.351925881337
Mar-17 1500.63335483731 1438.62059177387 1500.63335483731 1438.62059177387 0 0 608.207364829975 553.392446358956
Apr-17 1507.68313234534 1445.18141791047 1507.68313234534 1445.18141791047 0 0 610.97193695592 555.677225473433
May-17 1514.75403606835 1451.76360893416 1514.75403606835 1451.76360893416 0 0 615.160798251392 560.10462149954
Jun-17 1521.84568979147 1458.36725564571 1521.84568979147 1458.36725564571 0 0 618.059688164439 559.709422180938
Jul-17 1528.95051542272 1464.99244923181 1528.95051542272 1464.99244923181 0 0 619.604484387401 562.134161167826
Aug-17 1536.0772139243 1471.63928126667 1536.0772139243 1471.63928126667 0 0 625.049599008731 567.888462048631
Sep-17 1543.22598863503 1478.30784371369 1543.22598863503 1478.30784371369 0 0 624.624965987582 568.254642277609
Oct-17 1550.38678764095 1484.99822892714 1550.38678764095 1484.99822892714 0 0 626.121782871413 570.739374596256
Nov-17 1557.57012215406 1491.71052965375 1557.57012215406 1491.71052965375 0 0 631.343799458203 575.551134895532
Dec-17 1564.7735989402 1498.44483903447 1564.7735989402 1498.44483903447 0 0 632.710069897363 576.649319653694
Jan-18 1572.22188627512 1505.43131968782 1572.22188627512 1505.43131968782 0 0 636.426018828517 580.0260946896
Feb-18 1579.69299198643 1512.43999646635 1579.69299198643 1512.43999646635 0 0 640.696234978709 583.980829092034
Mar-18 1587.18701115069 1519.47096370362 1587.18701115069 1519.47096370362 0 0 641.855335349905 586.176981831059
Apr-18 1594.70137248664 1526.52431613407 1594.70137248664 1526.52431613407 0 0 645.158527649894 588.689159826337
May-18 1602.23713076712 1533.60014889476 1602.23713076712 1533.60014889476 0 0 650.652083798937 594.251068147484
Jun-18 1609.79200421033 1540.69855752711 1609.79200421033 1540.69855752711 0 0 653.865465777818 594.183157117949
Jul-18 1617.36394021395 1547.81963797857 1617.36394021395 1547.81963797857 0 0 656.487514888313 597.111251267826
Aug-18 1624.9577286598 1554.96348660436 1624.9577286598 1554.96348660436 0 0 661.710435401557 602.495946819732
Sep-18 1632.573252028 1562.13020016924 1632.573252028 1562.13020016924 0 0 662.105627594043 603.148072624901
Oct-18 1640.20875311895 1569.31987584918 1640.20875311895 1569.31987584918 0 0 663.945868304827 605.80842566545
Nov-18 1647.8679426764 1576.53261123319 1647.8679426764 1576.53261123319 0 0 669.326289703676 608.771973439762
Dec-18 1655.55072981684 1583.768504325 1655.55072981684 1583.768504325 0 0 670.783530604156 609.951284165353
Jan-19 1663.51880015363 1591.29223298886 1663.51880015363 1591.29223298886 0 0 674.034696258206 612.648252374411
Feb-19 1671.51085629824 1598.83931661933 1671.51085629824 1598.83931661933 0 0 677.735045530033 615.450986277836
Mar-19 1679.52699819154 1606.40985447501 1679.52699819154 1606.40985447501 0 0 679.187928175356 617.730060790978
Apr-19 1687.55496454601 1614.00394623636 1687.55496454601 1614.00394623636 0 0 682.605607211889 620.43788792761
May-19 1695.60452822444 1621.62169200748 1695.60452822444 1621.62169200748 0 0 684.809323198899 622.794682850982
Jun-19 1703.67537919754 1629.26319231791 1703.67537919754 1629.26319231791 0 0 688.111822688544 623.204272879538
Jul-19 1711.76801662881 1636.92854812444 1711.76801662881 1636.92854812444 0 0 690.663958748315 625.979767011943
Aug-19 1719.88251722635 1644.61786081293 1719.88251722635 1644.61786081293 0 0 694.310323236932 629.748746501141
Sep-19 1728.01906344686 1652.33123220014 1728.01906344686 1652.33123220014 0 0 695.19416458875 630.826772121646
Oct-19 1736.18040675957 1660.06876453552 1736.18040675957 1660.06876453552 0 0 697.407927283961 633.714116367873
Nov-19 1744.3666504857 1667.83056050311 1744.3666504857 1667.83056050311 0 0 700.48855946066 636.485138219296
Dec-19 1752.57789837695 1675.61672322334 1752.57789837695 1675.61672322334 0 0 702.052921412291 637.745317063526
Jan-20 1761.11732771477 1683.73162261552 1761.11732771477 1683.73162261552 0 0 705.268967665308 640.651130313009
Feb-20 1769.68197001986 1691.87109631786 1769.68197001986 1691.87109631786 0 0 708.069125514473 643.235590536944
Mar-20 1778.27193034626 1700.03524877118 1778.27193034626 1700.03524877118 0 0 709.745313335946 645.588096097565
Apr-20 1786.88115048331 1708.22418486019 1786.88115048331 1708.22418486019 0 0 713.413653868292 648.501487339179
May-20 1795.5113373445 1716.43800991532 1795.5113373445 1716.43800991532 0 0 716.470158495821 651.607140257176
Jun-20 1804.16272948399 1724.67682971469 1804.16272948399 1724.67682971469 0 0 719.793742625901 652.406114236744
Jul-20 1812.83151473588 1732.94075048595 1812.83151473588 1732.94075048595 0 0 722.675037691598 655.423948066217
Aug-20 1821.52184184473 1741.22987890825 1821.52184184473 1741.22987890825 0 0 726.572051031491 659.368616319736
Sep-20 1830.23408095639 1749.54432211409 1830.23408095639 1749.54432211409 0 0 728.064426353425 661.055283661385
Oct-20 1838.97238582653 1757.8841876913 1838.97238582653 1757.8841876913 0 0 730.572876582529 664.08971920793
Nov-20 1847.7368650625 1766.24958368497 1847.7368650625 1766.24958368497 0 0 733.873466483697 667.10805433822
Dec-20 1856.52762772414 1774.64061859936 1856.52762772414 1774.64061859936 0 0 736.13443433747 669.136687817923
Return to Figure 1

Figure 2: Selected Capital Ratios

Quarterly Date Federal Funds Rate LSAPI Federal Funds Rate Counterfactual 10 year Treasury Rate LSAPI 10 year Treasury Rate Counterfactual
Dec-08 0.507934782609 1.16244444444444 3.24075757576 3.67622222222222
Mar-09 0.125099999999 0.946 3.03354166666667 3.63711111111111
Jun-09 0.170208333333333 0.950222222222222 3.03354166666667 3.73888888888889
Sep-09 0.174791666666667 1.05266666666667 3.15479166666667 3.86088888888889
Dec-09 0.1875 1.27204545454545 3.27041666666667 3.99568181818182
Mar-10 0.270425531914894 1.68432432432432 3.44723404255319 4.15810810810811
Jun-10 0.477608695652174 1.93432432432432 3.64239130434783 4.3
Sep-10 0.785652173913044 2.18432432432432 3.82173913043478 4.5
Dec-10 1.08565217391304 2.43432432432432 4.07173913043478 4.63333333333333
Mar-11 1.38565217391304 2.68432432432432 4.32173913043478 4.72222222222222
Jun-11 1.68565217391304 2.93432432432432 4.5 4.9
Sep-11 1.98565217391304 3.18432432432432 4.5 4.9
Dec-11 2.3 3.43432432432432 4.5 4.9
Mar-12 2.6 3.68432432432432 4.6 5.05
Jun-12 2.9 3.93432432432432 4.7 5.125
Sep-12 3.2 4.18432432432432 4.8 5.2
Dec-12 3.3 4.3 4.9 5.2
Mar-13 3.5 4.4 5 5.3
Jun-13 3.7 4.4 5.1 5.3
Sep-13 3.9 4.4 5.2 5.3
Dec-13 3.9 4.4 5.2 5.3
Mar-14 4 4.4 5.3 5.3
Jun-14 4.1 4.4 5.3 5.3
Sep-14 4.2 4.4 5.3 5.3
Dec-14 4.2 4.4 5.3 5.3
Mar-15 4.2 4.4 5.3 5.3
Jun-15 4.2 4.4 5.3 5.3
Sep-15 4.2 4.4 5.3 5.3
Dec-15 4.2 4.4 5.3 5.3
Mar-16 4.2 4.4 5.3 5.3
Jun-16 4.2 4.4 5.3 5.3
Sep-16 4.2 4.4 5.3 5.3
Dec-16 4.2 4.4 5.3 5.3
Mar-17 4.2 4.4 5.3 5.3
Jun-17 4.2 4.4 5.3 5.3
Sep-17 4.2 4.4 5.3 5.3
Dec-17 4.2 4.4 5.3 5.3
Mar-18 4.2 4.4 5.3 5.3
Jun-18 4.2 4.4 5.3 5.3
Sep-18 4.2 4.4 5.3 5.3
Dec-18 4.2 4.4 5.3 5.3
Mar-19 4.2 4.4 5.3 5.3
Jun-19 4.2 4.4 5.3 5.3
Sep-19 4.2 4.4 5.3 5.3
Dec-19 4.2 4.4 5.3 5.3
Mar-20 4.2 4.4 5.3 5.3
Jun-20 4.2 4.4 5.3 5.3
Sep-20 4.2 4.4 5.3 5.3
Dec-20 4.2 4.4 5.3 5.3
Return to Figure 2

Figure 3: LSAP I - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) LSAP I
Mar-09 -38.0122
Jun-09 -37.4348
Sep-09 -35.7344
Dec-09 -33.1011
Mar-10 -29.696
Jun-10 -26.4837
Sep-10 -23.5248
Dec-10 -20.7129
Mar-11 -18.1374
Jun-11 -15.6381
Sep-11 -13.4527
Dec-11 -11.6032
Mar-12 -9.9886
Jun-12 -8.6488
Sep-12 -7.5643
Dec-12 -6.754
Mar-13 -6.1326
Jun-13 -5.6915
Sep-13 -5.3163
Dec-13 -5.0167
Mar-14 -4.7968
Jun-14 -4.6497
Sep-14 -4.5472
Dec-14 -4.5009
Mar-15 -4.4934
Jun-15 -4.4951
Sep-15 -4.4583
Dec-15 -4.4013
Mar-16 -4.3433
Jun-16 -4.2792
Sep-16 -4.1952
Dec-16 -4.108
Mar-17 -4.0176
Jun-17 -3.9242
Sep-17 -3.8166
Dec-17 -3.7095
Mar-18 -3.599
Jun-18 -3.4846
Sep-18 -3.3566
Dec-18 -3.2234
Mar-19 -3.0827
Jun-19 -2.9364
Sep-19 -2.7788
Dec-19 -2.6195
Mar-20 -2.4591
Jun-20 -2.2979
Sep-20 -2.1271
Dec-20 -1.9544
Return to Figure 3

Figure 4: Reinvestments into Treasury Securities - Select Assets of the Balance Sheet

Monthly Date SOMA Holdings LSAP I + reinvestments SOMA Holdings Prior to reinvesments SOMA Treasury Holdings LSAP I + reinvestments Prior to reinvesments SOMA Agency MBS Holdings LSAP I + reinvestments SOMA Agency MBS Holdings Prior to reinvesments SOMA Treasury Ten Year Equivalents LSAP I + reinvestments SOMA Treasury Ten Year Equivalents Prior to reinvesments
Oct-08 490.089143703 490.089143703 476.469143703 476.469143703 0 0 ND ND
Nov-08 488.628462703 488.628462703 476.407462703 476.407462703 0 0 ND ND
Dec-08 495.629242704 495.629242704 475.921242704 475.921242704 0 0 ND ND
Jan-09 510.8709399569 510.8709399569 475.129170704 475.129170704 7.3767692529 7.3767692529 ND ND
Feb-09 581.725905893 581.725905893 474.642924704 474.642924704 68.744981189 68.744981189 ND ND
Mar-09 761.295233174 761.295233174 474.746240704 474.746240704 236.15599247 236.15599247 ND ND
Apr-09 983.357601514 983.357601514 549.046188704 549.046188704 366.15341281 366.15341281 ND ND
May-09 1107.446599694 1107.446599694 600.141600704 600.141600704 427.55199899 427.55199899 ND ND
Jun-09 1217.044269154 1217.044269154 653.192674704 653.192674704 467.22559445 467.22559445 ND ND
Jul-09 1344.560576604 1344.560576604 695.757972704 695.757972704 542.8876039 542.8876039 ND ND
Aug-09 1485.134089134 1485.134089134 744.878291704 744.878291704 622.86379743 622.86379743 ND ND
Sep-09 1592.700516804 1592.700516804 769.159644704 769.159644704 692.3648721 692.3648721 ND ND
Oct-09 1690.228273174 1690.228273174 774.561007704 774.561007704 774.06626547 774.06626547 ND ND
Nov-09 1783.725674754 1783.725674754 776.535259704 776.535259704 852.12441505 852.12441505 ND ND
Dec-09 1844.722449984 1844.722449984 776.586540704 776.586540704 908.25690928 908.25690928 ND ND
Jan-10 1910.019698674 1910.019698674 776.618821704 776.618821704 969.72787697 969.72787697 ND ND
Feb-10 1975.641437604 1975.641437604 776.548894704 776.548894704 1032.5595429 1032.5595429 ND ND
Mar-10 2014.389928404 2014.389928404 776.704767704 776.704767704 1068.6971607 1068.6971607 ND ND
Apr-10 2042.036525804 2042.036525804 776.717142704 776.717142704 1096.4163831 1096.4163831 ND ND
May-10 2057.163833304 2057.163833304 776.877266704 776.877266704 1112.9095666 1112.9095666 ND ND
Jun-10 2059.877567404 2033.00840337649 776.988668704 753.1486309 1118.1268987 1115.09777247649 ND 371.589292305591
Jul-10 2053.876209204 2006.86691266821 777.021204704 749.7106419 1117.4740045 1097.77527076821 ND 367.837740269956
Aug-10 2044.167136504 1986.52254093227 784.498017704 742.6105236 1103.1671188 1087.41001733226 444.752487149595 364.162227369015
Sep-10 2037.441934604 1974.64619673486 861.892624809398 738.6270718 1021.4443097946 1081.91412493486 476.12644484024 356.56277258784
Oct-10 2037.441934604 1962.12560729513 897.255539981041 736.0176438 990.505394622959 1076.42696349513 493.178962056139 356.15137866568
Nov-10 2037.441934604 1949.04452446693 928.449533834798 729.9179092 960.814400769202 1070.94861526693 510.282890021336 354.665825926458
Dec-10 2013.0969842 1936.9347667887 918.402265101405 723.9955955 947.234719098595 1065.4791712887 497.283991386566 348.397234887927
Jan-11 2001.80588740628 1925.24553293004 915.009471301405 720.6028017 942.172416104875 1060.01873123004 497.749980605318 351.331689072207
Feb-11 1988.66155398974 1911.70449063144 907.424757001405 713.0180874 937.117796988338 1054.56740323144 494.292029464136 348.349836827739
Mar-11 1967.05787338053 1889.70540653731 902.491772401405 708.0851028 932.071100979123 1049.12530373731 486.288700871763 341.649668271302
Apr-11 1946.54274326656 1852.37202667612 893.324169701405 698.9175001 927.032573565159 1027.26852657612 486.279568579041 344.442777853497
May-11 1925.16108002613 1814.16369361493 884.065613801405 689.6589442 922.002466224725 1005.41174941492 482.4354115154 340.552411379445
Jun-11 1914.33803675635 1786.50530325373 880.653000601405 686.246331 916.981036154944 983.554972253731 473.076669962037 333.33305105946
Jul-11 1902.10862669792 1757.43160619254 877.705080701405 683.2984111 911.968545996514 961.698195092537 474.051047625009 336.804492802675
Aug-11 1889.18993056583 1727.31617323134 872.105424901405 677.6987553 907.30850566442 939.841417931343 471.175893590328 334.41555674303
Sep-11 1870.94657755316 1700.52674087015 860.006615396132 674.2741001 902.671962157024 917.984640770149 462.674028738097 327.38665829173
Oct-11 1858.05700173749 1674.03970830895 852.329854060016 670.2438447 898.059147677476 896.127863608955 458.031042165773 328.934165216801
Nov-11 1837.9990596428 1639.93081674776 838.620118993796 659.7507303 893.469940648999 874.271086447761 452.674120969726 327.255882634796
Dec-11 1810.37433637101 1610.53760268657 831.524352818862 654.1292934 874.855983552145 852.414309286567 442.949420594448 321.430859970859
Jan-12 1781.96305424082 1578.88350049204 823.994611118862 646.5995517 856.242026455291 830.557532125373 440.950987505648 324.150673445632
Feb-12 1746.59050851063 1540.26813469751 809.503605818862 632.1085464 837.628069358437 808.700754964178 436.964635052482 320.529975438891
Mar-12 1711.49702198044 1501.93182810298 795.291659718862 617.8966003 819.014112261582 786.843977802984 428.339571769524 312.213663194988
Apr-12 1672.96559445026 1460.15758050846 777.641772618862 600.2467132 800.400155164728 764.98720064179 426.453901320123 312.173960355121
May-12 1637.89621352007 1421.84537951393 763.453932118862 586.0588727 781.786198067874 743.130423480596 422.950135119307 308.528586891001
Jun-12 1601.75998788988 1382.4663338194 748.199246918862 570.8041875 763.17224097102 721.273646319402 410.501263571341 303.457518505918
Jul-12 1565.97712295969 1344.68843332487 733.297922418862 557.1506475 744.558283874166 699.416869158208 409.119683857549 303.679601920012
Aug-12 1525.40210892951 1301.77650883035 713.604448818862 538.3630835 725.944326777312 677.560091997014 405.004326042471 300.187161178966
Sep-12 1479.82850177085 1270.38858443582 688.912382090397 531.0995196 707.330369680457 655.70331483582 398.825267278797 292.797923376423
Oct-12 1447.29907427952 1242.48935274129 677.264495029247 527.3246484 688.716412583603 633.846537674626 392.799241860291 295.483193511925
Nov-12 1408.96414265895 1208.78257784677 659.811103838871 517.742234 670.102455486749 611.989760513432 387.645948204551 294.218316885383
Dec-12 1381.56073102237 1211.81723676572 653.289232632477 544.901253413481 651.488498389895 590.132983352238 378.952863697687 293.123580358322
Jan-13 1357.43753825885 1218.13315257318 649.410163632477 574.704113048804 632.874541293041 568.276206191044 378.540005402426 299.311866717731
Feb-13 1326.22834089533 1223.95133642966 638.445090032477 604.00924073314 614.260584196187 546.41942902985 375.689162257365 301.262905862673
Mar-13 1301.60394483181 1229.78814262812 634.064817732477 633.332990759465 595.646627099332 524.562651868656 364.196864463023 291.891850648707
Apr-13 1274.77018826829 1235.64365031353 627.475184932477 662.675442272732 577.032670002478 502.705874707462 363.361482945875 297.761714698693
May-13 1244.06601780477 1241.5179389672 617.015138232477 692.036674754261 558.418712905624 480.849097546268 361.035407798133 299.522459593477
Jun-13 1231.77467212652 1247.41108840824 624.96791631775 721.416768023165 539.80475580877 458.992320385074 354.056816541083 297.140900332942
Jul-13 1237.68857532702 1253.32317879501 651.125943281773 750.815802237793 521.190798711916 437.13554322388 356.585148329732 310.709984750666
Aug-13 1243.6218807973 1259.25429062652 677.303372515569 780.233857897163 502.576841615062 415.278766062686 358.392930861317 322.439685032819
Sep-13 1249.57467261385 1265.20450474391 703.500288095639 809.671015842416 483.962884518207 393.421988901492 350.66936884001 326.876088756073
Oct-13 1255.54703521751 1271.1739023319 729.71677446282 839.127357258266 465.348927421353 371.565211740298 352.294390833073 341.073225964528
Nov-13 1261.53905341502 1277.16256492023 755.952916423854 868.602963674463 446.734970324499 349.708434579104 354.026118705531 353.541877040644
Dec-13 1267.55081238063 1283.17057438517 782.208799152981 898.097916967259 428.121013227645 327.85165741791 351.092189777408 359.838248425501
Jan-14 1273.62557253748 1289.32955569512 808.44284974002 927.659008771739 409.507056130791 305.994880256716 354.596220965297 374.705661875344
Feb-14 1279.71948642893 1295.50804867958 834.696054061661 957.239612250722 390.893099033937 284.138103095522 359.108941817173 388.64229329841
Mar-14 1285.83263545836 1301.70613626315 860.968493521276 986.839810328824 372.279141937082 262.281325934328 367.719125766064 398.304163408744
Apr-14 1291.9651013751 1307.92390172289 887.260249868202 1016.45968628309 353.665184840228 240.424548773134 380.280596831211 413.498623709378
May-14 1298.11696627592 1314.16142868977 913.571405199209 1046.0993237445 335.051227743374 218.56777161194 393.153419624887 426.55720396595
Jun-14 1304.2883126065 1320.4188011502 939.902041959981 1075.75880669945 316.43727064652 196.710994450746 398.534982148147 431.689640193181
Jul-14 1310.47922316293 1326.69610344752 966.252242946593 1105.4382194913 297.823313549666 174.854217289552 409.082433674862 443.694904186414
Aug-14 1316.63862662911 1332.94226581949 992.570936842966 1135.0864923578 279.209356452812 152.997440128358 419.345010887417 454.593743457471
Sep-14 1322.77684374211 1339.16761056364 1018.86844438615 1164.71394759647 260.595399355957 131.140662967164 426.972579034424 457.569277257026
Oct-14 1328.93487558647 1345.41314033157 1045.1857666607 1194.36158785893 241.981442259103 109.283885805969 435.828154096027 469.487545963511
Nov-14 1335.11280637479 1351.67894090964 1071.52298787921 1224.02949893153 223.367485162249 87.4271086447755 447.055023518424 481.331969801805
Dec-14 1341.3107206776 1357.9650984488 1097.8801926122 1253.71776696522 204.753528065395 65.5703314835815 451.310338880005 487.465160255982
Jan-15 1347.58699610288 1364.42297362195 1123.24817513434 1294.9247526329 186.139570968541 43.7135543223874 460.477334719834 502.34983604712
Feb-15 1353.88264266936 1370.90137915805 1148.63552879768 1336.15226866353 167.525613871687 21.8567771611934 471.981068268941 518.846284731101
Mar-15 1360.03004208095 1377.23270330197 1173.87463530612 1377.23270330197 148.911656774833 -5.96855898038484e-13 477.144482738611 531.273947005093
Apr-15 1365.89724039595 1383.28499868748 1198.83354071797 1383.28499868748 130.297699677978 0 486.694686380691 533.708223624203
May-15 1371.78405300172 1389.35808731213 1228.58659613488 1389.35808731213 111.683742581124 0 501.75775315463 539.136805443567
Jun-15 1377.69056162449 1395.45205754719 1258.35934756879 1395.45205754719 93.0697854842701 0 512.191517377161 538.526570502923
Jul-15 1383.61684833098 1401.56699813951 1288.15187708643 1401.56699813951 74.455828387416 0 523.78400930745 540.680032662954
Aug-15 1389.56299552989 1407.7029982131 1317.96426709647 1407.7029982131 55.8418712905618 0 537.768850235004 545.309180339802
Sep-15 1395.52908597326 1413.86014727077 1347.79660035098 1413.86014727077 37.2279141937077 0 542.18584827156 541.492261735015
Oct-15 1401.51520275794 1420.03853519568 1377.6489599468 1420.03853519568 18.6139570968535 0 552.545874421905 543.69653685654
Nov-15 1407.52142932702 1426.23825225303 1407.52142932702 1426.23825225303 -6.03961325396085e-13 0 565.427363186838 547.381070378366
Dec-15 1413.54784947128 1432.45938909163 1413.54784947128 1432.45938909163 0 0 562.778932997629 545.758584986816
Jan-16 1419.67077402317 1438.87600202474 1419.67077402317 1438.87600202474 0 0 564.888477864906 548.167216820117
Feb-16 1425.81325443727 1445.31421719414 1425.81325443727 1445.31421719414 0 0 569.395378085586 552.530125458268
Mar-16 1431.97537056668 1451.77412640933 1431.97537056668 1451.77412640933 0 0 565.828242520461 544.428223724956
Apr-16 1438.15720259057 1458.25582187001 1438.15720259057 1458.25582187001 0 0 572.303380131524 549.953768763008
May-16 1444.35883101552 1464.75939616771 1444.35883101552 1464.75939616771 0 0 582.255998175458 559.055075491739
Jun-16 1450.58033667682 1471.28494228749 1450.58033667682 1471.28494228749 0 0 584.863181356308 564.085743226447
Jul-16 1456.82180073986 1477.83255360961 1456.82180073986 1477.83255360961 0 0 590.414533779816 569.457953454507
Aug-16 1463.08330470144 1484.40232391116 1463.08330470144 1484.40232391116 0 0 595.528806959279 574.448463367981
Sep-16 1469.36493039116 1490.99434736781 1469.36493039116 1490.99434736781 0 0 598.478600044298 572.918476629882
Oct-16 1475.66675997272 1497.60871855548 1475.66675997272 1497.60871855548 0 0 601.819890463001 575.549608356985
Nov-16 1481.98887594537 1504.24553245201 1481.98887594537 1504.24553245201 0 0 609.977472272353 581.91292842096
Dec-16 1488.33136114519 1510.90488443892 1488.33136114519 1510.90488443892 0 0 609.519793971283 581.353779265497
Jan-17 1494.68908519336 1517.78693037417 1494.68908519336 1517.78693037417 0 0 612.371461938558 585.344268287761
Feb-17 1501.06570296802 1524.69170638066 1501.06570296802 1524.69170638066 0 0 616.241519913784 588.630862491755
Mar-17 1507.46128846961 1531.6193090612 1507.46128846961 1531.6193090612 0 0 615.14841331765 584.26370192002
Apr-17 1513.87591598839 1538.56983542914 1513.87591598839 1538.56983542914 0 0 617.870908696964 586.993327430818
May-17 1520.3096601056 1545.54338291017 1520.3096601056 1545.54338291017 0 0 625.819844390841 594.259068924609
Jun-17 1526.76259569457 1552.54004934401 1526.76259569457 1552.54004934401 0 0 627.124582628186 598.125078951016
Jul-17 1533.23479792192 1559.55993298621 1533.23479792192 1559.55993298621 0 0 630.004372971102 600.724830433008
Aug-17 1539.72634224863 1566.60313250991 1539.72634224863 1566.60313250991 0 0 637.782565782541 608.097286381467
Sep-17 1546.23730443126 1573.6697470076 1546.23730443126 1573.6697470076 0 0 637.251057046803 606.184538428013
Oct-17 1552.76776052309 1580.75987599293 1552.76776052309 1580.75987599293 0 0 638.942422976201 608.720060585482
Nov-17 1559.31778687525 1587.87361940245 1559.31778687525 1587.87361940245 0 0 644.313640987547 613.706960779401
Dec-17 1565.88746013794 1595.01107759749 1565.88746013794 1595.01107759749 0 0 643.568932630083 613.738363625907
Jan-18 1572.70692634328 1602.40242044761 1572.70692634328 1602.40242044761 0 0 646.377929856574 617.244158648597
Feb-18 1579.54619366133 1609.81768008726 1579.54619366133 1609.81768008726 0 0 650.233185834579 621.117337372014
Mar-18 1586.40533964646 1617.2569581628 1586.40533964646 1617.2569581628 0 0 648.378157820524 617.061813149966
Apr-18 1593.28444215676 1624.72035675258 1593.28444215676 1624.72035675258 0 0 650.957153051525 619.730802073011
May-18 1600.18357935531 1632.20797836879 1600.18357935531 1632.20797836879 0 0 657.034179458117 625.729837084283
Jun-18 1607.10282971129 1639.71992595929 1607.10282971129 1639.71992595929 0 0 658.40649641418 629.695929383947
Jul-18 1614.04227200123 1647.25630290946 1614.04227200123 1647.25630290946 0 0 661.375709232719 632.740522277682
Aug-18 1621.00198531022 1654.8172130441 1621.00198531022 1654.8172130441 0 0 666.917319304475 638.239245914914
Sep-18 1627.98204903308 1662.40276062922 1627.98204903308 1662.40276062922 0 0 665.779930889802 638.033312583697
Oct-18 1634.98254287559 1670.01305037401 1634.98254287559 1670.01305037401 0 0 667.41169739297 640.755658728777
Nov-18 1642.00354685572 1677.64818743263 1642.00354685572 1677.64818743263 0 0 672.612643471655 646.303431668907
Dec-18 1649.04514130485 1685.30827740617 1649.04514130485 1685.30827740617 0 0 672.301242014643 646.819987947762
Jan-19 1656.37198631297 1693.25800578851 1656.37198631297 1693.25800578851 0 0 675.172865095685 649.934948336667
Feb-19 1663.71958339796 1701.23289963626 1663.71958339796 1701.23289963626 0 0 679.670180279811 654.436590641017
Mar-19 1671.08801383879 1709.23306590264 1671.08801383879 1709.23306590264 0 0 679.525144968054 651.464295003497
Apr-19 1678.47735923275 1717.25861199545 1678.47735923275 1717.25861199545 0 0 682.291819871622 654.335080266273
May-19 1685.88770149677 1725.30964577892 1685.88770149677 1725.30964577892 0 0 686.657872731583 658.357394445686
Jun-19 1693.31912286856 1733.38627557577 1693.31912286856 1733.38627557577 0 0 688.587677370854 662.830455088063
Jul-19 1700.77170590798 1741.48861016903 1700.77170590798 1741.48861016903 0 0 691.534484232783 665.797631110822
Aug-19 1708.24553349823 1749.61675880409 1708.24553349823 1749.61675880409 0 0 698.248542441067 672.422810905887
Sep-19 1715.74068884712 1757.77083119064 1715.74068884712 1757.77083119064 0 0 698.838220867434 672.79830751935
Oct-19 1723.25725548838 1765.95093750462 1723.25725548838 1765.95093750462 0 0 700.793020150783 675.724948449591
Nov-19 1730.7953172829 1774.15718839021 1730.7953172829 1774.15718839021 0 0 704.954124707203 680.107139096882
Dec-19 1738.35495842003 1782.38969496185 1738.35495842003 1782.38969496185 0 0 704.823911015766 680.677792209308
Jan-20 1746.24052977946 1790.95283516679 1746.24052977946 1790.95283516679 0 0 707.605600156733 684.090376802799
Feb-20 1754.14784985073 1799.54245470536 1754.14784985073 1799.54245470536 0 0 712.507340339429 688.999711988118
Mar-20 1762.07700381627 1808.15866611472 1762.07700381627 1808.15866611472 0 0 712.597511566203 686.379091268367
Apr-20 1770.02807719219 1816.80158241031 1770.02807719219 1816.80158241031 0 0 715.573890793743 689.471069219753
May-20 1778.0011558295 1825.47131708792 1778.0011558295 1825.47131708792 0 0 720.272190794559 693.856247184126
Jun-20 1785.99632591548 1834.16798412565 1785.99632591548 1834.16798412565 0 0 722.430607292328 698.558121604611
Jul-20 1794.01367397497 1842.89169798605 1794.01367397497 1842.89169798605 0 0 725.464231318581 701.67873756447
Aug-20 1802.0532868717 1851.6425736181 1802.0532868717 1851.6425736181 0 0 731.271827718906 706.950374982075
Sep-20 1810.11525180961 1860.42072645934 1810.11525180961 1860.42072645934 0 0 732.091956893722 707.90119756199
Oct-20 1818.1996563342 1869.22627243791 1818.1996563342 1869.22627243791 0 0 734.5668204106 711.050832235282
Nov-20 1826.30658833385 1878.05932797463 1826.30658833385 1878.05932797463 0 0 737.765379498613 714.210555487029
Dec-20 1834.43613604118 1886.92000998514 1834.43613604118 1886.92000998514 0 0 738.891883234462 715.821799901908
Return to Figure 4

