Finance and Economics Discussion Series: Accessible versions of figures for 2017-075

The Federal Reserve's Portfolio and its Effect on Interest Rates

Accessible version of figures

Figure 1: Maturity distributions at minimum (October 2002) and maximum (December 2012) distance of SOMA from market neutrality

Source: Federal Reserve Board and staff estimates.

Years of Remaining Maturity Oct 2002, Percent of SOMA Oct 2002, Percent of Treasury Universe Dec. 2012, Percent of SOMA Dec. 2012, Percent of Treasury Universe
Figure 1. Maturity distributions at minimum (October 2002) and mazimum (December 2012) distance of SOMA from market neutrality        
Percent, Years of remaining maturity        
1 0.493 0.397 0.000 0.277
2 0.150 0.149 0.003 0.134
3 0.049 0.050 0.002 0.104
4 0.047 0.053 0.126 0.084
5 0.026 0.039 0.096 0.091
6 0.020 0.021 0.167 0.057
7 0.021 0.025 0.170 0.063
8 0.014 0.017 0.062 0.033
9 0.011 0.017 0.088 0.032
10+ 0.114 0.164 0.285 0.124

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Figure 2: Minimum (October 2002) and maximum (December 2012) distance of portfolio from liquidity target

Source: Federal Reserve Board and staff estimates.

Liquity share, years of remaining maturity

Years of Remaining Maturity Oct 2002, SOMA Liquidity Share Oct 2002, Treasury Universe Liquidity Share Dec. 2012, SOMA Liquidity Share Dec. 2012, Treasury Universe Liquidity Share
1 0.8661 0.8397 0.0011 0.8165
2 0.1098 0.1288 0.1086 0.1288
3 0.0187 0.0236 0.0249 0.0381
4 0.0040 0.0056 0.5621 0.0106
5 0.0010 0.0018 0.1612 0.0044
6 0.0003 0.0004 0.0972 0.0010
7 0.0001 0.0001 0.0369 0.0004
8 0.0000 0.0000 0.0050 0.0001
9 0.0000 0.0000 0.0024 0.0000
10+ 0.0000 0.0000 0.0007 0.0000

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Figure 3: Minimum (February 2001) and maximum (December 2012) distance of portfolio from duration neutrality

Source: Federal Reserve Board and staff estimates.

Percent, Years of remaining maturity

Years of Remaining Maturity Feb. 2001, SOMA TYE Share Feb. 2001, Treausyr Universe TYE Share Dec. 2012, SOMA TYE Share Dec. 2012, Treausry Universe TYE Share
1 0.035 0.026 0.000 0.024
2 0.063 0.052 0.000 0.048
3 0.048 0.045 0.001 0.060
4 0.051 0.050 0.053 0.068
5 0.064 0.057 0.051 0.094
6 0.048 0.040 0.110 0.070
7 0.039 0.036 0.131 0.092
8 0.049 0.041 0.052 0.053
9 0.061 0.056 0.083 0.059
10+ 0.542 0.597 0.519 0.431

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Figure 4: Evolution of Metrics

Source: Federal Reserve Board and staff estimates.

