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Accessible Version Meeting of the Federal Open Market Committee October 23-24, 2012 Presentation Materials Presentation Materials (PDF) Pages 247 to 279 of the Transcript Appendix 1: Materials used by Mr. Engen Material for Briefing on Thresholds Eric Engen October 23, 2012 Class I FOMC - Restricted Controlled (FR) Exhibit 1 Thresholds Top panel Thresholds could increase clarity of Committee's intentions and improve market's understanding of policy reaction function. Market responses to economic developments may be more likely to move longer-term interest rates consistent with Committee's view for path of short-term rates. Enhanced clarity might reduce uncertainty about future policy. Thresholds could facilitate Committee's deliberations. Thresholds might provide additional policy stimulus if materially changed expectations for future path of funds rate. Middle-left panel Federal Funds Rate Percent Period Consensus baseline (6.5, 2.5) w/ outcome-based rule (5.5, 3.0) w/ outcome-based rule (6.5, 2.5) w/ inertial Taylor rule 2012:Q1 0.13 0.13 0.13 0.13 2012:Q2 0.13 0.13 0.13 0.13 2012:Q3 0.13 0.13 0.13 0.13 2012:Q4 0.13 0.13 0.13 0.13 2013:Q1 0.13 0.13 0.13 0.13 2013:Q2 0.13 0.13 0.13 0.13 2013:Q3 0.13 0.13 0.13 0.13 2013:Q4 0.13 0.13 0.13 0.13 2014:Q1 0.13 0.13 0.13 0.13 2014:Q2 0.13 0.13 0.13 0.13 2014:Q3 0.13 0.13 0.13 0.13 2014:Q4 0.13 0.13 0.13 0.13 2015:Q1 0.13 0.13 0.13 0.13 2015:Q2 0.13 0.13 0.13 0.13 2015:Q3 0.40 0.13 0.13 0.24 2015:Q4 1.00 0.52 0.13 0.65 2016:Q1 1.74 1.32 0.13 1.17 2016:Q2 2.43 2.15 0.14 1.66 2016:Q3 2.99 2.86 0.56 2.10 2016:Q4 3.41 3.40 1.66 2.51 2017:Q1 3.73 3.79 2.84 2.88 2017:Q2 3.96 4.06 3.82 3.21 2017:Q3 4.08 4.19 4.44 3.50 2017:Q4 4.12 4.22 4.75 3.73 Middle-right panel Real GDP Year-to-year percent change Period Consensus baseline 2012:Q1 2012:Q2 math: 100% Processing 2012:Q3 (6.5, 2.5) w/ outcome-based rule (5.5, 3.0) w/ outcome-based rule (6.5, 2.5) w/ inertial Taylor rule 2.45 2.45 2.45 2.45 2.25 2.25 2.25 2.25 2.29 2.29 2.29 2.29 2012:Q4 1.72 1.72 1.71 1.71 2013:Q1 1.77 1.78 1.85 1.83 2013:Q2 1.98 2.00 2.14 2.10 2013:Q3 2.34 2.38 2.59 2.52 2013:Q4 2.65 2.70 3.00 2.91 2014:Q1 2.97 3.03 3.34 3.24 2014:Q2 3.24 3.30 3.61 3.51 2014:Q3 3.46 3.51 3.82 3.72 2014:Q4 3.65 3.71 4.00 3.90 2015:Q1 3.67 3.72 4.00 3.91 2015:Q2 3.69 3.74 4.02 3.92 2015:Q3 3.66 3.71 3.98 3.88 2015:Q4 3.55 3.60 3.86 3.77 2016:Q1 3.47 3.52 3.78 3.68 2016:Q2 3.33 3.37 3.63 3.53 2016:Q3 3.19 3.21 3.47 3.37 2016:Q4 3.11 3.09 3.30 3.25 2017:Q1 3.07 3.02 3.10 3.15 2017:Q2 3.06 2.98 2.89 3.07 2017:Q3 2.97 2.88 2.60 2.90 2017:Q4 2.87 2.78 2.36 2.72 Bottom-left panel Unemployment Rate Percent Period Consensus baseline (6.5, 2.5) w/ outcome-based rule (5.5, 3.0) w/ outcome-based rule (6.5, 2.5) w/ inertial Taylor rule 2012:Q1 8.24 8.24 8.24 8.24 2012:Q2 8.17 8.17 8.17 8.17 2012:Q3 8.20 8.20 8.20 8.20 2012:Q4 8.20 8.20 8.20 8.20 2013:Q1 8.13 8.13 8.11 8.12 2013:Q2 8.04 8.03 8.00 8.01 2013:Q3 7.94 7.93 7.86 7.88 2013:Q4 7.84 7.82 7.72 7.75 2014:Q1 7.68 7.66 7.52 7.56 2014:Q2 7.53 7.50 7.32 7.38 2014:Q3 7.38 7.34 7.13 7.20 2014:Q4 7.24 7.19 6.94 7.02 2015:Q1 7.00 6.95 6.66 6.76 2015:Q2 6.77 6.71 6.39 6.49 2015:Q3 6.55 6.48 6.12 6.24 2015:Q4 6.33 6.26 5.87 6.00 2016:Q1 6.18 6.11 5.68 5.83 2016:Q2 6.05 5.97 5.51 5.67 2016:Q3 5.93 5.84 5.36 5.53 2016:Q4 5.81 5.73 5.23 5.40 2017:Q1 5.70 5.63 5.14 5.29 2017:Q2 5.60 5.54 5.07 5.19 2017:Q3 5.58 5.53 5.11 5.19 2017:Q4 5.57 5.53 5.17 5.20 Bottom-right panel PCE Inflation 12-month percent change Period Consensus baseline (6.5, 2.5) w/ outcome-based rule (5.5, 3.0) w/ outcome-based rule (6.5, 2.5) w/ inertial Taylor rule 2012:Q1 2.33 2.33 2.33 2.33 2012:Q2 1.64 1.64 1.64 1.64 2012:Q3 1.58 1.58 1.58 1.58 2012:Q4 1.84 1.85 1.90 1.89 2013:Q1 1.68 1.70 1.79 1.78 2013:Q2 1.94 1.96 2.10 2.08 2013:Q3 1.85 1.88 2.07 2.05 2013:Q4 1.77 1.80 2.00 1.97 2014:Q1 1.76 1.78 1.99 1.97 2014:Q2 1.76 1.79 2.01 1.98 2014:Q3 1.77 1.80 2.02 1.99 2014:Q4 1.79 1.82 2.03 2.01 Processing math: 100% 2015:Q1 1.81 1.83 2.05 2.03 2015:Q2 1.83 1.85 2.07 2.05 2015:Q3 1.85 1.88 2.08 2.06 2015:Q4 1.88 1.90 2.10 2.08 2016:Q1 1.91 1.93 2.12 2.11 2016:Q2 1.94 1.97 2.15 2.13 2016:Q3 1.98 2.00 2.18 2.16 2016:Q4 2.01 2.04 2.21 2.19 2017:Q1 2.03 2.06 2.24 2.20 2017:Q2 2.05 2.08 2.26 2.22 2017:Q3 2.06 2.09 2.27 2.22 2017:Q4 2.06 2.09 2.27 2.22 Exhibit 2 Some Broader Lessons and Issues Some lessons from model-based analysis: Thresholds would likely perform fairly well under variety of economic conditions. Thresholds could improve expected economic performance--with caveat that thresholds can be set too aggressively. Some issues with setting unemployment rate and projected inflation thresholds: Amount of labor slack is uncertain, but this risk is associated with any policy strategy using measure of slack, and thresholds may not exacerbate it greatly. Even projected inflation is volatile, and setting inflation threshold modestly above target could have threshold crossed early with still-elevated unemployment. Economic outcomes could be less favorable than with somewhat higher inflation threshold. Some communications challenges: Difficult to formulate inflation threshold with realized headline inflation because of volatility. Effect of policy on economic conditions depends on expectations for both policy after onset of firming and start date of firming. Thresholds would likely differ from Committee's longer-run objectives and market participants may not understand distinction. Thresholds would describe policy in terms of two variables, but Committee draws on a wide range of indicators when setting policy. Exhibit 3 Draft threshold language [Note: In the draft threshold language, emphasis (strike-through) indicates strike-through text in the original document, and strong emphasis (bold) indicates bold red underlined text in the original document.] Alternative 1 To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that this exceptionally low range for the federal funds rate will be appropriate at least as long as until the unemployment rate exceeds falls below 6 1/2 percent, provided that inflation at a one- to two-year horizon is projected to be no more than a half percentage point above the Committee's 2 percent objective and longer-term inflation expectations continue to be well anchored. [In determining the time horizon over which it maintains a highly accommodative stance of monetary policy, the Committee will also consider the pace of improvement in labor market conditions, and other indicators of economic and financial conditions activity and prices. | The Committee may determine that the current target range for the federal funds rate is appropriate for even longer based on the pace of improvement in labor market conditions and other indicators of economic activity and prices. ] When the Committee decides to begin to remove policy accommodation, it will take a balanced approach consistent with maintaining continued satisfactory progress toward maximum employment in a context of price stability. Alternative 2, referencing realized inflation rather than projected inflation To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that this exceptionally low range for the federal funds rate will be appropriate at least as long as until the unemployment rate exceeds falls below 6 1/2 percent, provided that the 12-month growth rate of the price index for personal consumption expenditures is inflation at a one- to two-year horizon is projected to be no more than a half percentage point above the Committee's 2 percent objective and longer-term inflation expectations continue to be well anchored. A transitory increase in inflation owing to fluctuations in the prices of energy or other volatile components of the price index would not necessarily by itself warrant an increase in the target range. [ In determining the time horizon over which it maintains a highly accommodative stance of monetary policy, the Committee will also consider the pace of improvement in labor market conditions, and other indicators of economic and financial conditions activity and prices. | The Committee may determine that the current target range for the federal funds rate is appropriate for even longer based on the pace of improvement in labor market conditions and other indicators of economic activity and prices. ] When the Committee decides to begin to remove policy accommodation, it will take a balanced approach consistent with maintaining continued satisfactory progress toward maximum employment in a context of price stability. Questions for FOMC Discussion on Quantitative Thresholds Processing math: 100% 1. Do you think it would be beneficial to express the Committee's forward guidance on the funds rate using numerical thresholds? 2. If the Committee were to incorporate such thresholds into the forward guidance: a. Should the thresholds replace the date-based guidance or be combined with the date-based guidance? If you think they should be combined, would you do that routinely or only as a transition when the thresholds are first introduced? b. What variables should the thresholds reference? Regarding inflation, should the thresholds reference actual inflation or a projection? What should the numerical values be for the variables used? c. In what way, if at all, should the language indicate that the Committee may tighten policy before any thresholds are crossed? d. In what way, if at all, should the Committee provide guidance about the timing of liftoff after a threshold is crossed and the likely course of policy after the initial increase in the funds rate target? Appendix 2: Materials used by Mr. Potter Material for FOMC Presentation: Financial Market Developments and Desk Operations Simon Potter October 23, 2012 Class II FOMC - Restricted (FR) Exhibit 1 Top-left panel (1) Ten-Year Nominal and Real Treasury Yields Percent Date Nominal Real 1 August 2011 2.744 0.315 2 August 2011 2.611 0.257 3 August 2011 2.620 0.349 4 August 2011 2.403 0.188 5 August 2011 2.559 0.310 8 August 2011 2.318 0.136 9 August 2011 2.249 0.022 10 August 2011 2.106 -0.185 11 August 2011 2.340 0.023 12 August 2011 2.255 -0.031 15 August 2011 2.305 0.039 16 August 2011 2.220 0.005 17 August 2011 2.165 -0.025 18 August 2011 2.062 0.002 19 August 2011 2.062 -0.009 22 August 2011 2.106 0.010 23 August 2011 2.153 0.092 24 August 2011 2.299 0.204 25 August 2011 2.229 0.105 26 August 2011 2.190 0.117 29 August 2011 2.256 0.162 30 August 2011 2.177 0.098 31 August 2011 2.223 0.138 1 September 2011 2.130 0.022 2 September 2011 1.986 -0.061 5 September 2011 1.986 -0.061 6 September 2011 1.984 0.022 7 September 2011 2.043 0.057 8 September 2011 1.979 -0.050 9 September 2011 1.918 -0.069 12 September 2011 1.948 -0.022 13 September 2011 1.991 0.038 14 September 2011 1.984 0.058 15 September 2011 2.082 0.100 16 September 2011 2.048 0.069 19 September 2011 1.951 0.047 20 September 2011 1.939 0.003 21 September 2011 1.858 -0.010 22 September 2011 1.718 -0.004 23 September 2011 1.833 0.064 26 September 2011 1.900 0.087 27 September 2011 Processing math: 100% 1.971 0.075 28 September 2011 1.980 0.101 29 September 2011 1.996 0.139 30 September 2011 1.915 0.144 3 October 2011 1.756 0.002 4 October 2011 1.821 0.028 5 October 2011 1.888 0.072 6 October 2011 1.987 0.078 7 October 2011 2.076 0.118 10 October 2011 2.076 0.118 11 October 2011 2.150 0.170 12 October 2011 2.210 0.207 13 October 2011 2.183 0.224 14 October 2011 2.248 0.250 17 October 2011 2.155 0.195 18 October 2011 2.176 0.166 19 October 2011 2.160 0.190 20 October 2011 2.189 0.207 21 October 2011 2.219 0.197 24 October 2011 2.234 0.194 25 October 2011 2.109 0.080 26 October 2011 2.204 0.114 27 October 2011 2.396 0.214 28 October 2011 2.317 0.151 31 October 2011 2.113 0.025 1 November 2011 1.989 -0.069 2 November 2011 1.985 -0.113 3 November 2011 2.073 -0.033 4 November 2011 2.033 -0.097 7 November 2011 2.037 -0.114 8 November 2011 2.077 -0.059 9 November 2011 1.962 -0.068 10 November 2011 2.056 -0.065 11 November 2011 2.056 -0.065 14 November 2011 2.056 -0.038 15 November 2011 2.045 -0.010 16 November 2011 2.000 0.023 17 November 2011 1.960 0.006 18 November 2011 2.010 0.015 21 November 2011 1.955 0.021 22 November 2011 1.917 0.004 23 November 2011 1.884 -0.045 24 November 2011 1.884 -0.045 25 November 2011 1.964 0.000 28 November 2011 1.974 -0.022 29 November 2011 1.991 -0.040 30 November 2011 2.068 -0.022 1 December 2011 2.087 -0.004 2 December 2011 2.033 -0.056 5 December 2011 2.044 -0.055 6 December 2011 2.089 -0.030 7 December 2011 2.030 -0.055 8 December 2011 1.970 -0.055 9 December 2011 2.061 -0.009 12 December 2011 2.012 -0.079 13 December 2011 1.965 -0.095 14 December 2011 1.903 -0.093 15 December 2011 1.908 -0.061 16 December 2011 1.847 -0.113 19 December 2011 1.810 -0.162 20 December 2011 1.923 -0.160 21 December 2011 1.967 -0.133 22 December 2011 1.948 -0.135 23 December 2011 2.024 -0.108 26 December 2011 2.024 -0.108 27 December 2011 2.005 -0.094 28 December 2011 1.916 -0.123 29 December 2011 1.899 -0.119 30 December 2011 1.876 -0.124 2 January 2012 1.876 -0.124 1.947 -0.107 Processing 3 Januarymath: 2012100% 4 January 2012 1.977 -0.149 5 January 2012 1.995 -0.166 6 January 2012 1.958 -0.183 9 January 2012 1.958 -0.191 10 January 2012 1.968 -0.148 11 January 2012 1.904 -0.169 12 January 2012 1.923 -0.165 13 January 2012 1.864 -0.203 16 January 2012 1.864 -0.203 17 January 2012 1.857 -0.227 18 January 2012 1.898 -0.216 19 January 2012 1.977 -0.177 20 January 2012 2.025 -0.020 23 January 2012 2.051 -0.012 24 January 2012 2.060 -0.022 25 January 2012 1.995 -0.135 26 January 2012 1.931 -0.187 27 January 2012 1.891 -0.223 30 January 2012 1.844 -0.266 31 January 2012 1.797 -0.307 1 February 2012 1.827 -0.308 2 February 2012 1.821 -0.325 3 February 2012 1.922 -0.247 6 February 2012 1.907 -0.279 7 February 2012 1.973 -0.233 8 February 2012 1.982 -0.220 9 February 2012 2.036 -0.195 10 February 2012 1.986 -0.244 13 February 2012 1.974 -0.266 14 February 2012 1.936 -0.283 15 February 2012 1.928 -0.293 16 February 2012 1.983 -0.273 17 February 2012 2.002 -0.274 20 February 2012 2.002 -0.274 21 February 2012 2.059 -0.242 22 February 2012 2.003 -0.312 23 February 2012 1.997 -0.319 24 February 2012 1.976 -0.317 27 February 2012 1.926 -0.343 28 February 2012 1.943 -0.332 29 February 2012 1.971 -0.303 1 March 2012 2.026 -0.261 2 March 2012 1.974 -0.277 5 March 2012 2.010 -0.215 6 March 2012 1.943 -0.248 7 March 2012 1.976 -0.253 8 March 2012 2.012 -0.248 9 March 2012 2.028 -0.272 12 March 2012 2.033 -0.269 13 March 2012 2.126 -0.224 14 March 2012 2.269 -0.116 15 March 2012 2.279 -0.120 16 March 2012 2.294 -0.126 19 March 2012 2.377 -0.064 20 March 2012 2.359 -0.084 21 March 2012 2.296 -0.112 22 March 2012 2.278 -0.109 23 March 2012 2.232 -0.152 26 March 2012 2.248 -0.126 27 March 2012 2.184 -0.160 28 March 2012 2.200 -0.142 29 March 2012 2.159 -0.170 30 March 2012 2.209 -0.139 2 April 2012 2.182 -0.205 3 April 2012 2.299 -0.087 4 April 2012 2.223 -0.105 5 April 2012 2.181 -0.118 6 April 2012 2.055 -0.194 2.047 -0.207 Processing math: 100% 9 April 2012 10 April 2012 1.982 -0.283 11 April 2012 2.035 -0.297 12 April 2012 2.051 -0.263 13 April 2012 1.982 -0.297 16 April 2012 1.981 -0.286 17 April 2012 1.998 -0.301 18 April 2012 1.975 -0.302 19 April 2012 1.967 -0.254 20 April 2012 1.963 -0.292 23 April 2012 1.935 -0.303 24 April 2012 1.974 -0.291 25 April 2012 1.984 -0.291 26 April 2012 1.938 -0.354 27 April 2012 1.935 -0.344 30 April 2012 1.914 -0.357 1 May 2012 1.944 -0.335 2 May 2012 1.928 -0.349 3 May 2012 1.931 -0.329 4 May 2012 1.879 -0.350 7 May 2012 1.872 -0.341 8 May 2012 1.840 -0.357 9 May 2012 1.823 -0.344 10 May 2012 1.867 -0.339 11 May 2012 1.838 -0.344 14 May 2012 1.764 -0.411 15 May 2012 1.767 -0.414 16 May 2012 1.760 -0.388 17 May 2012 1.697 -0.440 18 May 2012 1.723 -0.447 21 May 2012 1.741 -0.459 22 May 2012 1.769 -0.441 23 May 2012 1.735 -0.454 24 May 2012 1.777 -0.418 25 May 2012 1.738 -0.431 28 May 2012 1.738 -0.431 29 May 2012 1.745 -0.408 30 May 2012 1.622 -0.484 31 May 2012 1.558 -0.568 1 June 2012 1.452 -0.633 4 June 2012 1.524 -0.589 5 June 2012 1.574 -0.586 6 June 2012 1.659 -0.524 7 June 2012 1.639 -0.529 8 June 2012 1.635 -0.544 11 June 2012 1.586 -0.566 12 June 2012 1.664 -0.509 13 June 2012 1.593 -0.540 14 June 2012 1.642 -0.502 15 June 2012 1.577 -0.582 18 June 2012 1.574 -0.581 19 June 2012 1.620 -0.571 20 June 2012 1.657 -0.522 21 June 2012 1.616 -0.500 22 June 2012 1.674 -0.448 25 June 2012 1.602 -0.507 26 June 2012 1.626 -0.504 27 June 2012 1.618 -0.501 28 June 2012 1.577 -0.535 29 June 2012 1.645 -0.495 2 July 2012 1.589 -0.534 3 July 2012 1.629 -0.519 4 July 2012 1.629 -0.519 5 July 2012 1.597 -0.548 6 July 2012 1.549 -0.572 9 July 2012 1.512 -0.605 10 July 2012 1.502 -0.623 11 July 2012 1.517 -0.613 12 July 2012 1.474 -0.628 1.488 -0.637 Processing math: 100% 13 July 2012 16 July 2012 1.472 -0.656 17 July 2012 1.508 -0.626 18 July 2012 1.494 -0.639 19 July 2012 1.508 -0.651 20 July 2012 1.457 -0.689 23 July 2012 1.426 -0.693 24 July 2012 1.388 -0.717 25 July 2012 1.398 -0.682 26 July 2012 1.438 -0.669 27 July 2012 