Figure 5: Reinvestments into Treasury Securities - Interest Rates

Quarterly Date Federal Funds Rate LSAP I + reinvestments Federal Funds Rate Prior to reinvesments 10 year Treasury Rate LSAP I + reinvestments 10 year Treasury Rate Prior to reinvesments
Dec-08 ND ND ND ND
Mar-09 ND ND ND ND
Jun-09 ND ND ND ND
Sep-09 ND ND ND ND
Dec-09 ND ND ND ND
Mar-10 0.13 0.13 3.87 3.87
Jun-10 0.19 0.172173913043478 3.58173913043478 3.58173913043478
Sep-10 0.175212765957447 0.193913043478261 2.79085106382979 3.67521739130435
Dec-10 0.175851063829787 0.332826086956522 2.88574468085106 3.87867391304348
Mar-11 0.207340425531915 0.651739130434782 3.06574468085106 4.10608695652174
Jun-11 0.317553191489362 1.03933333333333 3.29957446808511 4.27577777777778
Sep-11 0.579521739130434 1.44688888888889 3.53282608695652 4.466
Dec-11 0.992717391304348 1.71688888888889 3.79913043478261 4.75
Mar-12 1.2 1.98688888888889 3.85 4.8
Jun-12 1.4 2.25688888888889 4 4.92
Sep-12 1.7 2.52688888888889 4.15 5.04
Dec-12 2 2.8 4.3 5.16
Mar-13 2.3 3.03 4.45 5.2
Jun-13 2.6 3.26 4.5 5.2
Sep-13 2.9 3.49 4.5 5.3
Dec-13 3.15 3.7 4.65 5.4
Mar-14 3.4 3.85 4.8 5.5
Jun-14 3.5 4 4.9 5.5
Sep-14 3.55 4.05 4.92 5.5
Dec-14 3.7 4.1 4.95 5.5
Mar-15 3.8 4.1 5 5.5
Jun-15 3.8 4.1 5 5.5
Sep-15 3.8 4.1 5 5.5
Dec-15 3.8 4.1 5.03 5.5
Mar-16 3.85 4.1 5.06 5.5
Jun-16 3.9 4.1 5.1 5.5
Sep-16 3.9 4.1 5.1 5.5
Dec-16 3.9 4.1 5.1 5.5
Mar-17 3.9 4.1 5.1 5.4
Jun-17 3.9 4.1 5.1 5.4
Sep-17 3.9 4.1 5.1 5.4
Dec-17 3.9 4.1 5.1 5.4
Mar-18 3.9 4.1 5.1 5.4
Jun-18 3.9 4.1 5.1 5.4
Sep-18 3.9 4.1 5.1 5.4
Dec-18 3.9 4.1 5.1 5.4
Mar-19 3.9 4.1 5.1 5.4
Jun-19 3.9 4.1 5.1 5.4
Sep-19 3.9 4.1 5.1 5.4
Dec-19 3.9 4.1 5.1 5.4
Mar-20 3.9 4.1 5.1 5.4
Jun-20 3.9 4.1 5.1 5.4
Sep-20 3.9 4.1 5.1 5.4
Dec-20 3.9 4.1 5.1 5.4
Return to Figure 5

Figure 6: Reinvestments into Treasury Securities - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) LSAP I + reinvestments Term Premium Effect (basis points) Prior to reinvesments
Mar-09 ND ND
Jun-09 ND ND
Sep-09 ND ND
Dec-09 ND ND
Mar-10 ND ND
Jun-10 ND ND
Sep-10 -29.5844 -23.5248
Dec-10 -26.8432 -20.7129
Mar-11 -24.3336 -18.1374
Jun-11 -21.7822 -15.6381
Sep-11 -19.3922 -13.4527
Dec-11 -17.1494 -11.6032
Mar-12 -15.068 -9.9886
Jun-12 -13.2453 -8.6488
Sep-12 -11.6678 -7.5643
Dec-12 -10.3139 -6.754
Mar-13 -9.1942 -6.1326
Jun-13 -8.2914 -5.6915
Sep-13 -7.5651 -5.3163
Dec-13 -7.0025 -5.0167
Mar-14 -6.5824 -4.7968
Jun-14 -6.2578 -4.6497
Sep-14 -5.974 -4.5472
Dec-14 -5.7384 -4.5009
Mar-15 -5.5676 -4.4934
Jun-15 -5.4578 -4.4951
Sep-15 -5.3697 -4.4583
Dec-15 -5.3209 -4.4013
Mar-16 -5.3007 -4.3433
Jun-16 -5.2821 -4.2792
Sep-16 -5.2169 -4.1952
Dec-16 -5.125 -4.108
Mar-17 -5.0166 -4.0176
Jun-17 -4.904 -3.9242
Sep-17 -4.7691 -3.8166
Dec-17 -4.6233 -3.7095
Mar-18 -4.4757 -3.599
Jun-18 -4.3322 -3.4846
Sep-18 -4.177 -3.3566
Dec-18 -4.0161 -3.2234
Mar-19 -3.8502 -3.0827
Jun-19 -3.679 -2.9364
Sep-19 -3.4936 -2.7788
Dec-19 -3.297 -2.6195
Mar-20 -3.0992 -2.4591
Jun-20 -2.8983 -2.2979
Sep-20 -2.686 -2.1271
Dec-20 -2.4668 -1.9544
Return to Figure 6