Distance

Period Market neutrality Liquidity neutrality Duration Neutrality
January 1986 0.094 0.026 0.143
February 1986 0.111 0.037 0.156
March 1986 0.103 0.028 0.161
April 1986 0.108 0.032 0.160
May 1986 0.107 0.032 0.161
June 1986 0.109 0.032 0.163
July 1986 0.100 0.035 0.141
August 1986 0.094 0.034 0.131
September 1986 0.091 0.033 0.128
October 1986 0.085 0.031 0.115
November 1986 0.081 0.030 0.111
December 1986 0.079 0.028 0.110
January 1987 0.096 0.036 0.126
February 1987 0.107 0.042 0.140
March 1987 0.122 0.043 0.167
April 1987 0.116 0.051 0.148
May 1987 0.108 0.049 0.138
June 1987 0.101 0.047 0.131
July 1987 0.100 0.044 0.134
August 1987 0.099 0.044 0.134
September 1987 0.099 0.044 0.134
October 1987 0.094 0.042 0.126
November 1987 0.091 0.040 0.122
December 1987 0.088 0.039 0.118
January 1988 0.105 0.055 0.131
February 1988 0.110 0.067 0.133
March 1988 0.109 0.056 0.139
April 1988 0.116 0.082 0.130
May 1988 0.109 0.080 0.123
June 1988 0.102 0.078 0.115
July 1988 0.100 0.078 0.114
August 1988 0.100 0.078 0.114
September 1988 0.102 0.081 0.115
October 1988 0.091 0.051 0.112
November 1988 0.093 0.050 0.113
December 1988 0.092 0.050 0.117
January 1989 0.094 0.041 0.122
February 1989 0.101 0.049 0.124
March 1989 0.102 0.042 0.133
April 1989 0.105 0.040 0.136
May 1989 0.105 0.039 0.138
June 1989 0.105 0.039 0.140
July 1989 0.108 0.042 0.142
August 1989 0.109 0.042 0.142
September 1989 0.112 0.049 0.143
October 1989 0.112 0.051 0.142
November 1989 0.112 0.051 0.140
December 1989 0.110 0.053 0.138
January 1990 0.108 0.048 0.139
February 1990 0.116 0.063 0.140
March 1990 0.106 0.048 0.141
April 1990 0.110 0.042 0.144
May 1990 0.111 0.043 0.146
June 1990 0.112 0.042 0.150
July 1990 0.113 0.043 0.148
August 1990 0.114 0.043 0.150
September 1990 0.113 0.043 0.150
October 1990 0.103 0.039 0.135
November 1990 0.098 0.039 0.125
December 1990 0.092 0.036 0.120
January 1991 0.098 0.039 0.127
February 1991 0.105 0.050 0.130
March 1991 0.107 0.039 0.142
April 1991 0.112 0.042 0.141
May 1991 0.111 0.041 0.139
June 1991 0.112 0.046 0.138
July 1991 0.109 0.037 0.138
August 1991 0.108 0.037 0.136
September 1991 0.111 0.043 0.137
October 1991 0.097 0.036 0.120
November 1991 0.090 0.034 0.108
December 1991 0.084 0.033 0.100
January 1992 0.089 0.034 0.108
February 1992 0.098 0.048 0.111
March 1992 0.097 0.037 0.122
April 1992 0.098 0.038 0.121
May 1992 0.097 0.038 0.118
June 1992 0.095 0.038 0.113
July 1992 0.089 0.039 0.103
August 1992 0.085 0.038 0.096
September 1992 0.081 0.036 0.090
October 1992 0.080 0.034 0.090
November 1992 0.079 0.034 0.088
December 1992 0.078 0.034 0.087
January 1993 0.080 0.038 0.086
February 1993 0.080 0.044 0.084
March 1993 0.079 0.037 0.087
April 1993 0.077 0.037 0.081
May 1993 0.074 0.037 0.075
June 1993 0.071 0.036 0.071
July 1993 0.075 0.040 0.074
August 1993 0.076 0.041 0.073
September 1993 0.078 0.040 0.076
October 1993 0.071 0.038 0.071
November 1993 0.069 0.038 0.066
December 1993 0.066 0.038 0.062
January 1994 0.069 0.036 0.066
February 1994 0.071 0.044 0.066
March 1994 0.073 0.037 0.071
April 1994 0.075 0.042 0.071
May 1994 0.072 0.041 0.069
June 1994 0.071 0.041 0.067
July 1994 0.074 0.044 0.069
August 1994 0.074 0.044 0.067
September 1994 0.074 0.045 0.065
October 1994 0.069 0.042 0.064
November 1994 0.067 0.042 0.060
December 1994 0.067 0.043 0.058
January 1995 0.068 0.042 0.061
February 1995 0.066 0.056 0.058
March 1995 0.068 0.042 0.060
April 1995 0.068 0.046 0.061
May 1995 0.067 0.046 0.059
June 1995 0.066 0.046 0.056
July 1995 0.073 0.062 0.059
August 1995 0.074 0.062 0.058
September 1995 0.076 0.064 0.057
October 1995 0.071 0.062 0.055
November 1995 0.068 0.061 0.052
December 1995 0.066 0.060 0.049
January 1996 0.065 0.052 0.051
February 1996 0.066 0.061 0.049
March 1996 0.066 0.052 0.051
