March 17 18, 2009 Authorized for Public Release. Appendix 1: Materials used by Ms. Mosser
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- Aubrie Snow
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1 March 17 18, 29 Authorized for Public Release 222 of 266 Appendix 1: Materials used by Ms. Mosser
2 11 March 17 18, 29 Authorized for Public Release 223 of 266 Index to 1=8/1/8 (1) Global Equities August 1, 28 March 13, 29 Page 1 of 15 Index to 1=8/1/ DJ Euro Stoxx Topix, Japan EM Index, Morgan Stanley S&P /1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg Index to 1 =8/1/ Preferred Equity Index Common Equity Index S&P 5 2 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg, Merrill Lynch (2) Financial Equity Indices* August 1, 28 March 13, 29 *Merrill Lynch preferred equity index heavily weighted towards financials; common equity index is S&P Financials Index 4 Index to 1 =8/1/
3 March 17 18, 29 Authorized for Public Release 224 of 266 Class II FOMC Restricted FR Page 2 of JPMorgan Chase Citigroup Bank of America Wells Fargo (3) Commercial Bank CDS Spreads August 1, 28 March 13, 29 Oct.13: Euro Area Announcement Oct.14: Treasury Capital Purchase Program, FDIC Debt Guarantee, and further details of Federal Reserve CPFF Program Announced Sept.14: Lehman Brothers Holdings files for bankruptcy Morgan Stanley Goldman Sachs GE Prudential MetLife Sept.14: Lehman Brothers Holdings files for bankruptcy & Bank of America announced purchse of Merrill Lynch 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Markit (4) European Bank CDS Spreads August 1, 28 March 13, Barclays 4 RBS Oct.13: Euro Area Announcement HSBC Oct.14: Treasury Capital Purchase Program, FDIC Debt Guarantee, 35 Deutsche and further details of Federal Reserve CPFF Program Announced 3 Societe Generale UBS 25 CSFB Sept.14: Lehman Brothers Holdings files for bankruptcy & Bank of America announced purchse of Merrill Lynch 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg (5) Other Financial CDS Spreads August 1, 28 March 13, 29 Sept.22: Goldman and Morgan Stanley become bank holding companies Oct.13: Euro Area Announcement Oct.14: Treasury Capital Purchase Program, FDIC Debt Guarantee, and further details of Federal Reserve CPFF Program Announced 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Markit
4 March 17 18, 29 Authorized for Public Release 225 of 266 Class II FOMC Restricted FR (6) Central Bank Policy Action European Central Bank Bank of England Bank of Japan Swiss National Bank Bank of Canada Page 3 of 15 Target Policy Rate A Year Ago 4.% 5.75%.5 % 2.25%-3.25% 3.5% Current Liquidity Programs 1.5%.5% Expansion of Counterparties Broadening of Eligible Collateral Providing Term Liquidity.1 %..75% Target.25%.5% Broader Intermediation (Credit Easing) _ CP Purchases Corp. Bond Purchases CP Purchases Corp. Bond Purchases Equity Purchases from Banks Corporate Bond Purchases Potential in April Monetary Base Expansion (Quantiative Easing) _ Purchase of U.K. Gilts _ Purchases FX EUR-CHF Potential in April Percent (7) Currency Depreciation vs US Dollar January 1, 29 March 13, Euro Yen GBP CAD AUD Mex. Peso Source: Bloomberg Index to 1= 1/1/ (8) Swiss Franc FX Rates January 1, 29 March 13, 29 USD/CHF Eur/CHF Index to 1= 1/1/ /1/9 1/15/9 1/29/9 2/12/9 2/26/9 3/12/9 Source: Bloomberg Won