Figure 7: LSAP II - Select Assets of the Balance Sheet

Date Monthly SOMA Holdings LSAP I + LSAP II + reinvestments SOMA Holdings Prior to LSAP II SOMA Treasury Holdings LSAP I + LSAP II + reinvestments SOMA Treasury Holdings Prior to LSAP II SOMA Agency MBS Holdings LSAP I + LSAP II + reinvestments SOMA Agency MBS Holdings Prior to LSAP II SOMA Treasury Ten Year Equivalents LSAP I + LSAP II + reinvestments SOMA Treasury Ten Year Equivalents Prior to LSAP II
Oct-08 490.089143703 490.089143703 476.469143703 476.469143703 0 0 ND ND
Nov-08 488.628462703 488.628462703 476.407462703 476.407462703 0 0 ND ND
Dec-08 495.629242704 495.629242704 475.921242704 475.921242704 0 0 ND ND
Jan-09 510.8709399569 510.8709399569 475.129170704 475.129170704 7.3767692529 7.3767692529 ND ND
Feb-09 581.725905893 581.725905893 474.642924704 474.642924704 68.744981189 68.744981189 ND ND
Mar-09 761.295233174 761.295233174 474.746240704 474.746240704 236.15599247 236.15599247 ND ND
Apr-09 983.357601514 983.357601514 549.046188704 549.046188704 366.15341281 366.15341281 ND ND
May-09 1107.446599694 1107.446599694 600.141600704 600.141600704 427.55199899 427.55199899 ND ND
Jun-09 1217.044269154 1217.044269154 653.192674704 653.192674704 467.22559445 467.22559445 ND ND
Jul-09 1344.560576604 1344.560576604 695.757972704 695.757972704 542.8876039 542.8876039 ND ND
Aug-09 1485.134089134 1485.134089134 744.878291704 744.878291704 622.86379743 622.86379743 ND ND
Sep-09 1592.700516804 1592.700516804 769.159644704 769.159644704 692.3648721 692.3648721 ND ND
Oct-09 1690.228273174 1690.228273174 774.561007704 774.561007704 774.06626547 774.06626547 ND ND
Nov-09 1783.725674754 1783.725674754 776.535259704 776.535259704 852.12441505 852.12441505 ND ND
Dec-09 1844.722449984 1844.722449984 776.586540704 776.586540704 908.25690928 908.25690928 ND ND
Jan-10 1910.019698674 1910.019698674 776.618821704 776.618821704 969.72787697 969.72787697 ND ND
Feb-10 1975.641437604 1975.641437604 776.548894704 776.548894704 1032.5595429 1032.5595429 ND ND
Mar-10 2014.389928404 2014.389928404 776.704767704 776.704767704 1068.6971607 1068.6971607 ND ND
Apr-10 2042.036525804 2042.036525804 776.717142704 776.717142704 1096.4163831 1096.4163831 ND ND
May-10 2057.163833304 2057.163833304 776.877266704 776.877266704 1112.9095666 1112.9095666 ND ND
Jun-10 2059.877567404 2059.877567404 776.988668704 776.988668704 1118.1268987 1118.1268987 ND ND
Jul-10 2053.876209204 2053.876209204 777.021204704 777.021204704 1117.4740045 1117.4740045 ND ND
Aug-10 2044.167136504 2044.167136504 784.498017704 784.498017704 1103.1671188 1103.1671188 ND 444.752487149595
Sep-10 2044.313155604 2037.441934604 811.669015704 861.892624809398 1078.5391399 1021.4443097946 ND 476.12644484024
Oct-10 2038.566386704 2037.441934604 837.847967704 897.255539981041 1051.037419 990.505394622959 465.882044749182 493.178962056139
Nov-10 2045.47792762696 2037.441934604 925.211686719224 928.449533834798 972.088240907735 960.814400769202 517.092296377542 510.282890021336
Dec-10 2120.47792762696 2013.0969842 1016.91895879265 918.402265101405 956.098968834307 947.234719098595 562.291477220133 497.283991386566
Jan-11 2195.47792762696 2001.80588740628 1110.32700875605 915.009471301405 940.526918870908 942.172416104875 612.717175704909 497.749980605318
Feb-11 2270.47792762696 1988.66155398974 1201.00114608614 907.424757001405 925.357781540823 937.117796988338 662.524079343121 494.292029464136
Mar-11 2345.47792762696 1967.05787338053 1302.40530192562 902.491772401405 910.577625701337 932.071100979123 711.888883254895 486.288700871763
Apr-11 2420.47792762696 1946.54274326656 1398.11903120671 893.324169701405 896.172896420249 927.032573565159 770.443481602134 486.279568579041
May-11 2495.47792762696 1925.16108002613 1494.25451511672 884.065613801405 882.130412510238 922.002466224725 825.500876427543 482.4354115154
Jun-11 2548.64267772296 1914.33803675635 1563.37373323104 880.653000601405 868.564944491917 916.981036154944 852.187179584201 473.076669962037
Jul-11 2528.43823837088 1902.10862669792 1560.42581333104 877.705080701405 855.577425039833 911.968545996514 851.104401031005 474.051047625009
Aug-11 2515.15251020274 1889.18993056583 1554.82615753104 872.105424901405 850.550352671694 907.30850566442 848.172847179736 471.175893590328
Sep-11 2505.87533479632 1870.94657755316 1551.40150233104 860.006615396132 846.205832465272 902.671962157024 842.129118385467 462.674028738097
Oct-11 2496.92278772124 1858.05700173749 1547.37124693104 852.329854060016 841.883540790198 898.059147677476 846.391673470505 458.031042165773
Nov-11 2477.9240987585 1837.9990596428 1534.43173681673 838.620118993796 837.583361941766 893.469940648999 843.778345739168 452.674120969726
Dec-11 2463.74589308565 1810.37433637101 1526.4467104303 831.524352818862 833.305182655342 874.855983552145 827.069637909814 442.949420594448
Jan-12 2447.28485167581 1781.96305424082 1516.50954476218 823.994611118862 829.048890246964 856.242026455291 821.129639177654 440.950987505648
Feb-12 2423.95478310355 1746.59050851063 1499.68157715985 809.503605818862 824.814372610362 837.628069358437 806.778055819158 436.964635052482
Mar-12 2400.64889010273 1711.49702198044 1482.85612188873 795.291659718862 820.601518213996 819.014112261582 786.806181637421 428.339571769524
Apr-12 2374.07326886069 1672.96559445026 1462.73938609592 777.641772618862 816.410216098107 800.400155164728 780.524662114546 426.453901320123
May-12 2350.97026614356 1637.89621352007 1446.07382693845 763.453932118862 812.240355871782 781.786198067874 765.656828697507 422.950135119307
Jun-12 2314.18213620951 1601.75998788988 1428.47495441839 748.199246918862 795.31868179112 763.17224097102 747.089335144705 410.501263571341
Jul-12 2280.09155429551 1565.97712295969 1413.57362991839 733.297922418862 778.397007710457 744.558283874166 737.741262954303 409.119683857549
Aug-12 2241.20882328152 1525.40210892951 1393.88015631839 713.604448818862 761.475333629795 725.944326777312 733.578084922037 405.004326042471
Sep-12 2213.62183926752 1479.82850177085 1385.48242971839 688.912382090397 744.553659549133 707.330369680457 724.630354014044 398.825267278797
Oct-12 2189.94023605353 1447.29907427952 1380.99008391839 677.264495029247 727.631985468471 688.716412583603 726.679966060502 392.799241860291
Nov-12 2152.06744662039 1408.96414265895 1362.30655189925 659.811103838871 710.710311387809 670.102455486749 723.732988620418 387.645948204551
Dec-12 2118.6742586206 1381.56073102237 1348.10262131345 653.289232632477 693.788637307147 651.488498389895 708.626278941916 378.952863697687
Jan-13 2086.38583640448 1357.43753825885 1334.36603984467 649.410163632477 676.866963226485 632.874541293041 700.990456429162 378.540005402426
Feb-13 2045.5831782779 1326.22834089533 1312.11522246541 638.445090032477 659.945289145823 614.260584196187 687.94905012671 375.689162257365
Mar-13 2010.09746359279 1301.60394483181 1295.18134852763 634.064817732477 643.02361506516 595.646627099332 658.970598719025 364.196864463023
Apr-13 1969.72561387628 1274.77018826829 1273.36133955845 627.475184932477 626.101940984498 577.032670002478 648.793839701387 363.361482945875
May-13 1927.67945240565 1244.06601780477 1249.86701883515 617.015138232477 609.180266903836 558.418712905624 634.630422903768 361.035407798133
Jun-13 1896.30316665144 1231.77467212652 1237.04257382826 624.96791631775 592.258592823174 539.80475580877 615.940469607062 354.056816541083
Jul-13 1872.33400800411 1237.68857532702 1231.62525592826 651.125943281773 575.336918742512 521.190798711916 608.832625629347 356.585148329732
Aug-13 1843.70115105678 1243.6218807973 1221.54423972826 677.303372515569 558.41524466185 502.576841615062 606.178391620054 358.392930861317
Sep-13 1820.59446200945 1249.57467261385 1216.98939142826 703.500288095639 541.493570581188 483.962884518207 598.102414040527 350.66936884001
Oct-13 1798.00604826212 1255.54703521751 1212.95281842826 729.71677446282 524.571896500526 465.348927421353 599.471635620273 352.294390833073
Nov-13 1760.09964630514 1261.53905341502 1193.59825721861 755.952916423854 507.650222419864 446.734970324499 596.751513942648 354.026118705531
Dec-13 1725.4959202272 1267.55081238063 1177.546371888 782.208799152981 490.728548339201 428.121013227645 582.33270932197 351.092189777408
Jan-14 1686.01656397155 1273.62557253748 1156.53402304634 808.44284974002 473.806874258539 409.507056130791 574.347969619047 354.596220965297
Feb-14 1639.58139637954 1279.71948642893 1128.56586286833 834.696054061661 456.885200177877 390.893099033937 562.239396369102 359.108941817173
Mar-14 1598.6908720244 1285.83263545836 1106.14234592719 860.968493521276 439.963526097215 372.279141937082 550.585157457954 367.719125766064
Apr-14 1557.8525243214 1291.9651013751 1083.77100563818 887.260249868202 423.041852016553 353.665184840228 541.011059226368 380.280596831211
May-14 1513.15848316938 1298.11696627592 1057.54397190016 913.571405199209 406.120177935891 335.051227743374 529.516193611066 393.153419624887
Jun-14 1475.74565138174 1304.2883126065 1038.59814752651 939.902041959981 389.198503855229 316.43727064652 512.549710988174 398.534982148147
Jul-14 1453.09668586774 1310.47922316293 1034.41618942651 966.252242946593 372.276829774567 297.823313549666 506.326256278032 409.082433674862
Aug-14 1429.60213595375 1316.63862662911 1029.38864692651 992.570936842966 355.355155693905 279.209356452812 504.357863201018 419.345010887417
Sep-14 1409.27561213975 1322.77684374211 1027.52913052651 1018.86844438615 338.433481613242 260.595399355957 490.932727978893 426.972579034424
Oct-14 1387.47681202576 1328.93487558647 1024.19733782651 1045.1857666607 321.51180753258 241.981442259103 491.643891139354 435.828154096027
Nov-14 1351.85555020211 1335.11280637479 1007.04308341686 1071.52298787921 304.590133451918 223.367485162249 489.223488230242 447.055023518424
Dec-14 1317.18595899383 1341.3107206776 990.840499622569 1097.8801926122 287.668459371256 204.753528065395 476.503178006623 451.310338880005
Jan-15 1310.60582273585 1347.58699610288 1001.65978744526 1123.24817513434 270.746785290594 186.139570968541 471.72565778939 460.477334719834
Feb-15 1317.86451925115 1353.88264266936 1026.31790804122 1148.63552879768 253.825111209932 167.525613871687 467.744696353808 471.981068268941
Mar-15 1324.95058113088 1360.03004208095 1050.80339400161 1173.87463530612 236.90343712927 148.911656774833 459.833528740176 477.144482738611
Apr-15 1331.73459274001 1365.89724039595 1074.98682969141 1198.83354071797 219.981763048608 130.297699677978 457.365558585515 486.694686380691
May-15 1338.50449322608 1371.78405300172 1099.15615425813 1228.58659613488 203.060088967945 111.683742581124 454.126442602605 501.75775315463
Jun-15 1345.27780149835 1377.69056162449 1123.32888661106 1258.35934756879 186.138414887283 93.0697854842701 450.099830766732 512.191517377161
Jul-15 1352.06802281613 1383.61684833098 1147.51853200951 1288.15187708643 169.216740806621 74.455828387416 448.074756623787 523.78400930745
Aug-15 1358.86447538307 1389.56299552989 1171.71440865712 1317.96426709647 152.295066725959 55.8418712905618 450.776306701226 537.768850235004
Sep-15 1365.68043148775 1395.52908597326 1195.92978884245 1347.79660035098 135.373392645297 37.2279141937077 445.43807352431 542.18584827156
Oct-15 1372.51647499824 1401.51520275794 1220.16525643361 1377.6489599468 118.451718564635 18.6139570968535 449.068743401645 552.545874421905
Nov-15 1379.3305931701 1407.52142932702 1248.74383440042 1407.52142932702 101.530044483973 -6.03961325396085e-13 452.56734242282 565.427363186838
Dec-15 1386.13919961217 1413.54784947128 1277.31690063743 1413.54784947128 84.6083704033107 0 454.517453709657 562.778932997629
Jan-16 1393.01833685056 1419.67077402317 1305.96049767077 1419.67077402317 67.6866963226486 0 467.995461066422 564.888477864906
Feb-16 1399.87813393291 1425.81325443727 1334.58475454807 1425.81325443727 50.7650222419865 0 483.133146536617 569.395378085586
Mar-16 1406.73391847026 1431.97537056668 1363.20499888037 1431.97537056668 33.8433481613243 0 490.351269093749 565.828242520461
Apr-16 1413.58728481809 1438.15720259057 1391.82282502314 1438.15720259057 16.9216740806622 0 506.637930406271 572.303380131524
May-16 1420.42536351903 1444.35883101552 1420.42536351903 1444.35883101552 1.06581410364015e-13 0 526.972549596736 582.255998175458
Jun-16 1427.26068908006 1450.58033667682 1427.26068908006 1450.58033667682 0 0 531.112417926978 584.863181356308
Jul-16 1434.11590816938 1456.82180073986 1434.11590816938 1456.82180073986 0 0 533.60311968744 590.414533779816
Aug-16 1440.96557858385 1463.08330470144 1440.96557858385 1463.08330470144 0 0 539.3398333463 595.528806959279
Sep-16 1447.83525494571 1469.36493039116 1447.83525494571 1469.36493039116 0 0 535.6864573233 598.478600044298
Oct-16 1454.72502036295 1475.66675997272 1454.72502036295 1475.66675997272 0 0 538.979818379945 601.819890463001
Nov-16 1461.59852609865 1481.98887594537 1461.59852609865 1481.98887594537 0 0 552.382878372157 609.977472272353
Dec-16 1468.47214914712 1488.33136114519 1468.47214914712 1488.33136114519 0 0 555.512891619259 609.519793971283
Jan-17 1475.33780939119 1494.68908519336 1475.33780939119 1494.68908519336 0 0 563.708153350033 612.371461938558
Feb-17 1482.19588261209 1501.06570296802 1482.19588261209 1501.06570296802 0 0 571.825984003528 616.241519913784
Mar-17 1489.05433934432 1507.46128846961 1489.05433934432 1507.46128846961 0 0 580.789435006737 615.14841331765
Apr-17 1495.9181921267 1513.87591598839 1495.9181921267 1513.87591598839 0 0 588.120557764299 617.870908696964
May-17 1502.77772333724 1520.3096601056 1502.77772333724 1520.3096601056 0 0 599.630372456761 625.819844390841
Jun-17 1509.64560462836 1526.76259569457 1509.64560462836 1526.76259569457 0 0 604.0281385842 627.124582628186
Jul-17 1516.53048685238 1533.23479792192 1516.53048685238 1533.23479792192 0 0 604.611242411832 630.004372971102
Aug-17 1523.42695124237 1539.72634224863 1523.42695124237 1539.72634224863 0 0 612.53138127949 637.782565782541
Sep-17 1530.34305665282 1546.23730443126 1530.34305665282 1546.23730443126 0 0 610.559076320639 637.251057046803
Oct-17 1537.27888001107 1552.76776052309 1537.27888001107 1552.76776052309 0 0 613.394273996243 638.942422976201
Nov-17 1544.224213508 1559.31778687525 1544.224213508 1559.31778687525 0 0 621.434138778233 644.313640987547
Dec-17 1551.17884004983 1565.88746013794 1551.17884004983 1565.88746013794 0 0 622.708211956573 643.568932630083
Jan-18 1558.37116645006 1572.70692634328 1558.37116645006 1572.70692634328 0 0 627.710464932948 646.377929856574
Feb-18 1565.5687472331 1579.54619366133 1565.5687472331 1579.54619366133 0 0 633.300026925531 650.233185834579
Mar-18 1572.77523642365 1586.40533964646 1572.77523642365 1586.40533964646 0 0 633.582860650743 648.378157820524
Apr-18 1579.99105194842 1593.28444215676 1579.99105194842 1593.28444215676 0 0 637.980226751483 650.957153051525
May-18 1587.21217837696 1600.18357935531 1587.21217837696 1600.18357935531 0 0 645.924021239719 657.034179458117
Jun-18 1594.44455587511 1607.10282971129 1594.44455587511 1607.10282971129 0 0 648.533404163828 658.40649641418
Jul-18 1601.69716778259 1614.04227200123 1601.69716778259 1614.04227200123 0 0 650.018712378281 661.375709232719
Aug-18 1608.96710114954 1621.00198531022 1608.96710114954 1621.00198531022 0 0 655.828734329207 666.917319304475
Sep-18 1616.25761881254 1627.98204903308 1616.25761881254 1627.98204903308 0 0 654.315342589207 665.779930889802
Oct-18 1623.56880139343 1634.98254287559 1623.56880139343 1634.98254287559 0 0 657.068005886399 667.41169739297
Nov-18 1630.88000175629 1642.00354685572 1630.88000175629 1642.00354685572 0 0 666.012660399409 672.612643471655
Dec-18 1638.2026453754 1649.04514130485 1638.2026453754 1649.04514130485 0 0 668.26672483223 672.301242014643
Jan-19 1645.80121923724 1656.37198631297 1645.80121923724 1656.37198631297 0 0 673.626308269755 675.172865095685
Feb-19 1653.41186008324 1663.71958339796 1653.41186008324 1663.71958339796 0 0 680.221605105733 679.670180279811
Mar-19 1661.03359593026 1671.08801383879 1661.03359593026 1671.08801383879 0 0 682.110907492286 679.525144968054
Apr-19 1668.66826897149 1678.47735923275 1668.66826897149 1678.47735923275 0 0 687.05167030095 682.291819871622
May-19 1676.31592585276 1685.88770149677 1676.31592585276 1685.88770149677 0 0 693.140548286532 686.657872731583
Jun-19 1683.97590698871 1693.31912286856 1683.97590698871 1693.31912286856 0 0 697.16575226384 688.587677370854
Jul-19 1691.65729299801 1700.77170590798 1691.65729299801 1700.77170590798 0 0 699.539306473167 691.534484232783
Aug-19 1699.35897445322 1708.24553349823 1699.35897445322 1708.24553349823 0 0 706.648108253557 698.248542441067
Sep-19 1707.08222878165 1715.74068884712 1707.08222878165 1715.74068884712 0 0 706.260918041874 698.838220867434
Oct-19 1714.82714047704 1723.25725548838 1714.82714047704 1723.25725548838 0 0 709.176335880112 700.793020150783
Nov-19 1722.58479499726 1730.7953172829 1722.58479499726 1730.7953172829 0 0 716.438230357165 704.954124707203
Dec-19 1730.35722508708 1738.35495842003 1730.35722508708 1738.35495842003 0 0 718.699755187413 704.823911015766
Jan-20 1738.44890225363 1746.24052977946 1738.44890225363 1746.24052977946 0 0 724.285452312466 707.605600156733
Feb-20 1746.55164728626 1754.14784985073 1746.55164728626 1754.14784985073 0 0 731.337039223423 712.507340339429
Mar-20 1754.66933063393 1762.07700381627 1754.66933063393 1762.07700381627 0 0 733.599900716387 712.597511566203
Apr-20 1762.80418490187 1770.02807719219 1762.80418490187 1770.02807719219 0 0 738.832704703033 715.573890793743
May-20 1770.956414188 1778.0011558295 1770.956414188 1778.0011558295 0 0 745.431008079754 720.272190794559
Jun-20 1779.12653327836 1785.99632591548 1779.12653327836 1785.99632591548 0 0 749.733041544058 722.430607292328
Jul-20 1787.31908522811 1794.01367397497 1787.31908522811 1794.01367397497 0 0 752.214639715161 725.464231318581
Aug-20 1795.53139631569 1802.0532868717 1795.53139631569 1802.0532868717 0 0 758.261632649503 731.271827718906
Sep-20 1803.76631633085 1810.11525180961 1803.76631633085 1810.11525180961 0 0 758.213906638952 732.091956893722
Oct-20 1812.02393382522 1818.1996563342 1812.02393382522 1818.1996563342 0 0 761.322108666779 734.5668204106
Nov-20 1820.30367547155 1826.30658833385 1820.30367547155 1826.30658833385 0 0 764.548116886564 737.765379498613
Dec-20 1828.60539579566 1834.43613604118 1828.60539579566 1834.43613604118 0 0 765.837828518832 738.891883234462
Return to Figure 7

Figure 8: LSAP II - Interest Rates

Quarterly Date Federal Funds Rate LSAP I + LSAP II + reinvestments Federal Funds Rate Prior to LSAP II 10 year Treasury Rate LSAP I + LSAP II + reinvestments 10 year Treasury Rate Prior to LSAP II
Dec-08 ND ND ND ND
Mar-09 ND ND ND ND
Jun-09 ND ND ND ND
Sep-09 ND ND ND ND
Dec-09 ND ND ND ND
Mar-10 0.19 0.19 3.87 3.87
Jun-10 0.19 0.19 3.62 3.62
Sep-10 0.19 0.175212765957447 2.9 2.79085106382979
Dec-10 0.2 0.175851063829787 2.7 2.88574468085106
Mar-11 0.2 0.207340425531915 2.7 3.06574468085106
Jun-11 0.2 0.317553191489362 2.9 3.29957446808511
Sep-11 0.2 0.579521739130434 3.1 3.53282608695652
Dec-11 0.4 0.992717391304348 3.3 3.79913043478261
Mar-12 0.7 1.2 3.5 3.85
Jun-12 1.4 1.4 3.8 4
Sep-12 1.65 1.7 3.9167 4.15
Dec-12 1.95 2 4.0334 4.3
Mar-13 2.25 2.3 4.1501 4.45
Jun-13 2.55 2.6 4.2668 4.5
Sep-13 2.85 2.9 4.3835 4.5
Dec-13 3 3.15 4.5 4.65
Mar-14 3.15 3.4 4.6 4.8
Jun-14 3.3 3.5 4.7 4.9
Sep-14 3.45 3.55 4.8 4.92
Dec-14 3.5 3.7 4.9 4.95
Mar-15 3.6 3.8 4.95 5
Jun-15 3.7 3.8 5 5
Sep-15 3.8 3.8 5 5
Dec-15 3.85 3.8 5.05 5.03
Mar-16 3.9 3.85 5.1 5.06
Jun-16 3.9 3.9 5.1 5.1
Sep-16 3.9 3.9 5.1 5.1
Dec-16 3.9 3.9 5.1 5.1
Mar-17 3.9 3.9 5.15 5.1
Jun-17 3.9 3.9 5.2 5.1
Sep-17 3.9 3.9 5.2 5.1
Dec-17 3.9 3.9 5.2 5.1
Mar-18 3.9 3.9 5.2 5.1
Jun-18 3.9 3.9 5.2 5.1
Sep-18 3.9 3.9 5.2 5.1
Dec-18 3.9 3.9 5.2 5.1
Mar-19 3.9 3.9 5.2 5.1
Jun-19 3.9 3.9 5.2 5.1
Sep-19 3.9 3.9 5.2 5.1
Dec-19 3.9 3.9 5.2 5.1
Mar-20 3.9 3.9 5.2 5.1
Jun-20 3.9 3.9 5.2 5.1
Sep-20 3.9 3.9 5.2 5.1
Dec-20 3.9 3.9 5.2 5.1
Return to Figure 8

Figure 9: LSAP II - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) LSAP I + LSAP II + reinvestments Term Premium Effect (basis points) Prior to LSAP II
Mar-09 ND ND
Jun-09 ND ND
Sep-09 ND ND
Dec-09 ND ND
Mar-10 ND ND
Jun-10 ND ND
Sep-10 -39.6912 -26.8432
Dec-10 -37.0854 -24.3336
Mar-11 -33.9556 -21.7822
Jun-11 -30.5286 -19.3922
Sep-11 -27.264 -17.1494
Dec-11 -24.1071 -15.068
Mar-12 -21.1889 -13.2453
Jun-12 -18.5157 -11.6678
Sep-12 -16.0921 -10.3139
Dec-12 -13.8835 -9.1942
Mar-13 -11.9946 -8.2914
Jun-13 -10.3777 -7.5651
Sep-13 -8.9633 -7.0025
Dec-13 -7.7352 -6.5824
Mar-14 -6.7407 -6.2578
Jun-14 -5.9823 -5.974
Sep-14 -5.41 -5.7384
Dec-14 -5.0059 -5.5676
Mar-15 -4.7747 -5.4578
Jun-15 -4.6812 -5.3697
Sep-15 -4.7128 -5.3209
Dec-15 -4.8321 -5.3007
Mar-16 -4.9662 -5.2821
Jun-16 -5.0622 -5.2169
Sep-16 -5.154 -5.125
Dec-16 -5.2054 -5.0166
Mar-17 -5.2014 -4.904
Jun-17 -5.1454 -4.7691
Sep-17 -5.0864 -4.6233
Dec-17 -5.01 -4.4757
Mar-18 -4.9216 -4.3322
Jun-18 -4.8086 -4.177
Sep-18 -4.6924 -4.0161
Dec-18 -4.5525 -3.8502
Mar-19 -4.3909 -3.679
Jun-19 -4.2004 -3.4936
Sep-19 -4.0005 -3.297
Dec-19 -3.7841 -3.0992
Mar-20 -3.548 -2.8983
Jun-20 -3.2863 -2.686
Sep-20 -3.0198 -2.4668
Dec-20 -2.4668 -1.9544
Return to Figure 9