April 1996 0.071 0.064 0.052
May 1996 0.069 0.063 0.049
June 1996 0.068 0.063 0.047
July 1996 0.070 0.069 0.048
August 1996 0.069 0.069 0.046
September 1996 0.069 0.071 0.045
October 1996 0.063 0.057 0.044
November 1996 0.063 0.056 0.047
December 1996 0.062 0.056 0.045
January 1997 0.063 0.054 0.046
February 1997 0.061 0.062 0.043
March 1997 0.063 0.055 0.042
April 1997 0.068 0.063 0.043
May 1997 0.066 0.062 0.041
June 1997 0.064 0.061 0.039
July 1997 0.065 0.058 0.041
August 1997 0.065 0.059 0.039
September 1997 0.067 0.063 0.038
October 1997 0.062 0.054 0.037
November 1997 0.058 0.050 0.035
December 1997 0.055 0.047 0.033
January 1998 0.058 0.052 0.034
February 1998 0.049 0.058 0.029
March 1998 0.058 0.052 0.032
April 1998 0.062 0.061 0.034
May 1998 0.060 0.059 0.031
June 1998 0.058 0.057 0.030
July 1998 0.056 0.060 0.030
August 1998 0.055 0.059 0.028
September 1998 0.055 0.059 0.027
October 1998 0.052 0.055 0.027
November 1998 0.051 0.054 0.025
December 1998 0.051 0.054 0.024
January 1999 0.049 0.048 0.024
February 1999 0.047 0.061 0.021
March 1999 0.048 0.056 0.020
April 1999 0.044 0.045 0.021
May 1999 0.042 0.043 0.019
June 1999 0.040 0.042 0.017
July 1999 0.038 0.039 0.019
August 1999 0.038 0.038 0.017
September 1999 0.037 0.037 0.016
October 1999 0.034 0.031 0.017
November 1999 0.033 0.030 0.016
December 1999 0.030 0.029 0.015
January 2000 0.034 0.031 0.017
February 2000 0.034 0.050 0.015
March 2000 0.036 0.044 0.015
April 2000 0.033 0.029 0.016
May 2000 0.032 0.029 0.016
June 2000 0.031 0.028 0.015
July 2000 0.029 0.026 0.016
August 2000 0.028 0.025 0.015
September 2000 0.027 0.024 0.014
October 2000 0.025 0.020 0.015
November 2000 0.025 0.020 0.014
December 2000 0.024 0.020 0.014
January 2001 0.025 0.018 0.015
February 2001 0.020 0.020 0.012
March 2001 0.025 0.023 0.014
April 2001 0.024 0.017 0.015
May 2001 0.024 0.016 0.014
June 2001 0.022 0.015 0.013
July 2001 0.017 0.009 0.013
August 2001 0.017 0.008 0.013
September 2001 0.016 0.008 0.013
October 2001 0.014 0.007 0.013
November 2001 0.014 0.007 0.013
December 2001 0.014 0.007 0.013
January 2002 0.015 0.007 0.014
February 2002 0.016 0.009 0.013
March 2002 0.014 0.007 0.013
April 2002 0.015 0.007 0.014
May 2002 0.015 0.007 0.014
June 2002 0.015 0.007 0.014
July 2002 0.014 0.005 0.015
August 2002 0.014 0.005 0.015
September 2002 0.014 0.005 0.014
October 2002 0.014 0.004 0.015
November 2002 0.016 0.004 0.019
December 2002 0.016 0.004 0.019
January 2003 0.015 0.005 0.020
February 2003 0.017 0.006 0.019
March 2003 0.015 0.005 0.019
April 2003 0.017 0.005 0.022
May 2003 0.021 0.005 0.028
June 2003 0.021 0.005 0.028
July 2003 0.024 0.005 0.031
August 2003 0.024 0.005 0.030
September 2003 0.024 0.005 0.029
October 2003 0.026 0.005 0.032
November 2003 0.027 0.005 0.035
December 2003 0.027 0.005 0.034
January 2004 0.026 0.004 0.034
February 2004 0.034 0.006 0.040
March 2004 0.031 0.004 0.042
April 2004 0.032 0.005 0.040
May 2004 0.032 0.005 0.039
June 2004 0.035 0.006 0.043
July 2004 0.035 0.006 0.043
August 2004 0.035 0.006 0.042
September 2004 0.038 0.006 0.047
October 2004 0.038 0.005 0.047
November 2004 0.038 0.005 0.046
December 2004 0.039 0.005 0.047
January 2005 0.042 0.006 0.053
February 2005 0.048 0.008 0.053
March 2005 0.042 0.006 0.052
April 2005 0.047 0.009 0.053
May 2005 0.046 0.009 0.051
June 2005 0.045 0.009 0.049
July 2005 0.046 0.010 0.050
August 2005 0.045 0.010 0.048
September 2005 0.044 0.010 0.047
October 2005 0.041 0.010 0.044
November 2005 0.044 0.010 0.047
December 2005 0.043 0.010 0.046
January 2006 0.039 0.011 0.041
February 2006 0.044 0.015 0.042
March 2006 0.038 0.011 0.040
April 2006 0.039 0.010 0.038
May 2006 0.037 0.010 0.035
June 2006 0.036 0.010 0.034
July 2006 0.037 0.012 0.033
August 2006 0.036 0.012 0.032
September 2006 0.036 0.012 0.030