5 Class II FOMC Restricted FR Page 4 of 15 Percent March 17 18, 29 Authorized for Public Release 226 of Year 5-Year 1-Year 3-Year (9) UK Gilt Yields January 1, 28 March 13, 29 1/1/8 3/1/8 5/1/8 7/1/8 9/1/8 11/1/8 1/1/9 3/1/9 Source: Bloomberg (1) US vs UK Term Spreads January 1, 28 March 13, 29 Percent Year Treasury Note Yield Spread to Fed Funds 1-Year UK Gilt Yield Spread to Bank Rate /1/8 3/1/8 5/1/8 7/1/8 9/1/8 11/1/8 1/1/9 3/1/9 Source: Bloomberg (11) US vs UK Swap Spreads January 1, 28 March 13, US 1-Year Swap Spread UK 1-Year Swap Spread -25 1/1/8 4/1/8 7/1/8 1/1/8 1/1/9 Source: Bloomberg -25
6 March 17 18, 29 Authorized for Public Release 227 of 266 Class II FOMC Restricted FR Page 5 of Sept.14: Lehman Brothers files for bankruptcy (12) Mortgage and Agency Yields and Spreads August 1, 28 March 13, 29 MBS CC Spread to Blended 5- and 1- Year Treasuries (RHS) Fannie 5Y Debt Spread to TSY Yield (LHS) 3Y Fixed Conforming Mortgage Rate (RHS) Source: Bloomberg, Lehman Brothers/Barclays Jan.5: First Agency-MBS Purchase Nov.25: Agency Coupon and Agency-MBS Purchases Announced 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 (13) 1-Month Dollar Roll Spread to Agency-MBS RP August 1, 28 March 13, 29 Percent Mar.2: First Fed dollar roll purchase Nov.25: Agency Coupon and Agency-MBS Purchases Announced 5-5 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg (14) 3-Month Trailing Standard Deviation of the MBS Current Coupon Yield Percent January 5, 29 March 2, Percent /5/9 1/12/9 1/19/9 1/26/9 2/2/9 2/9/9 2/16/9 2/23/9 3/2/9 Source: Bloomberg
7 March 17 18, 29 Authorized for Public Release 228 of 266 Class II FOMC Restricted FR Page 6 of 15 3 (15) Spread between Fannie Current Coupon and Blended 1- and 5-Year Treasury Yields January 1988 February NBER Recession Blended Spread /1/88 1/1/92 1/1/96 1/1/ 1/1/4 1/1/8 Source: Bloomberg (16) Spread between 2- and 1-Year Treasury Note Yields 35 January 1988 February NBER Recession -15 Spread between 2- and Year Yields 1/1/88 1/1/92 1/1/96 1/1/ 1/1/4 1/1/8 Source: Haver Analytics, Bloomberg (17) MBS Program and Issuance MBS Purchases MBS New MBS Issuance TSY Coupon YTD Issuance YTD Issuance Remainder of 29 Estimates Source: FRBNY, MBS Program Investment Managers
8 Class II FOMC Restricted FR Page 7 of 15 Source: Dealer Policy Survey Percent Percent March 17 18, 29 Authorized for Public Release 229 of 266 (18) Distribution of Expected Policy Target Rate Among Primary Dealers Prior to March 18 FOMC Meeting Survey Response -size indicates freq March Average Forecast Market Rates as of 3/9 Q1 29 Q2 29 Q3 29 Q4 29 Q1 21 Q2 21 Q3 21 Q Aug-7 12-Sep-8 17-Dec-8 31-Dec-8 23-Jan-9 11-Mar-9 Source: Federal Reserve Bank of New York (19) Market Rates Corresponding to Liquidity Facilities July 1, 28 March 9, Sept.14: Lehman Brothers Holdings 4.5 files for bankruptcy 4. Year End M GC Treasury Repo 1M Agency-MBS Repo 1. 1M USD Libor.5 3M USD Libor 3M Financial CP. 7/1/8 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Federal Reserve Bank of New York (2) Federal Reserve Balance Sheet Assets August 27 March 29 Other Lending Other Assets PDCF PCF AMLF CPFF FX Swaps TAF AGY-MBS Holdings AGY Debt Holdings All Repos Outright TSY Holdings Percent