Figure 10: MEP & MBS Reinvestments - Select Assets of the Balance Sheet

Monthly Date SOMA Holdings LSAP I & LSAP II all reinvestments MEP SOMA Holdings LSAP I & LSAP II all reinvestments SOMA Holdings Prior to MBS reinvestments and MEP SOMA Treasury Holdings LSAP I & LSAP II all reinvestments MEP SOMA Treasury Holdings LSAP I & LSAP II all reinvestments SOMA Treasury Holdings Prior to MBS reinvestments and MEP SOMA Agency MBS Holdings LSAP I & LSAP II all reinvestments MEP SOMA Agency MBS Holdings LSAP I & LSAP II all reinvestments SOMA Agency MBS Holdings Prior to MBS reinvestments and MEP SOMA Treasury Ten Year Equivalents LSAP I & LSAP II all reinvestments MEP SOMA Treasury Ten Year Equivalents LSAP I & LSAP II all reinvestments SOMA Treasury Ten Year Equivalents Prior to MBS reinvestments and MEP
Oct-08 490.089143703 490.089143703 490.089143703 476.469143703 476.469143703 476.469143703 0 0 0 ND ND ND
Nov-08 488.628462703 488.628462703 488.628462703 476.407462703 476.407462703 476.407462703 0 0 0 ND ND ND
Dec-08 495.629242704 495.629242704 495.629242704 475.921242704 475.921242704 475.921242704 0 0 0 ND ND ND
Jan-09 510.8709399569 510.8709399569 510.8709399569 475.129170704 475.129170704 475.129170704 7.3767692529 7.3767692529 7.3767692529 ND ND ND
Feb-09 581.725905893 581.725905893 581.725905893 474.642924704 474.642924704 474.642924704 68.744981189 68.744981189 68.744981189 ND ND ND
Mar-09 761.295233174 761.295233174 761.295233174 474.746240704 474.746240704 474.746240704 236.15599247 236.15599247 236.15599247 ND ND ND
Apr-09 983.357601514 983.357601514 983.357601514 549.046188704 549.046188704 549.046188704 366.15341281 366.15341281 366.15341281 ND ND ND
May-09 1107.446599694 1107.446599694 1107.446599694 600.141600704 600.141600704 600.141600704 427.55199899 427.55199899 427.55199899 ND ND ND
Jun-09 1217.044269154 1217.044269154 1217.044269154 653.192674704 653.192674704 653.192674704 467.22559445 467.22559445 467.22559445 ND ND ND
Jul-09 1344.560576604 1344.560576604 1344.560576604 695.757972704 695.757972704 695.757972704 542.8876039 542.8876039 542.8876039 ND ND ND
Aug-09 1485.134089134 1485.134089134 1485.134089134 744.878291704 744.878291704 744.878291704 622.86379743 622.86379743 622.86379743 ND ND ND
Sep-09 1592.700516804 1592.700516804 1592.700516804 769.159644704 769.159644704 769.159644704 692.3648721 692.3648721 692.3648721 ND ND ND
Oct-09 1690.228273174 1690.228273174 1690.228273174 774.561007704 774.561007704 774.561007704 774.06626547 774.06626547 774.06626547 ND ND ND
Nov-09 1783.725674754 1783.725674754 1783.725674754 776.535259704 776.535259704 776.535259704 852.12441505 852.12441505 852.12441505 ND ND ND
Dec-09 1844.722449984 1844.722449984 1844.722449984 776.586540704 776.586540704 776.586540704 908.25690928 908.25690928 908.25690928 ND ND ND
Jan-10 1910.019698674 1910.019698674 1910.019698674 776.618821704 776.618821704 776.618821704 969.72787697 969.72787697 969.72787697 ND ND ND
Feb-10 1975.641437604 1975.641437604 1975.641437604 776.548894704 776.548894704 776.548894704 1032.5595429 1032.5595429 1032.5595429 ND ND ND
Mar-10 2014.389928404 2014.389928404 2014.389928404 776.704767704 776.704767704 776.704767704 1068.6971607 1068.6971607 1068.6971607 ND ND ND
Apr-10 2042.036525804 2042.036525804 2042.036525804 776.717142704 776.717142704 776.717142704 1096.4163831 1096.4163831 1096.4163831 ND ND ND
May-10 2057.163833304 2057.163833304 2057.163833304 776.877266704 776.877266704 776.877266704 1112.9095666 1112.9095666 1112.9095666 ND ND ND
Jun-10 2059.877567404 2059.877567404 2059.877567404 776.988668704 776.988668704 776.988668704 1118.1268987 1118.1268987 1118.1268987 ND ND ND
Jul-10 2053.876209204 2053.876209204 2053.876209204 777.021204704 777.021204704 777.021204704 1117.4740045 1117.4740045 1117.4740045 ND ND ND
Aug-10 2044.167136504 2044.167136504 2044.167136504 784.498017704 784.498017704 784.498017704 1103.1671188 1103.1671188 1103.1671188 ND ND ND
Sep-10 2044.313155604 2044.313155604 2044.313155604 811.669015704 811.669015704 811.669015704 1078.5391399 1078.5391399 1078.5391399 ND ND ND
Oct-10 2038.566386704 2038.566386704 2038.566386704 837.847967704 837.847967704 837.847967704 1051.037419 1051.037419 1051.037419 ND ND ND
Nov-10 2087.218951504 2087.218951504 2087.218951504 901.237795704 901.237795704 901.237795704 1037.8031558 1037.8031558 1037.8031558 ND ND ND
Dec-10 2155.702895544 2155.702895544 2155.702895544 1016.101804704 1016.101804704 1016.101804704 992.14109084 992.14109084 992.14109084 ND ND ND
Jan-11 2224.149009804 2224.149009804 2224.149009804 1114.447807704 1114.447807704 1114.447807704 965.0772021 965.0772021 965.0772021 ND ND ND
Feb-11 2315.745556474 2315.745556474 2315.745556474 1213.425214704 1213.425214704 1213.425214704 958.20134177 958.20134177 958.20134177 ND ND ND
Mar-11 2403.094575524 2403.094575524 2403.094575524 1333.444520704 1333.444520704 1333.444520704 937.15505482 937.15505482 937.15505482 ND ND ND
Apr-11 2466.674046934 2466.674046934 2466.674046934 1413.466578704 1413.466578704 1413.466578704 927.02146823 927.02146823 927.02146823 ND ND ND
May-11 2556.275618314 2556.275618314 2556.275618314 1519.327094704 1519.327094704 1519.327094704 917.85552361 917.85552361 917.85552361 ND ND ND
Jun-11 2642.617245284 2642.617245284 2642.617245284 1617.059837704 1617.059837704 1617.059837704 908.85340758 908.85340758 908.85340758 ND ND ND
Jul-11 2647.880712194 2647.880712194 2647.880712194 1638.161060704 1638.161060704 1638.161060704 897.28465149 897.28465149 897.28465149 ND ND ND
Aug-11 2646.834396414 2646.834396414 2646.834396414 1652.113360704 1652.113360704 1652.113360704 884.94503571 884.94503571 884.94503571 891.171281112109 891.171281112109 899.634028055419
Sep-11 2632.420414114 2632.420414114 2648.927029894 1665.19382915098 1665.19382915098 1681.70044493098 858.958584963022 858.958584963022 858.958584963022 901.720837632796 887.370261672913 895.212664877848
Oct-11 2610.96840330986 2610.96840330986 2648.927029894 1665.19382915098 1665.19382915098 1703.15245573511 838.106574158886 838.106574158886 838.106574158886 933.02742894994 884.471345680572 904.387444617503
Nov-11 2595.17208421566 2595.17208421566 2648.927029894 1665.19382915098 1665.19382915098 1725.38437807056 824.069255064684 824.069255064684 817.633651823443 974.826743375262 886.492153550928 917.046486303224
Dec-11 2594.83433426853 2594.83433426853 2648.927029894 1665.19382915098 1665.19382915098 1747.39599678376 825.646505117554 825.646505117554 797.537033110243 1001.43604415477 873.141815631888 914.433563090701
Jan-12 2598.32342040463 2598.32342040463 2648.927029894 1665.19382915098 1665.19382915098 1766.02234016315 831.403174586983 831.403174586983 781.17827306418 1041.04601686054 873.237132083926 923.515349200482
Feb-12 2600.9324166427 2600.9324166427 2648.927029894 1665.19382915098 1665.19382915098 1784.33667084958 836.279754158387 836.279754158387 765.131525711087 1078.38188571952 872.109646209749 931.223010019358
Mar-12 2601.38398015261 2601.38398015261 2648.927029894 1665.19382915098 1665.19382915098 1802.34236398179 838.99890100163 838.99890100163 749.393415912211 1103.44154423366 858.312775050312 927.046199266768
Apr-12 2601.82917703933 2601.82917703933 2648.927029894 1665.19382915098 1665.19382915098 1820.04285236314 841.711681221685 841.711681221685 733.960510864189 1145.26114587652 862.176814874116 940.018199419033
May-12 2602.26629337862 2602.26629337862 2648.927029894 1665.19382915098 1665.19382915098 1837.44162263834 844.416380894308 844.416380894308 718.829323922323 1179.61243178737 859.193691586266 945.801115526902
Jun-12 2602.6929743479 2602.6929743479 2648.927029894 1665.19382915098 1665.19382915098 1854.54221152701 847.11064519692 847.11064519692 703.996318366993 1203.21651434442 845.402352585626 940.553116256839
Jul-12 2603.10923479533 2603.10923479533 2648.927029894 1665.19382915098 1665.19382915098 1871.34820211651 849.794488977682 849.794488977682 689.457911110824 1202.15955278389 850.764914759012 954.8366614298
Aug-12 2603.51509375072 2603.51509375072 2648.927029894 1665.19382915098 1665.19382915098 1887.86322021636 852.467931266408 852.467931266408 675.210476344312 1200.90129903621 856.258108095581 968.674308073155
Sep-12 2603.91057439499 2603.91057439499 2648.927029894 1665.19382915098 1665.19382915098 1904.09093077619 855.130995244011 855.130995244011 661.250349117807 1186.91079150258 843.71845815457 962.652616943296
Oct-12 2604.29570650297 2604.29570650297 2648.927029894 1665.19382915098 1665.19382915098 1920.03503436949 857.783710685327 857.783710685327 647.573828857844 1188.70228794505 845.041501115601 972.690404766939
Nov-12 2604.67276454465 2604.67276454465 2648.927029894 1665.19382915098 1665.19382915098 1935.69926374472 860.428352060338 860.428352060338 634.177182815951 1185.73172601129 850.60511709872 984.294786339187
Dec-12 2605.04108410256 2605.04108410256 2648.927029894 1665.19382915098 1665.19382915098 1951.08738044579 863.064254951578 863.064254951578 621.056649448213 1169.4513562042 839.599632725475 978.838834673907
Jan-13 2607.82695706325 2607.82695706325 2648.927029894 1665.19382915098 1665.19382915098 1963.77533742599 867.480294578942 867.480294578942 609.998859134679 1163.32319683941 838.627724083368 982.236092631775
Feb-13 2612.84026933725 2612.84026933725 2648.927029894 1665.19382915098 1665.19382915098 1973.22876527109 874.123773519604 874.123773519604 602.17559795624 1157.68133794249 844.066309088415 990.574903360351
Mar-13 2619.03160629761 2619.03160629761 2648.927029894 1665.19382915098 1665.19382915098 1978.64120228677 881.945277146631 881.945277146631 598.393327607226 1137.95301299353 828.291340656224 977.458004464689
Apr-13 2597.98597389232 2583.40746188693 2610.12034473584 1641.42185415236 1626.84334214698 1945.23701595141 886.301786406619 886.301786406619 594.6209954511 1116.97299587433 808.12454719899 958.54549821646
May-13 2591.35931612722 2564.11233390304 2586.96280858905 1636.77337337116 1609.52639114698 1927.4716430371 885.953776089397 885.953776089397 590.858998885286 1105.83219134713 797.722263582368 945.956987807083
Jun-13 2581.68289428585 2545.48017158705 2568.89874103942 1633.48721594578 1597.28449324698 1914.78900831007 881.193678340075 881.193678340075 587.107732729352 1088.17821468212 781.303106296429 926.235140971493
Jul-13 2571.04503447064 2523.36807638817 2547.41077457764 1629.27693942945 1581.59998134698 1898.67135232271 876.396261707859 876.396261707859 583.367588921597 1083.52801019579 774.212269350479 917.650741707504
Aug-13 2560.91721451793 2503.25549192023 2526.56043055165 1625.61319904467 1567.95147644698 1883.1798076643 871.562348806586 871.562348806586 579.63895622069 1078.79576408423 767.41110946015 909.176758759896
Sep-13 2551.92966491808 2485.03214733005 2508.92916647714 1623.12538148917 1556.22786390113 1870.8954465645 866.692783428917 866.692783428917 575.922219912636 1063.40399104235 749.659039110624 888.702686760791
Oct-13 2541.73367625509 2463.2984506588 2485.95718250329 1618.69077080466 1540.25554520836 1852.48494548664 862.5615721171 862.5615721171 572.990903683318 1063.5378540805 744.589480456893 881.998824593577
Nov-13 2528.96739680393 2433.15952629247 2454.56004023763 1611.71747289372 1515.90960238226 1825.63433054872 858.398757243539 858.398757243539 570.074543022246 1057.61758649843 739.973637409154 874.055623325338
Dec-13 2516.87152553141 2405.88158224509 2426.09784223265 1605.44573259975 1494.45578931342 1801.70378074492 854.204792931666 854.204792931666 567.173061487723 1040.11817931547 723.219604537651 853.891815531385
Jan-14 2502.35940806641 2370.67261806302 2390.13960485664 1596.70358438647 1465.01679438308 1770.17755516068 849.980157013279 849.980157013279 564.286383029292 1036.23092642418 718.56967487876 846.807966226687
Feb-14 2485.61574912226 2328.09193414072 2346.96739549776 1585.76006514798 1428.23625016644 1731.4226301787 845.725350640952 845.725350640952 561.414431985731 1025.92590552932 708.149058855641 833.552820921754
Mar-14 2471.6630731587 2294.64224898548 2313.10379946249 1577.63717527837 1400.61635110515 1701.96166637943 841.440897880325 841.440897880325 558.557133083057 996.298870043134 679.756700409805 806.879974250469
Apr-14 2445.23986095075 2249.63156633505 2272.17456235304 1570.2893151096 1374.6810204939 1674.21436954255 823.910879174484 823.910879174484 546.920526143827 991.674113077013 674.496946380494 800.964474972354
May-14 2419.47047113189 2205.02557951208 2231.81777361088 1563.59527732991 1349.1503857101 1647.03952107295 806.380860468644 806.380860468644 535.283919204597 980.362771148357 663.850499847186 788.315322495415
Jun-14 2397.67453846688 2175.90623857133 2206.9758094043 1560.87469670408 1339.10639680853 1635.37949713894 788.850841762804 788.850841762804 523.647312265366 958.985641201545 644.16722286131 767.182870116544
Jul-14 2375.83744734986 2145.70923135086 2181.08401896347 1558.11295762622 1327.98474162723 1622.66964697066 771.320823056964 771.320823056964 512.010705326136 955.890658307336 642.75695897673 765.196395705661
Aug-14 2352.97983417858 2111.40115934622 2148.96606780515 1554.33069649412 1312.75202166176 1603.73363608491 753.790804351124 753.790804351124 500.374098386906 952.214010437185 637.064219338339 757.824548792654
Sep-14 2332.24703487489 2081.93406573404 2123.64341749979 1552.6732492296 1302.36028008875 1591.59292605212 736.260785645284 736.260785645284 488.737491447675 935.697883372133 618.625076175522 735.753905135776
Oct-14 2311.15585125609 2055.08181330927 2098.11335317324 1550.65741764998 1294.58337970316 1579.24480199813 718.730766939444 718.730766939444 477.100884508445 937.086537674963 618.155968096498 734.257094144834
Nov-14 2288.96178953683 2024.52287423682 2068.79163829568 1547.5387079699 1283.09979266988 1563.10502739313 701.200748233604 701.200748233604 465.464277569215 931.823314710363 615.437734939547 728.374554235488
Dec-14 2267.21971684719 1996.31070060461 2041.87425295616 1544.87198731943 1273.96297107684 1549.36958232617 683.670729527763 683.670729527763 453.827670629984 914.637341702929 600.505860507275 710.156714707673
Jan-15 2245.96688160991 1967.96603627614 2015.56314250449 1541.62692078799 1263.62607545422 1535.17282881374 666.140710821923 666.140710821923 442.191063690754 911.130151369306 598.580561520534 705.743247420031
Feb-15 2219.62502143958 1926.14784689206 1976.12874742562 1533.2928293235 1239.81565477597 1507.85279067409 648.610692116083 648.610692116083 430.554456751523 901.420835006369 590.366926364097 694.89460220421
Mar-15 2199.05633290376 1900.540401686 1953.33106682117 1530.73190949351 1232.21597827576 1497.16946700888 631.080673410243 631.080673410243 418.917849812293 880.987292856048 558.676839047045 655.855854535826
Apr-15 2176.4087640458 1872.61870588701 1928.35918054522 1526.09210934139 1222.30205118261 1484.31193767216 613.550654704403 613.550654704403 407.281242873063 876.690066341463 561.797504264512 660.573757517501
May-15 2142.46340301636 1831.80647529884 1891.04877818068 1510.1545170178 1199.49758930028 1459.11589224684 596.020635998563 596.020635998563 395.644635933832 866.773476799512 554.174397325114 651.16220180621
Jun-15 2108.61374952944 1796.02038502585 1858.80550326348 1494.31263223672 1181.71926773312 1438.98697426888 578.490617292723 578.490617292723 384.008028994602 847.396417082044 537.566954849979 633.20987628144
Jul-15 2078.97759893114 1764.19191670282 1830.56034490782 1482.68425034425 1167.89856811594 1422.85617285245 560.960598586883 560.960598586883 372.371422055372 842.948056312566 535.544626946203 630.319267475492
Aug-15 2044.83099050221 1727.05061145712 1794.90668919455 1466.54541062117 1148.76503157608 1399.31687407841 543.430579881042 543.430579881042 360.734815116141 838.774766607703 530.299175338275 623.455599104785
Sep-15 2021.77287472787 1699.004062717 1770.30821458837 1461.49506355267 1138.7262515418 1386.83275641146 525.900561175202 525.900561175202 349.098208176911 822.740162548587 519.556785961945 612.392063841093
Oct-15 1999.9276669273 1676.43402357772 1748.38540067027 1457.65762445794 1134.16398110835 1377.02429943259 508.370542469362 508.370542469362 337.46160123768 822.51155604969 518.891356067248 610.460957816303
Nov-15 1968.99109040382 1643.41642121674 1715.9424424153 1444.7288166403 1119.15414745322 1356.69569811685 490.840523763522 490.840523763522 325.82499429845 816.494037100417 516.343437196974 605.182492460862
Dec-15 1928.23310551501 1601.42970305473 1674.59969107938 1421.97860045732 1095.17519799704 1327.46730372016 473.310505057682 473.310505057682 314.18838735922 798.201522360706 501.255807100751 587.287652233648
Jan-16 1902.45612921333 1574.29410818026 1648.96124920812 1415.12864286148 1086.96662182842 1314.86246878813 455.780486351842 455.780486351842 302.551780419989 792.842908167788 498.795020985706 582.358267907883
Feb-16 1846.30868159632 1514.9770362412 1591.63036665351 1377.90821395032 1046.57656859519 1270.56519317275 438.250467646002 438.250467646002 290.915173480759 780.259628087919 489.259901794013 570.548891339539
Mar-16 1804.13000828933 1471.49164509153 1550.73057452382 1354.65655934917 1022.01819615137 1242.69900798229 420.720448940162 420.720448940162 279.278566541529 760.810042214034 472.884230035022 552.239848688738
Apr-16 1757.83678228349 1470.9943740681 1507.15509194037 1327.29035204917 1040.44794383378 1212.15713233807 403.190430234322 403.190430234322 267.641959602298 752.657795666308 473.835622474205 546.213333672339
May-16 1699.77759947765 1477.64395302376 1471.82002804286 1288.15818794917 1066.02454149528 1189.85567537979 385.660411528481 385.660411528481 256.005352663068 741.126528735385 473.727606403896 537.130509321522
Jun-16 1667.31868577181 1484.31436172154 1478.718987575 1274.62629294917 1091.6219688989 1209.78824185116 368.130392822641 368.130392822641 244.368745723837 726.166769203352 466.928296609608 528.880317664213
Jul-16 1638.14006736597 1491.00539627696 1485.63504424477 1264.37469324917 1117.24002216016 1229.73790546017 350.600374116801 350.600374116801 232.732138784607 721.098700899307 469.673952559493 530.301694401474
Aug-16 1605.88835156013 1497.69161747723 1492.54277813472 1251.04999614917 1142.85326206627 1249.67924628934 333.070355410961 333.070355410961 221.095531845377 718.213031927687 471.134732761364 530.38068665837
Sep-16 1581.22365845429 1504.39072402316 1499.45931467845 1245.31232174917 1168.47938731804 1269.62938977231 315.540336705121 315.540336705121 209.458924906146 703.94013858921 458.960103243344 516.337424816033
Oct-16 1556.25463615568 1511.11066096154 1506.38697122228 1239.2703181564 1194.12634296226 1289.59065325536 298.010317999281 298.010317999281 197.822317966916 702.359214947405 461.655479462259 517.706958183171
Nov-16 1513.35959110736 1517.83853496262 1513.31307074784 1215.30229181392 1219.78123566918 1309.55035972016 280.480299293441 280.480299293441 186.185711027686 695.943624974853 464.458079989357 518.384193579226
Dec-16 1482.91202461405 1524.58741265825 1520.2514450966 1203.78174402645 1245.45713207065 1329.52234100814 262.950280587601 262.950280587601 174.549104088455 681.043208666795 457.025043087981 508.621489422478
Jan-17 1480.7604199173 1531.34173731418 1527.18845816119 1220.14257470221 1270.72389209908 1349.07837767863 245.42026188176 245.42026188176 162.912497149225 680.38300846694 460.032681711332 509.560606728843
Feb-17 1487.91775013216 1538.10728149992 1534.13085817225 1245.81234028957 1296.00187165733 1368.63980129559 227.89024317592 227.89024317592 151.275890209994 678.072240996264 471.181125695716 508.218882765537
Mar-17 1495.09491022951 1544.89270738264 1541.08843146449 1271.50193575943 1321.29973291256 1388.21639819372 210.36022447008 210.36022447008 139.639283270764 666.980772748929 473.445944747316 497.698770951758
Apr-17 1502.2919778764 1551.69809283233 1548.0617382019 1297.21143877882 1346.61755373476 1407.80872853703 192.83020576424 192.83020576424 128.002676331534 667.451250729065 488.118655759363 498.385293499354
May-17 1509.50086840373 1558.51309832027 1555.04158523778 1322.93276467866 1371.94499459521 1427.40759917881 175.3001870584 175.3001870584 116.366069392303 666.682167950562 508.857419199821 502.970241262865
Jun-17 1516.72982272846 1565.3482200313 1562.03877249147 1348.6741543759 1397.29255167874 1447.02381003839 157.77016835256 157.77016835256 104.729462453073 660.567007999715 516.44786486179 509.059133914518
Jul-17 1523.97697067756 1572.20104962186 1569.0512557893 1374.43373769751 1422.6578166418 1466.65531694212 140.24014964672 140.24014964672 93.0928555138426 659.684200900111 529.978192711302 520.866772632771
Aug-17 1531.23808554008 1579.0661710939 1576.07372222894 1400.20728793254 1448.03537348635 1486.29680698766 122.71013094088 122.71013094088 81.4562485746122 662.15603615802 547.487226334085 537.582053904446
Sep-17 1538.51636058696 1585.94772726385 1583.11038629834 1426.20424835192 1473.63561502881 1506.15874466296 105.18011223504 105.18011223504 69.8196416353819 653.021064907245 549.139157786782 537.495852899058
Oct-17 1545.80781763566 1592.84971666742 1590.16251269387 1452.21439077312 1499.25628980489 1526.03614466438 87.6500935291996 87.6500935291996 58.1830346961515 654.918969811712 559.100397376742 546.986495954876
Nov-17 1553.11155097907 1599.77131077572 1597.22890433848 1478.23680948905 1524.89656928569 1545.92780991489 70.1200748233595 70.1200748233595 46.5464277569211 655.480648964519 575.935810183553 562.847416401554
Dec-17 1560.42764849422 1606.71349849141 1604.30992866123 1504.2715923767 1550.55744237389 1565.83410784353 52.5900561175195 52.5900561175195 34.9098208176908 649.558686897922 583.955231962086 569.842081604303
Jan-18 1567.98486483552 1613.90392777002 1611.63448698245 1530.54749409051 1576.46655702501 1585.98393977065 35.0600374116794 35.0600374116794 23.2732138784604 661.94035147438 599.426158537112 583.987395897926
Feb-18 1575.55102778224 1621.11031210644 1618.9704893863 1556.83234240974 1602.39162673393 1606.1452157804 17.5300187058393 17.5300187058393 11.6366069392301 681.428040897085 619.61174359057 602.784260435112
Mar-18 1583.12913831833 1628.33753297412 1626.3229111308 1583.12913831833 1628.33753297412 1626.3229111308 -8.31335000839317e-13 -8.31335000839317e-13 -2.98427949019242e-13 690.001818971024 627.702188080665 609.305101124635
Apr-18 1590.71949286862 1635.58567198281 1633.69191461613 1590.71949286862 1635.58567198281 1633.69191461613 0 0 0 698.543124119977 635.646317849105 618.007889804267
May-18 1598.31906784096 1642.85119861053 1641.07482587281 1598.31906784096 1642.85119861053 1641.07482587281 0 0 0 715.300020631714 651.755690180768 634.630552409374
Jun-18 1605.93113486929 1650.13780755891 1648.47556985205 1605.93113486929 1650.13780755891 1648.47556985205 0 0 0 716.328644044205 651.933372792511 635.557756025392
Jul-18 1613.5641630851 1657.44539181492 1655.89434723797 1613.5641630851 1657.44539181492 1655.89434723797 0 0 0 717.678793960836 655.645449244352 639.92870346503
Aug-18 1621.21589009053 1664.77104133056 1663.3281869919 1621.21589009053 1664.77104133056 1663.3281869919 0 0 0 728.753272006855 666.389473819764 651.728638867042
Sep-18 1628.88308705343 1672.1143994893 1670.77621768558 1628.88308705343 1672.1143994893 1670.77621768558 0 0 0 728.272985403325 664.721729923981 650.491082334937
Oct-18 1636.55971490902 1679.47917220392 1678.23961046627 1636.55971490902 1679.47917220392 1678.23961046627 0 0 0 733.0346745247 666.938148231506 653.961647062368
Nov-18 1644.23828034767 1686.85576388279 1685.70864701246 1644.23828034767 1686.85576388279 1685.70864701246 0 0 0 748.733532413608 681.553554352309 669.485721214662
Dec-18 1651.92727958726 1694.2539381934 1693.19355797153 1651.92727958726 1694.2539381934 1693.19355797153 0 0 0 748.609743866791 680.194509110377 669.013989731405
Jan-19 1659.89223690584 1701.93835911172 1700.96018569407 1659.89223690584 1701.93835911172 1700.96018569407 0 0 0 753.430817801674 683.927058235506 673.388412356526
Feb-19 1667.86890326995 1709.64453205682 1708.74471215377 1667.86890326995 1709.64453205682 1708.74471215377 0 0 0 766.454634157942 696.038997749826 686.045188733197
Mar-19 1675.85757994318 1717.37254222413 1716.54803474376 1675.85757994318 1717.37254222413 1716.54803474376 0 0 0 765.874591443656 694.281222110284 684.633863134748
Apr-19 1683.8586238519 1725.12247514277 1724.37029125604 1683.8586238519 1725.12247514277 1724.37029125604 0 0 0 770.225228131101 697.864505270213 688.645320089839
May-19 1691.87208633157 1732.89441667686 1732.21266014412 1691.87208633157 1732.89441667686 1732.21266014412 0 0 0 781.975494305184 708.176846970292 699.726095903873
Jun-19 1699.89711598824 1740.6884530268 1740.07503787566 1699.89711598824 1740.6884530268 1740.07503787566 0 0 0 784.19727802471 709.443897395777 701.371247159546
Jul-19 1707.94426919106 1748.50467073063 1747.95771122222 1707.94426919106 1748.50467073063 1747.95771122222 0 0 0 785.158840852632 713.274377064231 705.471986505875
Aug-19 1716.01269762658 1756.34196340212 1755.85967735841 1716.01269762658 1756.34196340212 1755.85967735841 0 0 0 805.731847681391 734.560205576257 727.480054529204
Sep-19 1724.09874561351 1764.19869287144 1763.7792920724 1724.09874561351 1764.19869287144 1763.7792920724 0 0 0 805.835622448192 734.018742297925 727.207964664302
Oct-19 1732.19743926004 1772.07786534769 1771.71751556841 1732.19743926004 1772.07786534769 1771.71751556841 0 0 0 811.057862417658 736.943496094169 731.075127181918
Nov-19 1740.30784028841 1779.97796775044 1779.67288929925 1740.30784028841 1779.97796775044 1779.67288929925 0 0 0 824.823239868536 749.481003901084 744.427450453589
Dec-19 1748.43136873496 1787.90068930795 1787.64718819111 1748.43136873496 1787.90068930795 1787.64718819111 0 0 0 825.46906489235 748.455911940804 744.215459071372
Jan-20 1756.87325970534 1796.15038497252 1795.94564857539 1756.87325970534 1796.15038497252 1795.94564857539 0 0 0 830.804118539115 752.243318459148 748.626348822065
Feb-20 1765.32603892572 1804.41883583861 1804.26030116746 1765.32603892572 1804.41883583861 1804.26030116746 0 0 0 840.200546949064 760.672790217551 757.626711014097
Mar-20 1773.79336717943 1812.71017267685 1812.59577469153 1773.79336717943 1812.71017267685 1812.59577469153 0 0 0 841.051268579268 759.662529602918 756.999773187675
Apr-20 1782.27648176327 1821.02448512395 1820.95248923102 1782.27648176327 1821.02448512395 1820.95248923102 0 0 0 845.828791668138 762.295168887575 760.107951207328
May-20 1790.77557938098 1829.36186316773 1829.33097429372 1790.77557938098 1829.36186316773 1829.33097429372 0 0 0 857.16331936403 772.026712758554 769.64937406254
Jun-20 1799.2908836834 1837.72239714843 1837.73137401632 1799.2908836834 1837.72239714843 1837.73137401632 0 0 0 860.347796800936 772.8929018777 770.961480550904
Jul-20 1807.82937403285 1846.10617776013 1846.15396676175 1807.82937403285 1846.10617776013 1846.15396676175 0 0 0 863.598192557621 777.403327851404 775.891257744284
Aug-20 1816.38897744267 1854.51053446858 1854.59599697599 1816.38897744267 1854.51053446858 1854.59599697599 0 0 0 872.127504984201 785.646405901007 784.988489803178
Sep-20 1824.9686579634 1862.93626686835 1863.05817800856 1824.9686579634 1862.93626686835 1863.05817800856 0 0 0 873.724197636176 786.096812792679 785.807434252803
Oct-20 1833.56453181296 1871.38552011828 1871.54129948135 1833.56453181296 1871.38552011828 1871.54129948135 0 0 0 879.0340234333 788.925009762073 789.654867981248
Nov-20 1842.17653811928 1879.85838634168 1880.04532934358 1842.17653811928 1879.85838634168 1880.04532934358 0 0 0 884.588179268211 792.580538924568 794.238392390143
Dec-20 1850.80305862746 1888.35495802271 1888.56951327796 1850.80305862746 1888.35495802271 1888.56951327796 0 0 0 887.277531805707 793.226100795851 795.7982886733
Return to Figure 10