October 2006 0.034 0.012 0.030
November 2006 0.033 0.011 0.029
December 2006 0.033 0.012 0.029
January 2007 0.031 0.010 0.029
February 2007 0.037 0.022 0.029
March 2007 0.033 0.016 0.029
April 2007 0.036 0.015 0.029
May 2007 0.036 0.014 0.029
June 2007 0.034 0.015 0.027
July 2007 0.031 0.013 0.028
August 2007 0.031 0.013 0.027
September 2007 0.030 0.013 0.028
October 2007 0.031 0.023 0.028
November 2007 0.031 0.023 0.028
December 2007 0.031 0.023 0.028
January 2008 0.042 0.052 0.030
February 2008 0.048 0.080 0.029
March 2008 0.053 0.077 0.029
April 2008 0.089 0.162 0.037
May 2008 0.093 0.173 0.037
June 2008 0.104 0.198 0.039
July 2008 0.138 0.270 0.047
August 2008 0.135 0.269 0.045
September 2008 0.157 0.299 0.044
October 2008 0.149 0.290 0.050
November 2008 0.145 0.289 0.048
December 2008 0.176 0.314 0.051
January 2009 0.156 0.303 0.055
February 2009 0.133 0.322 0.051
March 2009 0.190 0.359 0.056
April 2009 0.155 0.311 0.052
May 2009 0.155 0.310 0.052
June 2009 0.182 0.343 0.053
July 2009 0.159 0.313 0.056
August 2009 0.154 0.313 0.054
September 2009 0.173 0.328 0.055
October 2009 0.159 0.308 0.059
November 2009 0.160 0.308 0.059
December 2009 0.171 0.323 0.070
January 2010 0.161 0.302 0.072
February 2010 0.129 0.308 0.065
March 2010 0.175 0.326 0.080
April 2010 0.164 0.295 0.090
May 2010 0.164 0.295 0.088
June 2010 0.171 0.304 0.088
July 2010 0.163 0.296 0.094
August 2010 0.160 0.296 0.089
September 2010 0.164 0.304 0.086
October 2010 0.146 0.292 0.081
November 2010 0.143 0.292 0.077
December 2010 0.150 0.302 0.076
January 2011 0.145 0.294 0.078
February 2011 0.131 0.321 0.074
March 2011 0.148 0.298 0.075
April 2011 0.139 0.283 0.074
May 2011 0.145 0.284 0.085
June 2011 0.146 0.284 0.084
July 2011 0.147 0.271 0.097
August 2011 0.148 0.271 0.098
September 2011 0.148 0.271 0.099
October 2011 0.149 0.273 0.086
November 2011 0.157 0.284 0.083
December 2011 0.172 0.325 0.081
January 2012 0.180 0.341 0.083
February 2012 0.171 0.373 0.079
March 2012 0.205 0.368 0.083
April 2012 0.205 0.370 0.081
May 2012 0.215 0.383 0.078
June 2012 0.241 0.449 0.087
July 2012 0.255 0.593 0.086
August 2012 0.269 0.615 0.085
September 2012 0.304 0.702 0.108
October 2012 0.308 0.696 0.122
November 2012 0.319 0.717 0.119
December 2012 0.351 0.830 0.126
January 2013 0.343 0.815 0.131
February 2013 0.319 0.791 0.123
March 2013 0.344 0.819 0.120
April 2013 0.316 0.802 0.126
May 2013 0.321 0.810 0.119
June 2013 0.318 0.810 0.114
July 2013 0.308 0.785 0.119
August 2013 0.312 0.788 0.125
September 2013 0.311 0.788 0.122
October 2013 0.301 0.766 0.122
November 2013 0.302 0.766 0.124
December 2013 0.302 0.767 0.119
January 2014 0.295 0.748 0.129
February 2014 0.272 0.717 0.122
March 2014 0.295 0.753 0.119
April 2014 0.265 0.698 0.118
May 2014 0.276 0.713 0.122
June 2014 0.275 0.713 0.118
July 2014 0.271 0.683 0.126
August 2014 0.272 0.683 0.130
September 2014 0.272 0.683 0.127
October 2014 0.269 0.649 0.139
November 2014 0.275 0.650 0.144
December 2014 0.275 0.650 0.143
January 2015 0.273 0.633 0.147
February 2015 0.274 0.621 0.154
March 2015 0.279 0.607 0.164
April 2015 0.279 0.594 0.171
May 2015 0.276 0.587 0.172
June 2015 0.277 0.567 0.180
July 2015 0.280 0.554 0.185
August 2015 0.279 0.542 0.190
September 2015 0.278 0.520 0.196
October 2015 0.274 0.494 0.199
November 2015 0.283 0.496 0.207
December 2015 0.284 0.478 0.212
January 2016 0.283 0.464 0.215
February 2016 0.289 0.473 0.220
March 2016 0.289 0.474 0.220
April 2016 0.281 0.464 0.216
May 2016 0.281 0.473 0.214
June 2016 0.278 0.466 0.214
July 2016 0.273 0.463 0.210
August 2016 0.271 0.468 0.207
September 2016 0.274 0.460 0.211
October 2016 0.276 0.463 0.213
November 2016 0.274 0.475 0.207
December 2016 0.272 0.465 0.209
January 2017 0.271 0.454 0.211
February 2017 0.268 0.453 0.209