9 Class II FOMC Restricted FR Week 1-Month 3-Month (21) U.S. Libor OIS Spreads July 1, 27 March 13, 29 Sept.14: Lehman Brothers Holdings files for bankruptcy Oct.13: Euro Area Announcement Oct.14: Treasury Capital Purchase Program, FDIC Debt Guarantee, and further details of Federal Reserve CPFF Program Announced Page 8 of 15 7/1/7 9/1/7 11/1/7 1/1/8 3/1/8 5/1/8 7/1/8 9/1/8 11/1/8 1/1/9 3/1/9 Source: Bloomberg (22) Three-Month Commercial Paper Rates Percent August 1, 28 March 13, 29 Percent 8 8 AA-Rated Non-Financial CP Oct.7: CPFF announced (effective Oct.27) 7 AA-Rated Financial CP 7 AA-Rated ABCP 6 A2/P2 Non-Financial CP /1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Federal Reserve Board Percent March 17 18, 29 Authorized for Public Release 23 of 266 Sept.14: Lehman Brothers Holdings files for bankruptcy Sept.19: AM LF announced 2-Year 5-Year 1-Year 3-Year Source: Bloomberg APPENDIX: Reference Exhibits Oct.21: MMIFF announced (23) Treasury Yield Curve Steepens Modestly August 1, 27 March 13, 29 8/1/7 1/1/7 12/1/7 2/1/8 4/1/8 6/1/8 8/1/8 1/1/8 12/1/8 2/1/ Percent
10 Class II FOMC Restricted FR Page 9 of (24) Asset-Backed Security Spreads Narrow After Year End August 1, 28 March 1, 29 1 Sept.14: Lehman Brothers Holdings files for bankruptcy 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: JPMorgan Chase Dollar March 17 18, 29 Authorized for Public Release 231 of Year Auto (AAA-Rated) 5-Year Credit Card (AAA-Rated) 3-Year FFELP Student Loan (AAA-Rated) (25) Commercial Mortgage-Backed and Leveraged Loan Prices Deteriorate August 1, 28 March 9, CMBX Series 2 (26) 6 CMBX Series 4 (27) LCDX 55 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Lehman Brothers/Barclays, JPMorgan Chase Dec.19: TALF announced Dollar
11 Index to 1 on 8/1/8 14 March 17 18, 29 Authorized for Public Release 232 of 266 Class II FOMC Restricted FR Page 1 of 15 (26) Commercial Bank Equity Prices August 1, 28 March 13, 29 Index to 1 on 8/1/ JPMorgan Chase Citigroup Bank of America 2 Wells Fargo S&P 5 Sept.14: Lehman Brothers Holdings files for bankruptcy 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg Index to 1 on 8/1/8 14 (27) European Bank Equity Prices August 1, 28 March 13, Index to 1 on 8/1/ Barclays RBS 4 HSBC Deutsche Societe Generale 2 UBS Credit Suisse Sept.14: Lehman Brothers Holdings files for bankruptcy 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg Index to 1 on 8/1/ (28) Other Financial Equity Prices August 1, 28 March 13, 29 Sept.14: Lehman Brothers Holdings files for bankruptcy Index to 1 on 8/1/ Morgan Stanley 4 Goldman Sachs S&P 5 2 Prudential MetLife GE Sept.22: Goldman and Morgan Stanley become bank holding companies 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg 6 4 2