1.546 -0.619 30 July 2012 1.502 -0.661 31 July 2012 1.468 -0.724 1 August 2012 1.524 -0.692 2 August 2012 1.478 -0.704 3 August 2012 1.563 -0.679 6 August 2012 1.566 -0.686 7 August 2012 1.628 -0.668 8 August 2012 1.649 -0.630 9 August 2012 1.688 -0.602 10 August 2012 1.657 -0.615 13 August 2012 1.664 -0.593 14 August 2012 1.738 -0.537 15 August 2012 1.816 -0.459 16 August 2012 1.835 -0.442 17 August 2012 1.811 -0.449 20 August 2012 1.805 -0.452 21 August 2012 1.798 -0.470 22 August 2012 1.692 -0.585 23 August 2012 1.678 -0.634 24 August 2012 1.687 -0.619 27 August 2012 1.651 -0.659 28 August 2012 1.634 -0.698 29 August 2012 1.651 -0.660 30 August 2012 1.623 -0.649 31 August 2012 1.548 -0.718 3 September 2012 1.548 -0.718 4 September 2012 1.572 -0.705 5 September 2012 1.596 -0.708 6 September 2012 1.678 -0.647 7 September 2012 1.668 -0.703 10 September 2012 1.654 -0.724 11 September 2012 1.701 -0.690 12 September 2012 1.758 -0.638 13 September 2012 1.723 -0.759 14 September 2012 1.866 -0.777 17 September 2012 1.842 -0.757 18 September 2012 1.808 -0.748 19 September 2012 1.772 -0.775 20 September 2012 1.764 -0.746 21 September 2012 1.753 -0.746 24 September 2012 1.709 -0.749 25 September 2012 1.666 -0.778 26 September 2012 1.610 -0.820 27 September 2012 1.654 -0.795 28 September 2012 1.634 -0.795 1 October 2012 1.625 -0.806 2 October 2012 1.620 -0.865 3 October 2012 1.615 -0.866 4 October 2012 1.673 -0.878 5 October 2012 1.743 -0.836 8 October 2012 1.743 -0.836 9 October 2012 1.713 -0.843 10 October 2012 1.674 -0.838 11 October 2012 1.670 -0.804 12 October 2012 1.656 -0.820 15 October 2012 1.663 -0.813 16 October 2012 1.719 -0.750 17 October 2012 1.819 -0.675 Processing math: 100% 18 October 2012 1.834 -0.695 19 October 2012 1.763 -0.748 Note: Vertical lines or arrows indicate the Draghi Speech on July 26, August Minutes on August 22, and the FOMC meeting, September 12-13, 2012. Source: Bloomberg Top-right panel (2) Changes in One-Year Forward Real Rates Basis points Start Year FOMC Day (09/13/12, 12:15 PM - 4:00 PM) Intermeeting Period (09/12/12 - 10/19/12) 1 -11.78 6.14 2 -19.41 -8.60 3 -18.08 -17.83 4 -12.39 -23.01 5 -5.24 -25.26 6 1.54 -25.46 7 6.98 -24.26 8 10.59 -22.19 9 12.31 -19.65 10 12.28 -16.90 Source: Federal Reserve Board of Governors Middle-left panel (3) Macroeconomic Conditions That Would Prompt First Rate Hike* Unemployment Percent Headline PCE (Percent) September 2011 Survey March 2012 Survey October 2012 Survey 1.0 6.95 6.50 6.00 2.0 7.50 7.00 6.50 3.0 8.50 7.65 7.20 * Median dealer estimate of unemployment rate for given inflation rate. Return to text Source: Federal Reserve Bank of New York Survey Middle-right panel (4) Inflation Expectations 5Y BEI 5Y5Y BEI Prob. of ≥ 3% 10Y CPI** Prob. of ≥ 3% 5Y5Y CPI*** Pre-FOMC 2.13% (53)* 2.61% (46) 50% 9% Peak on Period 2.47% (83) 2.88% (85) 58% N/A Current 2.22% (60) 2.81% (78) 53% 9% * Percentile rank as compared to 01/01/99 - 08/31/08 period in parentheses. Return to table ** Risk-neutral probability of 10-year average CPI ≥ 3%, derived from inflation caps and floors. Data only available since October 2009. Return to table *** Probability as estimated on dealer survey. Data only available since March 2007. Historical peak of 10.4% in November 2011 survey. Return to table Source: Federal Reserve Board of Governors, Federal Reserve Bank of New York Survey Bottom-left panel (5) Changes in Agency MBS Spread to Treasury Around MBS Announcements* Estimated Change in LSAP Expectations ($ Billions) -142 25 Basis points 3.0 -6.8 225 (excluded from regression) 15.3 227 (September FOMC) -24.5 265 0.8 500 -13.3 * Two-day changes in FNMA 30-year current coupon zero volatility spread to Treasury. Return to text Trendline: y = − 0.0321x Source: J.P. Morgan, Federal Reserve Bank of New York Survey Bottom-right panel (6) Primary and Secondary Mortgage Rates Percent Processing math: 100% Period Primary Rate* 28 July 2011 4.55 4 August 2011 4.39 11 August 2011 4.32 18 August 2011 4.15 25 August 2011 4.22 1 September 2011 4.22 8 September 2011 4.12 15 September 2011 4.09 22 September 2011 4.09 29 September 2011 4.01 6 October 2011 3.94 13 October 2011 4.12 20 October 2011 4.11 27 October 2011 4.10 3 November 2011 4.00 10 November 2011 3.99 17 November 2011 4.00 24 November 2011 3.98 1 December 2011 4.00 8 December 2011 3.99 15 December 2011 3.94 22 December 2011 3.91 29 December 2011 3.95 5 January 2012 3.91 12 January 2012 3.89 19 January 2012 3.88 26 January 2012 3.98 2 February 2012 3.87 9 February 2012 3.87 16 February 2012 3.87 23 February 2012 3.95 1 March 2012 3.90 8 March 2012 3.88 15 March 2012 3.92 22 March 2012 4.08 29 March 2012 3.99 5 April 2012 3.98 12 April 2012 3.88 19 April 2012 3.90 26 April 2012 3.88 3 May 2012 3.84 10 May 2012 3.83 17 May 2012 3.79 24 May 2012 3.78 31 May 2012 3.75 7 June 2012 3.67 14 June 2012 3.71 21 June 2012 3.66 28 June 2012 3.66 5 July 2012 3.62 12 July 2012 3.56 19 July 2012 3.53 26 July 2012 3.49 2 August 2012 3.55 9 August 2012 3.59 16 August 2012 3.62 23 August 2012 3.66 30 August 2012 3.59 6 September 2012 3.55 13 September 2012 3.55 20 September 2012 3.49 27 September 2012 3.40 4 October 2012 3.36 11 October 2012 3.39 18 October 2012 3.37 * FHLMC 30-year survey rate. Return to table Percent Processing math: 100% Date Secondary Rate** 1 August 2011 3.824 2 August 2011 3.705 3 August 2011 3.719 4 August 2011 3.540 5 August 2011 3.658 8 August 2011 3.534 9 August 2011 3.554 10 August 2011 3.359 11 August 2011 3.509 12 August 2011 3.353 15 August 2011 3.399 16 August 2011 3.301 17 August 2011 3.241 18 August 2011 3.209 19 August 2011 3.242 22 August 2011 3.297 23 August 2011 3.356 24 August 2011 3.431 25 August 2011 3.379 26 August 2011 3.345 29 August 2011 3.431 30 August 2011 3.345 31 August 2011 3.402 1 September 2011 3.315 2 September 2011 3.235 5 September 2011 3.235 6 September 2011 3.218 7 September 2011 3.263 8 September 2011 3.228 9 September 2011 3.131 12 September 2011 3.262 13 September 2011 3.283 14 September 2011 3.272 15 September 2011 3.343 16 September 2011 3.332 19 September 2011 3.237 20 September 2011 3.214 21 September 2011 2.964 22 September 2011 3.088 23 September 2011 2.998 26 September 2011 3.037 27 September 2011 3.100 28 September 2011 3.089 29 September 2011 3.077 30 September 2011 3.003 3 October 2011 2.933 4 October 2011 3.003 5 October 2011 3.060 6 October 2011 3.129 7 October 2011 3.239 10 October 2011 3.239 11 October 2011 3.261 12 October 2011 3.249 13 October 2011 3.275 14 October 2011 3.400 17 October 2011 3.302 18 October 2011 3.313 19 October 2011 3.313 20 October 2011 3.348 21 October 2011 3.357 24 October 2011 3.364 25 October 2011 3.253 26 October 2011 3.314 27 October 2011 3.442 28 October 2011 3.359 31 October 2011 3.202 1 November 2011 3.129 2 November 2011 3.103 Processing math: 100% 3 November 2011 3.204 4 November 2011 3.151 7 November 2011 3.158 8 November 2011 3.200 9 November 2011 3.191 10 November 2011 3.146 11 November 2011 3.146 14 November 2011 3.252 15 November 2011 3.228 16 November 2011 3.211 17 November 2011 3.192 18 November 2011 3.222 21 November 2011 3.177 22 November 2011 3.149 23 November 2011 3.155 24 November 2011 3.155 25 November 2011 3.143 28 November 2011 3.176 29 November 2011 3.162 30 November 2011 3.159 1 December 2011 3.152 2 December 2011 3.117 5 December 2011 3.151 6 December 2011 3.126 7 December 2011 3.097 8 December 2011 3.028 9 December 2011 3.069 12 December 2011 3.057 13 December 2011 3.071 14 December 2011 3.053 15 December 2011 3.043 16 December 2011 3.000 19 December 2011 2.979 20 December 2011 3.049 21 December 2011 3.062 22 December 2011 3.074 23 December 2011 3.135 26 December 2011 3.135 27 December 2011 3.119 28 December 2011 3.035 29 December 2011 2.994 30 December 2011 2.964 2 January 2012 2.964 3 January 2012 2.939 4 January 2012 2.945 5 January 2012 2.926 6 January 2012 2.881 9 January 2012 2.862 10 January 2012 2.900 11 January 2012 2.843 12 January 2012 2.830 13 January 2012 2.861 16 January 2012 2.861 17 January 2012 2.841 18 January 2012 2.831 19 January 2012 2.888 20 January 2012 2.917 23 January 2012 2.992 24 January 2012 2.986 25 January 2012 2.923 26 January 2012 2.824 27 January 2012 2.744 30 January 2012 2.680 31 January 2012 2.630 1 February 2012 2.621 2 February 2012 2.833 3 February 2012 2.827 6 February 2012 2.808 7 February 2012 2.833 Processing math: 100% 8 February 2012 2.821 9 February 2012 2.812 10 February 2012 2.761 13 February 2012 2.810 14 February 2012 2.762 15 February 2012 2.814 16 February 2012 2.840 17 February 2012 2.914 20 February 2012 2.914 21 February 2012 2.989 22 February 2012 2.918 23 February 2012 2.897 24 February 2012 2.897 27 February 2012 2.879 28 February 2012 2.866 29 February 2012 2.914 1 March 2012 2.967 2 March 2012 2.923 5 March 2012 2.961 6 March 2012 2.952 7 March 2012 2.907 8 March 2012 3.037 9 March 2012 2.940 12 March 2012 2.917 13 March 2012 3.079 14 March 2012 3.198 15 March 2012 3.149 16 March 2012 3.237 19 March 2012 3.294 20 March 2012 3.286 21 March 2012 3.228 22 March 2012 3.272 23 March 2012 3.222 26 March 2012 3.189 27 March 2012 3.092 28 March 2012 3.113 29 March 2012 3.074 30 March 2012 3.141 2 April 2012 3.072 3 April 2012 3.240 4 April 2012 3.133 5 April 2012 3.125 6 April 2012 3.116 9 April 2012 3.055 10 April 2012 2.894 11 April 2012 3.024 12 April 2012 2.961 13 April 2012 2.952 16 April 2012 2.970 17 April 2012 2.988 18 April 2012 2.955 19 April 2012 2.928 20 April 2012 2.928 23 April 2012 2.903 24 April 2012 2.939 25 April 2012 2.984 26 April 2012 2.876 27 April 2012 2.889 30 April 2012 2.880 1 May 2012 2.890 2 May 2012 2.879 3 May 2012 2.879 4 May 2012 2.846 7 May 2012 2.846 8 May 2012 2.842 9 May 2012 2.833 10 May 2012 2.828 11 May 2012 2.833 14 May 2012 2.827 Processing math: 100% 15 May 2012 2.809 16 May 2012 2.768 17 May 2012 2.671 18 May 2012 2.727 21 May 2012 2.762 22 May 2012 2.781 23 May 2012 2.758 24 May 2012 2.800 25 May 2012 2.781 28 May 2012 2.781 29 May 2012 2.793 30 May 2012 2.706 31 May 2012 2.656 1 June 2012 2.596 4 June 2012 2.645 5 June 2012 2.681 6 June 2012 2.726 7 June 2012 2.677 8 June 2012 2.695 11 June 2012 2.652 12 June 2012 2.715 13 June 2012 2.672 14 June 2012 2.696 15 June 2012 2.633 18 June 2012 2.633 19 June 2012 2.629 20 June 2012 2.696 21 June 2012 2.652 22 June 2012 2.686 25 June 2012 2.629 26 June 2012 2.657 27 June 2012 2.629 28 June 2012 2.600 29 June 2012 2.638 2 July 2012 2.567 3 July 2012 2.615 4 July 2012 2.615 5 July 2012 2.576 6 July 2012 2.528 9 July 2012 2.480 10 July 2012 2.446 11 July 2012 2.475 12 July 2012 2.360 13 July 2012 2.414 16 July 2012 2.375 17 July 2012 2.414 18 July 2012 2.381 19 July 2012 2.364 20 July 2012 2.325 23 July 2012 2.280 24 July 2012 2.253 25 July 2012 2.269 26 July 2012 2.308 27 July 2012 2.409 30 July 2012 2.330 31 July 2012 2.303 1 August 2012 2.370 2 August 2012 2.337 3 August 2012 2.409 6 August 2012 2.393 7 August 2012 2.443 8 August 2012 2.443 9 August 2012 2.437 10 August 2012 2.426 13 August 2012 2.426 14 August 2012 2.550 15 August 2012 2.653 16 August 2012 2.687 17 August 2012 2.644 Processing math: 100% 20 August 2012 2.631 21 August 2012 2.625 22 August 2012 2.480 23 August 2012 2.480 24 August 2012 2.502 27 August 2012 2.469 28 August 2012 2.458 29 August 2012 2.497 30 August 2012 2.447 31 August 2012 2.364 3 September 2012 2.364 4 September 2012 2.387 5 September 2012 2.387 6 September 2012 2.480 7 September 2012 2.392 10 September 2012 2.376 11 September 2012 2.436 12 September 2012 2.453 13 September 2012 2.218 14 September 2012 2.327 17 September 2012 2.181 18 September 2012 2.158 19 September 2012 2.092 20 September 2012 1.943 21 September 2012 1.850 24 September 2012 1.760 25 September 2012 1.624 26 September 2012 1.522 27 September 2012 1.628 28 September 2012 1.861 1 October 2012 1.800 2 October 2012 1.800 3 October 2012 1.800 4 October 2012 1.800 5 October 2012 1.800 8 October 2012 1.800 9 October 2012 1.896 10 October 2012 1.915 11 October 2012 1.968 12 October 2012 2.029 15 October 2012 2.068 16 October 2012 2.107 17 October 2012 2.202 18 October 2012 2.225 19 October 2012 2.186 ** FHLMC 30-year current coupon yield. Return to table Note: A vertical line indicates the FOMC meeting, September 12-13, 2012. Source: FHLMC, Bloomberg Exhibit 2 Top-left panel (7) Changes in Credit Spreads to Treasury Around September FOMC Aug. Minutes to FOMC Day of FOMC Total Change on Period* 2-Year Swap -5 bps -2 bps -5 bps 10-Year Swap -2 -3 -6 IG Debt -7 -2 -33 HY Debt -34 -2 -12 ABS -9 -1 -5 Leveraged Loans -22 +0 -20 CMBS -9 +0 -32 * Pre-FOMC to present (09/12/12 - 10/19/12). Return to table Source: Bloomberg, Barclays, J.P. Morgan Top-right panel (8) Net Yearly U.S. Fixed Income Issuance (Excluding Treasury Securities) Processing math: 100% $ Billions Period Private Government-Backed* Net Fed Activity** Total Net of Fed 2002 416.53 547.12 0.00 963.64 2003 482.91 433.15 0.01 916.06 2004 634.05 115.17 0.00 749.22 2005 458.62 468.68 0.00 927.30 2006 961.70 779.88 0.00 1741.58 2007 849.25 506.91 0.00 1356.16 2008 -93.42 740.34 -19.71 627.21 2009 400.31 -165.79 -1048.43 -813.91 2010 583.54 163.45 -71.47 675.52 2011 87.31 -108.80 198.31 176.82 2012 -95.00 -127.00 -67.48 -289.48 2013 343.00 -63.00 -435.00 -155.00 * Includes agency securities. Return to table ** Projections based on median dealer survey responses. Return to table Note: A vertical line indicates the forecast period, which begins in 2012. Source: Flow of Funds, Credit Suisse, Federal Reserve Bank of New York Survey Middle-left panel (9) Equity Prices Indexed to 04/01/11 Date S&P 500 Index EuroStoxx Index MSCI Emerging Markets Index Shanghai Composite Index 1 April 2011 100.00 100.00 100.00 100.00 4 April 2011 100.03 100.02 100.68 100.00 5 April 2011 100.02 99.91 100.82 100.00 6 April 2011 100.23 100.48 101.55 101.14 7 April 2011 100.08 100.06 101.44 101.36 8 April 2011 99.68 100.55 101.76 102.11 11 April 2011 99.40 100.19 101.28 101.86 12 April 2011 98.63 98.78 99.34 101.82 13 April 2011 98.65 99.48 100.02 102.80 14 April 2011 98.66 98.53 99.75 102.54 15 April 2011 99.04 98.60 99.70 102.80 18 April 2011 97.95 96.45 98.06 103.03 19 April 2011 98.51 96.88 98.42 101.07 20 April 2011 99.85 98.86 100.83 101.34 21 April 2011 100.37 99.28 101.75 102.00 22 April 2011 100.37 99.28 101.76 101.45 25 April 2011 100.21 99.28 101.57 99.92 26 April 2011 101.11 99.90 101.54 99.04 27 April 2011 101.74 100.52 101.46 98.58 28 April 2011 102.11 101.28 101.32 97.29 29 April 2011 102.34 101.51 101.60 98.12 2 May 2011 102.16 101.59 101.80 98.12 3 May 2011 101.82 101.18 100.05 98.81 4 May 2011 101.12 99.68 98.80 96.58 5 May 2011 100.20 99.08 98.02 96.80 6 May 2011 100.58 100.06 98.16 96.51 9 May 2011 101.04 98.89 98.04 96.80 10 May 2011 101.86 100.02 98.44 97.41 11 May 2011 100.73 100.17 98.38 97.17 12 May 2011 101.22 99.40 96.83 95.84 13 May 2011 100.40 98.91 96.59 96.75 16 May 2011 99.78 98.51 95.91 96.01 17 May 2011 99.74 97.33 95.64 96.14 18 May 2011 100.62 97.81 96.40 96.81 19 May 2011 100.84 98.58 96.23 96.37 20 May 2011 100.06 97.61 96.24 96.33 23 May 2011 98.87 95.60 93.98 93.50 24 May 2011 98.79 95.91 94.90 93.25 25 May 2011 99.10 96.34 94.34 92.40 26 May 2011 99.50 95.86 95.63 92.22 27 May 2011 99.90 96.49 96.85 91.32 30 May 2011 99.90 96.40 96.88 91.20 31 May 2011 100.96 97.84 98.55 92.45 1 June 2011 98.66 96.85 98.45 92.46 2 June 2011 98.54 95.46 97.79 91.16 3 June 2011 97.58 95.66 97.50 91.93 Processing math: 100% 6 June 2011 96.53 95.03 96.95 91.93 7 June 2011 96.44 95.16 97.25 92.48 8 June 2011 96.03 94.20 96.65 92.68 9 June 2011 96.74 95.11 96.38 91.10 10 June 2011 95.39 93.64 95.25 91.16 13 June 2011 95.45 93.67 94.90 91.00 14 June 2011 96.66 95.02 95.72 92.00 15 June 2011 94.97 93.60 95.16 91.17 16 June 2011 95.14 93.24 93.44 89.78 17 June 2011 95.43 94.20 93.13 89.06 20 June 2011 95.94 93.45 92.68 88.33 21 June 2011 97.23 95.24 93.92 89.18 22 June 2011 96.60 94.97 94.19 89.28 23 June 2011 96.33 93.02 93.27 90.59 24 June 2011 95.20 92.61 94.14 92.55 27 June 2011 96.07 92.75 93.88 92.95 28 June 2011 97.32 93.52 94.60 92.98 29 June 2011 98.12 95.34 95.58 91.95 30 June 2011 99.12 96.75 96.72 93.08 1 July 2011 100.54 97.58 97.61 92.99 4 July 2011 100.54 97.66 98.68 94.79 5 July 2011 100.41 97.08 98.40 94.91 6 July 2011 100.51 96.41 97.98 94.71 7 July 2011 101.56 96.89 98.52 94.17 8 July 2011 100.85 95.29 98.21 94.28 11 July 2011 99.03 92.75 96.43 94.45 12 July 2011 98.59 92.19 94.61 92.83 13 July 2011 98.90 92.99 96.01 94.21 14 July 2011 98.23 92.13 95.81 94.71 15 July 2011 98.78 91.64 95.82 95.04 18 July 2011 97.98 89.82 94.71 94.92 19 July 2011 99.57 90.94 95.26 94.26 20 July 2011 99.51 92.38 95.92 94.16 21 July 2011 100.85 94.02 96.47 93.21 22 July 2011 100.95 94.52 97.30 93.37 25 July 2011 100.38 93.81 96.88 90.61 26 July 2011 99.96 93.53 97.59 91.09 27 July 2011 97.93 92.06 96.95 91.78 28 July 2011 97.62 91.65 96.65 91.28 29 July 2011 96.99 90.97 96.00 91.05 1 August 2011 96.59 88.62 96.83 91.12 2 August 2011 94.12 86.70 95.09 90.29 3 August 2011 94.59 84.97 93.04 90.26 4 August 2011 90.07 81.79 90.54 90.45 5 August 2011 90.02 80.61 87.85 88.51 8 August 2011 84.02 77.13 83.55 85.15 9 August 2011 