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Figure 5: Securities relative to targets, by maturity (beginning of projection)

Source: Federal Reserve Board and staff estimates.

Percent, years of remaining maturity

Years of remaining maturity Share of SOMA Share of Outstanding
1 0.001 0.249
2 0.085 0.141
3 0.079 0.115
4 0.158 0.086
5 0.143 0.095
6 0.092 0.062
7 0.076 0.061
8 0.074 0.029
9 0.037 0.027
10 0.010 0.022

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Figure 6: Market and Liquidity Measures

Source: Federal Reserve Board and staff estimates.

Market Neutrality, Liquidity

Period Market Neutrality, Target market neutrality Market Neutrality, Target liquid holdings Market Neutrality, Target market neutrality and liquid holdings Liquidity, Target maret neutrality Liquidity, Target liquid holdings Liquidity, Target market neutrality and liquid holdings
January 2007 0.031 0.031 0.031 0.010 0.010 0.010
February 2007 0.037 0.037 0.037 0.022 0.022 0.022
March 2007 0.033 0.033 0.033 0.016 0.016 0.016
April 2007 0.036 0.036 0.036 0.015 0.015 0.015
May 2007 0.036 0.036 0.036 0.014 0.014 0.014
June 2007 0.034 0.034 0.034 0.015 0.015 0.015
July 2007 0.031 0.031 0.031 0.013 0.013 0.013
August 2007 0.031 0.031 0.031 0.013 0.013 0.013
September 2007 0.030 0.030 0.030 0.013 0.013 0.013
October 2007 0.031 0.031 0.031 0.023 0.023 0.023
November 2007 0.031 0.031 0.031 0.023 0.023 0.023
December 2007 0.031 0.031 0.031 0.023 0.023 0.023
January 2008 0.042 0.042 0.042 0.052 0.052 0.052
February 2008 0.048 0.048 0.048 0.080 0.080 0.080
March 2008 0.053 0.053 0.053 0.077 0.077 0.077
April 2008 0.089 0.089 0.089 0.162 0.162 0.162
May 2008 0.093 0.093 0.093 0.173 0.173 0.173
June 2008 0.104 0.104 0.104 0.198 0.198 0.198
July 2008 0.138 0.138 0.138 0.270 0.270 0.270
August 2008 0.135 0.135 0.135 0.269 0.269 0.269
September 2008 0.157 0.157 0.157 0.299 0.299 0.299
October 2008 0.149 0.149 0.149 0.290 0.290 0.290
November 2008 0.145 0.145 0.145 0.289 0.289 0.289
December 2008 0.176 0.176 0.176 0.314 0.314 0.314
January 2009 0.156 0.156 0.156 0.303 0.303 0.303
February 2009 0.133 0.133 0.133 0.322 0.322 0.322
March 2009 0.190 0.190 0.190 0.359 0.359 0.359
April 2009 0.155 0.155 0.155 0.311 0.311 0.311
May 2009 0.155 0.155 0.155 0.310 0.310 0.310
June 2009 0.182 0.182 0.182 0.343 0.343 0.343
July 2009 0.159 0.159 0.159 0.313 0.313 0.313
August 2009 0.154 0.154 0.154 0.313 0.313 0.313
September 2009 0.173 0.173 0.173 0.328 0.328 0.328
October 2009 0.159 0.159 0.159 0.308 0.308 0.308
November 2009 0.160 0.160 0.160 0.308 0.308 0.308
December 2009 0.171 0.171 0.171 0.323 0.323 0.323
January 2010 0.161 0.161 0.161 0.302 0.302 0.302
February 2010 0.129 0.129 0.129 0.308 0.308 0.308
March 2010 0.175 0.175 0.175 0.326 0.326 0.326
April 2010 0.164 0.164 0.164 0.295 0.295 0.295
May 2010 0.164 0.164 0.164 0.295 0.295 0.295
June 2010 0.171 0.171 0.171 0.304 0.304 0.304
July 2010 0.163 0.163 0.163 0.296 0.296 0.296
August 2010 0.160 0.160 0.160 0.296 0.296 0.296
September 2010 0.164 0.164 0.164 0.304 0.304 0.304
October 2010 0.146 0.146 0.146 0.292 0.292 0.292
November 2010 0.143 0.143 0.143 0.292 0.292 0.292
December 2010 0.150 0.150 0.150 0.302 0.302 0.302
January 2011 0.145 0.145 0.145 0.294 0.294 0.294
February 2011 0.131 0.131 0.131 0.321 0.321 0.321
March 2011 0.148 0.148 0.148 0.298 0.298 0.298
April 2011 0.139 0.139 0.139 0.283 0.283 0.283
May 2011 0.145 0.145 0.145 0.284 0.284 0.284
June 2011 0.146 0.146 0.146 0.284 0.284 0.284
July 2011 0.147 0.147 0.147 0.271 0.271 0.271
August 2011 0.148 0.148 0.148 0.271 0.271 0.271
September 2011 0.148 0.148 0.148 0.271 0.271 0.271
October 2011 0.149 0.149 0.149 0.273 0.273 0.273
November 2011 0.157 0.157 0.157 0.284 0.284 0.284