12 Class II FOMC Restricted FR Page 11 of Jan 9-Jan 15-Jan 22-Jan 28-Jan 3-Feb 9-Feb 13-Feb 19-Feb 25-Feb 3-Mar 9-Mar * Excluding dollar roll purchases and sales Source: Federal Reserve Bank of New York Index=1 on 1/1/ March 17 18, 29 Authorized for Public Release 233 of 266 Mortgage Application Index (LHS) (29) Cumulative Purchases of Agency-MBS* January 5, 29 March 12, 29 2-Mar 3-Mar 4-Mar 5-Mar 6-Mar 9-Mar 1-Mar 11-Mar 12-Mar Source: Federal Reserve Bank of New York (3) Dollar Roll Purchases and Sales March 2, 29 March 12, 29 (31) Mortgage Refinance Applications January 1, 198 March 6, 29 Mortgage Refinance Application Index (RHS) Doll Roll Sale Dollar Roll Purchase 1/4/9 1/4/93 1/4/96 1/4/99 1/4/2 1/4/5 1/4/8 Source: Bloomberg Index=1 on 1/1/
13 March 17 18, 29 Authorized for Public Release 234 of 266 Class II FOMC Restricted FR Page 12 of Norges Bank Danmark NB BOK Riksbank RBA BOJ BOE SNB ECB (32) Total Outstanding FX Swap Draw-Downs Decline December 1, 27 March 11, Year End 1 12/1/7 2/1/8 4/1/8 6/1/8 8/1/8 1/1/8 12/1/8 2/1/9 Source: Federal Reserve Bank of New York Forward 84-Day 28-Day (33) Term Auction Facility Loans Outstanding December 2, 27 March 12, 29 Year End /2/7 2/2/8 4/2/8 6/2/8 8/2/8 1/2/8 12/2/8 2/2/9 Source: Federal Reserve Bank of New York (34) Demand at TAF Auctions December 2, 27 March 12, Amount Bid (RHS) Auction Size (RHS) Stop-Out Rate Spread to Minimum Bid Rate (LHS) 84-Day Term Forward Settling Auctions 12/2/7 2/28/8 5/8/8 7/17/8 9/11/8 11/6/8 12/23/8 2/26/9 Source: Federal Reserve Board
14 Class II FOMC Restricted FR Page 13 of CP FDIC Guaranteed CP ABCP (35) Amount of CPFF Loans Outstanding October 27, 28 March 12, 29 1/27/8 11/11/8 11/26/8 12/11/8 12/26/8 1/1/9 1/25/9 2/9/9 2/24/9 3/11/9 Source: Federal Reserve Bank of New York $Billions March 17 18, 29 Authorized for Public Release 235 of 266 Source: imoneynet (36) Assets in Prime Money Market Funds August 1, 28 March 11, 29 Sept.14: Lehman Brothers Holdings files for bankruptcy Sept.19: AMLF announced Jan.5: MMIFF Oct.7: CPFF announced (effective Oct.27) eligibility expanded Oct.21: MMIFF Prime (LHS) 16 Treasury Only (RHS) Treasury & Repo (RHS) 14 Treasury & Agency (RHS) 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/ $Billions Percent (37) Spread between Jumbo and Conforming Mortgage Rates Remains Wide January 1, 28 March 13, 29 Sept.7: Fannie M ae and Freddie M ac enter conservatorship Sept.14: Lehman Brothers Holdings files for bankruptcy Dec.3: Agency-MBS FAQ Released Nov.25: Agency Coupon and Agency-M BS Purchases Announced Conforming Mortgage Rates (LHS) 5. Jumbo Mortgage Rates (LHS) 4.5 Spread (RHS) 1/1/8 4/1/8 7/1/8 1/1/8 1/1/9 Source: Bloomberg Jan.5: First Agency-MBS Purchase 6 3
15 March 17 18, 29 Authorized for Public Release 236 of 266 Class II FOMC Restricted FR Page 14 of 15 Index to 1 = 8/15/ (38) Bank Equity August 15, 28 March 13, 29 Index to 1 = 8/15/ BoA Trust Preferred 2 Bank of America Common BoA Preferred 8/15/8 9/15/8 1/15/8 11/15/8 12/15/8 1/15/9 2/15/9 Source: Bloomberg (39) Bank Equity Index to 1 = 8/15/8 August 15, 28 March 13, Citigroup Common Citigroup Preferred Citigroup Trust Preferred 4 2 Index to 1 = 8/15/ /15/8 9/15/8 1/15/8 11/15/8 12/15/8 1/15/9 2/15/9 Source: Bloomberg 6 4 2