Figure 11: MEP & MBS Reinvestments - Interest Rates

Quarterly Date Federal Funds Rate LSAP I & LSAP II all reinvestments MEP Federal Funds Rate LSAP I & LSAP II all reinvestments Federal Funds Rate Prior to MBS reinvestments and MEP 10 year Treasury Rate LSAP I & LSAP II all reinvestments MEP 10 year Treasury Rate LSAP I & LSAP II all reinvestments 10 year Treasury Rate Prior to MBS reinvestments and MEP
Dec-08 ND ND ND ND ND  
Mar-09 ND ND ND ND ND  
Jun-09 ND ND ND ND ND  
Sep-09 ND ND ND ND ND  
Dec-09 ND ND ND ND ND  
Mar-10 0.19 0.19 0.19 3.87 3.87 3.87
Jun-10 0.19 0.19 0.19 3.62 3.62 3.62
Sep-10 0.19 0.19 0.19 2.9 2.9 2.9
Dec-10 0.19 0.19 0.19 2.97 2.97 2.97
Mar-11 0.16 0.16 0.16 3.53 3.53 3.53
Jun-11 0.09 0.09 0.09 3.28 3.28 3.28
Sep-11 0.12 0.12 0.12 2.48645833333333 2.48645833333333 2.48645833333333
Dec-11 0.128958333333333 0.128958333333333 0.128958333333333 2.10875 2.49708333333333 2.49708333333333
Mar-12 0.139583333333333 0.139583333333333 0.139583333333333 2.25604166666667 2.65666666666667 2.65666666666667
Jun-12 0.146041666666667 0.146041666666667 0.146041666666667 2.40833333333333 2.79229166666667 2.79229166666667
Sep-12 0.152826086956522 0.152826086956522 0.152826086956522 2.55 2.94086956521739 2.94086956521739
Dec-12 0.178695652173913 0.178695652173913 0.178695652173913 2.74065217391304 3.10304347826087 3.10304347826087
Mar-13 0.178695652173913 0.178695652173913 0.178695652173913 2.79184210526316 3.12804347826087 3.12804347826087
Jun-13 0.2 0.2 0.2 2.92854210526316 3.15304347826087 3.15304347826087
Sep-13 0.22 0.22 0.22 3.06524210526316 3.17804347826087 3.17804347826087
Dec-13 0.5 0.5 0.5 3.2 3.2 3.2
Mar-14 0.825 0.825 0.825 3.4 3.4 3.4
Jun-14 1.15 1.15 1.15 3.6 3.6 3.6
Sep-14 1.475 1.475 1.475 3.8 3.8 3.8
Dec-14 1.8 1.8 1.8 4 4 4
Mar-15 2.05 2.05 2.05 4.15 4.15 4.15
Jun-15 2.3 2.3 2.3 4.3 4.3 4.3
Sep-15 2.55 2.55 2.55 4.45 4.45 4.45
Dec-15 2.8 2.8 2.8 4.6 4.6 4.6
Mar-16 2.95 2.95 2.95 4.65 4.65 4.65
Jun-16 3.1 3.1 3.1 4.7 4.7 4.7
Sep-16 3.25 3.25 3.25 4.75 4.75 4.75
Dec-16 3.4 3.4 3.4 4.8 4.8 4.8
Mar-17 3.475 3.475 3.475 4.85 4.83 4.83
Jun-17 3.55 3.55 3.55 4.9 4.86 4.86
Sep-17 3.625 3.625 3.625 4.9 4.89 4.89
Dec-17 3.7 3.7 3.7 4.9 4.9 4.9
Mar-18 3.7 3.7 3.7 4.85 4.87 4.87
Jun-18 3.7 3.7 3.7 4.8 4.84 4.84
Sep-18 3.7 3.7 3.7 4.8 4.81 4.81
Dec-18 3.7 3.7 3.7 4.8 4.8 4.8
Mar-19 3.7 3.7 3.7 4.8 4.8 4.8
Jun-19 3.7 3.7 3.7 4.8 4.8 4.8
Sep-19 3.7 3.7 3.7 4.8 4.8 4.8
Dec-19 3.7 3.7 3.7 4.8 4.8 4.8
Mar-20 3.7 3.7 3.7 4.8 4.8 4.8
Jun-20 3.7 3.7 3.7 4.8 4.8 4.8
Sep-20 3.7 3.7 3.7 4.8 4.8 4.8
Dec-20 3.7 3.7 3.7 4.8 4.8 4.8
Return to Figure 11

Figure 12: MEP & MBS Reinvestments - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) LSAP I & LSAP II all reinvestments MEP Term Premium Effect (basis points) LSAP I & LSAP II all reinvestments Term Premium Effect (basis points) Prior to MBS reinvestments and MEP
Mar-09 ND ND ND
Jun-09 ND ND ND
Sep-09 ND ND ND
Dec-09 ND ND ND
Mar-10 ND ND ND
Jun-10 ND ND ND
Sep-10 ND ND ND
Dec-10 ND ND ND
Mar-11 ND ND ND
Jun-11 ND ND ND
Sep-11 -64.0244 -47.4595 -44.4907
Dec-11 -61.2572 -44.2788 -41.2735
Mar-12 -58.2236 -41.2281 -38.145
Jun-12 -54.8579 -38.2448 -35.144
Sep-12 -51.1713 -35.3206 -32.2452
Dec-12 -47.5518 -32.4276 -29.4217
Mar-13 -43.9958 -29.5669 -26.6784
Jun-13 -40.5286 -26.7421 -24.035
Sep-13 -37.2345 -24.0877 -21.5971
Dec-13 -34.0786 -21.5977 -19.3316
Mar-14 -31.0446 -19.2438 -17.2167
Jun-14 -28.1966 -17.079 -15.2898
Sep-14 -25.5889 -15.153 -13.573
Dec-14 -23.1791 -13.4347 -12.0408
Mar-15 -20.964 -11.9056 -10.6797
Jun-15 -18.9777 -10.6308 -9.5695
Sep-15 -17.2037 -9.5358 -8.6052
Dec-15 -15.6181 -8.6129 -7.7835
Mar-16 -14.2194 -7.862 -7.1156
Jun-16 -13.039 -7.3072 -6.6257
Sep-16 -12.0593 -6.879 -6.2731
Dec-16 -11.2488 -6.5848 -6.0317
Mar-17 -10.6093 -6.4097 -5.8898
Jun-17 -10.1128 -6.3021 -5.8517
Sep-17 -9.7349 -6.1909 -5.8566
Dec-17 -9.4828 -6.1082 -5.8672
Mar-18 -9.3436 -6.0475 -5.8729
Jun-18 -9.21 -5.9885 -5.8585
Sep-18 -9.018 -5.8804 -5.7898
Dec-18 -8.8024 -5.7508 -5.6944
Mar-19 -8.5428 -5.5922 -5.5628
Jun-19 -8.2483 -5.4098 -5.4035
Sep-19 -7.9127 -5.1968 -5.2099
Dec-19 -7.5348 -4.9378 -4.9672
Mar-20 -7.1203 -4.6567 -4.6966
Jun-20 -6.6813 -4.3632 -4.4099
Sep-20 -6.2066 -4.0494 -4.1012
Dec-20 -5.7138 -3.7198 -3.773
Return to Figure 12