December 2011 0.172 0.172 0.172 0.325 0.325 0.325
January 2012 0.180 0.180 0.180 0.341 0.341 0.341
February 2012 0.171 0.171 0.171 0.373 0.373 0.373
March 2012 0.205 0.205 0.205 0.368 0.368 0.368
April 2012 0.205 0.205 0.205 0.370 0.370 0.370
May 2012 0.215 0.215 0.215 0.383 0.383 0.383
June 2012 0.241 0.241 0.241 0.449 0.449 0.449
July 2012 0.255 0.255 0.255 0.593 0.593 0.593
August 2012 0.269 0.269 0.269 0.615 0.615 0.615
September 2012 0.304 0.304 0.304 0.702 0.702 0.702
October 2012 0.308 0.308 0.308 0.696 0.696 0.696
November 2012 0.319 0.319 0.319 0.717 0.717 0.717
December 2012 0.351 0.351 0.351 0.830 0.830 0.830
January 2013 0.343 0.343 0.343 0.815 0.815 0.815
February 2013 0.319 0.319 0.319 0.791 0.791 0.791
March 2013 0.344 0.344 0.344 0.819 0.819 0.819
April 2013 0.316 0.316 0.316 0.802 0.802 0.802
May 2013 0.321 0.321 0.321 0.810 0.810 0.810
June 2013 0.318 0.318 0.318 0.810 0.810 0.810
July 2013 0.308 0.308 0.308 0.785 0.785 0.785
August 2013 0.312 0.312 0.312 0.788 0.788 0.788
September 2013 0.311 0.311 0.311 0.788 0.788 0.788
October 2013 0.301 0.301 0.301 0.766 0.766 0.766
November 2013 0.302 0.302 0.302 0.766 0.766 0.766
December 2013 0.302 0.302 0.302 0.767 0.767 0.767
January 2014 0.295 0.295 0.295 0.748 0.748 0.748
February 2014 0.272 0.272 0.272 0.717 0.717 0.717
March 2014 0.295 0.295 0.295 0.753 0.753 0.753
April 2014 0.265 0.265 0.265 0.698 0.698 0.698
May 2014 0.276 0.276 0.276 0.713 0.713 0.713
June 2014 0.275 0.275 0.275 0.713 0.713 0.713
July 2014 0.271 0.271 0.271 0.683 0.683 0.683
August 2014 0.272 0.272 0.272 0.683 0.683 0.683
September 2014 0.272 0.272 0.272 0.683 0.683 0.683
October 2014 0.269 0.269 0.269 0.649 0.649 0.649
November 2014 0.275 0.275 0.275 0.650 0.650 0.650
December 2014 0.275 0.275 0.275 0.650 0.650 0.650
2015: Q1 0.280 0.280 0.280 0.603 0.603 0.603
2015: Q2 0.282 0.282 0.282 0.578 0.578 0.578
2015: Q3 0.285 0.285 0.285 0.530 0.530 0.530
2015: Q4 0.293 0.293 0.293 0.496 0.496 0.496
2016: Q1 0.307 0.307 0.307 0.478 0.478 0.478
2016: Q2 0.322 0.322 0.322 0.506 0.506 0.506
2016: Q3 0.336 0.336 0.336 0.498 0.498 0.498
2016: Q4 0.350 0.350 0.350 0.497 0.497 0.497
2017: Q1 0.369 0.369 0.369 0.541 0.541 0.541
2017: Q2 0.383 0.383 0.383 0.503 0.503 0.503
2017: Q3 0.398 0.398 0.398 0.524 0.524 0.524
2017: Q4 0.411 0.411 0.411 0.487 0.487 0.487
2018: Q1 0.429 0.429 0.429 0.541 0.541 0.541
2018: Q2 0.451 0.451 0.451 0.515 0.515 0.515
2018: Q3 0.470 0.470 0.470 0.557 0.557 0.557
2018: Q4 0.486 0.486 0.486 0.535 0.535 0.535
2019: Q1 0.506 0.506 0.506 0.599 0.599 0.599
2019: Q2 0.527 0.527 0.527 0.583 0.583 0.583
2019: Q3 0.544 0.544 0.544 0.625 0.625 0.625
2019: Q4 0.557 0.557 0.557 0.599 0.599 0.599
2020: Q1 0.574 0.574 0.574 0.633 0.633 0.633
2020: Q2 0.592 0.592 0.592 0.638 0.638 0.638
2020: Q3 0.609 0.609 0.609 0.674 0.674 0.674
2020: Q4 0.620 0.620 0.620 0.663 0.663 0.663
2021: Q1 0.636 0.636 0.636 0.718 0.718 0.718
2021: Q2 0.652 0.652 0.652 0.715 0.715 0.715
2021: Q3 0.570 0.570 0.570 0.431 0.431 0.431
2021: Q4 0.526 0.525 0.525 0.318 0.317 0.317
2022: Q1 0.418 0.471 0.461 0.208 0.185 0.174
2022: Q2 0.336 0.437 0.389 0.189 0.136 0.131
2022: Q3 0.283 0.382 0.315 0.116 0.069 0.079
2022: Q4 0.242 0.357 0.254 0.108 0.048 0.059
2023: Q1 0.219 0.325 0.225 0.072 0.030 0.041
2023: Q2 0.199 0.324 0.205 0.090 0.033 0.046
2023: Q3 0.175 0.291 0.172 0.041 0.013 0.020
2023: Q4 0.162 0.268 0.153 0.053 0.011 0.019
2024: Q1 0.146 0.249 0.138 0.030 0.007 0.011
2024: Q2 0.137 0.244 0.130 0.037 0.008 0.013
2024: Q3 0.129 0.243 0.126 0.030 0.008 0.013
2024: Q4 0.120 0.242 0.118 0.034 0.008 0.012
2025: Q1 0.115 0.229 0.111 0.021 0.006 0.009
2025: Q2 0.109 0.234 0.107 0.029 0.008 0.012
2025: Q3 0.103 0.223 0.100 0.020 0.005 0.008
2025: Q4 0.098 0.228 0.096 0.027 0.006 0.010