16 Class II FOMC Restricted FR Page 15 of Marginal Lending EONIA (4) ECB Rates v EONIA January 1, 28 March 1, 29 Main Refinancing Deposit Facility 1/1/8 3/1/8 5/1/8 7/1/8 9/1/8 11/1/8 1/1/9 3/1/9 Source: Bloomberg Primary Mortgage Rate March 17 18, 29 Authorized for Public Release 237 of 266 Percent (41) Distribution of Expected Policy Target Rate Among Primary Dealers Prior to January 28 FOMC Meeting 4. Survey Response -size indicates freq 3.5 January Average Forecast 3. Market Rates as of 1/ Q1 29 Q2 29 Q3 29 Q4 29 Q1 21 Q2 21 Q3 21 Q4 21 Source: Dealer Policy Survey (42) Guidelines for MBS Purchases 5.25 Push More 5 Steady Less 4.75 Stop Nominal MBS/Treasury Spread Notes: Primary Mortgage Rate - Bankrate 3-yr Mortgage rate (Natl Avg) ;Nominal MBS/Treas Spread - FN CC - Avg (1-yr UST, 5-yr UST) Source: Bloomberg, Bankrate
17 March 17 18, 29 Authorized for Public Release 238 of 266 Appendix 2: Materials used by Messrs. Gagnon and Reifschneider
18 March 17 18, 29 Authorized for Public Release 239 of 266 Class II FOMC Restricted (FR) Material for Briefing on Large-Scale Asset Purchases Joseph Gagnon David Reifschneider March 17, 29
19 March 17 18, 29 Authorized for Public Release 24 of 266 Class II FOMC - Restricted (FR) Exhibit Effects of Large-Scale Asset Purchases (LSAPs) Supply Effects on Bond Yields FOMC memo (Cabana, et al., December 5) reviewed economic literature. - $5 billion purchase of long-term Treasuries could reduce 1-year Treasury yield 2 to 1 basis points. - Also lower long-term private yields. Public and private long-term yields historically have been highly correlated. - In recent months, these correlations have declined. Yield Effects of Central Bank Communications* United States U.K. Nov. 25 Dec. 1-2 Dec Jan Mar. 5-6 Treasury 1-Y Swap 1-Y FNMA 1-Y FNMA MBS 3-Y Corp. AA 1-Y Corp. BBB 1-Y *Changes in basis points from previous close. Mortgage Market Rates Weekly Percent Mortgage MBS Treasury 3 2 Jan. Mar. May July Sept. Nov. Jan. Mar. May July Sept. Nov. Jan. Mar *Variables are 3-year conforming fixed mortgage rate, 3-year current coupon MBS yield, and 7.5 year off-the-run Treasury yield. 1
20 March 17 18, 29 Authorized for Public Release 241 of 266
21 March 17 18, 29 Authorized for Public Release 242 of 266
22 March 17 18, 29 Authorized for Public Release 243 of 266 Class II FOMC - Restricted (FR) Exhibit LSAP Risks LSAPs and Monetary Policy Flexibility Marketable assets do not constrain policy stance. - Asset purchases stimulate activity. - Asset sales restrain activity. Outright sales could lead to a financial loss. Use as collateral to drain reserves still under development. LSAPs and Fiscal Revenue LSAPs significantly increase Federal Reserve net income. - MBS yield 4-1/4%. - Reserves pay 1/4%. LSAPs increase Federal Reserve leverage. LSAPs increase maturity mismatch.