88.00 77.88 81.72 85.13 10 August 2011 84.12 74.11 82.75 85.91 11 August 2011 88.01 76.40 83.53 87.00 12 August 2011 88.47 79.40 83.51 87.39 15 August 2011 90.40 79.95 85.51 88.52 16 August 2011 89.52 79.56 85.95 87.89 17 August 2011 89.60 79.77 86.44 87.66 18 August 2011 85.61 75.48 83.99 86.25 19 August 2011 84.32 74.06 81.86 85.41 22 August 2011 84.34 74.67 81.52 84.78 23 August 2011 87.24 75.09 83.18 86.07 24 August 2011 88.38 76.46 82.54 85.63 25 August 2011 87.01 75.80 82.11 88.13 26 August 2011 88.32 75.10 82.35 88.03 29 August 2011 90.82 76.82 84.77 86.82 30 August 2011 91.03 76.95 85.53 86.49 31 August 2011 91.48 79.22 87.18 86.52 1 September 2011 90.39 79.24 87.59 86.14 2 September 2011 88.11 76.63 86.23 85.20 5 September 2011 88.11 73.00 83.50 83.53 6 September 2011 87.45 72.22 83.37 83.26 7 September 2011 89.96 74.82 85.20 84.79 Processing math:2011 100% 8 September 89.00 75.21 85.52 84.21 9 September 2011 86.63 72.32 83.73 84.17 12 September 2011 87.23 69.92 81.85 84.17 13 September 2011 88.03 70.98 81.38 83.28 14 September 2011 89.21 72.62 80.38 83.74 15 September 2011 90.75 74.74 81.32 83.54 16 September 2011 91.26 75.10 82.43 83.65 19 September 2011 90.37 73.05 80.11 82.15 20 September 2011 90.22 74.46 80.26 82.49 21 September 2011 87.57 73.20 79.32 84.69 22 September 2011 84.78 69.57 74.31 82.33 23 September 2011 85.29 70.16 72.70 82.00 26 September 2011 87.28 71.71 71.85 80.65 27 September 2011 88.21 75.33 75.39 81.39 28 September 2011 86.39 74.70 75.19 80.61 29 September 2011 87.09 75.64 75.48 79.71 30 September 2011 84.92 74.36 74.29 79.50 3 October 2011 82.50 72.93 71.91 79.50 4 October 2011 84.35 70.98 70.14 79.50 5 October 2011 85.86 73.77 70.59 79.50 6 October 2011 87.43 76.11 72.91 79.50 7 October 2011 86.72 76.62 74.58 79.50 10 October 2011 89.68 78.33 75.80 79.02 11 October 2011 89.73 78.14 76.74 79.14 12 October 2011 90.61 80.03 77.90 81.55 13 October 2011 90.34 78.90 78.51 82.19 14 October 2011 91.91 79.75 78.94 81.94 17 October 2011 90.13 78.40 79.40 82.24 18 October 2011 91.97 78.26 78.06 80.32 19 October 2011 90.80 78.74 78.72 80.12 20 October 2011 91.22 76.96 76.59 78.57 21 October 2011 92.93 79.17 77.64 78.09 24 October 2011 94.13 80.29 80.11 79.88 25 October 2011 92.24 79.58 80.61 81.20 26 October 2011 93.21 79.38 81.04 81.80 27 October 2011 96.41 83.60 83.86 82.08 28 October 2011 96.45 83.16 85.23 83.35 31 October 2011 94.06 80.61 83.96 83.18 1 November 2011 91.43 76.70 81.74 83.24 2 November 2011 92.91 77.71 82.45 84.39 3 November 2011 94.65 79.76 82.18 84.52 4 November 2011 94.06 78.17 83.50 85.20 7 November 2011 94.65 77.76 83.56 84.58 8 November 2011 95.76 78.46 83.58 84.38 9 November 2011 92.25 76.63 82.69 85.09 10 November 2011 93.04 76.61 80.49 83.56 11 November 2011 94.85 78.84 81.95 83.61 14 November 2011 93.95 77.69 82.43 85.22 15 November 2011 94.40 76.60 81.78 85.25 16 November 2011 92.83 76.81 81.01 83.14 17 November 2011 91.27 75.78 80.33 83.00 18 November 2011 91.24 75.41 78.82 81.44 21 November 2011 89.54 72.82 76.77 81.39 22 November 2011 89.16 72.05 76.73 81.30 23 November 2011 87.19 70.89 74.70 80.71 24 November 2011 87.19 70.82 74.95 80.80 25 November 2011 86.96 71.41 74.03 80.21 28 November 2011 89.50 74.85 76.13 80.31 29 November 2011 89.70 75.28 76.74 81.30 30 November 2011 93.59 78.48 78.33 78.63 1 December 2011 93.41 77.85 80.93 80.44 2 December 2011 93.39 78.71 81.07 79.55 5 December 2011 94.35 79.67 81.53 78.63 6 December 2011 94.45 79.16 80.46 78.38 7 December 2011 94.64 78.77 80.95 78.61 8 December 2011 92.64 76.91 79.96 78.51 9 December 2011 94.20 78.44 78.83 78.02 12 December 2011 92.80 76.18 78.04 77.22 13 December 2011 91.99 75.99 77.36 75.78 Processing math: 2011 100% 14 December 90.95 74.17 76.27 75.10 15 December 2011 91.24 74.82 75.66 73.49 16 December 2011 91.54 74.42 76.29 74.98 19 December 2011 90.46 74.38 74.99 74.75 20 December 2011 93.16 76.47 76.01 74.68 21 December 2011 93.34 75.86 77.31 73.84 22 December 2011 94.12 76.77 77.59 73.68 23 December 2011 94.97 77.35 78.28 74.30 26 December 2011 94.97 77.35 78.27 73.81 27 December 2011 94.97 77.36 77.99 73.00 28 December 2011 93.79 76.41 77.05 73.13 29 December 2011 94.79 77.43 77.14 73.25 30 December 2011 94.39 78.17 77.32 74.12 2 January 2012 94.39 79.86 77.38 74.12 3 January 2012 95.85 80.57 79.31 74.12 4 January 2012 95.86 79.44 79.11 73.11 5 January 2012 96.15 78.37 78.68 72.40 6 January 2012 95.90 78.05 78.22 72.91 9 January 2012 96.12 77.68 78.55 75.01 10 January 2012 96.97 79.50 80.06 77.03 11 January 2012 97.00 79.36 80.05 76.70 12 January 2012 97.23 79.65 80.45 76.67 13 January 2012 96.75 79.36 80.41 75.64 16 January 2012 96.75 80.10 80.32 74.35 17 January 2012 97.09 81.20 82.05 77.45 18 January 2012 98.17 81.16 82.77 76.38 19 January 2012 98.66 82.59 83.65 77.38 20 January 2012 98.72 82.42 83.96 78.15 23 January 2012 98.77 83.00 84.35 78.15 24 January 2012 98.67 82.51 84.18 78.15 25 January 2012 99.52 82.33 84.35 78.15 26 January 2012 98.95 83.72 85.64 78.15 27 January 2012 98.79 82.94 85.78 78.15 30 January 2012 98.54 81.76 84.90 77.00 31 January 2012 98.50 82.33 86.02 77.26 1 February 2012 99.38 84.22 86.90 76.43 2 February 2012 99.48 84.52 88.09 77.93 3 February 2012 100.94 85.76 88.46 78.53 6 February 2012 100.89 85.49 88.36 78.56 7 February 2012 101.10 85.54 88.48 77.24 8 February 2012 101.32 85.59 89.50 79.11 9 February 2012 101.47 85.87 89.58 79.18 10 February 2012 100.77 84.64 87.94 79.26 13 February 2012 101.45 85.02 88.85 79.26 14 February 2012 101.36 84.84 88.34 79.02 15 February 2012 100.81 85.20 89.31 79.76 16 February 2012 101.92 85.02 88.53 79.42 17 February 2012 102.16 86.12 89.65 79.44 20 February 2012 102.16 87.25 89.99 79.65 21 February 2012 102.24 86.82 89.81 80.25 22 February 2012 101.90 86.09 89.83 81.00 23 February 2012 102.33 85.67 89.38 81.20 24 February 2012 102.50 86.21 90.08 82.21 27 February 2012 102.64 85.79 89.15 82.46 28 February 2012 102.98 86.04 90.19 82.63 29 February 2012 102.50 85.89 91.08 81.84 1 March 2012 103.13 86.99 90.83 81.76 2 March 2012 102.79 87.04 91.12 82.92 5 March 2012 102.40 86.45 89.89 82.40 6 March 2012 100.82 83.55 87.86 81.23 7 March 2012 101.52 84.22 87.56 80.70 8 March 2012 102.51 86.11 88.83 81.56 9 March 2012 102.89 86.28 89.44 82.21 12 March 2012 102.90 86.25 88.64 82.05 13 March 2012 104.77 87.69 89.99 82.76 14 March 2012 104.64 88.16 90.02 80.58 15 March 2012 105.27 88.74 89.90 79.99 16 March 2012 105.39 89.14 89.72 81.04 19 March 2012 105.80 89.14 89.55 81.22 105.49 88.10 88.58 80.10 Processing 20 Marchmath: 2012100% 21 March 2012 105.29 87.85 88.40 80.14 22 March 2012 104.53 86.65 87.80 80.06 23 March 2012 104.86 86.71 87.92 79.18 26 March 2012 106.31 87.43 88.12 79.21 27 March 2012 106.01 86.97 89.06 79.10 28 March 2012 105.49 86.04 88.08 77.00 29 March 2012 105.32 84.64 87.13 75.90 30 March 2012 105.71 85.59 87.88 76.25 2 April 2012 106.50 86.43 88.41 76.25 3 April 2012 106.08 85.21 89.07 76.25 4 April 2012 104.99 82.89 87.53 76.25 5 April 2012 104.93 82.83 87.52 77.58 6 April 2012 104.93 82.83 87.48 77.73 9 April 2012 103.74 82.83 86.60 77.03 10 April 2012 101.96 80.45 85.74 77.71 11 April 2012 102.72 81.19 85.75 77.81 12 April 2012 104.14 81.89 86.48 79.22 13 April 2012 102.84 79.96 86.68 79.50 16 April 2012 102.79 80.20 86.07 79.43 17 April 2012 104.38 82.28 86.07 78.69 18 April 2012 103.96 81.00 86.38 80.23 19 April 2012 103.34 79.84 86.36 80.16 20 April 2012 103.46 80.41 86.19 81.11 23 April 2012 102.59 78.05 85.05 80.49 24 April 2012 102.97 79.37 85.32 80.50 25 April 2012 104.37 80.87 85.35 81.11 26 April 2012 105.07 80.86 85.72 81.04 27 April 2012 105.32 81.70 86.03 80.75 30 April 2012 104.92 80.67 86.58 80.75 1 May 2012 105.51 80.69 86.54 80.75 2 May 2012 105.25 80.23 86.90 82.17 3 May 2012 104.44 80.12 86.43 82.23 4 May 2012 102.75 78.71 85.47 82.63 7 May 2012 102.79 79.70 84.54 82.63 8 May 2012 102.35 78.16 83.75 82.53 9 May 2012 101.66 77.89 82.51 81.17 10 May 2012 101.92 78.53 82.75 81.22 11 May 2012 101.57 78.76 81.93 80.71 14 May 2012 100.45 76.92 80.33 80.23 15 May 2012 99.87 76.17 79.83 80.03 16 May 2012 99.43 75.96 77.99 79.07 17 May 2012 97.93 75.02 77.70 80.17 18 May 2012 97.21 74.67 76.50 79.01 21 May 2012 98.77 75.06 77.07 79.14 22 May 2012 98.82 76.54 77.57 79.98 23 May 2012 98.98 74.50 75.69 79.65 24 May 2012 99.12 75.14 76.12 79.23 25 May 2012 98.90 75.27 76.12 78.64 28 May 2012 98.90 75.01 76.74 79.58 29 May 2012 100.00 75.62 77.77 80.53 30 May 2012 98.57 74.16 76.61 80.36 31 May 2012 98.34 74.04 76.47 79.94 1 June 2012 95.92 72.29 75.42 79.98 4 June 2012 95.93 72.26 74.46 77.80 5 June 2012 96.48 72.62 74.79 77.91 6 June 2012 98.70 74.37 76.16 77.83 7 June 2012 98.69 74.83 77.05 77.28 8 June 2012 99.49 74.70 76.38 76.88 11 June 2012 98.24 74.43 77.20 77.71 12 June 2012 99.38 74.45 77.04 77.16 13 June 2012 98.68 74.25 77.58 78.15 14 June 2012 99.75 74.38 77.08 77.37 15 June 2012 100.78 75.51 78.07 77.74 18 June 2012 100.93 75.00 78.82 78.05 19 June 2012 101.92 76.42 79.61 77.54 20 June 2012 101.75 76.88 80.01 77.27 21 June 2012 99.48 76.55 78.67 76.19 22 June 2012 100.20 76.02 77.39 76.19 98.60 74.27 76.29 74.95 Processing math: 100% 25 June 2012 26 June 2012 99.07 73.98 76.52 74.88 27 June 2012 99.96 75.23 77.05 74.71 28 June 2012 99.75 74.94 76.51 74.00 29 June 2012 102.23 78.39 79.09 75.00 2 July 2012 102.48 79.30 79.43 75.02 3 July 2012 103.12 80.21 80.73 75.12 4 July 2012 103.12 80.07 80.69 75.06 5 July 2012 102.64 79.19 80.60 74.18 6 July 2012 101.67 77.65 79.82 74.93 9 July 2012 101.50 77.39 78.95 73.16 10 July 2012 100.68 77.98 78.83 72.94 11 July 2012 100.68 77.90 78.67 73.31 12 July 2012 100.18 77.19 77.13 73.65 13 July 2012 101.83 78.29 78.15 73.66 16 July 2012 101.59 78.21 78.20 72.38 17 July 2012 102.35 78.18 78.74 72.83 18 July 2012 103.03 79.20 78.55 73.10 19 July 2012 103.31 80.00 79.41 73.63 20 July 2012 102.27 78.09 79.05 73.08 23 July 2012 101.36 75.93 76.99 72.16 24 July 2012 100.44 75.16 76.74 72.34 25 July 2012 100.41 75.44 76.42 71.99 26 July 2012 102.07 78.26 77.33 71.65 27 July 2012 104.02 79.79 79.47 71.74 30 July 2012 103.97 80.99 80.07 71.10 31 July 2012 103.52 80.44 80.37 70.89 1 August 2012 103.21 80.64 80.52 71.56 2 August 2012 102.45 78.50 79.73 71.15 3 August 2012 104.40 81.72 80.40 71.87 6 August 2012 104.64 82.65 81.63 72.62 7 August 2012 105.17 83.64 81.67 72.71 8 August 2012 105.24 83.36 81.90 72.82 9 August 2012 105.28 83.59 82.63 73.27 10 August 2012 105.51 83.19 82.63 73.09 13 August 2012 105.38 82.90 82.07 71.98 14 August 2012 105.37 83.43 82.46 72.20 15 August 2012 105.49 83.35 82.21 71.41 16 August 2012 106.24 84.29 82.34 71.18 17 August 2012 106.44 84.91 81.94 71.27 20 August 2012 106.43 84.54 81.78 71.00 21 August 2012 106.06 85.37 82.31 71.38 22 August 2012 106.09 84.25 81.80 71.03 23 August 2012 105.23 83.52 82.19 71.21 24 August 2012 105.91 83.57 81.47 70.50 27 August 2012 105.86 84.35 81.08 69.28 28 August 2012 105.77 83.73 80.73 69.86 29 August 2012 105.86 83.61 80.41 69.19 30 August 2012 105.03 82.61 79.69 69.17 31 August 2012 105.57 83.68 79.94 69.00 3 September 2012 105.57 84.37 80.40 69.39 4 September 2012 105.44 83.55 79.94 68.87 5 September 2012 105.33 83.67 79.28 68.67 6 September 2012 107.48 86.23 80.20 69.15 7 September 2012 107.92 86.77 81.75 71.70 10 September 2012 107.26 86.51 81.85 71.94 11 September 2012 107.59 87.24 82.11 71.46 12 September 2012 107.82 87.65 82.56 71.66 13 September 2012 109.58 86.99 82.86 71.12 14 September 2012 110.01 88.68 85.57 71.57 17 September 2012 109.67 88.27 85.45 70.04 18 September 2012 109.52 87.35 84.96 69.41 19 September 2012 109.65 87.77 85.18 69.68 20 September 2012 109.60 87.39 84.23 68.24 21 September 2012 109.59 88.15 84.94 68.30 24 September 2012 109.34 87.42 84.75 68.52 25 September 2012 108.19 87.80 84.54 68.39 26 September 2012 107.57 85.63 83.57 67.54 27 September 2012 108.61 85.91 84.24 69.30 Processing math: 100% 28 September 2012 108.13 84.55 84.60 70.30 1 October 2012 108.41 86.02 84.81 70.30 2 October 2012 108.51 85.90 84.91 70.30 3 October 2012 108.90 85.87 84.59 70.30 4 October 2012 109.68 85.77 84.85 70.30 5 October 2012 109.65 87.13 85.15 70.30 8 October 2012 109.27 86.00 84.20 69.91 9 October 2012 108.19 85.32 84.09 71.28 10 October 2012 107.52 84.85 83.71 71.44 11 October 2012 107.54 85.76 84.04 70.87 12 October 2012 107.22 85.16 84.10 70.93 15 October 2012 108.08 85.68 83.98 70.73 16 October 2012 109.19 87.37 84.66 70.73 17 October 2012 109.64 88.04 85.30 70.96 18 October 2012 109.38 88.14 85.51 71.84 19 October 2012 107.56 87.21 84.89 71.72 Note: Vertical lines indicate the Draghi Speech on July 26, and the FOMC meeting, September 12-13, 2012. Source: Bloomberg Middle-right panel (10) Trade-Weighted Dollar Index Indexed to 08/01/10 Date 30 July 2010 Index 100.00 2 August 2010 99.52 3 August 2010 99.35 4 August 2010 99.44 5 August 2010 99.35 6 August 2010 99.30 9 August 2010 99.37 10 August 2010 99.89 11 August 2010 100.43 12 August 2010 100.56 13 August 2010 100.72 16 August 2010 100.48 17 August 2010 100.09 18 August 2010 100.03 19 August 2010 100.36 20 August 2010 100.84 23 August 2010 100.95 24 August 2010 101.06 25 August 2010 101.36 26 August 2010 100.99 27 August 2010 100.99 30 August 2010 101.22 31 August 2010 101.34 1 September 2010 100.76 2 September 2010 100.71 3 September 2010 100.33 6 September 2010 100.33 7 September 2010 100.66 8 September 2010 100.41 9 September 2010 100.31 10 September 2010 100.26 13 September 2010 99.67 14 September 2010 99.23 15 September 2010 99.56 16 September 2010 99.54 17 September 2010 99.55 20 September 2010 99.35 21 September 2010 99.25 22 September 2010 98.65 23 September 2010 98.62 24 September 2010 98.21 27 September 2010 98.07 28 September 2010 97.93 29 September 2010 97.73 30 September 2010 Processing math: 100% 97.91 1 October 2010 97.42 4 October 2010 97.58 5 October 2010 97.16 6 October 2010 96.73 7 October 2010 96.85 8 October 2010 96.68 11 October 2010 96.68 12 October 2010 96.79 13 October 2010 96.34 14 October 2010 96.08 15 October 2010 96.21 18 October 2010 96.39 19 October 2010 97.06 20 October 2010 96.68 21 October 2010 96.66 22 October 2010 96.91 25 October 2010 96.43 26 October 2010 96.79 27 October 2010 97.33 28 October 2010 96.81 29 October 2010 96.64 1 November 2010 96.59 2 November 2010 96.25 3 November 2010 96.28 4 November 2010 95.56 5 November 2010 95.81 8 November 2010 96.16 9 November 2010 96.09 10 November 2010 96.44 11 November 2010 96.44 12 November 2010 96.72 15 November 2010 97.00 16 November 2010 97.63 17 November 2010 97.48 18 November 2010 97.18 19 November 2010 97.22 22 November 2010 97.22 23 November 2010 97.96 24 November 2010 97.76 25 November 2010 97.76 26 November 2010 98.36 29 November 2010 98.73 30 November 2010 98.67 1 December 2010 98.21 2 December 2010 97.81 3 December 2010 97.43 6 December 2010 97.54 7 December 2010 97.50 8 December 2010 97.90 9 December 2010 97.93 10 December 2010 97.83 13 December 2010 97.46 14 December 2010 97.32 15 December 2010 97.65 16 December 2010 97.93 17 December 2010 98.07 20 December 2010 98.17 21 December 2010 98.02 22 December 2010 97.92 23 December 2010 97.78 24 December 2010 97.78 27 December 2010 97.65 28 December 2010 97.44 29 December 2010 97.22 30 December 2010 96.94 31 December 2010 96.94 3 January 2011 96.39 4 January 2011 96.77 5 January 2011 97.00 Processing 6 Januarymath: 2011100% 97.37 7 January 2011 97.46 10 January 2011 97.51 11 January 2011 97.31 12 January 2011 96.86 13 January 2011 96.37 14 January 2011 96.50 17 January 2011 96.50 18 January 2011 96.27 19 January 2011 96.14 20 January 2011 96.58 21 January 2011 96.19 24 January 2011 96.01 25 January 2011 96.18 26 January 2011 95.96 27 January 2011 96.03 28 January 2011 96.26 31 January 2011 96.17 1 February 2011 95.62 2 February 2011 95.53 3 February 2011 95.69 4 February 2011 95.82 7 February 2011 95.78 8 February 2011 95.53 9 February 2011 95.86 10 February 2011 96.09 11 February 2011 96.31 14 February 2011 96.29 15 February 2011 96.33 16 February 2011 96.14 17 February 2011 95.85 18 February 2011 95.63 21 February 2011 95.63 22 February 2011 95.91 23 February 2011 95.86 24 February 2011 95.68 25 February 2011 95.61 28 February 2011 95.40 1 March 2011 95.29 2 March 2011 95.19 3 March 2011 95.09 4 March 2011 94.94 7 March 2011 94.95 8 March 2011 95.08 9 March 2011 94.97 10 March 2011 95.31 11 March 2011 95.12 14 March 2011 94.96 15 March 2011 95.22 16 March 2011 95.39 17 March 2011 95.07 18 March 2011 94.96 21 March 2011 94.65 22 March 2011 94.51 23 March 2011 94.76 24 March 2011 94.49 25 March 2011 94.58 28 March 2011 94.73 29 March 2011 94.82 30 March 2011 94.66 31 March 2011 94.46 1 April 2011 94.25 4 April 2011 94.27 5 April 2011 94.21 6 April 2011 93.97 7 April 2011 94.01 8 April 2011 93.63 11 April 2011 93.58 12 April 2011 93.77 Processing math: 100% 13 April 2011 93.67 14 April 2011 93.54 15 April 2011 93.46 18 April 2011 93.92 19 April 2011 93.52 20 April 2011 93.01 21 April 2011 92.65 22 April 2011 92.80 25 April 2011 92.84 26 April 2011 92.71 27 April 2011 92.69 28 April 2011 92.27 29 April 2011 92.02 2 May 2011 91.93 3 May 2011 92.05 4 May 2011 92.29 5 May 2011 92.88 6 May 2011 92.84 9 May 2011 93.19 10 May 2011 93.01 11 May 2011 93.08 