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Projected Evolution of the SOMA Portfolio and the 10-Year Treasury Term Premium Effect

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Abstract

An earlier Feds note used staff models to provide a projection for the evolution of the SOMA portfolio and an estimate of the associated term premium effect (TPE) on the 10-year Treasury yield. That analysis relied on economic, financial, and monetary policy assumptions as of April 2017. With the Federal Open Market Committee (FOMC) announcing a change in its reinvestment policy in its September 2017 post-meeting statement, this note provides updated projections.

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  • Brian Bonis & Jane E. Ihrig & Min Wei, 2017. "Projected Evolution of the SOMA Portfolio and the 10-Year Treasury Term Premium Effect," FEDS Notes 2017-09-22, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2017-09-22
    DOI: 10.17016/2380-7172.2081
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/projected-evolution-of-the-soma-portfolio-and-the-10-year-treasury-term-premium-effect-20170922.htm
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    Cited by:

    1. John C. Williams, 2017. "Interest Rates and the “New Normal”," Speech 182, Federal Reserve Bank of San Francisco.
    2. Luchelle Soobyah & Daan Steenkamp, 2020. "Term premium and rate expectation estimates from the South African yield curve," Working Papers 9998, South African Reserve Bank.
    3. Martin M. Andreasen & Kasper Joergensen & Andrew C. Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," Finance and Economics Discussion Series 2019-040, Board of Governors of the Federal Reserve System (U.S.).
    4. Christopher J. Neely, 2019. "What to Expect from Quantitative Tightening," Economic Synopses, Federal Reserve Bank of St. Louis, issue 8, April.
    5. John C. Williams, 2017. "Interest Rates and the \\"New Normal\\"," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    6. Martin Møller Andreasen & Kasper Jørgensen & Andrew Meldrum, 2019. "Bond Risk Premiums at the Zero Lower Bound," CREATES Research Papers 2019-10, Department of Economics and Business Economics, Aarhus University.

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