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Figure 7: Securities Relative to Targets, by maturity (end of projection)

Source: Federal Reserve Board and staff estimates.

Percent, years of remaining maturity

Years of remaining maturity Share of SOMA Share of Outstanding
1 0.271 0.297
2 0.101 0.113
3 0.076 0.098
4 0.053 0.068
5 0.055 0.072
6 0.035 0.048
7 0.030 0.044
8 0.022 0.031
9 0.007 0.013
10 0.014 0.020

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Figure 8: Market neutrality: SOMA relative to overall

Source: Federal Reserve Board and staff estimates.

Distance

Period Market neutrality: Pos Market Neutrality: Neg
January 1986 0.0104 0.1090
February 1986 0.0144 0.1155
March 1986 0.0108 0.1228
April 1986 0.0090 0.1264
May 1986 0.0090 0.1264
June 1986 0.0090 0.1243
July 1986 0.0093 0.1011
August 1986 0.0093 0.0904
September 1986 0.0095 0.0877
October 1986 0.0076 0.0722
November 1986 0.0076 0.0667
December 1986 0.0077 0.0676
January 1987 0.0079 0.0827
February 1987 0.0112 0.0952
March 1987 0.0079 0.1275
April 1987 0.0101 0.0970
May 1987 0.0097 0.0850
June 1987 0.0094 0.0777
July 1987 0.0120 0.0748
August 1987 0.0120 0.0737
September 1987 0.0123 0.0741
October 1987 0.0110 0.0696
November 1987 0.0114 0.0676
December 1987 0.0112 0.0646
January 1988 0.0176 0.0771
February 1988 0.0238 0.0781
March 1988 0.0180 0.0820
April 1988 0.0152 0.0823
May 1988 0.0155 0.0764
June 1988 0.0158 0.0725
July 1988 0.0135 0.0678
August 1988 0.0138 0.0680
September 1988 0.0141 0.0731
October 1988 0.0102 0.0607
November 1988 0.0100 0.0621
December 1988 0.0105 0.0647
January 1989 0.0099 0.0672
February 1989 0.0155 0.0695
March 1989 0.0115 0.0806
April 1989 0.0112 0.0827
May 1989 0.0117 0.0821
June 1989 0.0117 0.0838
July 1989 0.0131 0.0869
August 1989 0.0131 0.0869
September 1989 0.0132 0.0930
October 1989 0.0118 0.0948
November 1989 0.0117 0.0938
December 1989 0.0119 0.0911
January 1990 0.0115 0.0842
February 1990 0.0151 0.0900
March 1990 0.0128 0.0823
April 1990 0.0115 0.0881
May 1990 0.0115 0.0905
June 1990 0.0115 0.0967
July 1990 0.0094 0.0959
August 1990 0.0094 0.0984
September 1990 0.0095 0.0984
October 1990 0.0089 0.0838
November 1990 0.0091 0.0747
December 1990 0.0089 0.0716
January 1991 0.0079 0.0728
February 1991 0.0137 0.0731
March 1991 0.0086 0.0876
April 1991 0.0084 0.0806
May 1991 0.0085 0.0791
June 1991 0.0085 0.0834
July 1991 0.0081 0.0784
August 1991 0.0089 0.0762
September 1991 0.0089 0.0815
October 1991 0.0077 0.0603
November 1991 0.0062 0.0549
December 1991 0.0081 0.0515
January 1992 0.0077 0.0543
February 1992 0.0169 0.0519
March 1992 0.0105 0.0651
April 1992 0.0085 0.0617
May 1992 0.0085 0.0593
June 1992 0.0083 0.0564
July 1992 0.0083 0.0483
August 1992 0.0084 0.0442
September 1992 0.0077 0.0429
October 1992 0.0090 0.0386
November 1992 0.0084 0.0394
December 1992 0.0087 0.0389
January 1993 0.0084 0.0372
February 1993 0.0109 0.0357
March 1993 0.0079 0.0388
April 1993 0.0074 0.0350
May 1993 0.0078 0.0327
June 1993 0.0084 0.0315
July 1993 0.0085 0.0323
August 1993 0.0083 0.0325
September 1993 0.0088 0.0332
October 1993 0.0080 0.0290
November 1993 0.0082 0.0279
December 1993 0.0085 0.0273
January 1994 0.0082 0.0271
February 1994 0.0113 0.0260
March 1994 0.0084 0.0297
April 1994 0.0083 0.0289
May 1994 0.0082 0.0294
June 1994 0.0086 0.0290
July 1994 0.0083 0.0291
August 1994 0.0081 0.0289
September 1994 0.0089 0.0277
October 1994 0.0076 0.0260
November 1994 0.0069 0.0259
December 1994 0.0076 0.0268
January 1995 0.0067 0.0263
February 1995 0.0139 0.0227
March 1995 0.0076 0.0256
April 1995 0.0083 0.0254
May 1995 0.0084 0.0246
June 1995 0.0085 0.0238
July 1995 0.0106 0.0320
August 1995 0.0103 0.0323
September 1995 0.0098 0.0334
October 1995 0.0114 0.0263
November 1995 0.0109 0.0255
December 1995 0.0106 0.0244
January 1996 0.0082 0.0229
February 1996 0.0129 0.0206
March 1996 0.0092 0.0246
April 1996 0.0083 0.0263
May 1996 0.0083 0.0268
June 1996 0.0090 0.0258
July 1996 0.0087 0.0258
August 1996 0.0095 0.0248
September 1996 0.0096 0.0242
October 1996 0.0077 0.0212
November 1996 0.0076 0.0224
December 1996 0.0083 0.0216
January 1997 0.0082 0.0216
February 1997 0.0125 0.0198
March 1997 0.0085 0.0229
April 1997 0.0093 0.0222
May 1997 0.0102 0.0214
June 1997 0.0109 0.0210
July 1997 0.0090 0.0208
August 1997 0.0094 0.0208
September 1997 0.0109 0.0214
October 1997 0.0089 0.0174
November 1997 0.0079 0.0156
December 1997 0.0091 0.0156
January 1998 0.0086 0.0157
February 1998 0.0181 0.0132
March 1998 0.0115 0.0166
April 1998 0.0085 0.0179
May 1998 0.0096 0.0167
June 1998 0.0094 0.0163
July 1998 0.0110 0.0153
August 1998 0.0099 0.0150
September 1998 0.0101 0.0148
October 1998 0.0091 0.0141
November 1998 0.0089 0.0141
December 1998 0.0092 0.0144
January 1999 0.0073 0.0115
February 1999 0.0113 0.0150
March 1999 0.0075 0.0145
April 1999 0.0042 0.0106
May 1999 0.0042 0.0102
June 1999 0.0031 0.0101
July 1999 0.0040 0.0094
August 1999 0.0049 0.0092
September 1999 0.0049 0.0092
October 1999 0.0035 0.0082
November 1999 0.0032 0.0080
December 1999 0.0053 0.0075
January 2000 0.0045 0.0079
February 2000 0.0082 0.0148
March 2000 0.0074 0.0142
April 2000 0.0047 0.0076
May 2000 0.0048 0.0076
June 2000 0.0048 0.0076
July 2000 0.0051 0.0077
August 2000 0.0053 0.0078