12 May 2011 93.44 13 May 2011 93.74 16 May 2011 93.71 17 May 2011 94.00 18 May 2011 93.66 19 May 2011 93.63 20 May 2011 93.65 23 May 2011 94.26 24 May 2011 94.04 25 May 2011 94.00 26 May 2011 93.93 27 May 2011 93.33 30 May 2011 93.33 31 May 2011 93.03 1 June 2011 92.96 2 June 2011 93.21 3 June 2011 92.79 6 June 2011 92.83 7 June 2011 92.74 8 June 2011 92.93 9 June 2011 92.96 10 June 2011 93.40 13 June 2011 93.43 14 June 2011 93.07 15 June 2011 93.70 16 June 2011 94.04 17 June 2011 93.57 20 June 2011 93.55 21 June 2011 93.21 22 June 2011 93.15 23 June 2011 93.79 24 June 2011 93.83 27 June 2011 93.88 28 June 2011 93.58 29 June 2011 93.16 30 June 2011 92.84 1 July 2011 92.71 4 July 2011 92.71 5 July 2011 92.78 6 July 2011 93.02 7 July 2011 92.82 8 July 2011 92.93 11 July 2011 93.41 12 July 2011 93.49 13 July 2011 92.90 14 July 2011 92.85 15 July 2011 92.85 18 July 2011 93.28 Processing math: 100% 19 July 2011 92.77 20 July 2011 92.60 21 July 2011 92.18 22 July 2011 92.18 25 July 2011 92.13 26 July 2011 91.79 27 July 2011 92.02 28 July 2011 92.13 29 July 2011 92.04 1 August 2011 92.31 2 August 2011 92.34 3 August 2011 92.37 4 August 2011 93.24 5 August 2011 93.42 8 August 2011 93.51 9 August 2011 93.72 10 August 2011 93.67 11 August 2011 93.58 12 August 2011 93.43 15 August 2011 93.01 16 August 2011 92.95 17 August 2011 92.81 18 August 2011 93.38 19 August 2011 93.10 22 August 2011 93.33 23 August 2011 93.16 24 August 2011 93.38 25 August 2011 93.49 26 August 2011 93.31 29 August 2011 93.09 30 August 2011 93.24 31 August 2011 93.00 1 September 2011 93.07 2 September 2011 93.39 5 September 2011 93.39 6 September 2011 94.34 7 September 2011 94.15 8 September 2011 94.29 9 September 2011 95.09 12 September 2011 95.37 13 September 2011 95.45 14 September 2011 95.64 15 September 2011 95.31 16 September 2011 95.36 19 September 2011 96.18 20 September 2011 96.13 21 September 2011 96.60 22 September 2011 98.29 23 September 2011 97.91 26 September 2011 98.03 27 September 2011 97.15 28 September 2011 97.28 29 September 2011 97.56 30 September 2011 98.24 3 October 2011 98.72 4 October 2011 99.14 5 October 2011 98.50 6 October 2011 98.16 7 October 2011 97.47 10 October 2011 97.47 11 October 2011 97.13 12 October 2011 96.57 13 October 2011 96.90 14 October 2011 96.47 17 October 2011 96.48 18 October 2011 96.82 19 October 2011 96.55 20 October 2011 97.34 21 October 2011 96.56 Processing math: 100% 24 October 2011 96.12 25 October 2011 96.18 26 October 2011 96.30 27 October 2011 95.03 28 October 2011 94.86 31 October 2011 95.47 1 November 2011 96.96 2 November 2011 96.49 3 November 2011 96.54 4 November 2011 96.53 7 November 2011 96.60 8 November 2011 96.39 9 November 2011 96.88 10 November 2011 97.07 11 November 2011 97.07 14 November 2011 96.92 15 November 2011 97.28 16 November 2011 97.30 17 November 2011 97.37 18 November 2011 97.56 21 November 2011 98.18 22 November 2011 98.20 23 November 2011 98.91 24 November 2011 98.91 25 November 2011 99.33 28 November 2011 98.72 29 November 2011 98.43 30 November 2011 97.69 1 December 2011 97.41 2 December 2011 97.53 5 December 2011 97.29 6 December 2011 97.47 7 December 2011 97.42 8 December 2011 97.84 9 December 2011 97.80 12 December 2011 98.51 13 December 2011 98.72 14 December 2011 99.36 15 December 2011 99.05 16 December 2011 98.96 19 December 2011 99.02 20 December 2011 98.60 21 December 2011 98.68 22 December 2011 98.55 23 December 2011 98.54 27 December 2011 98.57 28 December 2011 98.97 29 December 2011 98.87 30 December 2011 98.54 3 January 2012 97.87 4 January 2012 98.14 5 January 2012 98.67 6 January 2012 98.81 9 January 2012 98.84 10 January 2012 98.36 11 January 2012 98.65 12 January 2012 98.32 13 January 2012 98.61 17 January 2012 98.11 18 January 2012 97.79 19 January 2012 97.43 20 January 2012 97.48 23 January 2012 97.10 24 January 2012 97.30 25 January 2012 97.38 26 January 2012 96.52 27 January 2012 96.37 30 January 2012 96.60 31 January 2012 96.64 Processing math: 100% 1 February 2012 96.20 2 February 2012 95.96 3 February 2012 95.93 6 February 2012 95.90 7 February 2012 95.70 8 February 2012 95.73 9 February 2012 95.71 10 February 2012 96.18 13 February 2012 95.97 14 February 2012 96.29 15 February 2012 96.28 16 February 2012 96.43 17 February 2012 96.34 21 February 2012 96.11 22 February 2012 96.33 23 February 2012 96.20 24 February 2012 96.01 27 February 2012 96.07 28 February 2012 95.91 29 February 2012 95.85 1 March 2012 95.90 2 March 2012 96.24 5 March 2012 96.39 6 March 2012 96.92 7 March 2012 96.78 8 March 2012 96.37 9 March 2012 96.54 12 March 2012 96.78 13 March 2012 96.67 14 March 2012 97.07 15 March 2012 96.92 16 March 2012 96.67 19 March 2012 96.44 20 March 2012 96.75 21 March 2012 96.82 22 March 2012 96.94 23 March 2012 96.74 26 March 2012 96.48 27 March 2012 96.42 28 March 2012 96.73 29 March 2012 96.86 30 March 2012 96.58 2 April 2012 96.38 3 April 2012 96.31 4 April 2012 96.94 5 April 2012 97.00 6 April 2012 97.06 9 April 2012 97.09 10 April 2012 97.39 11 April 2012 97.29 12 April 2012 96.90 13 April 2012 97.16 16 April 2012 97.35 17 April 2012 96.90 18 April 2012 97.07 19 April 2012 97.22 20 April 2012 96.96 23 April 2012 97.23 24 April 2012 96.97 25 April 2012 96.91 26 April 2012 96.79 27 April 2012 96.49 30 April 2012 96.47 1 May 2012 96.47 2 May 2012 96.75 3 May 2012 96.82 4 May 2012 97.18 7 May 2012 97.22 8 May 2012 97.54 Processing math: 100% 9 May 2012 97.90 10 May 2012 97.85 11 May 2012 97.87 14 May 2012 98.41 15 May 2012 98.67 16 May 2012 99.06 17 May 2012 99.10 18 May 2012 99.28 21 May 2012 99.22 22 May 2012 99.23 23 May 2012 100.01 24 May 2012 99.94 25 May 2012 100.10 28 May 2012 100.10 29 May 2012 100.03 30 May 2012 100.47 31 May 2012 100.84 1 June 2012 100.86 4 June 2012 100.66 5 June 2012 100.75 6 June 2012 100.18 7 June 2012 99.93 8 June 2012 100.35 11 June 2012 100.19 12 June 2012 100.23 13 June 2012 100.00 14 June 2012 99.98 15 June 2012 99.70 18 June 2012 99.80 19 June 2012 99.23 20 June 2012 99.34 21 June 2012 99.82 22 June 2012 100.11 25 June 2012 100.35 26 June 2012 100.17 27 June 2012 100.04 28 June 2012 100.18 29 June 2012 99.09 2 July 2012 99.12 3 July 2012 98.84 4 July 2012 98.84 5 July 2012 99.38 6 July 2012 99.86 9 July 2012 99.86 10 July 2012 99.71 11 July 2012 99.77 12 July 2012 100.09 13 July 2012 99.73 16 July 2012 99.57 17 July 2012 99.53 18 July 2012 99.28 19 July 2012 99.23 20 July 2012 99.54 23 July 2012 100.11 24 July 2012 100.43 25 July 2012 100.23 26 July 2012 99.56 27 July 2012 99.13 30 July 2012 99.24 31 July 2012 99.01 1 August 2012 99.05 2 August 2012 99.57 3 August 2012 98.79 6 August 2012 98.60 7 August 2012 98.68 8 August 2012 98.70 9 August 2012 98.76 10 August 2012 98.69 13 August 2012 98.77 Processing math: 100% 14 August 2012 98.79 15 August 2012 98.87 16 August 2012 98.78 17 August 2012 98.91 20 August 2012 98.83 21 August 2012 98.51 22 August 2012 98.63 23 August 2012 98.29 24 August 2012 98.46 27 August 2012 98.51 28 August 2012 98.41 29 August 2012 98.59 30 August 2012 98.82 31 August 2012 98.38 3 September 2012 98.38 4 September 2012 98.37 5 September 2012 98.34 6 September 2012 98.11 7 September 2012 97.57 10 September 2012 97.52 11 September 2012 97.28 12 September 2012 97.25 13 September 2012 97.17 14 September 2012 96.33 17 September 2012 96.47 18 September 2012 96.70 19 September 2012 96.65 20 September 2012 96.94 21 September 2012 96.71 24 September 2012 97.00 25 September 2012 96.79 26 September 2012 97.17 27 September 2012 96.92 28 September 2012 96.96 1 October 2012 96.84 2 October 2012 96.78 3 October 2012 97.00 4 October 2012 96.63 5 October 2012 96.43 8 October 2012 96.43 9 October 2012 97.00 10 October 2012 97.02 11 October 2012 96.87 12 October 2012 96.80 15 October 2012 96.76 16 October 2012 96.66 17 October 2012 96.34 18 October 2012 96.48 19 October 2012 96.88 Note: Vertical lines indicate LSAP 2 announcement, November 3, 2010, the Draghi Speech on July 26, 2012, and the FOMC meeting, September 12-13, 2012. Source: Federal Reserve Board of Governors Bottom-left panel (11) Euro Area Forward Rate Spreads* Basis points Date Spain Italy 1 April 2011 231.61 184.53 4 April 2011 227.49 181.29 5 April 2011 228.35 181.38 6 April 2011 215.29 135.27 7 April 2011 215.69 172.10 8 April 2011 208.97 139.40 11 April 2011 203.72 133.29 12 April 2011 198.41 132.10 13 April 2011 203.94 138.16 14 April 2011 212.71 139.61 15 April 2011 229.13 146.04 254.33 163.10 253.06 160.42 18 April 2011 Processing math: 100% 19 April 2011 20 April 2011 248.42 157.99 21 April 2011 246.01 161.20 25 April 2011 244.58 160.32 26 April 2011 250.39 164.34 27 April 2011 247.18 162.92 28 April 2011 243.90 163.86 29 April 2011 235.05 162.83 2 May 2011 234.22 162.46 3 May 2011 228.41 160.28 4 May 2011 225.39 158.60 5 May 2011 226.79 160.22 6 May 2011 234.10 163.54 9 May 2011 247.61 167.80 10 May 2011 240.41 161.54 11 May 2011 238.34 158.70 12 May 2011 237.85 158.50 13 May 2011 248.86 167.75 16 May 2011 244.85 161.32 17 May 2011 255.22 165.95 18 May 2011 255.16 165.48 19 May 2011 258.49 187.41 20 May 2011 264.97 189.44 23 May 2011 268.70 192.91 24 May 2011 258.54 183.42 25 May 2011 247.51 175.24 26 May 2011 248.09 177.73 27 May 2011 246.84 179.79 30 May 2011 253.78 183.86 31 May 2011 249.58 178.73 1 June 2011 248.65 177.07 2 June 2011 249.95 173.92 3 June 2011 240.44 162.94 6 June 2011 247.31 169.65 7 June 2011 247.98 168.68 8 June 2011 253.60 171.90 9 June 2011 262.03 175.85 10 June 2011 271.84 181.76 13 June 2011 274.06 182.59 14 June 2011 265.64 174.94 15 June 2011 278.15 186.44 16 June 2011 292.01 188.64 17 June 2011 281.71 187.13 20 June 2011 280.63 190.39 21 June 2011 269.77 181.58 22 June 2011 276.01 192.55 23 June 2011 288.71 194.30 24 June 2011 292.08 196.31 27 June 2011 285.70 193.12 28 June 2011 279.93 191.63 29 June 2011 275.70 185.96 30 June 2011 260.74 181.81 1 July 2011 254.73 180.68 4 July 2011 256.74 183.64 5 July 2011 257.82 191.49 6 July 2011 273.19 207.77 7 July 2011 273.34 205.17 8 July 2011 292.60 219.80 11 July 2011 325.60 250.28 12 July 2011 315.26 245.89 13 July 2011 309.58 257.15 14 July 2011 313.54 269.84 15 July 2011 336.68 283.33 18 July 2011 358.99 296.43 19 July 2011 343.53 280.14 20 July 2011 326.62 260.85 21 July 2011 304.01 240.68 22 July 2011 313.45 257.50 25 July 2011 336.07 276.42 332.93 274.97 Processing math: 100% 26 July 2011 27 July 2011 336.87 28 July 2011 344.69 303.08 311.87 29 July 2011 357.26 323.26 1 August 2011 381.53 346.55 2 August 2011 391.01 359.76 3 August 2011 386.42 361.55 4 August 2011 402.00 356.37 5 August 2011 363.22 335.80 8 August 2011 288.82 282.82 9 August 2011 276.53 265.44 10 August 2011 278.60 269.78 11 August 2011 263.57 241.54 12 August 2011 257.82 238.14 15 August 2011 251.31 237.72 16 August 2011 250.96 236.68 17 August 2011 263.40 246.20 18 August 2011 282.95 260.21 19 August 2011 279.84 258.22 22 August 2011 274.38 260.93 23 August 2011 277.05 259.84 24 August 2011 267.42 259.99 25 August 2011 269.22 266.36 26 August 2011 277.48 272.43 29 August 2011 273.39 269.79 30 August 2011 283.16 280.07 31 August 2011 274.89 277.24 1 September 2011 278.96 283.24 2 September 2011 290.23 309.73 5 September 2011 324.47 345.54 6 September 2011 316.72 325.04 7 September 2011 297.61 318.42 8 September 2011 306.02 325.02 9 September 2011 329.34 335.35 12 September 2011 351.16 318.66 13 September 2011 350.22 320.13 14 September 2011 343.67 303.52 15 September 2011 345.69 303.37 16 September 2011 346.57 308.65 19 September 2011 361.45 331.67 20 September 2011 363.95 349.76 21 September 2011 372.99 353.35 22 September 2011 376.22 364.25 23 September 2011 352.62 348.75 26 September 2011 336.44 336.53 27 September 2011 308.83 316.08 28 September 2011 343.94 327.05 29 September 2011 346.82 319.01 30 September 2011 363.77 313.10 3 October 2011 359.79 320.77 4 October 2011 368.64 325.22 5 October 2011 352.87 319.10 6 October 2011 336.93 306.04 7 October 2011 324.15 309.23 10 October 2011 293.87 309.97 11 October 2011 323.95 310.98 12 October 2011 300.56 309.04 13 October 2011 313.84 321.87 14 October 2011 307.79 305.97 17 October 2011 325.03 311.72 18 October 2011 338.22 325.84 19 October 2011 338.18 326.86 20 October 2011 359.48 339.55 21 October 2011 343.64 324.71 24 October 2011 353.35 331.28 25 October 2011 358.09 337.26 26 October 2011 376.27 325.81 27 October 2011 347.59 304.60 28 October 2011 361.31 308.08 Processing math: 100% 31 October 2011 381.86 323.43 1 November 2011 405.06 361.90 2 November 2011 387.08 356.91 3 November 2011 372.56 355.60 4 November 2011 392.03 366.16 7 November 2011 396.52 371.11 8 November 2011 402.71 369.85 9 November 2011 427.18 400.48 10 November 2011 422.74 390.46 11 November 2011 408.97 344.33 14 November 2011 422.63 387.98 15 November 2011 458.28 420.27 16 November 2011 465.80 414.36 17 November 2011 471.28 401.93 18 November 2011 446.15 369.42 21 November 2011 467.21 367.26 22 November 2011 442.06 363.71 23 November 2011 427.45 321.27 24 November 2011 408.68 308.69 25 November 2011 395.00 315.43 28 November 2011 386.57 321.52 29 November 2011 357.66 298.43 30 November 2011 341.21 260.50 1 December 2011 311.74 263.38 2 December 2011 327.34 292.56 5 December 2011 262.71 224.55 6 December 2011 275.66 201.36 7 December 2011 305.33 227.16 8 December 2011 344.69 260.29 9 December 2011 323.93 234.07 12 December 2011 361.70 282.66 13 December 2011 350.41 301.62 14 December 2011 388.95 341.06 15 December 2011 336.41 344.93 16 December 2011 370.36 363.91 19 December 2011 308.47 433.56 20 December 2011 283.56 397.05 21 December 2011 349.51 464.76 22 December 2011 357.46 471.21 23 December 2011 362.60 481.06 26 December 2011 361.90 480.62 27 December 2011 360.77 481.72 28 December 2011 352.79 500.97 29 December 2011 366.23 477.31 30 December 2011 367.60 475.54 2 January 2012 349.79 473.20 3 January 2012 374.85 471.29 4 January 2012 391.99 465.40 5 January 2012 416.57 475.01 6 January 2012 409.66 472.44 9 January 2012 369.11 468.30 10 January 2012 371.03 456.82 11 January 2012 380.51 461.77 12 January 2012 361.96 439.37 13 January 2012 417.44 444.40 16 January 2012 380.25 502.47 17 January 2012 369.08 436.42 18 January 2012 365.74 432.33 19 January 2012 362.62 425.88 20 January 2012 422.00 411.79 23 January 2012 420.65 402.55 24 January 2012 421.33 405.54 25 January 2012 411.79 414.73 26 January 2012 406.12 402.45 27 January 2012 371.33 385.63 30 January 2012 384.58 470.22 31 January 2012 364.72 403.47 1 February 2012 341.79 375.97 2 February 2012 355.93 384.24 Processing math: 100% 3 February 2012 346.81 439.16 6 February 2012 353.74 433.59 7 February 2012 354.26 361.75 8 February 2012 369.97 362.69 9 February 2012 368.21 349.25 10 February 2012 406.89 425.77 13 February 2012 402.83 423.47 14 February 2012 407.06 418.11 15 February 2012 429.93 442.01 16 February 2012 414.71 419.03 17 February 2012 398.95 406.11 20 February 2012 374.13 392.64 21 February 2012 373.19 392.61 22 February 2012 359.10 411.96 23 February 2012 359.01 412.15 24 February 2012 355.30 401.71 27 February 2012 359.10 413.76 28 February 2012 370.71 417.77 29 February 2012 367.37 404.93 1 March 2012 347.37 389.40 2 March 2012 358.29 384.75 5 March 2012 363.95 385.21 6 March 2012 400.29 409.79 7 March 2012 392.63 384.62 8 March 2012 385.67 353.56 9 March 2012 374.63 357.38 12 March 2012 387.87 371.50 13 March 2012 373.41 348.92 14 March 2012 366.44 333.76 15 March 2012 373.83 335.32 16 March 2012 372.54 329.86 19 March 2012 388.01 280.29 20 March 2012 398.34 293.14 21 March 2012 412.42 299.44 22 March 2012 427.03 314.89 23 March 2012 414.21 320.42 26 March 2012 397.60 307.58 27 March 2012 404.90 313.90 28 March 2012 387.08 328.03 29 March 2012 391.91 325.84 30 March 2012 383.90 320.79 2 April 2012 378.49 326.55 3 April 2012 385.10 333.15 4 April 2012 401.30 342.14 5 April 2012 419.99 363.13 9 April 2012 449.48 371.55 10 April 2012 472.96 396.81 11 April 2012 432.25 347.92 12 April 2012 425.53 333.85 13 April 2012 455.31 356.71 16 April 2012 473.15 369.66 17 April 2012 454.45 358.63 18 April 2012 450.43 362.51 19 April 2012 463.56 379.29 20 April 2012 471.63 389.06 23 April 2012 478.66 405.77 24 April 2012 456.65 398.42 25 April 2012 422.79 389.76 26 April 2012 424.12 389.39 27 April 2012 425.41 386.30 30 April 2012 410.41 375.31 1 May 2012 409.23 374.33 2 May 2012 419.51 387.96 3 May 2012 421.37 397.80 4 May 2012 413.88 392.03 7 May 2012 449.02 391.62 8 May 2012 467.72 410.07 9 May 2012 492.99 416.79 10 May 2012 486.96 413.11 480.97 415.96 Processing math: 100% 11 May 2012 14 May 2012 508.21 434.02 15 May 2012 511.79 441.71 16 May 2012 507.77 435.78 17 May 2012 518.02 433.94 18 May 2012 507.88 427.85 21 May 2012 501.71 425.08 22 May 2012 472.80 394.34 23 May 2012 459.27 408.17 24 May 2012 457.84 392.58 25 May 2012 466.89 405.16 28 May 2012 482.12 397.46 29 May 2012 463.16 398.58 30 May 2012 486.14 410.12 31 May 2012 487.05 413.96 1 June 2012 491.55 397.71 4 June 2012 455.80 400.36 5 June 2012 465.49 396.85 6 June 2012 452.06 396.37 7 June 2012 447.09 407.08 8 June 2012 475.31 414.57 11 June 2012 533.36 437.16 12 June 2012 531.18 426.12 13 June 2012 525.33 411.62 14 June 2012 517.21 396.55 15 June 2012 548.73 382.57 18 June 2012 561.51 401.11 19 