Figure 13: MEP II - Select Assets of the Balance Sheet

Monthly Date SOMA Holdings LSAPs I & II all reinvestments MEP I & II SOMA Holdings Prior to MEP extension SOMA Treasury Holdings LSAPs I & II all reinvestments MEP I & II SOMA Treasury Holdings Prior to MEP extension SOMA Agency MBS Holdings LSAPs I & II all reinvestments MEP I & II SOMA Agency MBS Holdings Prior to MEP extension SOMA Treasury Ten Year Equivalents LSAPs I & II all reinvestments MEP I & II SOMA Treasury Ten Year Equivalents Prior to MEP extension
Oct-08 490.086594703 490.086594703 476.466594703 476.466594703 0 0 ND ND
Nov-08 488.621892703 488.621892703 476.400892703 476.400892703 0 0 ND ND
Dec-08 495.629242704 495.629242704 475.921242704 475.921242704 0 0 ND ND
Jan-09 510.7882629569 510.7882629569 475.046493704 475.046493704 7.3767692529 7.3767692529 ND ND
Feb-09 581.67913381 581.67913381 474.594389704 474.594389704 68.846744106 68.846744106 ND ND
Mar-09 779.351869464 779.351869464 492.322697704 492.322697704 236.63617176 236.63617176 ND ND
Apr-09 983.179086384 983.179086384 549.054388704 549.054388704 365.96669768 365.96669768 ND ND
May-09 1113.515351174 1113.515351174 606.156404704 606.156404704 427.60594647 427.60594647 ND ND
Jun-09 1215.516661464 1215.516661464 656.465558704 656.465558704 462.42510276 462.42510276 ND ND
Jul-09 1354.066031554 1354.066031554 705.261594704 705.261594704 542.88943685 542.88943685 ND ND
Aug-09 1491.500337114 1491.500337114 747.246444704 747.246444704 624.91689241 624.91689241 ND ND
Sep-09 1592.700516804 1592.700516804 769.159644704 769.159644704 692.3648721 692.3648721 ND ND
Oct-09 1697.803502494 1697.803502494 776.507934704 776.507934704 774.33656779 774.33656779 ND ND
Nov-09 1783.761245474 1783.761245474 776.539524704 776.539524704 852.15572077 852.15572077 ND ND
Dec-09 1844.838384444 1844.838384444 776.588116704 776.588116704 908.37126774 908.37126774 ND ND
Jan-10 1910.415610344 1910.415610344 776.623392704 776.623392704 970.11921764 970.11921764 ND ND
Feb-10 1970.825759804 1970.825759804 776.536474704 776.536474704 1026.7782851 1026.7782851 ND ND
Mar-10 2014.389928404 2014.389928404 776.704767704 776.704767704 1068.6971607 1068.6971607 ND ND
Apr-10 2042.122941004 2042.122941004 776.717943704 776.717943704 1097.2929973 1097.2929973 ND ND
May-10 2057.135321004 2057.135321004 776.907907704 776.907907704 1113.5124133 1113.5124133 ND ND
Jun-10 2059.877567404 2059.877567404 776.988668704 776.988668704 1118.1268987 1118.1268987 ND ND
Jul-10 2053.994175004 2053.994175004 777.024725704 777.024725704 1117.5884493 1117.5884493 ND ND
Aug-10 2045.953761004 2045.953761004 786.283072704 786.283072704 1103.1686883 1103.1686883 ND ND
Sep-10 2044.313488604 2044.313488604 811.669348704 811.669348704 1078.5391399 1078.5391399 ND ND
Oct-10 2040.234986704 2040.234986704 839.516567704 839.516567704 1051.037419 1051.037419 ND ND
Nov-10 2081.469736804 2081.469736804 910.638654704 910.638654704 1022.6530821 1022.6530821 ND ND
Dec-10 2161.094183544 2161.094183544 1021.493092704 1021.493092704 992.14109084 992.14109084 ND ND
Jan-11 2238.302941804 2238.302941804 1128.601739704 1128.601739704 965.0772021 965.0772021 ND ND
Feb-11 2319.840141244 2319.840141244 1227.659021704 1227.659021704 948.93211954 948.93211954 ND ND
Mar-11 2410.095903524 2410.095903524 1340.445848704 1340.445848704 937.15505482 937.15505482 ND ND
Apr-11 2472.315885934 2472.315885934 1420.176417704 1420.176417704 927.02146823 927.02146823 ND ND
May-11 2567.250618314 2567.250618314 1530.302094704 1530.302094704 917.85552361 917.85552361 ND ND
Jun-11 2645.095285284 2645.095285284 1619.537877704 1619.537877704 908.85340758 908.85340758 ND ND
Jul-11 2647.925997194 2647.925997194 1638.206345704 1638.206345704 897.28465149 897.28465149 ND ND
Aug-11 2646.834396414 2646.834396414 1652.113360704 1652.113360704 884.94503571 884.94503571 ND ND
Sep-11 2643.811456554 2643.811456554 1664.660016704 1664.660016704 870.88343985 870.88343985 ND ND
Oct-11 2619.745987494 2619.745987494 1662.817020704 1662.817020704 849.26096679 849.26096679 ND ND
Nov-11 2604.999056564 2604.999056564 1672.038463704 1672.038463704 827.05159286 827.05159286 ND ND
Dec-11 2605.12391641 2605.12391641 1663.4464237 1663.4464237 837.68349271 837.68349271 ND ND
Jan-12 2597.45314889 2597.45314889 1659.9437867 1659.9437867 836.01136219 836.01136219 ND ND
Feb-12 2603.21270595 2603.21270595 1661.6007287 1661.6007287 840.79497725 840.79497725 ND ND
Mar-12 2594.40259177 2594.40259177 1661.1334657 1661.1334657 836.79112607 836.79112607 ND ND
Apr-12 2603.40166673 2603.40166673 1661.0263637 1661.0263637 847.80430303 847.80430303 ND ND
May-12 2606.43522482 2606.43522482 1661.4336197 1661.4336197 851.74960512 851.74960512 ND ND
Jun-12 2592.39012151077 2591.10867678062 1653.04130763016 1651.7598629 848.960313880616 848.960313880616 1193.45760970088 1197.90012260977
Jul-12 2591.58665866301 2590.30521364714 1653.04130791587 1651.7598629 850.42443408047 850.42443408047 1229.46153536973 1193.10785351756
Aug-12 2593.04937849731 2591.76793319572 1653.04130820159 1651.7598629 854.154736962391 854.154736962391 1262.35765552767 1192.47392912932
Sep-12 2594.47255308348 2593.19110749618 1653.0413084873 1651.7598629 857.845494596177 857.845494596177 1280.64501639562 1172.31698366828
Oct-12 2595.70003911941 2594.4185932464 1653.04130877302 1651.7598629 861.340563679729 861.340563679729 1321.42324014092 1174.43456749738
Nov-12 2596.88352016027 2595.60207407659 1653.04130898368 1651.7598629 864.791627843252 864.791627843252 1353.76546089399 1171.65640839455
Dec-12 2598.02342783333 2596.74262016393 1653.0406705694 1651.7598629 868.19975726393 868.19975726393 1369.59410416157 1155.10351151769
Jan-13 2599.75916259435 2598.47835492496 1653.0406705694 1651.7598629 871.565658691623 871.565658691623 1367.04858886388 1152.32385001504
Feb-13 2601.16661895843 2599.88581128903 1653.0406705694 1651.7598629 874.603281722368 874.603281722368 1361.34849403526 1150.04784565169
Mar-13 2602.24711734628 2600.96630967688 1653.0406705694 1651.7598629 877.31394677688 877.31394677688 1339.22897532701 1127.25691756149
Apr-13 2603.22492289679 2601.94411522739 1653.0406705694 1651.7598629 879.921918994057 879.921918994057 1337.48485789353 1128.60407103468
May-13 2604.16436861338 2602.88356094398 1653.0406705694 1651.7598629 882.491531377317 882.491531377317 1329.14917087606 1121.65723227153
Jun-13 2605.06738349562 2584.40964708422 1653.0406705694 1632.38293415799 885.024712926226 885.024712926226 1307.4399306775 1085.12584938071
Jul-13 2595.99903138975 2574.13083504393 1653.0406705694 1631.17247422358 877.58652748702 877.58652748702 1303.62443748295 1078.24329199951
Aug-13 2577.2078271431 2553.83151812476 1653.0406705694 1629.66436155106 860.425489907034 860.425489907034 1295.66207441408 1072.35333443089
Sep-13 2556.66311928927 2533.28563564803 1653.0406705694 1629.66318692816 841.510948719867 841.510948719867 1273.10499330479 1050.85992288344
Oct-13 2536.61377704417 2512.25758258756 1653.0406705694 1628.68447611279 823.091773141438 823.091773141438 1273.24664492835 1053.0093855507
Nov-13 2517.04411401821 2485.3389467222 1653.0406705694 1621.33550327338 805.152276782147 805.152276782147 1267.10684748498 1049.09286140851
Dec-13 2497.93883364235 2459.24035150821 1653.0406705694 1614.34218843526 787.677163072952 787.677163072952 1247.16486835007 1030.46355195088
Jan-14 2492.4780830126 2442.90828268034 1653.0406705694 1603.47087023713 783.761745776537 783.761745776537 1242.35888828266 1025.87074210806
Feb-14 2486.94456216493 2424.14986080708 1653.0406705694 1590.24596921155 779.773558262195 779.773558262195 1236.35681586441 1018.27901281968
Mar-14 2481.33930151895 2414.79202669332 1653.0406705694 1586.49339574376 775.713630949556 775.713630949556 1213.9615762791 994.248641863013
Apr-14 2475.66339527835 2397.44867084678 1653.0406705694 1574.82594613783 771.583058042282 771.583058042282 1212.69295757958 990.714106561873
May-14 2469.91800030128 2385.57381900108 1653.0406705694 1568.69648926919 767.382996398553 767.382996398553 1204.60527138935 981.511288788716
Jun-14 2452.38552120965 2366.86943595742 1653.0406705694 1567.52458531717 751.39585064025 751.39585064025 1180.62523783945 957.464989199591
Jul-14 2434.85304211801 2345.382848718 1653.0406705694 1563.57047716939 735.408704881947 735.408704881947 1176.15769178767 951.249189621672
Aug-14 2417.32056302637 2323.79804678547 1653.0406705694 1559.51815432849 719.421559123644 719.421559123644 1167.83624849393 946.054819339816
Sep-14 2399.78808393474 2305.88163002176 1653.0406705694 1559.13421665641 703.43441336534 703.43441336534 1144.07301350396 925.287951334066
Oct-14 2382.25560483317 2285.99379924721 1653.04067055947 1556.77886497351 687.447267607037 687.447267607037 1143.93879575626 927.647609761701
Nov-14 2364.4356014427 2265.09148415549 1652.75314626064 1553.40902897342 671.460121848734 671.460121848734 1137.49204038871 924.521513247212
Dec-14 2346.8856891307 2243.97910445935 1652.73571304027 1549.82912836892 655.472976090431 655.472976090431 1116.58931441474 906.665408287059
Jan-15 2330.39906846976 2223.33687336596 1652.71398813764 1545.65179303383 639.485830332128 639.485830332128 1115.09784520779 908.152992142916
Feb-15 2313.87559371193 2194.55982045851 1652.65540913811 1533.33963588469 623.498684573824 623.498684573824 1109.48646385894 901.028869595645
Mar-15 2297.39842196407 2175.23944863854 1652.64313314855 1530.48415982302 607.511538815521 607.511538815521 1090.39770787971 880.503525808418
Apr-15 2280.88516721917 2148.38144405055 1652.59477416195 1520.09105099333 591.524393057218 591.524393057218 1092.61290418556 880.445409189929
May-15 2264.3285507346 2113.76230175262 1652.50305343568 1501.93680445371 575.537247298915 575.537247298915 1087.30133465796 872.707700057712
Jun-15 2247.78785445776 2081.36658316008 1652.42725291715 1486.00598161947 559.550101540612 559.550101540612 1066.52297591492 850.257766892296
Jul-15 2231.25556109504 2053.81278093606 1652.35985531273 1474.91707515376 543.562955782308 543.562955782308 1064.78020364748 845.401190479423
Aug-15 2214.67806098134 2020.57221999293 1652.24725095733 1458.14140996893 527.575810024005 527.575810024005 1057.20267723974 839.57948308496
Sep-15 2198.17069121464 1999.1790116989 1652.20477694894 1453.2130974332 511.588664265702 511.588664265702 1033.51739031077 818.490109207075
Oct-15 2181.65335679099 1978.38344388315 1652.15233828359 1448.88242537575 495.601518507399 495.601518507399 1030.61941461919 818.35045749417
Nov-15 2163.11408556021 1949.5738756402 1650.07796281111 1436.5377528911 479.614372749096 479.614372749096 1024.43449937559 814.760471565896
Dec-15 2146.6491898019 1910.49446598906 1650.07796281111 1413.92323899827 463.627226990792 463.627226990792 1005.11667860419 796.329464113074
Jan-16 2122.9136085436 1886.62566706426 1643.72652731111 1407.43858583177 447.640081232489 447.640081232489 1000.30387390049 795.307863144206
Feb-16 2068.9120738853 1831.30639140983 1607.10913841111 1369.50345593565 431.652935474186 431.652935474186 991.101621894613 785.877802701154
Mar-16 2027.94075152699 1789.80721303895 1583.52196181111 1345.38842332307 415.665789715883 415.665789715883 970.383915448419 764.009391909359
Apr-16 1982.81839846869 1743.38764967807 1555.78375451111 1316.35300572049 399.67864395758 399.67864395758 966.522245026319 759.373105966268
May-16 1926.17708861039 1685.71041081439 1516.52659041111 1276.05991261511 383.691498199276 383.691498199276 957.810788738824 750.238372614278
Jun-16 1895.22604785208 1654.75937005608 1502.95969541111 1262.49301761511 367.704352440973 367.704352440973 938.012871797477 730.622986106677
Jul-16 1867.59030239378 1627.12362459778 1492.70809571111 1252.24141791511 351.71720668267 351.71720668267 933.1824944714 724.495363615995
Aug-16 1836.88145953548 1596.41478173948 1479.38339861111 1238.91672081511 335.730060924367 335.730060924367 924.641163628905 719.931483046216
Sep-16 1812.66997637717 1572.20329858117 1472.55606121111 1232.08938341511 319.742915166064 319.742915166064 901.253719523629 700.129879558814
Oct-16 1788.75682801887 1548.29015022287 1466.02705861111 1225.56038081511 303.75576940776 303.75576940776 896.309198816978 699.042802903765
Nov-16 1747.26280996057 1506.79613216457 1441.91718631111 1201.45050851511 287.768623649457 287.768623649457 887.438927710337 694.202929074472
Dec-16 1718.17684080226 1477.71016300627 1430.21536291111 1189.74868511511 271.781477891154 271.781477891154 867.799588945791 678.376725539649
Jan-17 1691.8707085773 1476.55342418592 1420.87879311111 1205.56150871974 255.794332132851 255.794332132851 862.88837780725 681.154840071011
Feb-17 1656.38232355233 1485.46106872417 1402.35997051111 1231.43871568296 239.807186374548 239.807186374548 857.602102698653 681.227660829999
Mar-17 1628.20040322736 1494.38276143008 1391.14761261111 1257.32997081384 223.820040616244 223.820040616244 841.128775697091 668.398878452842
Apr-17 1598.21498390239 1503.317389748 1378.13175571111 1283.23416155673 207.832894857941 207.832894857941 838.571797363531 670.495173248139
May-17 1550.58397847742 1512.25327546424 1347.47031271111 1309.13960969794 191.845749099638 191.845749099638 832.837633167308 671.51363679
Jun-17 1523.26094945245 1521.20405385511 1337.11684611111 1335.05995051377 175.858603341335 175.858603341335 817.816228540478 661.181206187339
Jul-17 1498.51913052748 1530.17153754766 1329.34458961111 1360.99699663129 159.871457583032 159.871457583032 814.143030986489 660.764762045186
Aug-17 1507.27121100825 1539.14763719373 1355.06623251686 1386.94265870234 143.884311824728 143.884311824728 819.615409045079 663.187240168539
Sep-17 1516.50634716126 1548.14273375163 1381.27093109483 1412.9073176852 127.897166066425 127.897166066425 803.411803103578 650.135521335965
Oct-17 1525.76250852505 1557.15865060566 1407.49665488359 1438.89279696421 111.910020308122 111.910020308122 803.681573605855 653.765792628513
Nov-17 1535.03132789693 1566.18549818273 1433.73503668044 1464.88920696625 95.9228745498189 95.9228745498189 803.417859186975 656.946555231599
Dec-17 1544.31503031015 1575.22588531119 1459.98830151864 1490.89915651967 79.9357287915157 79.9357287915157 793.218405610583 650.048935557748
Jan-18 1553.51522231297 1584.18114407353 1486.08361547023 1516.7495372308 63.9485830332125 63.9485830332125 793.918904709451 654.552383507835
Feb-18 1562.71954567194 1593.13745212288 1512.18306077798 1542.60096722892 47.9614372749093 47.9614372749093 794.63262154194 673.313403948301
Mar-18 1571.93704162424 1602.10546254078 1538.29567867907 1568.4640995956 31.9742915166061 31.9742915166061 786.078108906432 676.241268090404
Apr-18 1581.16620502203 1611.08338402301 1564.41996402564 1594.33714302661 15.9871457583029 15.9871457583029 789.749662052492 693.435321355667
May-18 1590.39290710884 1620.05452983205 1590.54178806122 1620.20341078443 0 0 792.076788123216 718.528367240164
Jun-18 1599.25449071369 1628.6591601607 1599.25449071369 1628.6591601607 0 0 782.46384121368 719.291144009975
Jul-18 1608.11868013959 1637.26450078861 1608.11868013959 1637.26450078861 0 0 780.935120029534 726.29048952329
Aug-18 1616.980387812 1645.87626993447 1616.980387812 1645.87626993447 0 0 779.885258770752 740.226853944318
Sep-18 1625.85412015049 1654.51060214117 1625.85412015049 1654.51060214117 0 0 775.157745766135 734.992975924958
Oct-18 1634.73258541681 1663.16115379161 1634.73258541681 1663.16115379161 0 0 784.720649344667 744.190192659434
Nov-18 1643.60341993188 1671.81126568625 1643.60341993188 1671.81126568625 0 0 803.807163475283 762.883288184484
Dec-18 1652.48371229602 1680.48048523181 1652.48371229602 1680.48048523181 0 0 805.415789525057 764.023234939188
Jan-19 1661.37853571891 1689.17393892087 1661.37853571891 1689.17393892087 0 0 809.755336845712 771.704933850321
Feb-19 1670.27870549913 1697.86911723567 1670.27870549913 1697.86911723567 0 0 824.228804878221 786.024314902411
Mar-19 1679.19992064029 1706.58452577571 1679.19992064029 1706.58452577571 0 0 821.050902164642 782.209224888914
Apr-19 1688.14077731342 1715.31848935091 1688.14077731342 1715.31848935091 0 0 828.408487494979 789.446773576981
May-19 1697.08992334314 1724.05759401196 1697.08992334314 1724.05759401196 0 0 842.630538165568 803.516803998863
Jun-19 1706.0649575841 1732.82258688425 1706.0649575841 1732.82258688425 0 0 841.182115709667 802.706882796788
Jul-19 1715.04900162226 1741.5965358475 1715.04900162226 1741.5965358475 0 0 845.775934096403 803.910960994598
Aug-19 1724.01528458065 1750.36383595786 1724.01528458065 1750.36383595786 0 0 868.640001389934 826.118776500411
Sep-19 1732.99237827103 1759.15734151342 1732.99237827103 1759.15734151342 0 0 866.166041132843 822.431999536252
Oct-19 1741.98155660824 1767.97715912036 1741.98155660824 1767.97715912036 0 0 870.557092226663 825.68795435911
Nov-19 1750.96572912853 1776.80188752934 1750.96572912853 1776.80188752934 0 0 887.147414224381 841.161914994183
Dec-19 1759.96320802226 1785.65314250487 1759.96320802226 1785.65314250487 0 0 885.455908120531 838.326187570748
Jan-20 1768.98532082204 1794.54145585943 1768.98532082204 1794.54145585943 0 0 886.775410011674 842.027833986885
Feb-20 1778.01973453181 1803.43983101595 1778.01973453181 1803.43983101595 0 0 896.662494090592 852.266554571082
Mar-20 1787.07898800137 1812.36304593227 1787.07898800137 1812.36304593227 0 0 893.094941075648 848.311223685698
Apr-20 1796.16317842937 1821.31119780703 1796.16317842937 1821.31119780703 0 0 896.476519694814 852.05712749336
May-20 1805.25655065467 1830.26567856862 1805.25655065467 1830.26567856862 0 0 909.606976861509 865.414726907083
Jun-20 1814.37505537819 1839.24529182843 1814.37505537819 1839.24529182843 0 0 912.104846835407 868.139881041392
Jul-20 1823.5055886039 1848.23647658546 1823.5055886039 1848.23647658546 0 0 919.091558654076 871.696088961223
Aug-20 1832.63195915921 1857.23000637745 1832.63195915921 1857.23000637745 0 0 937.412762105713 887.995441944652
Sep-20 1841.77416966773 1866.24896485603 1841.77416966773 1866.24896485603 0 0 937.982805927897 886.401456950554
Oct-20 1850.93339663757 1875.29345152433 1850.93339663757 1875.29345152433 0 0 943.277829610657 889.740509160846
Nov-20 1860.10750728025 1884.35967779917 1860.10750728025 1884.35967779917 0 0 950.791847596732 895.321561179472
Dec-20 1869.29989730014 1893.45163243956 1869.29989730014 1893.45163243956 0 0 953.163663418071 895.617438854791
Return to Figure 13

Figure 14: MEP II - Interest Rates

Quarterly Date Federal Funds Rate LSAPs I & II all reinvestments MEP I & II Federal Funds Rate Prior to MEP extension 10 year Treasury Rate LSAPs I & II all reinvestments MEP I & II 10 year Treasury Rate Prior to MEP extension
Dec-08 ND ND ND ND
Mar-09 ND ND ND ND
Jun-09 ND ND ND ND
Sep-09 ND ND ND ND
Dec-09 ND ND ND ND
Mar-10 0.133 0.133 3.866 3.866
Jun-10 0.193 0.193 3.617 3.617
Sep-10 0.187 0.187 2.897 2.897
Dec-10 0.187 0.187 2.966 2.966
Mar-11 0.157 0.157 3.529 3.529
Jun-11 0.093 0.093 3.276 3.276
Sep-11 0.083 0.083 2.484 2.484
Dec-11 0.073 0.073 2.094 2.094
Mar-12 0.133541666666666 0.133541666666666 2.25604166666667 2.25604166666667
Jun-12 0.136530612244898 0.136530612244898 1.96408163265306 1.96408163265306
Sep-12 0.138673469387755 0.138673469387755 2.07244897959184 2.07244897959184
Dec-12 0.143163265306122 0.143163265306122 2.25265306122449 2.25265306122449
Mar-13 0.152021276595745 0.152021276595745 2.39106382978723 2.39106382978723
Jun-13 0.187888888888889 0.187888888888889 2.54533333333333 2.54533333333333
Sep-13 0.19 0.19 2.69222222222222 2.69222222222222
Dec-13 0.5 0.5 2.84222222222222 2.84222222222222
Mar-14 0.5 0.5 2.99222222222222 2.99222222222222
Jun-14 0.75 0.75 3.14222222222222 3.14222222222222
Sep-14 0.75 0.75 3.3 3.3
Dec-14 1 1 3.5 3.5
Mar-15 1.25 1.25 3.8 3.8
Jun-15 1.5 1.5 4.05 4.05
Sep-15 1.75 1.75 4.25 4.25
Dec-15 2 2 4.3 4.3
Mar-16 2.5 2.5 4.35 4.35
Jun-16 2.75 2.75 4.4 4.4
Sep-16 3 3 4.45 4.45
Dec-16 3 3 4.5 4.5
Mar-17 3.25 3.25 4.6 4.6
Jun-17 3.25 3.25 4.6 4.6
Sep-17 3.25 3.25 4.65 4.65
Dec-17 3.25 3.25 4.7 4.7
Mar-18 3.5 3.5 4.75 4.75
Jun-18 3.5 3.5 4.8 4.8
Sep-18 3.5 3.5 4.8 4.8
Dec-18 3.5 3.5 4.8 4.8
Mar-19 3.6 3.6 4.9 4.9
Jun-19 3.6 3.6 4.9 4.9
Sep-19 3.6 3.6 4.9 4.9
Dec-19 3.6 3.6 4.9 4.9
Mar-20 3.6 3.6 4.9 4.9
Jun-20 3.6 3.6 4.9 4.9
Sep-20 3.6 3.6 4.9 4.9
Dec-20 3.6 3.6 4.9 4.9
Return to Figure 14

Figure 15: MEP II - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) LSAPs I & II all reinvestments MEP I & II Term Premium Effect (basis points) Prior to MEP extension
Mar-09 ND ND
Jun-09 ND ND
Sep-09 ND ND
Dec-09 ND ND
Mar-10 ND ND
Jun-10 ND ND
Sep-10 ND ND
Dec-10 ND ND
Mar-11 ND ND
Jun-11 ND ND
Sep-11 ND ND
Dec-11 ND ND
Mar-12 ND ND
Jun-12 -64.4728 -53.6318
Sep-12 -61.3439 -50.1951
Dec-12 -57.901 -46.6914
Mar-13 -54.1491 -43.2389
Jun-13 -50.3455 -39.8444
Sep-13 -46.614 -36.5321
Dec-13 -43.0322 -33.4115
Mar-14 -39.6599 -30.4917
Jun-14 -36.4368 -27.7281
Sep-14 -33.3469 -25.1183
Dec-14 -30.4604 -22.7149
Mar-15 -27.7747 -20.491
Jun-15 -25.2882 -18.4566
Sep-15 -22.9859 -16.6264
Dec-15 -20.8782 -15.0021
Mar-16 -18.9681 -13.5585
Jun-16 -17.2541 -12.3008
Sep-16 -15.7361 -11.2465
Dec-16 -14.413 -10.3823
Mar-17 -13.2874 -9.6865
Jun-17 -12.3435 -9.131
Sep-17 -11.5638 -8.7025
Dec-17 -10.929 -8.4006
Mar-18 -10.4252 -8.2111
Jun-18 -10.0435 -8.0874
Sep-18 -9.7593 -7.9496
Dec-18 -9.5174 -7.7759
Mar-19 -9.2359 -7.5552
Jun-19 -8.9116 -7.2875
Sep-19 -8.5494 -6.9849
Dec-19 -8.1413 -6.647
Mar-20 -7.6938 -6.2787
Jun-20 -7.2298 -5.8922
Sep-20 -6.7451 -5.4852
Dec-20 -6.215 -5.0456
Return to Figure 15