September 2000 0.0061 0.0075
October 2000 0.0061 0.0078
November 2000 0.0059 0.0080
December 2000 0.0057 0.0079
January 2001 0.0054 0.0083
February 2001 0.0081 0.0074
March 2001 0.0061 0.0084
April 2001 0.0047 0.0083
May 2001 0.0043 0.0083
June 2001 0.0043 0.0081
July 2001 0.0018 0.0079
August 2001 0.0017 0.0080
September 2001 0.0016 0.0082
October 2001 0.0016 0.0082
November 2001 0.0015 0.0083
December 2001 0.0016 0.0083
January 2002 0.0020 0.0085
February 2002 0.0021 0.0082
March 2002 0.0018 0.0085
April 2002 0.0024 0.0089
May 2002 0.0023 0.0093
June 2002 0.0024 0.0097
July 2002 0.0017 0.0098
August 2002 0.0017 0.0100
September 2002 0.0019 0.0099
October 2002 0.0014 0.0108
November 2002 0.0015 0.0145
December 2002 0.0015 0.0146
January 2003 0.0017 0.0142
February 2003 0.0019 0.0146
March 2003 0.0017 0.0136
April 2003 0.0016 0.0174
May 2003 0.0017 0.0268
June 2003 0.0016 0.0265
July 2003 0.0014 0.0321
August 2003 0.0014 0.0308
September 2003 0.0014 0.0300
October 2003 0.0016 0.0338
November 2003 0.0016 0.0381
December 2003 0.0016 0.0371
January 2004 0.0017 0.0384
February 2004 0.0024 0.0520
March 2004 0.0017 0.0505
April 2004 0.0020 0.0462
May 2004 0.0021 0.0446
June 2004 0.0021 0.0517
July 2004 0.0019 0.0518
August 2004 0.0019 0.0517
September 2004 0.0018 0.0591
October 2004 0.0014 0.0641
November 2004 0.0014 0.0627
December 2004 0.0014 0.0640
January 2005 0.0016 0.0733
February 2005 0.0020 0.0761
March 2005 0.0016 0.0725
April 2005 0.0023 0.0712
May 2005 0.0021 0.0676
June 2005 0.0021 0.0640
July 2005 0.0021 0.0627
August 2005 0.0021 0.0605
September 2005 0.0023 0.0579
October 2005 0.0015 0.0556
November 2005 0.0015 0.0608
December 2005 0.0016 0.0590
January 2006 0.0017 0.0514
February 2006 0.0025 0.0527
March 2006 0.0017 0.0479
April 2006 0.0026 0.0404
May 2006 0.0025 0.0379
June 2006 0.0024 0.0352
July 2006 0.0027 0.0335
August 2006 0.0027 0.0327
September 2006 0.0027 0.0315
October 2006 0.0024 0.0310
November 2006 0.0025 0.0303
December 2006 0.0024 0.0292
January 2007 0.0027 0.0293
February 2007 0.0045 0.0348
March 2007 0.0028 0.0333
April 2007 0.0042 0.0298
May 2007 0.0039 0.0302
June 2007 0.0043 0.0297
July 2007 0.0029 0.0308
August 2007 0.0029 0.0311
September 2007 0.0031 0.0301
October 2007 0.0034 0.0410
November 2007 0.0034 0.0410
December 2007 0.0035 0.0410
January 2008 0.0042 0.0608
February 2008 0.0049 0.0639
March 2008 0.0054 0.0675
April 2008 0.0069 0.1250
May 2008 0.0076 0.1278
June 2008 0.0089 0.1447
July 2008 0.0104 0.2334
August 2008 0.0104 0.2238
September 2008 0.0111 0.2569
October 2008 0.0114 0.2409
November 2008 0.0113 0.2272
December 2008 0.0145 0.2842
January 2009 0.0123 0.2342
February 2009 0.0116 0.2067
March 2009 0.0148 0.2969
April 2009 0.0144 0.2324
May 2009 0.0146 0.2237
June 2009 0.0170 0.2656
July 2009 0.0151 0.2252
August 2009 0.0147 0.2269
September 2009 0.0152 0.2529
October 2009 0.0132 0.2237
November 2009 0.0135 0.2224
December 2009 0.0157 0.2271
January 2010 0.0149 0.2057
February 2010 0.0113 0.1574
March 2010 0.0155 0.2049
April 2010 0.0156 0.1748
May 2010 0.0156 0.1743
June 2010 0.0187 0.1816
July 2010 0.0187 0.1608
August 2010 0.0180 0.1585
September 2010 0.0186 0.1655
October 2010 0.0187 0.1537
November 2010 0.0183 0.1638
December 2010 0.0172 0.1764
January 2011 0.0161 0.1743
February 2011 0.0148 0.1635
March 2011 0.0159 0.1750
April 2011 0.0158 0.1665
May 2011 0.0155 0.1749
June 2011 0.0167 0.1767
July 2011 0.0166 0.1775
August 2011 0.0172 0.1775
September 2011 0.0175 0.1798
October 2011 0.0173 0.1767
November 2011 0.0178 0.1864
December 2011 0.0180 0.2199
January 2012 0.0164 0.2205
February 2012 0.0152 0.2126
March 2012 0.0162 0.2569
April 2012 0.0166 0.2595
May 2012 0.0160 0.2717
June 2012 0.0163 0.3249
July 2012 0.0151 0.3646
August 2012 0.0137 0.3799
September 2012 0.0159 0.4688
October 2012 0.0145 0.4611
November 2012 0.0139 0.4749
December 2012 0.0141 0.6042
January 2013 0.0149 0.5728
February 2013 0.0118 0.5326
March 2013 0.0144 0.5714
April 2013 0.0116 0.5128
May 2013 0.0117 0.5242
June 2013 0.0119 0.5294
July 2013 0.0118 0.5166
August 2013 0.0116 0.5208
September 2013 0.0116 0.5199
October 2013 0.0112 0.5019
November 2013 0.0119 0.5033
December 2013 0.0123 0.5131
January 2014 0.0117 0.4969
February 2014 0.0107 0.4524
March 2014 0.0135 0.5070
April 2014 0.0115 0.4487
May 2014 0.0117 0.4543
June 2014 0.0117 0.4560
July 2014 0.0110 0.4424
August 2014 0.0114 0.4416
September 2014 0.0116 0.4437
October 2014 0.0115 0.4398
November 2014 0.0131 0.4567
December 2014 0.0130 0.4563
January 2015 0.0129 0.4480
February 2015 0.0129 0.4504
March 2015 0.0129 0.4559
April 2015 0.0129 0.4585
May 2015 0.0129 0.4498
June 2015 0.0129 0.4504
July 2015 0.0135 0.4566
August 2015 0.0135 0.4539
September 2015 0.0135 0.4482
October 2015 0.0129 0.4381
November 2015 0.0138 0.4512
December 2015 0.0138 0.4526
January 2016 0.0138 0.4533
February 2016 0.0146 0.4492
March 2016 0.0157 0.4553
April 2016 0.0159 0.4369
May 2016 0.0171 0.4344
June 2016 0.0181 0.4313
July 2016 0.0178 0.4165
August 2016 0.0182 0.4001
September 2016 0.0179 0.4030
October 2016 0.0188 0.4058
November 2016 0.0190 0.3916
December 2016 0.0190 0.3870
January 2017 0.0190 0.3792
February 2017 0.0191 0.3689

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