June 2012 533.45 376.01 20 June 2012 489.77 357.30 21 June 2012 502.50 377.39 22 June 2012 470.03 378.52 25 June 2012 503.33 391.46 26 June 2012 515.73 390.26 27 June 2012 483.43 390.70 28 June 2012 471.92 398.08 29 June 2012 454.65 385.04 2 July 2012 468.24 384.71 3 July 2012 464.92 382.46 4 July 2012 489.08 405.55 5 July 2012 513.33 426.03 6 July 2012 571.28 430.72 9 July 2012 575.22 423.37 10 July 2012 555.16 405.68 11 July 2012 535.76 409.75 12 July 2012 542.87 418.91 13 July 2012 556.64 450.63 16 July 2012 568.18 474.94 17 July 2012 560.46 451.16 18 July 2012 568.04 457.02 19 July 2012 566.83 445.15 20 July 2012 569.63 457.23 23 July 2012 549.08 454.91 24 July 2012 543.53 452.34 25 July 2012 538.08 440.63 26 July 2012 510.30 421.87 27 July 2012 492.83 409.94 30 July 2012 489.37 422.17 31 July 2012 509.26 429.66 1 August 2012 506.58 415.35 2 August 2012 607.60 493.97 3 August 2012 585.48 472.45 6 August 2012 617.58 473.60 7 August 2012 615.26 449.99 8 August 2012 608.98 449.07 9 August 2012 601.09 436.84 10 August 2012 612.23 438.28 13 August 2012 586.12 430.90 14 August 2012 554.01 415.71 15 August 2012 528.77 401.63 520.22 413.83 Processing math: 100% 16 August 2012 17 August 2012 534.63 425.79 20 August 2012 519.13 427.45 21 August 2012 514.44 405.85 22 August 2012 524.38 418.08 23 August 2012 535.39 424.04 24 August 2012 553.31 430.28 27 August 2012 549.92 430.42 28 August 2012 570.52 453.36 29 August 2012 572.38 440.95 30 August 2012 594.66 441.74 31 August 2012 645.35 453.20 3 September 2012 644.64 445.25 4 September 2012 642.20 453.72 5 September 2012 591.95 422.89 6 September 2012 537.56 389.91 7 September 2012 486.88 371.95 10 September 2012 477.48 380.98 11 September 2012 479.74 360.05 12 September 2012 477.81 367.99 13 September 2012 479.07 364.70 14 September 2012 464.13 346.11 17 September 2012 480.43 357.02 18 September 2012 479.33 357.66 19 September 2012 469.11 348.37 20 September 2012 483.21 358.48 21 September 2012 485.24 360.64 24 September 2012 482.54 358.46 25 September 2012 482.89 358.32 26 September 2012 531.26 385.16 27 September 2012 520.51 376.79 28 September 2012 513.30 379.85 1 October 2012 510.02 385.91 2 October 2012 508.66 383.42 3 October 2012 512.68 386.52 4 October 2012 525.88 395.27 5 October 2012 504.19 383.63 8 October 2012 514.71 389.96 9 October 2012 521.39 386.02 10 October 2012 514.49 379.20 11 October 2012 510.60 366.81 12 October 2012 510.90 371.72 15 October 2012 531.35 403.24 16 October 2012 522.82 353.34 17 October 2012 475.82 357.09 18 October 2012 458.65 354.91 19 October 2012 464.03 361.28 * 5-year, 5-year forward rate spreads to Germany. Return to text Note: Vertical lines indicate the Draghi Speech on July 26, and OMT Details Announced on September 6, 2012. Source: Bloomberg Bottom-right panel (12) Uncertainty-Related Indicators Baker-Bloom-Davis Policy Uncertainty Index Date Index Level 30 July 2010 175.31 30 August 2010 151.46 30 September 2010 185.47 30 October 2010 179.05 30 November 2010 176.07 30 December 2010 153.98 30 January 2011 152.35 2 March 2011 154.95 30 March 2011 181.76 30 April 2011 156.52 30 May 2011 139.21 30 June 2011 175.22 Processing math: 100% 30 July 2011 205.80 30 August 2011 267.56 30 September 2011 230.69 30 October 2011 200.29 30 November 2011 207.13 30 December 2011 202.05 30 January 2012 167.33 1 March 2012 148.94 30 March 2012 136.23 30 April 2012 125.65 30 May 2012 178.69 30 June 2012 212.26 30 July 2012 201.37 30 August 2012 163.33 30 September 2012 185.30 Source: Baker, Bloom, and Davis (2012) VIX Index Date Percent 30 July 2010 23.50 2 August 2010 22.01 3 August 2010 22.63 4 August 2010 22.21 5 August 2010 22.10 6 August 2010 21.74 9 August 2010 22.14 10 August 2010 22.37 11 August 2010 25.39 12 August 2010 25.73 13 August 2010 26.24 16 August 2010 26.10 17 August 2010 24.33 18 August 2010 24.59 19 August 2010 26.44 20 August 2010 25.49 23 August 2010 25.66 24 August 2010 27.46 25 August 2010 26.70 26 August 2010 27.37 27 August 2010 24.45 30 August 2010 27.21 31 August 2010 26.05 1 September 2010 23.89 2 September 2010 23.19 3 September 2010 21.31 6 September 2010 21.31 7 September 2010 23.80 8 September 2010 23.25 9 September 2010 22.81 10 September 2010 21.99 13 September 2010 21.21 14 September 2010 21.56 15 September 2010 22.10 16 September 2010 21.72 17 September 2010 22.01 20 September 2010 21.50 21 September 2010 22.35 22 September 2010 22.51 23 September 2010 23.87 24 September 2010 21.71 27 September 2010 22.54 28 September 2010 22.60 29 September 2010 23.25 30 September 2010 23.70 1 October 2010 22.50 4 October 2010 23.53 5 October 2010 21.76 6 October 2010 21.49 Processing 7 Octobermath: 2010100% 21.56 8 October 2010 20.71 11 October 2010 18.96 12 October 2010 18.93 13 October 2010 19.07 14 October 2010 19.88 15 October 2010 19.03 18 October 2010 19.09 19 October 2010 20.63 20 October 2010 19.79 21 October 2010 19.27 22 October 2010 18.78 25 October 2010 19.85 26 October 2010 20.22 27 October 2010 20.71 28 October 2010 20.88 29 October 2010 21.20 1 November 2010 21.83 2 November 2010 21.57 3 November 2010 19.56 4 November 2010 18.52 5 November 2010 18.26 8 November 2010 18.29 9 November 2010 19.08 10 November 2010 18.47 11 November 2010 18.64 12 November 2010 20.61 15 November 2010 20.20 16 November 2010 22.58 17 November 2010 21.76 18 November 2010 18.75 19 November 2010 18.04 22 November 2010 18.37 23 November 2010 20.63 24 November 2010 19.56 25 November 2010 19.56 26 November 2010 22.22 29 November 2010 21.53 30 November 2010 23.54 1 December 2010 21.36 2 December 2010 19.39 3 December 2010 18.01 6 December 2010 18.02 7 December 2010 17.99 8 December 2010 17.74 9 December 2010 17.25 10 December 2010 17.61 13 December 2010 17.55 14 December 2010 17.61 15 December 2010 17.94 16 December 2010 17.39 17 December 2010 16.11 20 December 2010 16.41 21 December 2010 16.49 22 December 2010 15.45 23 December 2010 16.47 24 December 2010 16.47 27 December 2010 17.67 28 December 2010 17.52 29 December 2010 17.28 30 December 2010 17.52 31 December 2010 17.75 3 January 2011 17.61 4 January 2011 17.38 5 January 2011 17.02 6 January 2011 17.40 7 January 2011 17.14 10 January 2011 17.54 11 January 2011 16.89 Processing math: 100% 12 January 2011 16.24 13 January 2011 16.39 14 January 2011 15.46 17 January 2011 15.46 18 January 2011 15.87 19 January 2011 17.31 20 January 2011 17.99 21 January 2011 18.47 24 January 2011 17.65 25 January 2011 17.59 26 January 2011 16.64 27 January 2011 16.15 28 January 2011 20.04 31 January 2011 19.53 1 February 2011 17.63 2 February 2011 17.30 3 February 2011 16.69 4 February 2011 15.93 7 February 2011 16.28 8 February 2011 15.81 9 February 2011 15.87 10 February 2011 16.09 11 February 2011 15.69 14 February 2011 15.95 15 February 2011 16.37 16 February 2011 16.72 17 February 2011 16.59 18 February 2011 16.43 21 February 2011 16.43 22 February 2011 20.80 23 February 2011 22.13 24 February 2011 21.32 25 February 2011 19.22 28 February 2011 18.35 1 March 2011 21.01 2 March 2011 20.70 3 March 2011 18.60 4 March 2011 19.06 7 March 2011 20.66 8 March 2011 19.82 9 March 2011 20.22 10 March 2011 21.88 11 March 2011 20.08 14 March 2011 21.13 15 March 2011 24.32 16 March 2011 29.40 17 March 2011 26.37 18 March 2011 24.44 21 March 2011 20.61 22 March 2011 20.21 23 March 2011 19.17 24 March 2011 18.00 25 March 2011 17.91 28 March 2011 19.44 29 March 2011 18.16 30 March 2011 17.71 31 March 2011 17.74 1 April 2011 17.40 4 April 2011 17.50 5 April 2011 17.25 6 April 2011 16.90 7 April 2011 17.11 8 April 2011 17.87 11 April 2011 16.59 12 April 2011 17.09 13 April 2011 16.92 14 April 2011 16.27 15 April 2011 15.32 18 April 2011 16.96 Processing math: 100% 19 April 2011 15.83 20 April 2011 15.07 21 April 2011 14.69 22 April 2011 14.69 25 April 2011 15.77 26 April 2011 15.62 27 April 2011 15.35 28 April 2011 14.62 29 April 2011 14.75 2 May 2011 15.99 3 May 2011 16.70 4 May 2011 17.08 5 May 2011 18.20 6 May 2011 18.40 9 May 2011 17.16 10 May 2011 15.91 11 May 2011 16.95 12 May 2011 16.03 13 May 2011 17.07 16 May 2011 18.24 17 May 2011 17.55 18 May 2011 16.23 19 May 2011 15.52 20 May 2011 17.43 23 May 2011 18.27 24 May 2011 17.82 25 May 2011 17.07 26 May 2011 16.09 27 May 2011 15.98 30 May 2011 15.98 31 May 2011 15.45 1 June 2011 18.30 2 June 2011 18.09 3 June 2011 17.95 6 June 2011 18.49 7 June 2011 18.07 8 June 2011 18.79 9 June 2011 17.77 10 June 2011 18.86 13 June 2011 19.61 14 June 2011 18.26 15 June 2011 21.32 16 June 2011 22.73 17 June 2011 21.85 20 June 2011 19.99 21 June 2011 18.86 22 June 2011 18.52 23 June 2011 19.29 24 June 2011 21.10 27 June 2011 20.56 28 June 2011 19.17 29 June 2011 17.27 30 June 2011 16.52 1 July 2011 15.87 4 July 2011 15.87 5 July 2011 16.06 6 July 2011 16.34 7 July 2011 15.95 8 July 2011 15.95 11 July 2011 18.39 12 July 2011 19.87 13 July 2011 19.91 14 July 2011 20.80 15 July 2011 19.53 18 July 2011 20.95 19 July 2011 19.21 20 July 2011 19.09 21 July 2011 17.56 22 July 2011 17.52 Processing math: 100% 25 July 2011 19.35 26 July 2011 20.23 27 July 2011 22.98 28 July 2011 23.74 29 July 2011 25.25 1 August 2011 23.66 2 August 2011 24.79 3 August 2011 23.38 4 August 2011 31.66 5 August 2011 32.00 8 August 2011 48.00 9 August 2011 35.06 10 August 2011 42.99 11 August 2011 39.00 12 August 2011 36.36 15 August 2011 31.87 16 August 2011 32.85 17 August 2011 31.58 18 August 2011 42.67 19 August 2011 43.05 22 August 2011 42.44 23 August 2011 36.27 24 August 2011 35.90 25 August 2011 39.76 26 August 2011 35.59 29 August 2011 32.28 30 August 2011 32.89 31 August 2011 31.62 1 September 2011 31.82 2 September 2011 33.92 5 September 2011 33.92 6 September 2011 37.00 7 September 2011 33.38 8 September 2011 34.32 9 September 2011 38.52 12 September 2011 38.59 13 September 2011 36.91 14 September 2011 34.60 15 September 2011 31.97 16 September 2011 30.98 19 September 2011 32.73 20 September 2011 32.86 21 September 2011 37.32 22 September 2011 41.35 23 September 2011 41.25 26 September 2011 39.02 27 September 2011 37.71 28 September 2011 41.08 29 September 2011 38.84 30 September 2011 42.96 3 October 2011 45.45 4 October 2011 40.82 5 October 2011 37.81 6 October 2011 36.27 7 October 2011 36.20 10 October 2011 33.02 11 October 2011 32.86 12 October 2011 31.26 13 October 2011 30.70 14 October 2011 28.24 17 October 2011 33.39 18 October 2011 31.56 19 October 2011 34.44 20 October 2011 34.78 21 October 2011 31.32 24 October 2011 29.26 25 October 2011 32.22 26 October 2011 29.86 27 October 2011 25.46 Processing math: 100% 28 October 2011 24.53 31 October 2011 29.96 1 November 2011 34.77 2 November 2011 32.74 3 November 2011 30.50 4 November 2011 30.16 7 November 2011 29.85 8 November 2011 27.48 9 November 2011 36.16 10 November 2011 32.81 11 November 2011 30.04 14 November 2011 31.13 15 November 2011 31.22 16 November 2011 33.51 17 November 2011 34.51 18 November 2011 32.00 21 November 2011 32.91 22 November 2011 31.97 23 November 2011 33.98 24 November 2011 33.98 25 November 2011 34.47 28 November 2011 32.13 29 November 2011 30.64 30 November 2011 27.80 1 December 2011 27.41 2 December 2011 27.52 5 December 2011 27.84 6 December 2011 28.13 7 December 2011 28.67 8 December 2011 30.59 9 December 2011 26.38 12 December 2011 25.67 13 December 2011 25.41 14 December 2011 26.04 15 December 2011 25.11 16 December 2011 24.29 19 December 2011 24.92 20 December 2011 23.22 21 December 2011 21.43 22 December 2011 21.16 23 December 2011 20.73 26 December 2011 20.73 27 December 2011 21.91 28 December 2011 23.52 29 December 2011 22.65 30 December 2011 23.40 2 January 2012 23.40 3 January 2012 22.97 4 January 2012 22.22 5 January 2012 21.48 6 January 2012 20.63 9 January 2012 21.07 10 January 2012 20.69 11 January 2012 21.05 12 January 2012 20.47 13 January 2012 20.91 16 January 2012 20.91 17 January 2012 22.20 18 January 2012 20.89 19 January 2012 19.87 20 January 2012 18.28 23 January 2012 18.67 24 January 2012 18.91 25 January 2012 18.31 26 January 2012 18.57 27 January 2012 18.53 30 January 2012 19.40 31 January 2012 19.44 1 February 2012 18.55 Processing math: 100% 2 February 2012 17.98 3 February 2012 17.10 6 February 2012 17.76 7 February 2012 17.65 8 February 2012 18.16 9 February 2012 18.63 10 February 2012 20.79 13 February 2012 19.04 14 February 2012 19.54 15 February 2012 21.14 16 February 2012 19.22 17 February 2012 17.78 20 February 2012 17.78 21 February 2012 18.19 22 February 2012 18.19 23 February 2012 16.80 24 February 2012 17.31 27 February 2012 18.19 28 February 2012 17.96 29 February 2012 18.43 1 March 2012 17.26 2 March 2012 17.29 5 March 2012 18.05 6 March 2012 20.87 7 March 2012 19.07 8 March 2012 17.95 9 March 2012 17.11 12 March 2012 15.64 13 March 2012 14.80 14 March 2012 15.31 15 March 2012 15.42 16 March 2012 14.47 19 March 2012 15.04 20 March 2012 15.58 21 March 2012 15.13 22 March 2012 15.57 23 March 2012 14.82 26 March 2012 14.26 27 March 2012 15.59 28 March 2012 15.47 29 March 2012 15.48 30 March 2012 15.50 2 April 2012 15.64 3 April 2012 15.66 4 April 2012 16.44 5 April 2012 16.70 6 April 2012 16.70 9 April 2012 18.81 10 April 2012 20.39 11 April 2012 20.02 12 April 2012 17.20 13 April 2012 19.55 16 April 2012 19.55 17 April 2012 18.46 18 April 2012 18.64 19 April 2012 18.36 20 April 2012 17.44 23 April 2012 18.97 24 April 2012 18.10 25 April 2012 16.82 26 April 2012 16.24 27 April 2012 16.32 30 April 2012 17.15 1 May 2012 16.60 2 May 2012 16.88 3 May 2012 17.56 4 May 2012 19.16 7 May 2012 18.94 8 May 2012 19.05 Processing math: 100% 9 May 2012 20.08 10 May 2012 18.83 11 May 2012 19.89 14 May 2012 21.87 15 May 2012 21.97 16 May 2012 22.27 17 May 2012 24.49 18 May 2012 25.10 21 May 2012 22.01 22 May 2012 22.48 23 May 2012 22.33 24 May 2012 21.54 25 May 2012 21.76 28 May 2012 21.76 29 May 2012 21.03 30 May 2012 24.14 31 May 2012 24.06 1 June 2012 26.66 4 June 2012 26.12 5 June 2012 24.68 6 June 2012 22.16 7 June 2012 21.72 8 June 2012 21.23 11 June 2012 23.56 12 June 2012 22.09 13 June 2012 24.27 14 June 2012 21.68 15 June 2012 21.11 18 June 2012 18.32 19 June 2012 18.38 20 June 2012 17.24 21 June 2012 20.08 22 June 2012 18.11 25 June 2012 20.38 26 June 2012 19.72 27 June 2012 19.45 28 June 2012 19.71 29 June 2012 17.08 2 July 2012 16.80 3 July 2012 16.66 4 July 2012 16.66 5 July 2012 17.50 6 July 2012 17.10 9 July 2012 17.98 10 July 2012 18.72 11 July 2012 17.95 12 July 2012 18.33 13 July 2012 16.74 16 July 2012 17.11 17 July 2012 16.48 18 July 2012 16.16 19 July 2012 15.45 20 July 2012 16.27 23 July 2012 18.62 24 July 2012 20.47 25 July 2012 19.34 26 July 2012 17.53 27 July 2012 16.70 30 July 2012 18.03 31 July 2012 18.93 1 August 2012 18.96 2 August 2012 17.57 3 August 2012 15.64 6 August 2012 15.95 7 August 2012 15.99 8 August 2012 15.32 9 August 2012 15.28 10 August 2012 14.74 13 August 2012 13.70 Processing math: 100% 14 August 2012 14.85 15 August 2012 14.63 16 August 2012 14.29 17 August 2012 13.45 20 August 2012 14.02 21 August 2012 15.02 22 August 2012 15.11 23 August 2012 15.96 24 August 2012 15.18 27 August 2012 16.35 28 August 2012 16.49 29 August 2012 17.06 30 August 2012 17.83 31 August 2012 17.47 3 September 2012 17.47 4 September 2012 17.98 5 September 2012 17.74 6 September 2012 15.60 7 September 2012 14.38 10 September 2012 16.28 11 September 2012 16.41 12 September 2012 15.80 13 September 2012 14.05 14 September 2012 14.51 17 September 2012 14.59 18 September 2012 14.18 19 September 2012 13.88 20 September 2012 14.07 21 September 2012 13.98 24 September 2012 14.15 25 September 2012 15.43 26 September 2012 16.81 27 September 2012 14.84 28 September 2012 15.73 1 October 2012 16.32 2 October 2012 15.71 3 October 2012 15.43 4 October 2012 14.55 5 October 2012 14.33 8 October 2012 15.11 9 October 2012 16.37 10 October 2012 16.29 11 October 2012 15.59 12 October 2012 16.14 15 October 2012 15.27 16 October 2012 15.22 17 October 2012 15.07 18 October 2012 15.03 19 October 2012 17.06 Source: Bloomberg Exhibit 3 Top-left panel (13) Projected MBS Purchases and Issuance $ Billions Period Gross Issuance* Purchases** October 2011 70.08 22.22 November 2011 80.56 27.77 December 2011 86.76 28.44 January 2012 77.79 26.87 February 2012 81.44 22.93 103.55 30.32 April 2012 71.69 29.15 May 2012 82.04 24.95 June 2012 81.88 25.32 July 2012 80.80 25.46 99.85 32.18 March 2012 Processing math: 100% August 2012 September 2012 103.62 59.38 October 2012 90.80 70.13 November 2012 93.92 73.61 December 2012 101.83 75.91 January 2013 102.03 76.39 February 2013 95.21 77.56 March 2013 94.54 77.92 April 2013 95.57 77.36 May 2013 91.44 76.65 June 2013 88.16 75.30 * Adjusted TBA-eligible issuance. Return to table ** Reinvestment projections based on baseline forecast for rate path. Return to table Note: A vertical line indicates the forecast period, which begins in October 2012. Source: Federal Reserve Bank of New York, BlackRock, eMBS, KDS Top-right panel (14) MBS Purchase Allocations 30-Year 2.5% 3.0% 15-Year 3.5% 4.0% Reinvestments* 0% 13% 56% 21% 10% Post-FOMC** 1% 60% 20% 0% 19% Current 2% 59% 18% 0% 21% * Average over entire reinvestment period until September FOMC. Return to table ** Average over post-FOMC period. Return to table Source: Federal Reserve Bank