Figure 16: Current Projections - Select Assets of the Balance Sheet

Monthly Date SOMA Holdings Current Projection SOMA Holdings Counterfactual SOMA Treasury Holdings Current Projection SOMA Treasury Holdings Counterfactual SOMA Agency MBS Holdings Current Projection SOMA Agency MBS Holdings Counterfactual SOMA Treasury Ten Year Equivalents Current Projection SOMA Treasury Ten Year Equivalents Counterfactual
Oct-08 490.086594703 448.7272372 476.466594703 448.7272372 0 0 ND ND
Nov-08 488.621892703 434.6142292 476.400892703 434.6142292 0 0 ND ND
Dec-08 495.629242704 428.4751212 475.921242704 428.4751212 0 0 ND ND
Jan-09 510.7882629569 421.7619822 475.046493704 421.7619822 7.3767692529 0 ND ND
Feb-09 581.67913381 413.3149662 474.594389704 413.3149662 68.846744106 0 ND ND
Mar-09 779.351869464 407.5493042 492.322697704 407.5493042 236.63617176 0 ND ND
Apr-09 983.179086384 402.8331802 549.054388704 402.8331802 365.96669768 0 ND ND
May-09 1113.515351174 386.7932132 606.156404704 386.7932132 427.60594647 0 ND ND
Jun-09 1215.516661464 458.639895266017 656.465558704 458.639895266017 462.42510276 0 ND ND
Jul-09 1354.066031554 593.09524849398 705.261594704 593.09524849398 542.88943685 0 ND ND
Aug-09 1491.500337114 620.049030292379 747.246444704 620.049030292379 624.91689241 0 ND ND
Sep-09 1592.700516804 732.378684514522 769.159644704 732.378684514522 692.3648721 0 ND ND
Oct-09 1697.803502494 588.099008405389 776.507934704 588.099008405389 774.33656779 0 ND ND
Nov-09 1783.761245474 616.548701250259 776.539524704 616.548701250259 852.15572077 0 ND ND
Dec-09 1844.838384444 791.857192571162 776.588116704 791.857192571162 908.37126774 0 ND ND
Jan-10 1910.415610344 817.17728260631 776.623392704 817.17728260631 970.11921764 0 ND ND
Feb-10 1970.825759804 751.25193554669 776.536474704 751.25193554669 1026.7782851 0 ND ND
Mar-10 2014.389928404 897.749801224759 776.704767704 897.749801224759 1068.6971607 0 ND ND
Apr-10 2042.122941004 950.266153101552 776.717943704 950.266153101552 1097.2929973 0 ND ND
May-10 2057.135321004 923.487097279324 776.907907704 923.487097279324 1113.5124133 0 ND ND
Jun-10 2059.877567404 1014.85053598893 776.988668704 1014.85053598893 1118.1268987 0 ND ND
Jul-10 2053.994175004 963.971654231013 777.024725704 963.971654231013 1117.5884493 0 ND ND
Aug-10 2045.953761004 947.8112523875 786.283072704 947.8112523875 1103.1686883 0 ND ND
Sep-10 2044.313488604 1017.03420399666 811.669348704 1017.03420399666 1078.5391399 0 ND ND
Oct-10 2040.234986704 984.890512149488 839.516567704 984.890512149488 1051.037419 0 ND ND
Nov-10 2081.469736804 982.061614407156 910.638654704 982.061614407156 1022.6530821 0 ND ND
Dec-10 2161.094183544 1109.58467196767 1021.493092704 1109.58467196767 992.14109084 0 ND ND
Jan-11 2238.302941804 1161.05074247328 1128.601739704 1161.05074247328 965.0772021 0 ND ND
Feb-11 2319.840141244 1001.74327859298 1227.659021704 1001.74327859298 948.93211954 0 ND ND
Mar-11 2410.095903524 944.547082510538 1340.445848704 944.547082510538 937.15505482 0 ND ND
Apr-11 2472.315885934 1022.12691661286 1420.176417704 1022.12691661286 927.02146823 0 ND ND
May-11 2567.250618314 944.755503975007 1530.302094704 944.755503975007 917.85552361 0 ND ND
Jun-11 2645.095285284 1003.84635513401 1619.537877704 1003.84635513401 908.85340758 0 ND ND
Jul-11 2647.925997194 952.775493446187 1638.206345704 952.775493446187 897.28465149 0 ND ND
Aug-11 2646.834396414 1001.2009623099 1652.113360704 1001.2009623099 884.94503571 0 ND ND
Sep-11 2643.811456554 1048.88990377146 1664.660016704 1048.88990377146 870.88343985 0 ND ND
Oct-11 2619.745987494 1022.68704948167 1662.817020704 1022.68704948167 849.26096679 0 ND ND
Nov-11 2604.999056564 1040.91982304177 1672.038463704 1040.91982304177 827.05159286 0 ND ND
Dec-11 2605.12391641 1049.86397113094 1663.4464237 1049.86397113094 837.68349271 0 ND ND
Jan-12 2597.45314889 1058.65224884981 1659.9437867 1058.65224884981 836.01136219 0 ND ND
Feb-12 2603.21270595 1067.45688209999 1661.6007287 1067.45688209999 840.79497725 0 ND ND
Mar-12 2594.40259177 1076.27794039249 1661.1334657 1076.27794039249 836.79112607 0 ND ND
Apr-12 2603.40166673 1085.11549353373 1661.0263637 1085.11549353373 847.80430303 0 ND ND
May-12 2606.43522482 1093.03537370331 1661.4336197 1093.03537370331 851.74960512 0 ND ND
Jun-12 2592.39012151077 1100.63306057294 1653.04130763016 1100.63306057294 848.960313880616 0 1193.45760970088 452.778376838212
Jul-12 2591.58665866301 1106.75698203399 1653.04130791587 1106.75698203399 850.42443408047 0 1229.46153536973 461.216092181031
Aug-12 2593.04937849731 1112.70233236219 1653.04130820159 1112.70233236219 854.154736962391 0 1262.35765552767 465.177602996432
Sep-12 2594.47255308348 1118.66453104675 1653.0413084873 1118.66453104675 857.845494596177 0 1280.64501639562 464.573195471464
Oct-12 2595.70003911941 1124.64364969317 1653.04130877302 1124.64364969317 861.340563679729 0 1321.42324014092 470.171679039946
Nov-12 2596.88352016027 1130.63976021129 1653.04130898368 1130.63976021129 864.791627843252 0 1353.76546089399 473.440230833434
Dec-12 2598.02342783333 1136.65293481658 1653.0406705694 1136.65293481658 868.19975726393 0 1369.59410416157 472.876123617389
Jan-13 2599.75916259435 1142.65494665787 1653.0406705694 1142.65494665787 871.565658691623 0 1367.04858886388 477.267011355469
Feb-13 2601.16661895843 1148.15789245633 1653.0406705694 1148.15789245633 874.603281722368 0 1361.34849403526 479.436084565808
Mar-13 2602.24711734628 1153.67812083502 1653.0406705694 1153.67812083502 877.31394677688 0 1339.22897532701 482.026341290187
Apr-13 2603.22492289679 1159.21570524492 1653.0406705694 1159.21570524492 879.921918994057 0 1337.48485789353 484.872907737592
May-13 2604.16436861338 1164.77071944916 1653.0406705694 1164.77071944916 882.491531377317 0 1329.14917087606 487.282094238954
Jun-13 2605.06738349562 1170.34323752437 1653.0406705694 1170.34323752437 885.024712926226 0 1307.4399306775 483.179932976942
Jul-13 2595.99903138975 1175.933333862 1653.0406705694 1175.933333862 877.58652748702 0 1303.62443748295 486.162253857371
Aug-13 2577.2078271431 1181.54108316966 1653.0406705694 1181.54108316966 860.425489907034 0 1295.66207441408 489.978876518264
Sep-13 2556.66311928927 1187.16656047248 1653.0406705694 1187.16656047248 841.510948719867 0 1273.10499330479 489.142619316922
Oct-13 2536.61377704417 1192.80984111443 1653.0406705694 1192.80984111443 823.091773141438 0 1273.24664492835 491.285797426906
Nov-13 2517.04411401821 1198.47100075971 1653.0406705694 1198.47100075971 805.152276782147 0 1267.10684748498 494.009266586619
Dec-13 2497.93883364235 1204.15011539408 1653.0406705694 1204.15011539408 787.677163072952 0 1247.16486835007 493.095099910667
Jan-14 2492.4780830126 1209.97880407044 1653.0406705694 1209.97880407044 783.761745776537 0 1242.35888828266 495.408306555625
Feb-14 2486.94456216493 1215.8256006776 1653.0406705694 1215.8256006776 779.773558262195 0 1236.35681586441 496.932811025113
Mar-14 2481.33930151895 1221.69058217429 1653.0406705694 1221.69058217429 775.713630949556 0 1213.9615762791 498.998928533559
Apr-14 2475.66339527835 1227.57382584627 1653.0406705694 1227.57382584627 771.583058042282 0 1212.69295757958 501.06348300516
May-14 2469.91800030128 1233.47540930779 1653.0406705694 1233.47540930779 767.382996398553 0 1204.60527138935 504.008475830653
Jun-14 2452.38552120965 1239.39541050296 1653.0406705694 1239.39541050296 751.39585064025 0 1180.62523783945 500.380735784081
Jul-14 2434.85304211801 1245.33390770714 1653.0406705694 1245.33390770714 735.408704881947 0 1176.15769178767 502.518750521173
Aug-14 2417.32056302637 1251.23982506434 1653.0406705694 1251.23982506434 719.421559123644 0 1167.83624849393 504.721723610646
Sep-14 2399.78808393474 1257.12347875239 1653.0406705694 1257.12347875239 703.43441336534 0 1144.07301350396 502.413122377491
Oct-14 2382.25560483317 1263.02586527724 1653.04067055947 1263.02586527724 687.447267607037 0 1143.93879575626 504.78654855722
Nov-14 2364.4356014427 1268.94706425345 1652.75314626064 1268.94706425345 671.460121848734 0 1137.49204038871 507.649790100953
Dec-14 2346.8856891307 1274.88715563393 1652.73571304027 1274.88715563393 655.472976090431 0 1116.58931441474 507.01418372885
Jan-15 2330.39906846976 1280.99749386724 1652.71398813764 1280.99749386724 639.485830332128 0 1115.09784520779 509.166560475378
Feb-15 2313.87559371193 1287.1268854315 1652.65540913811 1287.1268854315 623.498684573824 0 1109.48646385894 511.249567234836
Mar-15 2297.39842196407 1293.10771229419 1652.64313314855 1293.10771229419 607.511538815521 0 1090.39770787971 513.501370102911
Apr-15 2280.88516721917 1298.80802078503 1652.59477416195 1298.80802078503 591.524393057218 0 1092.61290418556 515.467745594597
May-15 2264.3285507346 1304.52762657072 1652.50305343568 1304.52762657072 575.537247298915 0 1087.30133465796 518.136119801599
Jun-15 2247.78785445776 1310.26661166475 1652.42725291715 1310.26661166475 559.550101540612 0 1066.52297591492 515.345524937162
Jul-15 2231.25556109504 1316.02505842918 1652.35985531273 1316.02505842918 543.562955782308 0 1064.78020364748 517.518214111264
Aug-15 2214.67806098134 1321.80304957612 1652.24725095733 1321.80304957612 527.575810024005 0 1057.20267723974 520.370585918907
Sep-15 2198.17069121464 1327.60066816919 1652.20477694894 1327.60066816919 511.588664265702 0 1033.51739031077 519.240868159146
Oct-15 2181.65335679099 1333.41799762504 1652.15233828359 1333.41799762504 495.601518507399 0 1030.61941461919 521.570554894389
Nov-15 2163.11408556021 1339.25512171483 1650.07796281111 1339.25512171483 479.614372749096 0 1024.43449937559 524.775010566244
Dec-15 2146.6491898019 1345.11212456576 1650.07796281111 1345.11212456576 463.627226990792 0 1005.11667860419 524.530376101022
Jan-16 2122.9136085436 1351.16305594176 1643.72652731111 1351.16305594176 447.640081232489 0 1000.30387390049 526.72106134768
Feb-16 2068.9120738853 1357.23403540742 1607.10913841111 1357.23403540742 431.652935474186 0 991.101621894613 528.761499536896
Mar-16 2027.94075152699 1363.32514816713 1583.52196181111 1363.32514816713 415.665789715883 0 970.383915448419 530.092015403573
Apr-16 1982.81839846869 1369.43647978739 1555.78375451111 1369.43647978739 399.67864395758 0 966.522245026319 532.166977761129
May-16 1926.17708861039 1375.56811619836 1516.52659041111 1375.56811619836 383.691498199276 0 957.810788738824 535.60602955311
Jun-16 1895.22604785208 1381.72014369539 1502.95969541111 1381.72014369539 367.704352440973 0 938.012871797477 533.769965982036
Jul-16 1867.59030239378 1387.89264894061 1492.70809571111 1387.89264894061 351.71720668267 0 933.1824944714 537.184536446903
Aug-16 1836.88145953548 1394.08571896443 1479.38339861111 1394.08571896443 335.730060924367 0 924.641163628905 539.641092176195
Sep-16 1812.66997637717 1400.29944116718 1472.55606121111 1400.29944116718 319.742915166064 0 901.253719523629 539.05860820754
Oct-16 1788.75682801887 1406.53390332061 1466.02705861111 1406.53390332061 303.75576940776 0 896.309198816978 541.39438426798
Nov-16 1747.26280996057 1412.78919356951 1441.91718631111 1412.78919356951 287.768623649457 0 887.438927710337 545.340424653374
Dec-16 1718.17684080226 1419.06540043329 1430.21536291111 1419.06540043329 271.781477891154 0 867.799588945791 546.152078650407
Jan-17 1691.8707085773 1425.56267287863 1420.87879311111 1425.56267287863 255.794332132851 0 862.88837780725 549.267776938463
Feb-17 1656.38232355233 1432.08104010788 1402.35997051111 1432.08104010788 239.807186374548 0 857.602102698653 551.351925881337
Mar-17 1628.20040322736 1438.62059177387 1391.14761261111 1438.62059177387 223.820040616244 0 841.128775697091 553.392446358956
Apr-17 1598.21498390239 1445.18141791047 1378.13175571111 1445.18141791047 207.832894857941 0 838.571797363531 555.677225473433
May-17 1550.58397847742 1451.76360893416 1347.47031271111 1451.76360893416 191.845749099638 0 832.837633167308 560.10462149954
Jun-17 1523.26094945245 1458.36725564571 1337.11684611111 1458.36725564571 175.858603341335 0 817.816228540478 559.709422180938
Jul-17 1498.51913052748 1464.99244923181 1329.34458961111 1464.99244923181 159.871457583032 0 814.143030986489 562.134161167826
Aug-17 1507.27121100825 1471.63928126667 1355.06623251686 1471.63928126667 143.884311824728 0 819.615409045079 567.888462048631
Sep-17 1516.50634716126 1478.30784371369 1381.27093109483 1478.30784371369 127.897166066425 0 803.411803103578 568.254642277609
Oct-17 1525.76250852505 1484.99822892714 1407.49665488359 1484.99822892714 111.910020308122 0 803.681573605855 570.739374596256
Nov-17 1535.03132789693 1491.71052965375 1433.73503668044 1491.71052965375 95.9228745498189 0 803.417859186975 575.551134895532
Dec-17 1544.31503031015 1498.44483903447 1459.98830151864 1498.44483903447 79.9357287915157 0 793.218405610583 576.649319653694
Jan-18 1553.51522231297 1505.43131968782 1486.08361547023 1505.43131968782 63.9485830332125 0 793.918904709451 580.0260946896
Feb-18 1562.71954567194 1512.43999646635 1512.18306077798 1512.43999646635 47.9614372749093 0 794.63262154194 583.980829092034
Mar-18 1571.93704162424 1519.47096370362 1538.29567867907 1519.47096370362 31.9742915166061 0 786.078108906432 586.176981831059
Apr-18 1581.16620502203 1526.52431613407 1564.41996402564 1526.52431613407 15.9871457583029 0 789.749662052492 588.689159826337
May-18 1590.39290710884 1533.60014889476 1590.54178806122 1533.60014889476 0 0 792.076788123216 594.251068147484
Jun-18 1599.25449071369 1540.69855752711 1599.25449071369 1540.69855752711 0 0 782.46384121368 594.183157117949
Jul-18 1608.11868013959 1547.81963797857 1608.11868013959 1547.81963797857 0 0 780.935120029534 597.111251267826
Aug-18 1616.980387812 1554.96348660436 1616.980387812 1554.96348660436 0 0 779.885258770752 602.495946819732
Sep-18 1625.85412015049 1562.13020016924 1625.85412015049 1562.13020016924 0 0 775.157745766135 603.148072624901
Oct-18 1634.73258541681 1569.31987584918 1634.73258541681 1569.31987584918 0 0 784.720649344667 605.80842566545
Nov-18 1643.60341993188 1576.53261123319 1643.60341993188 1576.53261123319 0 0 803.807163475283 608.771973439762
Dec-18 1652.48371229602 1583.768504325 1652.48371229602 1583.768504325 0 0 805.415789525057 609.951284165353
Jan-19 1661.37853571891 1591.29223298886 1661.37853571891 1591.29223298886 0 0 809.755336845712 612.648252374411
Feb-19 1670.27870549913 1598.83931661933 1670.27870549913 1598.83931661933 0 0 824.228804878221 615.450986277836
Mar-19 1679.19992064029 1606.40985447501 1679.19992064029 1606.40985447501 0 0 821.050902164642 617.730060790978
Apr-19 1688.14077731342 1614.00394623636 1688.14077731342 1614.00394623636 0 0 828.408487494979 620.43788792761
May-19 1697.08992334314 1621.62169200748 1697.08992334314 1621.62169200748 0 0 842.630538165568 622.794682850982
Jun-19 1706.0649575841 1629.26319231791 1706.0649575841 1629.26319231791 0 0 841.182115709667 623.204272879538
Jul-19 1715.04900162226 1636.92854812444 1715.04900162226 1636.92854812444 0 0 845.775934096403 625.979767011943
Aug-19 1724.01528458065 1644.61786081293 1724.01528458065 1644.61786081293 0 0 868.640001389934 629.748746501141
Sep-19 1732.99237827103 1652.33123220014 1732.99237827103 1652.33123220014 0 0 866.166041132843 630.826772121646
Oct-19 1741.98155660824 1660.06876453552 1741.98155660824 1660.06876453552 0 0 870.557092226663 633.714116367873
Nov-19 1750.96572912853 1667.83056050311 1750.96572912853 1667.83056050311 0 0 887.147414224381 636.485138219296
Dec-19 1759.96320802226 1675.61672322334 1759.96320802226 1675.61672322334 0 0 885.455908120531 637.745317063526
Jan-20 1768.98532082204 1683.73162261552 1768.98532082204 1683.73162261552 0 0 886.775410011674 640.651130313009
Feb-20 1778.01973453181 1691.87109631786 1778.01973453181 1691.87109631786 0 0 896.662494090592 643.235590536944
Mar-20 1787.07898800137 1700.03524877118 1787.07898800137 1700.03524877118 0 0 893.094941075648 645.588096097565
Apr-20 1796.16317842937 1708.22418486019 1796.16317842937 1708.22418486019 0 0 896.476519694814 648.501487339179
May-20 1805.25655065467 1716.43800991532 1805.25655065467 1716.43800991532 0 0 909.606976861509 651.607140257176
Jun-20 1814.37505537819 1724.67682971469 1814.37505537819 1724.67682971469 0 0 912.104846835407 652.406114236744
Jul-20 1823.5055886039 1732.94075048595 1823.5055886039 1732.94075048595 0 0 919.091558654076 655.423948066217
Aug-20 1832.63195915921 1741.22987890825 1832.63195915921 1741.22987890825 0 0 937.412762105713 659.368616319736
Sep-20 1841.77416966773 1749.54432211409 1841.77416966773 1749.54432211409 0 0 937.982805927897 661.055283661385
Oct-20 1850.93339663757 1757.8841876913 1850.93339663757 1757.8841876913 0 0 943.277829610657 664.08971920793
Nov-20 1860.10750728025 1766.24958368497 1860.10750728025 1766.24958368497 0 0 950.791847596732 667.10805433822
Dec-20 1869.29989730014 1774.64061859936 1869.29989730014 1774.64061859936 0 0 953.163663418071 669.136687817923
Return to Figure 16

Figure 17: Current Projections - Interest Rates

Quarterly Date Federal Funds Rate Current Projection Federal Funds Rate Counterfactual 10 year Treasury Rate Current Projection 10 year Treasury Rate Counterfactual
Dec-08 ND ND ND ND
Mar-09 ND ND ND ND
Jun-09 ND ND ND ND
Sep-09 ND ND ND ND
Dec-09 ND ND ND ND
Mar-10 0.133 1.68432432432432 3.866 4.15810810810811
Jun-10 0.193 1.93432432432432 3.617 4.3
Sep-10 0.187 2.18432432432432 2.897 4.5
Dec-10 0.187 2.43432432432432 2.966 4.63333333333333
Mar-11 0.157 2.68432432432432 3.529 4.72222222222222
Jun-11 0.093 2.93432432432432 3.276 4.9
Sep-11 0.083 3.18432432432432 2.484 4.9
Dec-11 0.073 3.43432432432432 2.094 4.9
Mar-12 0.133541666666666 3.68432432432432 2.25604166666667 5.05
Jun-12 0.136530612244898 3.93432432432432 1.96408163265306 5.125
Sep-12 0.138673469387755 4.18432432432432 2.07244897959184 5.2
Dec-12 0.143163265306122 4.3 2.25265306122449 5.2
Mar-13 0.152021276595745 4.4 2.39106382978723 5.3
Jun-13 0.187888888888889 4.4 2.54533333333333 5.3
Sep-13 0.19 4.4 2.69222222222222 5.3
Dec-13 0.5 4.4 2.84222222222222 5.3
Mar-14 0.5 4.4 2.99222222222222 5.3
Jun-14 0.75 4.4 3.14222222222222 5.3
Sep-14 0.75 4.4 3.3 5.3
Dec-14 1 4.4 3.5 5.3
Mar-15 1.25 4.4 3.8 5.3
Jun-15 1.5 4.4 4.05 5.3
Sep-15 1.75 4.4 4.25 5.3
Dec-15 2 4.4 4.3 5.3
Mar-16 2.5 4.4 4.35 5.3
Jun-16 2.75 4.4 4.4 5.3
Sep-16 3 4.4 4.45 5.3
Dec-16 3 4.4 4.5 5.3
Mar-17 3.25 4.4 4.6 5.3
Jun-17 3.25 4.4 4.6 5.3
Sep-17 3.25 4.4 4.65 5.3
Dec-17 3.25 4.4 4.7 5.3
Mar-18 3.5 4.4 4.75 5.3
Jun-18 3.5 4.4 4.8 5.3
Sep-18 3.5 4.4 4.8 5.3
Dec-18 3.5 4.4 4.8 5.3
Mar-19 3.6 4.4 4.9 5.3
Jun-19 3.6 4.4 4.9 5.3
Sep-19 3.6 4.4 4.9 5.3
Dec-19 3.6 4.4 4.9 5.3
Mar-20 3.6 4.4 4.9 5.3
Jun-20 3.6 4.4 4.9 5.3
Sep-20 3.6 4.4 4.9 5.3
Dec-20 3.6 4.4 4.9 5.3
Return to Figure 17

Figure 18: Current Projections - Term Premium Effects

Date Term Premium Effect (basis points) LSAPI Term Premium Effect (basis points) LSAPI + ReinvT Term Premium Effect (basis points) LSAPI + ReinvT+ LSAPII Term Premium Effect (basis points) LSAPI + ReinvT+ LSAPII + ReinvMBS Term Premium Effect (basis points) LSAPI + ReinvT+ LSAPII + ReinvMBS+MEP Term Premium Effect (basis points) Current (Includes MEP II)
Jun-12 -25.7325 -30.0494 -36.3444 -38.7453 -55.6469 -64.4728
Sep-12 -23.375 -27.507 -33.0855 -35.4655 -51.7065 -61.3439
Dec-12 -21.1033 -25.0032 -29.9191 -32.2334 -47.7218 -57.901
Mar-13 -18.9406 -22.5611 -26.8122 -29.0157 -43.7776 -54.1491
Jun-13 -16.9196 -20.2669 -23.9113 -25.9481 -40.0058 -50.3455
Sep-13 -15.0318 -18.1093 -21.2248 -23.0851 -36.4437 -46.614
Dec-13 -13.325 -16.139 -18.7681 -20.4396 -33.0881 -43.0322
Mar-14 -11.7583 -14.35 -16.4692 -17.9516 -29.8635 -39.6599
Jun-14 -10.3597 -12.7672 -14.4214 -15.7409 -26.9071 -36.4368
Sep-14 -9.1128 -11.4004 -12.6467 -13.8301 -24.2624 -33.3469
Dec-14 -8.0587 -10.1999 -11.0782 -12.1435 -21.846 -30.4604
Mar-15 -7.186 -9.174 -9.6654 -10.6325 -19.5928 -27.7747
Jun-15 -6.4569 -8.328 -8.4745 -9.3484 -17.5823 -25.2882
Sep-15 -5.8692 -7.6372 -7.5147 -8.2898 -15.8195 -22.9859
Dec-15 -5.3698 -7.0865 -6.7551 -7.4593 -14.2963 -20.8782
Mar-16 -4.9286 -6.6659 -6.1451 -6.8169 -12.9589 -18.9681
Jun-16 -4.5395 -6.3356 -5.695 -6.3146 -11.8229 -17.2541
Sep-16 -4.1937 -6.0386 -5.3888 -5.9394 -10.9106 -15.7361
Dec-16 -3.8958 -5.7693 -5.2109 -5.7099 -10.1966 -14.413
Mar-17 -3.6476 -5.5264 -5.1287 -5.5959 -9.624 -13.2874
Jun-17 -3.4422 -5.3121 -5.056 -5.4515 -9.1034 -12.3435
Sep-17 -3.2767 -5.1225 -4.9763 -5.285 -8.6897 -11.5638
Dec-17 -3.1564 -4.9589 -4.9172 -5.1574 -8.4228 -10.929
Mar-18 -3.0766 -4.82 -4.8743 -5.0736 -8.2566 -10.4252
Jun-18 -2.9928 -4.6782 -4.8163 -4.9815 -8.083 -10.0435
Sep-18 -2.8998 -4.5216 -4.7344 -4.8591 -7.8826 -9.7593
Dec-18 -2.8024 -4.3544 -4.6414 -4.7308 -7.6759 -9.5174
Mar-19 -2.6987 -4.1799 -4.5296 -4.5969 -7.4431 -9.2359
Jun-19 -2.5819 -3.9904 -4.3833 -4.4362 -7.1682 -8.9116
Sep-19 -2.4545 -3.788 -4.2062 -4.2386 -6.8561 -8.5494
Dec-19 -2.3208 -3.5751 -4.0124 -4.0271 -6.5318 -8.1413
Mar-20 -2.1824 -3.3549 -3.8027 -3.8103 -6.1847 -7.6938
Jun-20 -2.0378 -3.1282 -3.5688 -3.5725 -5.8022 -7.2298
Sep-20 -1.8867 -2.8941 -3.3111 -3.3025 -5.3831 -6.7451
Dec-20 -1.733 -2.6562 -3.0427 -3.0247 -4.9515 -6.215
Return to Figure 18