of New York Middle-left panel (15) Dollar Roll Implied Financing Rates* Basis points Date 3.5% Front Month 3.0% Next Month 1 August 2011 11.27 ND 2 August 2011 7.40 ND 3 August 2011 6.14 ND 4 August 2011 2.38 ND 5 August 2011 11.20 ND 8 August 2011 -4.23 ND 9 August 2011 -8.87 ND 10 August 2011 -24.61 ND 11 August 2011 -14.56 ND 12 August 2011 -16.94 ND 15 August 2011 -19.41 ND 16 August 2011 -21.68 ND 17 August 2011 -21.95 ND 18 August 2011 -14.00 ND 19 August 2011 -16.91 ND 22 August 2011 -16.45 ND 23 August 2011 -19.67 ND 24 August 2011 -12.21 ND 25 August 2011 -14.01 ND 26 August 2011 -15.06 ND 29 August 2011 -17.34 ND 30 August 2011 -15.37 ND 31 August 2011 -13.44 ND 1 September 2011 -10.66 ND 2 September 2011 -13.39 ND 6 September 2011 -4.36 ND 7 September 2011 6.30 ND 8 September 2011 -10.18 ND 9 September 2011 -12.45 ND 12 September 2011 -2.52 ND 13 September 2011 -1.41 ND 14 September 2011 -1.53 ND 15 September 2011 0.13 ND 16 September 2011 -4.24 ND Processing math: 100% 19 September 2011 -7.70 ND 20 September 2011 -7.26 ND 21 September 2011 -15.48 ND 22 September 2011 -40.78 ND 23 September 2011 -38.98 ND 26 September 2011 -24.32 ND 27 September 2011 -20.22 ND 28 September 2011 -21.10 ND 29 September 2011 -23.53 ND 30 September 2011 -24.47 ND 3 October 2011 -23.37 ND 4 October 2011 -16.81 ND 5 October 2011 -9.90 ND 6 October 2011 -3.82 ND 7 October 2011 -20.89 ND 11 October 2011 -9.61 ND 12 October 2011 -13.03 ND 13 October 2011 -10.49 ND 14 October 2011 -7.12 ND 17 October 2011 -15.61 ND 18 October 2011 -16.12 ND 19 October 2011 -20.59 ND 20 October 2011 -19.47 ND 21 October 2011 -19.20 ND 24 October 2011 -17.80 ND 25 October 2011 -22.47 ND 26 October 2011 -19.65 ND 27 October 2011 -14.06 ND 28 October 2011 -19.09 ND 31 October 2011 -19.20 ND 1 November 2011 -12.12 ND 2 November 2011 -11.74 ND 3 November 2011 -4.17 ND 4 November 2011 -0.99 ND 7 November 2011 8.00 ND 8 November 2011 15.38 ND 9 November 2011 13.74 ND 10 November 2011 11.10 ND 14 November 2011 11.12 ND 15 November 2011 11.53 ND 16 November 2011 15.10 ND 17 November 2011 26.87 ND 18 November 2011 28.81 ND 21 November 2011 31.84 ND 22 November 2011 31.13 ND 23 November 2011 30.64 ND 25 November 2011 33.31 ND 28 November 2011 31.96 ND 29 November 2011 35.91 ND 30 November 2011 35.53 ND 1 December 2011 45.47 ND 2 December 2011 43.21 ND 5 December 2011 30.13 ND 6 December 2011 26.02 ND 7 December 2011 -1.29 ND 8 December 2011 -15.16 ND 9 December 2011 -7.76 ND 12 December 2011 -8.45 ND 13 December 2011 -10.41 ND 14 December 2011 -9.08 ND 15 December 2011 -7.46 ND 16 December 2011 -8.58 ND 19 December 2011 -5.31 ND 20 December 2011 -2.21 ND 21 December 2011 -1.38 ND 22 December 2011 -1.88 ND 23 December 2011 0.67 ND 27 December 2011 -0.09 ND 28 December 2011 -3.68 ND Processing math: 2011 100% 29 December -4.83 ND 30 December 2011 -5.60 ND 3 January 2012 0.76 ND 4 January 2012 0.66 ND 5 January 2012 -0.37 ND 6 January 2012 -10.17 ND 9 January 2012 -32.56 ND 10 January 2012 -20.41 ND 11 January 2012 -17.44 ND 12 January 2012 -17.93 ND 13 January 2012 -22.76 ND 17 January 2012 -21.18 ND 18 January 2012 -18.17 ND 19 January 2012 -19.61 ND 20 January 2012 -18.08 ND 23 January 2012 -17.86 ND 24 January 2012 -18.52 ND 25 January 2012 -17.30 ND 26 January 2012 -22.17 ND 27 January 2012 -28.86 ND 30 January 2012 -30.23 ND 31 January 2012 -31.18 ND 1 February 2012 -27.54 ND 2 February 2012 -28.81 ND 3 February 2012 -24.99 ND 6 February 2012 -27.13 ND 7 February 2012 -30.66 ND 8 February 2012 -51.12 ND 9 February 2012 -50.12 ND 10 February 2012 -57.61 ND 13 February 2012 -61.52 ND 14 February 2012 -74.80 ND 15 February 2012 -88.36 ND 16 February 2012 -91.61 ND 17 February 2012 -94.30 ND 21 February 2012 -90.85 ND 22 February 2012 -85.80 ND 23 February 2012 -87.53 ND 24 February 2012 -86.45 ND 27 February 2012 -88.54 ND 28 February 2012 -89.04 ND 29 February 2012 -76.95 ND 1 March 2012 -69.45 ND 2 March 2012 -58.20 ND 5 March 2012 -53.77 ND 6 March 2012 -51.72 ND 7 March 2012 -35.60 ND 8 March 2012 -33.88 ND 9 March 2012 -34.95 ND 12 March 2012 -36.26 ND 13 March 2012 -30.94 ND 14 March 2012 -25.32 ND 15 March 2012 -30.83 ND 16 March 2012 -31.95 ND 19 March 2012 -29.96 ND 20 March 2012 -29.96 ND 21 March 2012 -26.29 ND 22 March 2012 -22.26 ND 23 March 2012 -23.16 ND 26 March 2012 -24.28 ND 27 March 2012 -27.89 ND 28 March 2012 -22.76 ND 29 March 2012 -20.49 ND 30 March 2012 -17.92 ND 2 April 2012 -16.73 ND 3 April 2012 -7.13 ND 4 April 2012 -5.27 ND 5 April 2012 -7.92 ND 6 April 2012 -13.99 ND -31.17 ND Processing math: 100% 9 April 2012 10 April 2012 -37.16 ND 11 April 2012 -38.46 ND 12 April 2012 -37.11 ND 13 April 2012 -35.68 ND 16 April 2012 -36.99 ND 17 April 2012 -33.85 ND 18 April 2012 -29.01 ND 19 April 2012 -31.57 ND 20 April 2012 -30.45 ND 23 April 2012 -32.26 ND 24 April 2012 -30.66 ND 25 April 2012 -29.70 ND 26 April 2012 -30.94 ND 27 April 2012 -32.34 ND 30 April 2012 -33.09 ND 1 May 2012 -31.85 ND 2 May 2012 -37.91 ND 3 May 2012 -38.32 ND 4 May 2012 -34.88 ND 7 May 2012 -30.63 ND 8 May 2012 -31.38 ND 9 May 2012 -43.77 ND 10 May 2012 -39.77 ND 11 May 2012 -42.64 ND 14 May 2012 -45.92 ND 15 May 2012 -46.31 ND 16 May 2012 -53.58 ND 17 May 2012 -59.34 ND 18 May 2012 -58.16 ND 21 May 2012 -54.20 ND 22 May 2012 -46.79 ND 23 May 2012 -50.25 ND 24 May 2012 -48.40 ND 25 May 2012 -44.34 ND 29 May 2012 -44.23 ND 30 May 2012 -45.87 ND 31 May 2012 -44.40 ND 1 June 2012 -40.24 -67.27 4 June 2012 -30.39 -77.95 5 June 2012 -32.65 -76.87 6 June 2012 -36.62 -50.55 7 June 2012 -34.55 -51.50 8 June 2012 -52.66 -80.16 11 June 2012 -57.82 -81.68 12 June 2012 -52.24 -79.88 13 June 2012 -56.25 -41.64 14 June 2012 -61.45 -33.04 15 June 2012 -63.95 -38.18 18 June 2012 -66.78 -39.08 19 June 2012 -71.01 -43.56 20 June 2012 -93.07 -41.24 21 June 2012 -96.83 -42.29 22 June 2012 -92.55 -40.87 25 June 2012 -101.06 -43.21 26 June 2012 -96.88 -42.01 27 June 2012 -99.04 -42.92 28 June 2012 -90.52 -31.16 29 June 2012 -94.46 -28.93 2 July 2012 -97.60 -31.86 3 July 2012 -90.28 -25.95 5 July 2012 -81.78 -27.06 6 July 2012 -92.34 -16.57 9 July 2012 -128.99 -40.58 10 July 2012 -136.54 -42.65 11 July 2012 -135.70 -33.01 12 July 2012 -138.14 -33.65 13 July 2012 -131.95 -31.37 16 July 2012 -140.31 -38.87 -137.73 -37.50 Processing math: 100% 17 July 2012 18 July 2012 -150.43 -39.99 19 July 2012 -149.10 -39.20 20 July 2012 -152.39 -42.16 23 July 2012 -154.35 -44.59 24 July 2012 -152.62 -56.23 25 July 2012 -155.34 -59.73 26 July 2012 -151.64 -63.34 27 July 2012 -141.21 -66.77 30 July 2012 -148.66 -70.12 31 July 2012 -151.35 -71.55 1 August 2012 -154.95 -67.17 2 August 2012 -158.52 -68.38 3 August 2012 -160.12 -74.73 6 August 2012 -166.75 -70.58 7 August 2012 -176.94 -53.60 8 August 2012 -131.07 10.74 9 August 2012 -128.72 11.00 10 August 2012 -128.51 -49.97 13 August 2012 -130.25 -46.24 14 August 2012 -114.45 -43.61 15 August 2012 -102.71 -39.90 16 August 2012 -106.13 -42.73 17 August 2012 -112.62 -42.99 20 August 2012 -118.92 -39.76 21 August 2012 -124.36 -39.75 22 August 2012 -140.27 -43.78 23 August 2012 -149.77 -46.61 24 August 2012 -141.74 -44.61 27 August 2012 -147.65 -42.30 28 August 2012 -149.82 -42.49 29 August 2012 -142.84 -40.76 30 August 2012 -144.19 -38.12 31 August 2012 -147.13 -33.31 4 September 2012 -140.88 -33.25 5 September 2012 -131.46 -29.15 6 September 2012 -120.46 -22.95 7 September 2012 -143.36 -25.27 10 September 2012 -91.87 -115.08 11 September 2012 -96.17 -115.27 12 September 2012 -98.60 -45.94 13 September 2012 -159.68 -85.35 14 September 2012 -150.85 -87.18 17 September 2012 -136.91 -81.70 18 September 2012 -132.18 -63.41 19 September 2012 -135.53 -57.43 20 September 2012 -147.49 -74.16 21 September 2012 -169.49 -184.97 24 September 2012 -179.17 -203.22 25 September 2012 -188.60 -105.06 26 September 2012 -192.76 -110.39 27 September 2012 -171.69 -82.66 28 September 2012 -167.29 -74.88 1 October 2012 -106.63 -64.70 2 October 2012 -92.20 -68.52 3 October 2012 -77.28 -70.82 4 October 2012 -86.14 -64.99 5 October 2012 -126.46 -77.43 9 October 2012 -103.82 -77.40 10 October 2012 -96.76 -65.53 11 October 2012 -102.47 -56.40 12 October 2012 -102.62 -60.68 15 October 2012 -108.49 -55.12 16 October 2012 -99.36 -49.94 17 October 2012 -82.79 -41.12 18 October 2012 -86.72 -38.04 19 October 2012 -98.27 -39.19 * 30-year FNMA dollar rolls. Front month is currently November-December roll; next month is currently December-January roll. Return to text Note: A horizontal line indicates Fails Charge at -200 basis points, and a vertical line indicates the FOMC meeting, September 12-13, 2012. Processing math: 100% Source: J.P. Morgan Middle-right panel (16) MBS Purchase Settlements* $ Billions LSAP 1 Avg** 75.99 November 2011 3.55 December 2011 40.00 January 2012 19.70 February 2012 27.00 March 2012 22.00 April 2012 38.30 May 2012 27.75 June 2012 26.80 July 2012 23.35 August 2012 18.65 September 2012 23.60 October 2012 45.65 November 2012 65.00 December 2012 17.60, and a dotted outline indicates 57.40 to be purchased * Settlements net of realized dollar roll sales. Return to text ** Maximum settled monthly amount during LSAP 1 was $170 billion. Return to table Note: Vertical lines indicate reinvestments, beginning in November 2011, and projected settlements, beginning in October 2012. Source: Federal Reserve Bank of New York, TradeWeb Bottom-left panel (17) Increase in SOMA Portfolio Holdings* (Median Mid-2014 Forecasts) $ Billions Total Treasuries 1140 540 600 Lower End of October Interquartile Range 903.75 371.25 532.5 Upper End of October Interquartile Range October Survey Median Agencies 1447.5 720 727.5 Post-FOMC Flash Survey Median 998 427.5 570.5 Pre-FOMC Flash Survey Median 597.5 300.5 297 September Survey Median 445.5 186 259.5 * Excluding one dealer. Return to text Source: Federal Reserve Bank of New York Survey Bottom-right panel (18) Probability Distribution of SOMA Portfolio Holdings* (Average End-2014 Forecasts) Par Amount ($ Billions) Probability (Percent) <2,500 0.6 2,500-3,000 4.7 3,000-3,500 23.2 3,500-4,000 35.9 4,000-4,500 19.1 4,500-5,000 8.3 >5,000 8.3 * Excluding one dealer. Return to text Source: Federal Reserve Bank of New York Survey Exhibit 3 (Cont.) (Last) Top-left panel (19) Responses to "Substantial Improvement" in Labor Market Outlook A word cloud. Some of the more prominent words are FOMC, unemployment, rate, month, labor, improvement, payrolls, growth, think, and market. Source: Federal Reserve Bank of New York Survey Top-right panel (20) Thresholds for "Substantial Improvement" in Labor Market Outlook 14 dealers mentioned declining unemployment rate 8 gave specific level, all between 6.5% and 7.5% 13 dealers mentioned monthly pace of job creation Processing math: 100% 12 gave specific level, median pace of 200k jobs per month 9 gave necessary duration of these job gains, median 6 months Others: Participation rate (8), above-trend growth (3) Middle panel (21) Probability of Change in Pace of Asset Purchases* Percent Within 6 Months Within 1 Year Treasuries Decrease 28.60 40.75 Treasuries Unch. 54.90 41.00 Treasuries Increase 17.00 19.00 MBS Decrease 11.30 34.55 MBS Unch. 76.80 49.45 MBS Increase 11.40 17.00 * Average probabilities from dealer responses, excluding one dealer. Return to text Source: Federal Reserve Bank of New York Survey Appendix 3: Materials used by Mr. Wilcox Material for Forecast Summary David Wilcox October 23, 2012 Class II FOMC - Restricted (FR) Forecast Summary Confidence Intervals Based on Tealbook Track Record Top-left panel Real GDP Percent change, annual rate Period October TB September TB 70% confidence interval, lower bound 70% confidence interval, upper bound 2011:Q2 2.48 ND ND ND 2011:Q3 1.28 ND ND ND 2011:Q4 4.09 ND ND ND 2012:Q1 1.96 1.96 ND ND 2012:Q2 1.25 1.68 1.25 1.25 2012:Q3 2.01 1.29 1.31 2.61 2012:Q4 2.05 1.65 -0.25 4.20 2013:Q1 1.80 1.97 -0.56 4.42 2013:Q2 2.52 2.25 0.04 5.49 2013:Q3 3.04 2.61 0.55 6.13 2013:Q4 3.15 2.81 0.50 6.28 2014:Q1 3.41 2.94 0.54 6.42 2014:Q2 3.48 3.13 0.41 6.37 2014:Q3 3.50 3.34 0.25 6.27 2014:Q4 3.57 3.46 0.13 6.29 Top-right panel Unemployment Rate Percent Period October TB September TB 70% confidence interval, lower bound 70% confidence interval, upper bound Natural Rate Natural Rate with EEB* 2011:Q2 9.10 ND ND ND 5.99 6.31 2011:Q3 9.10 ND ND ND 5.99 6.28 2011:Q4 8.70 ND ND ND 5.99 6.26 2012:Q1 8.20 ND ND ND 6.00 6.26 2012:Q2 8.20 8.17 8.20 8.20 6.00 6.22 2012:Q3 8.05 8.26 8.01 8.10 6.00 6.18 2012:Q4 8.02 8.27 7.85 8.18 6.00 6.16 2013:Q1 7.97 8.16 7.67 8.24 6.00 6.02 2013:Q2 7.95 8.15 7.50 8.34 6.00 6.00 2013:Q3 7.88 8.09 7.27 8.39 6.00 6.00 2013:Q4 7.78 8.04 7.00 8.41 6.00 6.00 2014:Q1 7.64 7.98 6.70 8.37 6.00 6.00 Processing math: 100% 2014:Q2 7.49 7.88 6.42 8.33 6.00 6.00 2014:Q3 7.33 7.75 6.18 8.26 6.00 6.00 2014:Q4 7.16 7.61 5.98 8.16 6.00 6.00 * Effect of emergency unemployment compensation and state-federal extended benefit programs. Return to table Middle-left panel PCE Prices Percent change, annual rate Period October TB September TB 70% confidence interval, lower bound 70% confidence interval, upper bound 2011:Q2 3.58 ND ND ND 2011:Q3 2.34 ND ND ND 2011:Q4 1.05 ND ND ND 2012:Q1 2.49 2.49 ND ND 2012:Q2 0.68 0.74 0.68 0.68 2012:Q3 1.70 1.86 1.29 2.13 2012:Q4 2.15 1.72 0.76 3.62 2013:Q1 0.93 1.25 -0.52 2.45 2013:Q2 1.42 1.51 -0.12 2.96 2013:Q3 1.39 1.44 -0.12 2.93 2013:Q4 1.32 1.34 -0.22 2.84 2014:Q1 1.39 1.34 -0.20 2.94 2014:Q2 1.37 1.35 -0.24 3.01 2014:Q3 1.38 1.37 -0.23 3.00 2014:Q4 1.41 1.40 -0.19 2.99 Middle-right panel PCE Prices Excluding Food and Energy Percent change, annual rate Period October TB September TB 70% confidence interval, lower bound 70% confidence interval, upper bound 2011:Q2 2.28 ND ND ND 2011:Q3 1.95 ND ND ND 2011:Q4 1.30 ND ND ND 2012:Q1 2.23 2.23 ND ND 2012:Q2 1.71 1.77 1.71 1.71 2012:Q3 1.19 1.34 0.94 1.49 2012:Q4 1.36 1.52 0.50 2.32 2013:Q1 1.59 1.60 0.67 2.58 2013:Q2 1.60 1.61 0.62 2.62 2013:Q3 1.60 1.61 0.57 2.62 2013:Q4 1.60 1.62 0.53 2.67 2014:Q1 1.68 1.64 0.59 2.77 2014:Q2 1.67 1.63 0.56 2.79 2014:Q3 1.67 1.64 0.53 2.77 2014:Q4 1.66 1.64 0.50 2.80 Bottom-left panel Monthly Change in Government Payroll Employment Thousands Period Three-month moving average October TB January 2011 -14.00 ND February 2011 -22.00 ND March 2011 -20.33 ND April 2011 -21.67 ND May 2011 -27.33 ND June 2011 -28.33 ND July 2011 -50.33 ND August 2011 -21.33 ND September 2011 -20.00 ND -2.67 ND November 2011 -20.67 ND December 2011 -19.67 ND January 2012 -11.33 ND February 2012 -2.67 ND March 2012 -0.33 ND -5.33 ND -16.67 ND October 2011 April 2012 Processing math: 100% May 2012 June 2012 -21.33 ND July 2012 -9.67 ND August 2012 15.00 ND September 2012 24.33 24.33 October 2012 ND 17.00 November 2012 ND 0.67 December 2012 ND -3.67 Bottom-right panel Measures of Monthly Change in Private Payroll Employment Thousands Period Establishment survey Model estimate (current) Model estimate (September TB) January 2011 119 159.29 159.26 February 2011 257 182.21 182.17 March 2011 261 213.45 213.42 April 2011 264 222.73 222.70 May 2011 108 166.31 166.26 June 2011 102 143.67 143.60 July 2011 175 159.17 159.12 52 147.87 147.82 September 2011 216 166.85 166.83 October 2011 139 159.54 159.50 November 2011 178 172.98 172.96 December 2011 234 186.75 186.75 January 2012 277 213.14 213.21 February 2012 254 219.40 219.69 March 2012 147 172.30 173.05 April 2012 85 144.01 145.94 May 2012 116 134.72 139.59 June 2012 63 113.17 125.37 July 2012 163 130.62 152.67 97 108.55 ND 104 108.75 ND August 2011 August 2012 September 2012 Note: The Kalman filter estimates treat the household survey measure (not shown) and the establishment survey measure as noisy observations of the underlying signal. Appendix 4: Materials used by Mr. English Material for FOMC Briefing on Monetary Policy Alternatives Bill English October 23-24, 2012 Class I FOMC - Restricted Controlled (FR) Federal Reserve Security Purchases and Holdings Top panel Modal Unemployment Rate at Expected End of Security Purchases: Dealer Survey Expected End of Security Purchases Unemployment Rate (Percent) Alternative 2012:Q4 8.00 2013:Q2 7.70 2013:Q2 7.90 2013:Q2 8.00 2013:Q3 7.90 2013:Q4 7.10 2013:Q4 7.68 2013:Q4 7.70 2013:Q4 7.70 2014:Q1 7.40 2014:Q1 7.45 2014:Q1 7.50 2014:Q1 7.60 2014:Q2 7.10 Processing 2014:Q3 math: 100% 7.55 Alternative C Alternative B Alternative A 2014:Q4 7.30 2015:Q1 7.15 2015:Q3 6.59 Note. Primary dealer unemployment rates are interpolated from average Q4 values reported in the survey. Excludes six primary dealers who did not report an unemployment rate at long enough horizons. Larger dot denotes two observations. Bottom panel Total Projected SOMA Security Holdings Billions of dollars Period Alternative A Alternative B Alternative C January 2006 748.82 748.82 748.82 February 2006 754.68 754.68 754.68 March 2006 758.54 758.54 758.54 April 2006 759.69 759.69 759.69 May 2006 762.41 762.41 762.41 June 2006 766.36 766.36 766.36 July 2006 764.81 764.81 764.81 August 2006 766.74 766.74 766.74 September 2006 768.92 768.92 768.92 October 2006 768.49 768.49 768.49 November 2006 772.60 772.60 772.60 December 2006 778.91 778.91 778.91 January 2007 778.86 778.86 778.86 February 2007 780.79 780.79 780.79 March 2007 780.90 780.90 780.90 April 2007 787.19 787.19 787.19 May 2007 790.27 790.27 790.27 June 2007 790.52 790.52 790.52 July 2007 790.80 790.80 790.80 August 2007 779.64 779.64 779.64 September 2007 779.63 779.63 779.63 October 2007 779.59 779.59 779.59 November 2007 779.70 779.70 779.70 December 2007 740.61 740.61 740.61 January 2008 713.38 713.38 713.38 February 2008 713.35 713.35 713.35 March 2008 591.23 591.23 591.23 April 2008 548.69 548.69 548.69 May 2008 486.90 486.90 486.90 June 2008 478.84 478.84 478.84 July 2008 479.24 479.24 479.24 August 2008 479.70 479.70 479.70 September 2008 491.13 491.13 491.13 October 2008 490.09 490.09 490.09 November 2008 488.62 488.62 488.62 December 2008 495.63 495.63 495.63 January 2009 510.79 510.79 510.79 February 2009 581.68 581.68 581.68 March 2009 779.35 779.35 779.35 April 2009 983.18 983.18 983.18 May 2009 1113.52 1113.52 1113.52 June 2009 1215.52 1215.52 1215.52 July 2009 1354.07 1354.07 1354.07 August 2009 1491.50 1491.50 1491.50 September 2009 1592.70 1592.70 1592.70 October 2009 1697.80 1697.80 1697.80 November 2009 1783.76 1783.76 1783.76 December 2009 1844.84 1844.84 1844.84 January 2010 1910.42 1910.42 1910.42 February 2010 1970.83 1970.83 1970.83 March 2010 2014.39 2014.39 2014.39 April 2010 2042.12 2042.12 2042.12 May 2010 2057.14 2057.14 2057.14 June 2010 2059.88 2059.88 2059.88 July 2010 2053.99 2053.99 2053.99 August 2010 2045.95 2045.95 2045.95 September 2010 2044.31 2044.31 2044.31 October 2010 2040.23 2040.23 2040.23 Processing math: 100% November 2010 2081.47 2081.47 2081.47 December 2010 2161.09 2161.09 2161.09 January 2011 2238.30 2238.30 2238.30 February 2011 2319.84 2319.84 2319.84 March 2011 2410.10 2410.10 2410.10 April 2011 2472.32 2472.32 2472.32 May 2011 2567.25 2567.25 2567.25 June 2011 2645.10 2645.10 2645.10 July 2011 2647.93 2647.93 2647.93 August 2011 2646.83 2646.83 2646.83 September 2011 2643.81 2643.81 2643.81 October 2011 2619.75 2619.75 2619.75 November 2011 2605.00 2605.00 2605.00 December 2011 2605.12 2605.12 2605.12 January 2012 2597.45 2597.45 2597.45 February 2012 2603.21 2603.21 2603.21 March 2012 2594.40 2594.40 2594.40 April 2012 2603.40 2603.40 2603.40 May 2012 2606.44 2606.44 2606.44 June 2012 2606.40 2606.40 2606.40 July 2012 2589.00 2589.00 2589.00 August 2012 2573.34 2573.34 2573.34 September 2012 2563.68 2563.68 2563.68 October 2012 2567.78 2567.78 2567.78 November 2012 2600.08 2600.46 2604.35 December 2012 2648.72 2649.86 2660.71 January 2013 2733.64 2735.62 2707.86 February 2013 2819.61 2822.05 2734.40 March 2013 2906.11 2908.78 2739.96 April 2013 2993.20 2995.84 2740.49 May 2013 3081.05 3083.80 2741.80 June 2013 3169.42 3172.06 2743.78 July 2013 3257.86 3215.39 2745.74 August 2013 3345.72 3240.31 2747.27 September 2013 3433.35 3246.95 2748.47 October 2013 3520.56 3248.98 2749.31 November 2013 3607.09 3250.39 2749.85 December 2013 3693.00 3251.39 2750.21 January 2014 3733.71 3252.30 2750.51 February 2014 3756.41 3253.18 2750.80 March 2014 3761.26 3254.08 2746.06 April 2014 3762.25 3254.98 2736.37 May 2014 3763.46 3255.89 2725.83 June 2014 3764.56 3256.72 2715.53 July 2014 3765.30 3257.34 2705.42 August 2014 3765.74 3257.68 2695.40 September 2014 3765.91 3257.86 2685.41 October 2014 3765.91 3257.91 2675.41 November 2014 3765.80 3257.88 2665.35 December 2014 3765.67 3257.81 2655.24 January 2015 3766.60 3258.82 2646.16 February 2015 3767.13 3259.41 2629.84 March 2015 3761.13 3254.13 2613.51 April 2015 3748.96 3243.35 2597.19 May 2015 3735.42 3231.40 2580.86 June 2015 3721.85 3219.43 2564.54 July 2015 3708.25 3207.49 2548.22 August 2015 3694.62 3195.57 2531.89 September 2015 3680.99 3183.68 2515.57 October 2015 3667.38 3171.85 2499.25 November 2015 3653.79 3160.08 2482.92 December 2015 3640.24 3148.39 2466.60 January 2016 3619.45 3129.50 2443.00 February 2016 3558.15 3071.87 2389.14 March 2016 3509.88 3027.26 2348.31 April 2016 3457.46 2978.51 2303.33 May 2016 3393.52 2918.24 2246.83 June 2016 3355.27 2883.65 2216.02 3320.34 2852.39 2188.53 Processing July 2016math: 100% August 2016 3282.33 2818.05 2157.96 September 2016 3250.83 2790.20 2133.89 October 2016 3219.62 2762.66 2110.12 November 2016 3170.83 2717.54 2068.76 December 2016 3134.44 2684.82 2039.82 January 2017 3100.84 2654.88 2013.65 February 2017 3058.05 2615.76 1978.31 March 2017 3022.57 2583.95 1950.27 April 2017 2985.29 2550.33 1920.42 May 2017 2930.36 2499.07 1872.93 June 2017 2895.39 2467.76 1845.39 July 2017 2857.67 2433.71 1820.79 August 2017 2807.69 2387.39 1783.93 September 2017 2773.14 2356.50 1762.49 October 2017 2741.18 2328.21 1743.64 November 2017 2694.25 2284.95 1709.83 December 2017 2651.10 2245.47 1679.80 January 2018 2606.07 2209.78 1647.88 February 2018 2546.64 2159.69 1601.57 March 2018 2503.06 2125.46 1584.57 April 2018 2456.67 2088.41 1592.50 May 2018 2385.13 2026.21 1600.44 June 2018 2341.42 1991.84 1608.38 July 2018 2293.43 1947.52 1616.32 August 2018 2232.39 1890.14 1624.26 September 2018 2196.94 1858.36 1632.21 October 2018 2152.12 1817.21 1640.17 November 2018 2078.74 1747.49 1648.15 December 2018 2038.03 1710.44 1656.10 January 2019 2002.84 1684.06 1664.58 February 2019 1935.65 1637.18 1673.08 March 2019 1891.35 1646.08 1681.56 April 2019 1838.43 1655.24 1690.06 May 2019 1758.19 1664.16 1698.57 June 2019 1712.79 1673.08 1707.08 July 2019 1677.10 1682.98 1715.61 August 2019 1657.06 1691.92 1724.16 September 2019 1666.14 1700.82 1732.67 October 2019 1674.15 1711.25 1741.20 November 2019 1683.27 1720.18 1749.75 December 2019 1692.39 1729.12 1758.29 January 2020 1701.47 1740.73 1767.39 February 2020 1711.15 1750.22 1776.09 March 2020 1720.82 1759.71 1784.77 April 2020 1729.97 1771.29 1793.48 May 2020 1739.66 1780.80 1802.21 June 2020 1749.34 1790.30 1810.92 July 2020 1759.05 1800.82 1819.66 August 2020 1768.74 1810.34 1828.41 September 2020 1778.40 1819.82 1837.13 October 2020 1788.67 1829.31 1845.88 November 2020 1798.36 1838.82 1854.65 December 2020 1808.05 1848.34 1863.44 January 2021 1818.53 1857.61 1872.57 February 2021 1827.87 1866.90 1881.72 March 2021 1837.19 1876.18 1890.86 April 2021 1855.33 1885.47 1900.02 May 2021 1864.68 1894.78 1909.20 June 2021 1873.99 1904.06 1918.35 July 2021 1892.79 1913.35 1927.53 August 2021 1902.14 1922.67 1936.73 September 2021 1911.48 1931.97 1945.93 October 2021 1931.01 1941.31 1955.15 November 2021 1940.40 1950.66 1964.40 December 2021 1949.73 1959.96 1973.60 January 2022 1965.53 1969.80 1983.34 February 2022 1975.42 1979.67 1993.10 March 2022 1985.34 1989.56 2002.88 1995.28 1999.47 2012.69 Processing math: 100% April 2022 May 2022 2005.25 2009.41 2022.53 June 2022 2015.24 2019.37 2032.40 July 2022 2025.26 2029.35 2042.30 August 2022 2035.30 2039.37 2052.23 September 2022 2045.36 2049.39 2062.17 October 2022 2055.45 2059.45 2072.14 November 2022 2065.56 2069.53 2082.14 December 2022 2075.69 2079.63 2092.16 January 2023 2086.39 2090.30 2102.74 February 2023 2097.12 2101.00 2113.36 March 2023 2107.86 2111.71 2123.98 April 2023 2118.64 2122.45 2134.64 May 2023 2129.43 2133.22 2145.32 June 2023 2140.26 2144.01 2156.03 July 2023 2151.12 2154.83 2166.76 August 2023 2162.00 2165.68 2177.53 September 2023 2172.90 2176.55 2188.31 October 2023 2183.83 2187.45 2199.13 November 2023 2194.79 2198.37 2209.97 December 2023 2205.77 2209.32 2220.84 January 2024 2217.31 2220.82 2232.26 February 2024 2228.87 2232.35 2243.71 March 2024 2240.46 2243.91 2255.18 April 2024 2252.08 2255.50 2266.69 May 2024 2263.73 2267.12 2278.23 June 2024 2275.42 2278.77 2289.80 July 2024 2287.13 2290.45 2301.40 August 2024 2298.87 2302.15 2313.02 September 2024 2310.64 2313.89 2324.68 October 2024 2322.44 2325.66 2336.37 November 2024 2334.28 2337.46 2348.10 December 2024 2346.13 2349.29 2359.84 Median dealer projection Period Billions of dollars September 2012 2564 October 2012 2604 November 2012 2644 2012:H2 2684 2013:H1 3194 2013:H2 3554 2014:H1 3749 2014:H2 3749 2015:H1 3689 2015:H2 3639 2016:H1 3382 2016:H2 3259 Alternative Monetary Policy Scenarios Top panel Federal Funds Rate Percent Period Alternative A Alternative B Alternative C 2012:Q4 0.13 0.13 0.13 2013:Q1 0.13 0.13 0.13 2013:Q2 0.13 0.13 0.13 2013:Q3 0.13 0.13 0.13 2013:Q4 0.13 0.13 0.13 2014:Q1 0.13 0.13 0.13 2014:Q2 0.13 0.13 0.13 2014:Q3 0.13 0.13 0.30 2014:Q4 0.13 0.13 0.70 2015:Q1 0.13 0.13 0.93 2015:Q2 0.13 0.13 1.12 2015:Q3 0.30 0.30 1.34 2015:Q4 0.70 0.70 1.60 Processing math: 100% 2016:Q1 1.22 1.22 1.90 2016:Q2 1.72 1.72 2.18 2016:Q3 2.17 2.17 2.42 2016:Q4 2.57 2.57 2.64 2017:Q1 3.17 2.94 2.85 2017:Q2 3.72 3.29 3.06 2017:Q3 4.15 3.61 3.25 2017:Q4 4.43 3.92 3.44 2018:Q1 4.56 4.16 3.57 2018:Q2 4.57 4.26 3.64 2018:Q3 4.51 4.26 3.68 2018:Q4 4.42 4.21 3.72 2019:Q1 4.33 4.16 3.75 2019:Q2 4.26 4.12 3.81 2019:Q3 4.22 4.12 3.89 2019:Q4 4.21 4.13 3.99 2020:Q1 4.21 4.16 4.10 2020:Q2 4.22 4.19 4.20 2020:Q3 4.23 4.22 4.29 2020:Q4 4.24 4.25 4.36 Middle panel Unemployment Rate Percent Period Alternative A Alternative B Alternative C 2012:Q4 8.02 8.02 8.01 2013:Q1 7.95 7.97 7.99 2013:Q2 7.92 7.95 8.03 2013:Q3 7.82 7.88 8.03 2013:Q4 7.68 7.78 8.00 2014:Q1 7.51 7.64 7.94 2014:Q2 7.33 7.49 7.87 2014:Q3 7.13 7.33 7.78 2014:Q4 6.94 7.16 7.68 2015:Q1 6.68 6.92 7.50 2015:Q2 6.43 6.68 7.32 2015:Q3 6.18 6.44 7.13 2015:Q4 5.94 6.21 6.93 2016:Q1 5.71 5.98 6.72 2016:Q2 5.52 5.78 6.53 2016:Q3 5.36 5.62 6.35 2016:Q4 5.24 5.49 6.19 2017:Q1 5.14 5.38 6.04 2017:Q2 5.07 5.28 5.90 2017:Q3 5.01 5.20 5.76 2017:Q4 4.96 5.12 5.62 2018:Q1 4.99 5.13 5.56 2018:Q2 5.03 5.15 5.52 2018:Q3 5.09 5.18 5.50 2018:Q4 5.14 5.22 5.48 2019:Q1 5.19 5.26 5.46 2019:Q2 5.23 5.28 5.44 2019:Q3 5.25 5.30 5.41 2019:Q4 5.26 5.30 5.38 2020:Q1 5.27 5.29 5.34 2020:Q2 5.27 5.28 5.31 2020:Q3 5.26 5.27 5.28 2020:Q4 5.26 5.26 5.25 Bottom panel PCE Inflation Four-quarter average Percent Period Alternative A Alternative B Alternative C 2012:Q4 1.79 1.75 1.66 2013:Q1 1.42 1.36 1.20 2013:Q2 1.64 1.55 1.31 Processing math: 100% 2013:Q3 1.59 1.47 1.15 2013:Q4 1.38 1.26 0.94 2014:Q1 1.50 1.38 1.04 2014:Q2 1.50 1.37 1.01 2014:Q3 1.50 1.36 1.00 2014:Q4 1.52 1.39 1.01 2015:Q1 1.55 1.41 1.03 2015:Q2 1.58 1.43 1.05 2015:Q3 1.61 1.46 1.08 2015:Q4 1.64 1.48 1.10 2016:Q1 1.69 1.54 1.16 2016:Q2 1.77 1.61 1.23 2016:Q3 1.84 1.69 1.31 2016:Q4 1.93 1.78 1.41 2017:Q1 1.99 1.85 1.48 2017:Q2 2.04 1.90 1.55 2017:Q3 2.07 1.94 1.61 2017:Q4 2.10 1.97 1.67 2018:Q1 2.11 1.99 1.71 2018:Q2 2.11 2.01 1.76 2018:Q3 2.11 2.02 1.80 2018:Q4 2.10 2.02 1.84 2019:Q1 2.08 2.02 1.87 2019:Q2 2.07 2.02 1.91 2019:Q3 2.05 2.01 1.94 2019:Q4 2.03 2.01 1.97 2020:Q1 2.02 2.01 2.00 2020:Q2 2.01 2.00 2.02 2020:Q3 2.00 2.00 2.05 2020:Q4 1.99 2.00 2.07 September FOMC Statement 1. Information received since the Federal Open Market Committee met in August suggests that economic activity has continued to expand at a moderate pace in recent months. Growth in employment has been slow, and the unemployment rate remains elevated. Household spending has continued to advance, but growth in business fixed investment appears to have slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation has been subdued, although the prices of some key commodities have increased recently. Longer-term inflation expectations have remained stable. 2. Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee is concerned that, without further policy accommodation, economic growth might not be strong enough to generate sustained improvement in labor market conditions. Furthermore, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely would run at or below its 2 percent objective. 3. To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee agreed today to increase policy accommodation by purchasing additional agency mortgage-backed securities at a pace of $40 billion per month. The Committee also will continue through the end of the year its program to extend the average maturity of its holdings of securities as announced in June, and it is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgagebacked securities in agency mortgage-backed securities. These actions, which together will increase the Committee's holdings of longer-term securities by about $85 billion each month through the end of the year, should put downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative. 4. The Committee will closely monitor incoming information on economic and financial developments in coming months. If the outlook for the labor market does not improve substantially, the Committee will continue its purchases of agency mortgage-backed securities, undertake additional asset purchases, and employ its other policy tools as appropriate until such improvement is achieved in a context of price stability. In determining the size, pace, and composition of its asset purchases, the Committee will, as always, take appropriate account of the likely efficacy and costs of such purchases. 5. To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least through mid-2015. [Note: In the October FOMC Statement Alternatives, emphasis (strike-through) indicates strike-through text in the original document, and strong emphasis (bold) indicates bold red underlined text in the original document.] October FOMC Statement--Alternative A 1. Information received since the Federal Open Market Committee met in August September suggests that economic activity has continued to expand at a moderate pace in recent months. Growth in employment has been slow, and the unemployment rate remains elevated. Household spending has continued to advance, but growth in business fixed investment appears to have has slowed. The housing sector has shown some Processing math: 100% further signs of improvement, albeit from a depressed level. Inflation has been subdued, although the prices of some key commodities have increased recently picked up somewhat, reflecting higher energy prices. Longer-term inflation expectations have remained stable. 2. Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee is remains concerned that, without further policy accommodation, economic growth might not be strong enough to generate sustained improvement in labor market conditions. Furthermore, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely would run at or below its 2 percent objective. 3. To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee agreed today to increase policy accommodation by continue purchasing additional agency mortgage-backed securities at a pace of $40 billion per month after the end of the year. The Committee also will continue through the end of the year agreed to purchase longer-term Treasury securities at a pace of $45 billion per month after its program to extend the average maturity of its holdings of Treasury securities as announced in June, and it ends in December. The Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities. These actions, which together will increase the Committee's holdings of longer-term securities by about $85 billion each month through the end of the year, should put downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative. 4. The Committee will closely monitor incoming information on economic and financial developments in coming months. If the outlook for the labor market does not improve substantially, The Committee will continue its purchases of agency mortgage-backed securities and Treasury securities, undertake additional asset purchases, and employ its other policy tools as appropriate, until such improvement is achieved it judges that data on economic activity and labor market conditions are consistent with an outlook for sustained progress toward maximum employment in a context of price stability. In determining the size, pace, and composition of its asset purchases, the Committee will, as always, take appropriate account of the likely efficacy and costs of such purchases. 5. To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least through mid-2015. October FOMC Statement--Alternative B 1. Information received since the Federal Open Market Committee met in August September suggests that economic activity has continued to expand at a moderate pace in recent months. Growth in employment has been slow, and the unemployment rate remains elevated. Household spending has continued to advanced a bit more quickly, but growth in business fixed investment appears to have has slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation has been subdued, although the prices of some key commodities have increased recently picked up somewhat, reflecting higher energy prices. Longer-term inflation expectations have remained stable. 2. Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee is remains concerned that, without further sufficient policy accommodation, economic growth might not be strong enough to generate sustained improvement in labor market conditions. Furthermore, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely would run at or below its 2 percent objective. 