Figure 19: Sensitivity Analysis - Select Assets of the Balance Sheet

Monthly Date SOMA Holdings Current Projection SOMA Holdings Current Projection with later lift off SOMA Treasury Holdings Current Projection SOMA Treasury Holdings Current Projection with later lift off SOMA Agency MBS Holdings Current Projection SOMA Agency MBS Holdings Current Projection with later lift off SOMA Treasury Ten Year Equivalents Current Projection SOMA Treasury Ten Year Equivalents Current Projection with later lift off
Oct-08 490.086594703 490.086594703 476.466594703 476.466594703 0 0 ND ND
Nov-08 488.621892703 488.621892703 476.400892703 476.400892703 0 0 ND ND
Dec-08 495.629242704 495.629242704 475.921242704 475.921242704 0 0 ND ND
Jan-09 510.7882629569 510.7882629569 475.046493704 475.046493704 7.3767692529 7.3767692529 ND ND
Feb-09 581.67913381 581.67913381 474.594389704 474.594389704 68.846744106 68.846744106 ND ND
Mar-09 779.351869464 779.351869464 492.322697704 492.322697704 236.63617176 236.63617176 ND ND
Apr-09 983.179086384 983.179086384 549.054388704 549.054388704 365.96669768 365.96669768 ND ND
May-09 1113.515351174 1113.515351174 606.156404704 606.156404704 427.60594647 427.60594647 ND ND
Jun-09 1215.516661464 1215.516661464 656.465558704 656.465558704 462.42510276 462.42510276 ND ND
Jul-09 1354.066031554 1354.066031554 705.261594704 705.261594704 542.88943685 542.88943685 ND ND
Aug-09 1491.500337114 1491.500337114 747.246444704 747.246444704 624.91689241 624.91689241 ND ND
Sep-09 1592.700516804 1592.700516804 769.159644704 769.159644704 692.3648721 692.3648721 ND ND
Oct-09 1697.803502494 1697.803502494 776.507934704 776.507934704 774.33656779 774.33656779 ND ND
Nov-09 1783.761245474 1783.761245474 776.539524704 776.539524704 852.15572077 852.15572077 ND ND
Dec-09 1844.838384444 1844.838384444 776.588116704 776.588116704 908.37126774 908.37126774 ND ND
Jan-10 1910.415610344 1910.415610344 776.623392704 776.623392704 970.11921764 970.11921764 ND ND
Feb-10 1970.825759804 1970.825759804 776.536474704 776.536474704 1026.7782851 1026.7782851 ND ND
Mar-10 2014.389928404 2014.389928404 776.704767704 776.704767704 1068.6971607 1068.6971607 ND ND
Apr-10 2042.122941004 2042.122941004 776.717943704 776.717943704 1097.2929973 1097.2929973 ND ND
May-10 2057.135321004 2057.135321004 776.907907704 776.907907704 1113.5124133 1113.5124133 ND ND
Jun-10 2059.877567404 2059.877567404 776.988668704 776.988668704 1118.1268987 1118.1268987 ND ND
Jul-10 2053.994175004 2053.994175004 777.024725704 777.024725704 1117.5884493 1117.5884493 ND ND
Aug-10 2045.953761004 2045.953761004 786.283072704 786.283072704 1103.1686883 1103.1686883 ND ND
Sep-10 2044.313488604 2044.313488604 811.669348704 811.669348704 1078.5391399 1078.5391399 ND ND
Oct-10 2040.234986704 2040.234986704 839.516567704 839.516567704 1051.037419 1051.037419 ND ND
Nov-10 2081.469736804 2081.469736804 910.638654704 910.638654704 1022.6530821 1022.6530821 ND ND
Dec-10 2161.094183544 2161.094183544 1021.493092704 1021.493092704 992.14109084 992.14109084 ND ND
Jan-11 2238.302941804 2238.302941804 1128.601739704 1128.601739704 965.0772021 965.0772021 ND ND
Feb-11 2319.840141244 2319.840141244 1227.659021704 1227.659021704 948.93211954 948.93211954 ND ND
Mar-11 2410.095903524 2410.095903524 1340.445848704 1340.445848704 937.15505482 937.15505482 ND ND
Apr-11 2472.315885934 2472.315885934 1420.176417704 1420.176417704 927.02146823 927.02146823 ND ND
May-11 2567.250618314 2567.250618314 1530.302094704 1530.302094704 917.85552361 917.85552361 ND ND
Jun-11 2645.095285284 2645.095285284 1619.537877704 1619.537877704 908.85340758 908.85340758 ND ND
Jul-11 2647.925997194 2647.925997194 1638.206345704 1638.206345704 897.28465149 897.28465149 ND ND
Aug-11 2646.834396414 2646.834396414 1652.113360704 1652.113360704 884.94503571 884.94503571 ND ND
Sep-11 2643.811456554 2643.811456554 1664.660016704 1664.660016704 870.88343985 870.88343985 ND ND
Oct-11 2619.745987494 2619.745987494 1662.817020704 1662.817020704 849.26096679 849.26096679 ND ND
Nov-11 2604.999056564 2604.999056564 1672.038463704 1672.038463704 827.05159286 827.05159286 ND ND
Dec-11 2605.12391641 2605.12391641 1663.4464237 1663.4464237 837.68349271 837.68349271 ND ND
Jan-12 2597.45314889 2597.45314889 1659.9437867 1659.9437867 836.01136219 836.01136219 ND ND
Feb-12 2603.21270595 2603.21270595 1661.6007287 1661.6007287 840.79497725 840.79497725 ND ND
Mar-12 2594.40259177 2594.40259177 1661.1334657 1661.1334657 836.79112607 836.79112607 ND ND
Apr-12 2603.40166673 2603.40166673 1661.0263637 1661.0263637 847.80430303 847.80430303 ND ND
May-12 2606.43522482 2606.43522482 1661.4336197 1661.4336197 851.74960512 851.74960512 ND ND
Jun-12 2592.39012151077 2592.39012151077 1653.04130763016 1653.04130763016 848.960313880616 848.960313880616 1193.45760970088 1193.45760970088
Jul-12 2591.58665866301 2591.58665866301 1653.04130791587 1653.04130791587 850.42443408047 850.42443408047 1229.46153536973 1229.46153536973
Aug-12 2593.04937849731 2593.04937849731 1653.04130820159 1653.04130820159 854.154736962391 854.154736962391 1262.35765552767 1262.35765552767
Sep-12 2594.47255308348 2594.47255308348 1653.0413084873 1653.0413084873 857.845494596177 857.845494596177 1280.64501639562 1280.64501639562
Oct-12 2595.70003911941 2595.70003911941 1653.04130877302 1653.04130877302 861.340563679729 861.340563679729 1321.42324014092 1321.42323911023
Nov-12 2596.88352016027 2596.88352016027 1653.04130898368 1653.04130898368 864.791627843252 864.791627843252 1353.76546089399 1353.76546089289
Dec-12 2598.02342783333 2598.02342783333 1653.0406705694 1653.0406705694 868.19975726393 868.19975726393 1369.59410416157 1369.59410416157
Jan-13 2599.75916259435 2599.75916259435 1653.0406705694 1653.0406705694 871.565658691623 871.565658691623 1367.04858886388 1366.9924157141
Feb-13 2601.16661895843 2601.16661895843 1653.0406705694 1653.0406705694 874.603281722368 874.603281722368 1361.34849403526 1361.29242668222
Mar-13 2602.24711734628 2602.24711734628 1653.0406705694 1653.0406705694 877.31394677688 877.31394677688 1339.22897532701 1339.17433709945
Apr-13 2603.22492289679 2603.22492289679 1653.0406705694 1653.0406705694 879.921918994057 879.921918994057 1337.48485789353 1337.20596960929
May-13 2604.16436861338 2604.16436861338 1653.0406705694 1653.0406705694 882.491531377317 882.491531377317 1329.14917087606 1328.87076763232
Jun-13 2605.06738349562 2605.06738349562 1653.0406705694 1653.0406705694 885.024712926226 885.024712926226 1307.4399306775 1307.16650809331
Jul-13 2595.99903138975 2605.93538308179 1653.0406705694 1653.0406705694 877.58652748702 887.522879179059 1303.62443748295 1303.32185979554
Aug-13 2577.2078271431 2606.76820505561 1653.0406705694 1653.0406705694 860.425489907034 889.98586781955 1295.66207441408 1295.36072643231
Sep-13 2556.66311928927 2607.56578340524 1653.0406705694 1653.0406705694 841.510948719867 892.413612835841 1273.10499330479 1272.80977587205
Oct-13 2536.61377704417 2608.32867691106 1653.0406705694 1653.0406705694 823.091773141438 894.806673008327 1273.24664492835 1270.94568195659
Nov-13 2517.04411401821 2609.05768336848 1653.0406705694 1653.0406705694 805.152276782147 897.165846132414 1267.10684748498 1264.81559605173
Dec-13 2497.93883364235 2609.75362763836 1653.0406705694 1653.0406705694 787.677163072952 899.491957068959 1247.16486835007 1244.91006776377
Jan-14 2492.4780830126 2623.61238662226 1653.0406705694 1653.0406705694 783.761745776537 914.8960493862 1242.35888828266 1240.06464315411
Feb-14 2486.94456216493 2630.99422487087 1653.0406705694 1653.0406705694 779.773558262195 923.82322096814 1236.35681586441 1234.06648035587
Mar-14 2481.33930151895 2632.15362463442 1653.0406705694 1653.0406705694 775.713630949556 926.527954065024 1213.9615762791 1211.73633046329
Apr-14 2475.66339527835 2631.95280891183 1653.0406705694 1653.0406705694 771.583058042282 927.872471675761 1212.69295757958 1209.13422998311
May-14 2469.91800030128 2629.01995939664 1653.0406705694 1653.0406705694 767.382996398553 926.484955493914 1204.60527138935 1201.05260625573
Jun-14 2452.38552120965 2623.30148813525 1653.0406705694 1653.0406705694 751.39585064025 922.31181756585 1180.62523783945 1177.12083319893
Jul-14 2434.85304211801 2616.87841889579 1653.0406705694 1653.0406705694 735.408704881947 917.434081659729 1176.15769178767 1172.64462390274
Aug-14 2417.32056302637 2610.34995760647 1653.0406705694 1653.0406705694 719.421559123644 912.45095370374 1167.83624849393 1164.33667949858
Sep-14 2399.78808393474 2603.71781920358 1653.0406705694 1653.0406705694 703.43441336534 907.364148634183 1144.07301350396 1140.64094636583
Oct-14 2382.25560483317 2596.98380501306 1653.04067055947 1653.04067055947 687.447267607037 902.175467786929 1143.93879575626 1140.85256294014
Nov-14 2364.4356014427 2589.86227660366 1652.75314626064 1652.75314626064 671.460121848734 896.886797009688 1137.49204038871 1134.41826024183
Dec-14 2346.8856891307 2582.91281770365 1652.73571304027 1652.73571304027 655.472976090431 891.500104663378 1116.58931441474 1113.56166657819
Jan-15 2330.39906846976 2576.9368111081 1652.71398813764 1652.71398813764 639.485830332128 886.023572970463 1115.09784520779 1110.48566957211
Feb-15 2313.87559371193 2570.84278711535 1652.65540913811 1652.65540913811 623.498684573824 880.465877977243 1109.48646385894 1104.8822491773
Mar-15 2297.39842196407 2564.72281630831 1652.64313314855 1652.64313314855 607.511538815521 874.835933159764 1090.39770787971 1085.92494437665
Apr-15 2280.88516721917 2545.97095871422 1652.59477416195 1652.59477416195 591.524393057218 856.610184552268 1092.61290418556 1088.07998871331
May-15 2264.3285507346 2527.17573938046 1652.50305343568 1652.50305343568 575.537247298915 838.384435944773 1087.30133465796 1082.7755896059
Jun-15 2247.78785445776 2508.39644025443 1652.42725291715 1652.42725291715 559.550101540612 820.158687337278 1066.52297591492 1062.05772861343
Jul-15 2231.25556109504 2489.62554404251 1652.35985531273 1652.35985531273 543.562955782308 801.932938729783 1064.78020364748 1058.78554093119
Aug-15 2214.67806098134 2470.80944107962 1652.24725095733 1652.24725095733 527.575810024005 783.707190122288 1057.20267723974 1051.23053613709
Sep-15 2198.17069121464 2452.06346846373 1652.20477694894 1652.20477694894 511.588664265702 765.481441514793 1033.51739031077 1027.65534686168
Oct-15 2181.65335679099 2433.30753119089 1652.15233828359 1652.15233828359 495.601518507399 747.255692907298 1030.61941461919 1024.76921549465
Nov-15 2163.11408556021 2412.52965711091 1650.07796281111 1650.07796281111 479.614372749096 729.029944299803 1024.43449937559 1018.60748935028
Dec-15 2146.6491898019 2393.82615850342 1650.07796281111 1650.07796281111 463.627226990792 710.804195692308 1005.11667860419 999.371046989593
Jan-16 2122.9136085436 2367.85197439592 1643.72652731111 1643.72652731111 447.640081232489 692.578447084812 1000.30387390049 993.125348423647
Feb-16 2068.9120738853 2311.61183688843 1607.10913841111 1607.10913841111 431.652935474186 674.352698477317 991.101621894613 983.934003135177
Mar-16 2027.94075152699 2268.40191168093 1583.52196181111 1583.52196181111 415.665789715883 656.126949869822 970.383915448419 963.42765740937
Apr-16 1982.81839846869 2221.04095577344 1555.78375451111 1555.78375451111 399.67864395758 637.901201262327 966.522245026319 959.55183454645
May-16 1926.17708861039 2162.16104306594 1516.52659041111 1516.52659041111 383.691498199276 619.675452654832 957.810788738824 950.850545953521
Jun-16 1895.22604785208 2128.97139945845 1502.95969541111 1502.95969541111 367.704352440973 601.449704047337 938.012871797477 931.150278293332
Jul-16 1867.59030239378 2099.09705115095 1492.70809571111 1492.70809571111 351.71720668267 583.223955439842 933.1824944714 926.333498546573
Aug-16 1836.88145953548 2066.14960544346 1479.38339861111 1479.38339861111 335.730060924367 564.998206832347 924.641163628905 917.818858772804
Sep-16 1812.66997637717 2039.69951943596 1472.55606121111 1472.55606121111 319.742915166064 546.772458224851 901.253719523629 894.557649144284
Oct-16 1788.75682801887 2013.54776822847 1466.02705861111 1466.02705861111 303.75576940776 528.546709617356 896.309198816978 890.961299873526
Nov-16 1747.26280996057 1969.81514732097 1441.91718631111 1441.91718631111 287.768623649457 510.320961009861 887.438927710337 882.113060373361
Dec-16 1718.17684080226 1938.49057531348 1430.21536291111 1430.21536291111 271.781477891154 492.095212402366 867.799588945791 862.551102437148
Jan-17 1691.8707085773 1909.94584023932 1420.87879311111 1420.87879311111 255.794332132851 473.869463794871 862.88837780725 858.942549407592
Feb-17 1656.38232355233 1872.21885236515 1402.35997051111 1402.35997051111 239.807186374548 455.643715187376 857.602102698653 853.661306548138
Mar-17 1628.20040322736 1841.79832919099 1391.14761261111 1391.14761261111 223.820040616244 437.417966579881 841.128775697091 837.308672415812
Apr-17 1598.21498390239 1809.57430701683 1378.13175571111 1378.13175571111 207.832894857941 419.192217972386 838.571797363531 836.026250768605
May-17 1550.58397847742 1759.70469874267 1347.47031271111 1347.47031271111 191.845749099638 400.966469364891 832.837633167308 830.295569086289
Jun-17 1523.26094945245 1730.14306686851 1337.11684611111 1337.11684611111 175.858603341335 382.740720757396 817.816228540478 815.313413550613
Jul-17 1498.51913052748 1703.16264509435 1329.34458961111 1329.34458961111 159.871457583032 364.514972149901 814.143030986489 812.893859954568
Aug-17 1507.27121100825 1663.91644272018 1355.06623251686 1309.30655251111 143.884311824728 346.289223542406 819.615409045079 806.473922946795
Sep-17 1516.50634716126 1640.09764644602 1381.27093109483 1304.69592151111 127.897166066425 328.063474934911 803.411803103578 786.887872174746
Oct-17 1525.76250852505 1618.87500227186 1407.49665488359 1302.68144261111 111.910020308122 309.837726327416 803.681573605855 783.877554150129
Nov-17 1535.03132789693 1582.6862097977 1433.73503668044 1285.70081541111 95.9228745498189 291.611977719921 803.417859186975 778.514859139321
Dec-17 1544.31503031015 1550.27043752354 1459.98830151864 1272.49320841111 79.9357287915157 273.386229112425 793.218405610583 763.767896070069
Jan-18 1553.51522231297 1548.42956115822 1486.08361547023 1289.04324731995 63.9485830332125 255.16048050493 793.918904709451 763.434356610562
Feb-18 1562.71954567194 1557.73882695987 1512.18306077798 1316.74342839577 47.9614372749093 236.934731897435 794.63262154194 764.51165515815
Mar-18 1571.93704162424 1567.06192458908 1538.29567867907 1344.45744129914 31.9742915166061 218.70898328994 786.078108906432 756.423916548504
Apr-18 1581.16620502203 1576.39734644367 1564.41996402564 1372.1837784279 15.9871457583029 200.483234682445 789.749662052492 760.370434928271
May-18 1590.39290710884 1585.7309612988 1590.54178806122 1399.90830855718 0 182.25748607495 792.076788123216 763.03326651846
Jun-18 1599.25449071369 1595.07906292827 1599.25449071369 1427.64732546081 0 164.031737467455 782.46384121368 755.936444882032
Jul-18 1608.11868013959 1604.42553203129 1608.11868013959 1455.384709838 0 145.80598885996 780.935120029534 756.829098234247
Aug-18 1616.980387812 1613.76525228597 1616.980387812 1483.11534536684 0 127.580240252465 779.885258770752 757.078074612525
Sep-18 1625.85412015049 1623.1123796025 1625.85412015049 1511.12674510039 0 109.35449164497 775.157745766135 747.459014849437
Oct-18 1634.73258541681 1632.45959295243 1634.73258541681 1539.13823086733 0 91.1287430374748 784.720649344667 748.376665015237
Nov-18 1643.60341993188 1641.79449909153 1643.60341993188 1567.13740942345 0 72.9029944299797 803.807163475283 772.922518431175
Dec-18 1652.48371229602 1651.13415677765 1652.48371229602 1595.14133952659 0 54.6772458224846 805.415789525057 781.728306459801
Jan-19 1661.37853571891 1660.48361541708 1661.37853571891 1623.15507058304 0 36.4514972149895 809.755336845712 793.789079247432
Feb-19 1670.27870549913 1669.83364723613 1670.27870549913 1651.16937481911 0 18.2257486074945 824.228804878221 815.367908502632
Mar-19 1679.19992064029 1679.19992064029 1679.19992064029 1679.19992064029 0 0 821.050902164642 819.41761393468
Apr-19 1688.14077731342 1688.14077731342 1688.14077731342 1688.14077731342 0 0 828.408487494979 826.771536775876
May-19 1697.08992334314 1697.08992334314 1697.08992334314 1697.08992334314 0 0 842.630538165568 840.952913296252
Jun-19 1706.0649575841 1706.0649575841 1706.0649575841 1706.0649575841 0 0 841.182115709667 839.564220887366
Jul-19 1715.04900162226 1715.04900162226 1715.04900162226 1715.04900162226 0 0 845.775934096403 844.173945564235
Aug-19 1724.01528458065 1724.01528458065 1724.01528458065 1724.01528458065 0 0 868.640001389934 866.952962608153
Sep-19 1732.99237827103 1732.99237827103 1732.99237827103 1732.99237827103 0 0 866.166041132843 864.543242289856
Oct-19 1741.98155660824 1741.98155660824 1741.98155660824 1741.98155660824 0 0 870.557092226663 868.951137636965
Nov-19 1750.96572912853 1750.96572912853 1750.96572912853 1750.96572912853 0 0 887.147414224381 885.493823680298
Dec-19 1759.96320802226 1759.96320802226 1759.96320802226 1759.96320802226 0 0 885.455908120531 883.857206279762
Jan-20 1768.98532082204 1768.98532082204 1768.98532082204 1768.98532082204 0 0 886.775410011674 885.574526180152
Feb-20 1778.01973453181 1778.01973453181 1778.01973453181 1778.01973453181 0 0 896.662494090592 895.44395565767
Mar-20 1787.07898800137 1787.07898800137 1787.07898800137 1787.07898800137 0 0 893.094941075648 891.930844405694
Apr-20 1796.16317842937 1796.16317842937 1796.16317842937 1796.16317842937 0 0 896.476519694814 895.329348972956
May-20 1805.25655065467 1805.25655065467 1805.25655065467 1805.25655065467 0 0 909.606976861509 908.426206987664
Jun-20 1814.37505537819 1814.37505537819 1814.37505537819 1814.37505537819 0 0 912.104846835407 910.944923831664
Jul-20 1823.5055886039 1823.5055886039 1823.5055886039 1823.5055886039 0 0 919.091558654076 917.930519464615
Aug-20 1832.63195915921 1832.63195915921 1832.63195915921 1832.63195915921 0 0 937.412762105713 936.194447733955
Sep-20 1841.77416966773 1841.77416966773 1841.77416966773 1841.77416966773 0 0 937.982805927897 936.795559910537
Oct-20 1850.93339663757 1850.93339663757 1850.93339663757 1850.93339663757 0 0 943.277829610657 942.097874173068
Nov-20 1860.10750728025 1860.10750728025 1860.10750728025 1860.10750728025 0 0 950.791847596732 949.607142184202
Dec-20 1869.29989730014 1869.29989730014 1869.29989730014 1869.29989730014 0 0 953.163663418071 951.998342956785
Return to Figure 19

Figure 20: Sensitivity Analysis - Term Premium Effects

Quarterly Date Term Premium Effect (basis points) Current Projection Term Premium Effect (basis points) Current Projection with later lift off
Mar-09 ND ND
Jun-09 ND ND
Sep-09 ND ND
Dec-09 ND ND
Mar-10 ND ND
Jun-10 ND ND
Sep-10 ND ND
Dec-10 ND ND
Mar-11 ND ND
Jun-11 ND ND
Sep-11 ND ND
Dec-11 ND ND
Mar-12 ND ND
Jun-12 -64.4728 -71.2366
Sep-12 -61.3439 -68.2285
Dec-12 -57.901 -64.8978
Mar-13 -54.1491 -61.2502
Jun-13 -50.3455 -57.5436
Sep-13 -46.614 -53.9027
Dec-13 -43.0322 -50.3357
Mar-14 -39.6599 -46.8379
Jun-14 -36.4368 -43.3713
Sep-14 -33.3469 -39.9933
Dec-14 -30.4604 -36.7478
Mar-15 -27.7747 -33.6299
Jun-15 -25.2882 -30.6477
Sep-15 -22.9859 -27.8382
Dec-15 -20.8782 -25.2431
Mar-16 -18.9681 -22.8607
Jun-16 -17.2541 -20.6932
Sep-16 -15.7361 -18.7369
Dec-16 -14.413 -16.9907
Mar-17 -13.2874 -15.4536
Jun-17 -12.3435 -14.11
Sep-17 -11.5638 -12.9426
Dec-17 -10.929 -11.9554
Mar-18 -10.4252 -11.1507
Jun-18 -10.0435 -10.496
Sep-18 -9.7593 -9.9588
Dec-18 -9.5174 -9.5467
Mar-19 -9.2359 -9.2071
Jun-19 -8.9116 -8.8708
Sep-19 -8.5494 -8.5117
Dec-19 -8.1413 -8.1068
Mar-20 -7.6938 -7.6623
Jun-20 -7.2298 -7.2006
Sep-20 -6.7451 -6.718
Dec-20 -6.215 -6.1901
Return to Figure 20
♣ This version is optimized for use by screen readers. Descriptions for all mathematical expressions are provided in LaTex format. A printable pdf version is available. Return to Text
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Last update: March 12, 2013