3. To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee agreed today to increase policy accommodation by will continue purchasing additional agency mortgage-backed securities at a pace of $40 billion per month. The Committee also will continue through the end of the year its program to extend the average maturity of its holdings of Treasury securities as announced in June, and it is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities. These actions, which together will increase the Committee's holdings of longer-term securities by about $85 billion each month through the end of the year, should put downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative. 4. The Committee will closely monitor incoming information on economic and financial developments in coming months. If the outlook for the labor market does not improve substantially, the Committee will continue its purchases of agency mortgage-backed securities, undertake additional asset purchases, and employ its other policy tools as appropriate until such improvement is achieved in a context of price stability. In determining the size, pace, and composition of its asset purchases, the Committee will, as always, take appropriate account of the likely efficacy and costs of such purchases. 5. To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least through mid-2015. October FOMC Statement--Alternative C 1. Information received since the Federal Open Market Committee met in August September suggests that economic activity has continued to expand at a moderate pace in recent months despite the adverse effects of the drought on agricultural production. Growth in Employment has increased further been slow, and the unemployment rate, remains though still elevated, has declined. Household spending Private domestic demand has continued to advance, but growth in business fixed investment appears to have slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation has been subdued, although the prices of some key commodities have increased recently picked up, mainly reflecting higher energy prices; however, longer-term inflation expectations have remained stable. 2. Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee is concerned that, without further policy accommodation, economic growth might not be strong enough to generate sustained improvement in labor market conditions expects economic growth to be moderate over coming quarters and then to pick up gradually, supported in part by the highly accommodative stance of monetary policy, and consequently anticipates that the unemployment rate will continue to decline toward levels that the Committee judges consistent with its dual mandate. Furthermore However, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely would will run at or Processingbelow math: 100% near its 2 percent objective. 3. To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee agreed today to increase policy accommodation by continue purchasing additional agency mortgage-backed securities at a pace of $40 billion per month through the end of the year. The Committee also will continue through the end of the year its program to extend the average maturity of its holdings of Treasury securities as announced in June, and it is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities. These actions, which together will increase the Committee's holdings of longer-term securities by about $85 billion each month through the end of the year, should put downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative. 4. The Committee will closely monitor incoming information on economic and financial developments in coming months. If the outlook for the labor market does not improve substantially, the Committee will continue its purchases of agency mortgage-backed securities, undertake additional asset purchases, and employ its other policy tools as appropriate until such improvement is achieved and is prepared to take further action as needed to promote sustained improvement in labor market conditions in a context of price stability. In determining the size, pace, and composition of its asset purchases, the Committee will, as always, take appropriate account of the likely efficacy and costs of such purchases. 5. To support continued progress toward maximum employment and price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for [ a considerable | some ] time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least through mid-2015 [ late 2014 | mid-2014 | late 2013 ]. OR 5′. To support continued progress toward maximum employment and in a context of price stability, the Committee expects that a highly accommodative stance of monetary policy will remain appropriate for [ a considerable | some ] time after the economic recovery strengthens. In particular, the Committee also decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that exceptionally low levels for the federal funds rate are likely to be warranted at least through mid-2015. As rates of resource utilization rise toward levels consistent with maximum employment, the Committee will need to make monetary policy less accommodative in order to foster sustained economic expansion with inflation at its longer-run objective. In determining the appropriate time to increase its target for the federal funds rate, the Committee will consider a range of factors, including actual and projected labor market conditions, the medium-term outlook for inflation, and the risks to the achievement of the Committee's objectives. September 2012 Directive The Federal Open Market Committee seeks monetary and financial conditions that will foster price stability and promote sustainable growth in output. To further its long-run objectives, the Committee seeks conditions in reserve markets consistent with federal funds trading in a range from 0 to 1/4 percent. The Committee directs the Desk to continue the maturity extension program it announced in June to purchase Treasury securities with remaining maturities of 6 years to 30 years with a total face value of about $267 billion by the end of December 2012, and to sell or redeem Treasury securities with remaining maturities of approximately 3 years or less with a total face value of about $267 billion. For the duration of this program, the Committee directs the Desk to suspend its policy of rolling over maturing Treasury securities into new issues. The Committee directs the Desk to maintain its existing policy of reinvesting principal payments on all agency debt and agency mortgage-backed securities in the System Open Market Account in agency mortgagebacked securities. The Desk is also directed to begin purchasing agency mortgage-backed securities at a pace of about $40 billion per month. The Committee directs the Desk to engage in dollar roll and coupon swap transactions as necessary to facilitate settlement of the Federal Reserve's agency MBS transactions. The System Open Market Account Manager and the Secretary will keep the Committee informed of ongoing developments regarding the System's balance sheet that could affect the attainment over time of the Committee's objectives of maximum employment and price stability. [Note: In the October 2012 Directive Alternatives, emphasis (strike-through) indicates strike-through text in the original document, and strong emphasis (bold) indicates bold red underlined text in the original document.] October 2012 Directive--Alternative A The Federal Open Market Committee seeks monetary and financial conditions that will foster price stability and promote sustainable growth in output. To further its long-run objectives, the Committee seeks conditions in reserve markets consistent with federal funds trading in a range from 0 to 1/4 percent. The Committee directs the Desk to continue the maturity extension program it announced in June to purchase Treasury securities with remaining maturities of 6 years to 30 years with a total face value of about $267 billion by the end of December 2012, and to sell or redeem Treasury securities with remaining maturities of approximately 3 years or less with a total face value of about $267 billion. For the duration of this program, the Committee directs the Desk to suspend its policy of rolling over maturing Treasury securities into new issues. The Committee directs the Desk to maintain its existing policy of reinvesting principal payments on all agency debt and agency mortgage-backed securities in the System Open Market Account in agency mortgagebacked securities. The Desk is also directed to begin continue purchasing agency mortgage-backed securities at a pace of about $40 billion per month. The Committee directs the Desk to engage in dollar roll and coupon swap transactions as necessary to facilitate settlement of the Federal Reserve's agency MBS transactions. The System Open Market Account Manager and the Secretary will keep the Committee informed of ongoing developments regarding the System's balance sheet that could affect the attainment over time of the Committee's objectives of maximum employment and price stability. October 2012 Directive--Alternative B The Federal Open Market Committee seeks monetary and financial conditions that will foster price stability and promote sustainable growth in output. To further its long-run objectives, the Committee seeks conditions in reserve markets consistent with federal funds trading in a range from 0 to 1/4 percent. The Committee directs the Desk to continue the maturity extension program it announced in June to purchase Treasury securities with remaining maturities of 6 years to 30 years with a total face value of about $267 billion by the end of December 2012, and to sell or redeem Treasury securities with remaining maturities of approximately 3 years or less with a total face value of about $267 billion. For the duration of this program, the Committee directs the Desk to suspend its policy of rolling over maturing Treasury securities into new issues. The Committee directs the Desk to maintain its existing policy of reinvesting principal payments on all agency debt and agency mortgage-backed securities in the System Open Market Account in agency mortgagebacked securities. The Desk is also directed to begin continue purchasing agency mortgage-backed securities at a pace of about $40 billion per month. The Committee directs the Desk to engage in dollar roll and coupon swap transactions as necessary to facilitate settlement of the Federal Reserve's Processing math: 100% agency MBS transactions. The System Open Market Account Manager and the Secretary will keep the Committee informed of ongoing developments regarding the System's balance sheet that could affect the attainment over time of the Committee's objectives of maximum employment and price stability. October 2012 Directive--Alternative C The Federal Open Market Committee seeks monetary and financial conditions that will foster price stability and promote sustainable growth in output. To further its long-run objectives, the Committee seeks conditions in reserve markets consistent with federal funds trading in a range from 0 to 1/4 percent. The Committee directs the Desk to continue the maturity extension program it announced in June to purchase Treasury securities with remaining maturities of 6 years to 30 years with a total face value of about $267 billion by the end of December 2012, and to sell or redeem Treasury securities with remaining maturities of approximately 3 years or less with a total face value of about $267 billion. For the duration of this program, the Committee directs the Desk to suspend its policy of rolling over maturing Treasury securities into new issues. The Committee directs the Desk to maintain its existing policy of reinvesting principal payments on all agency debt and agency mortgage-backed securities in the System Open Market Account in agency mortgagebacked securities. The Desk is also directed to begin continue purchasing agency mortgage-backed securities at a pace of about $40 billion per month until the end of 2012. The Committee directs the Desk to engage in dollar roll and coupon swap transactions as necessary to facilitate settlement of the Federal Reserve's agency MBS transactions. The System Open Market Account Manager and the Secretary will keep the Committee informed of ongoing developments regarding the System's balance sheet that could affect the attainment over time of the Committee's objectives of maximum employment and price stability. Appendix 5: Materials used by Mr. Rudd Material for Staff Presentation on the Experimental Consensus Forecast Jeremy Rudd October 24, 2012 Class I FOMC - Restricted Controlled (FR) Exhibit 1 Review of the Consensus Forecast Initiative Top panel Key lessons from the consensus forecast exercises A consensus forecast would necessarily go beyond the Committee's post-meeting policy statement (as it is currently designed) by outlining the Committee's intentions over the next several years. Reaching a consensus on the appropriate medium- and longer-term policy path could be extremely difficult. Presenting a consensus medium- and longer-term policy path could lead to communications challenges. Exercises also revealed some important production-related challenges. Impossible to guarantee the production of a forecast that incorporates the Committee's policy decision in time for the Chairman's press conference. Participants appear to be unclear about how they should determine whether they support the proposed consensus outlook. Bottom-left panel Avenues for further exploration? Explore the possibility of formally voting on the medium- and longer-term policy path and incorporating the resulting decision into the post-meeting statement. Examine the feasibility of conditioning the consensus forecast on market expectations for policy. Publish projections under a set of "bracketing" policy alternatives. Bottom-right panel Possible enhancements to the SEP Include medians of the projections of participants who voted for or otherwise supported the policy action. Distinguish voters from non voters in the SEP. Publish the full matrix of SEP submissions, with or without attribution. Exhibit 2 Questions for Discussion 1. Questions pertaining to the development of an FOMC consensus forecast If the Committee decides to continue with the consensus forecast initiative, it would have to arrive at shared views on several issues. We seek your opinions on the following: A. Given the limited information provided in FOMC statements about the likely future paths of the the federal funds rate and the balance sheet, how should those paths on which a consensus forecast would be conditioned be selected from among the wide range of paths that are consistent with the FOMC statement? B. Should a consensus forecast be conditioned on the policy decision taken at the meeting, even though this would require that publication of the Processing math: 100% consensus forecast be pushed back to some significant period of time after the meeting? Or should the forecast be conditioned on a policy assumption that would allow publication immediately following the meeting, but does not necessarily reflect the policy decision taken at the meeting? C. Does asking participants whether they broadly endorse the forecast (perhaps subject to specific qualifications) or, alternatively, have essentially different views, provide sufficient clarity about the support for the consensus forecast? Does support for the policy decision taken at the meeting (i.e., voting for the policy decision--or, for nonvoting participants, indicating support for the decision) imply endorsement of the consensus forecast, and vice versa? D. Would the Committee endorse producing a consensus forecast at each FOMC meeting? 2. Questions pertaining to possible enhancements of the SEP If the Committee were to pursue enhancements of the SEP instead of a consensus forecast, which of the following steps would you support? A. Publishing the median projection of voters supporting the statement. B. Publishing the scatterplot of the combinations of unemployment and inflation expected to prevail at the time of first increase of the federal funds rate. C. Publishing information about whether a particular projection was made by a current voting member. D. Publishing additional information related to balance sheet actions (such as the time and/or conditions at which asset purchases are expected to end, or a path for the size of the balance sheet). E. Releasing with the SEP the full matrix of multivariate projections, with or without the names associated with individual multivariate forecasts. F. Circulating among FOMC participants individual SEP submissions with the names of participants attached. G. Releasing additional information, and if so, what and when. 3. Assessment of the direction of the consensus forecast initiative In your view, should the Committee aim to publish a consensus forecast, including a narrative explaining its economic rationale and a diversity-of-views section, or should it aim to enhance the SEP? With respect to your preferred outcome, what other types of exercises should the Committee undertake before it released new information to the public? In what timeframe do you expect the Committee would be ready to go public? Last Update: January 5, 2018 Processing math: 100%
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