23 March 17 18, 29 Authorized for Public Release 244 of 266 Class II FOMC - Restricted (FR) Exhibit 5 (Last) Strategies Assets under Consideration Treasuries, agency debt, and agency MBS. MBS may have greater macroeconomic effect. Including Treasuries and agency debt may be a prudent strategy Mortgage Market Percentage points March 16, 199=1 Weekly 12 1 Holding Down Mortgage Spread Purchase new-production MBS Primary-secondary spread 6 Sell put options on forward MBS MBA refi index 4 2 Communicate that mortgage rates are likely to remain low for several months..1. Sept. Oct. Nov. Dec. Jan. Feb. Mar
24 March 17 18, 29 Authorized for Public Release 245 of 266 Appendix 3: Materials used by Mr. Hilton
25 March 17 18, 29 Authorized for Public Release 246 of 266 Class II FOMC Restricted FR Page 1 of 5 (1) Federal Reserve Balance Sheet Assets August 27 March 29 8-Aug-7 12-Sep-8 31-Dec-8 23-Jan-9 12-Mar-9 Source: Federal Reserve Bank of New York Other Lending Other Assets PCF+PDCF AMLF CPFF FX S waps TAF Outright Agency Holdings All Repos Outright TSY Holdings (2) Balance Sheet Assets by Borrower Type January 1, 28 March 12, 29 Type 4: Agency MBS, agency debt, agency discount notes Type 3: Lending to systematically important institutions Type 2: Short-term lending through liquidity facilities (TAF, FX swaps, CPFF, single-tranche RPs, AMLF, MMIFF, PCF, PDCF) Type 1: Treasury outright holdings and other assets /1/8 4/1/8 7/1/8 1/1/8 1/1/9 Source: Federal Reserve Bank of New York (3) Three-Month Funding Rates Percent 5. January 1, 28 March 12, Year-End LIBOR Year End. 8/1/8 9/1/8 1/1/8 11/1/8 12/1/8 1/1/9 2/1/9 3/1/9 Source: Bloomberg OIS AA-Financial CP Agency MBS RP PCF Percent
26 March 17 18, 29 Authorized for Public Release 247 of 266 Class II FOMC Restricted FR Page 2 of Norges Bank Danmark NB BOK Riksbank RBA BOJ BOE SNB ECB (4) Total Outstanding FX Swap Draw-Downs Decline December 1, 27 March 11, Year End 1 12/1/7 2/1/8 4/1/8 6/1/8 8/1/8 1/1/8 12/1/8 2/1/9 Source: Federal Reserve Bank of New York Source: Federal Reserve Bank of New York (5) Amount of CPFF Loans Outstanding October 27, 28 March 12, Year End 5 1/27/8 11/11/8 11/26/8 12/11/8 12/26/8 1/1/9 1/25/9 2/9/9 2/24/9 3/11/ CP FDIC Guaranteed CP ABCP TOP (Schedule 2) Schedule 2 Schedule 1 (6) TSLF Loans Outstanding March 28, 28 March 12, 29 Year End 25 3/28/8 5/28/8 7/28/8 9/28/8 11/28/8 1/28/9 Source: Federal Reserve Bank of New York
27 Class II FOMC Restricted FR Page 3 of March 17 18, 29 Authorized for Public Release 248 of 266 Forward 84-Day 28-Day (7) Term Auction Facility Loans Outstanding December 2, 27 March 13, /2/7 2/2/8 4/2/8 6/2/8 8/2/8 1/2/8 12/2/8 2/2/9 Source: Federal Reserve Bank of New York (8) AMLF Loans Outstanding September 22, 28 March 12, 29 Year End Year End /22/8 1/22/8 11/22/8 12/22/8 1/22/9 2/22/9 Source: Federal Reserve Bank of New York PDCF PCF (9) PCF and PDCF Borrowing January 1, 28 March 12, 29 Sept.14: Lehman Brothers Holdings files for bankruptcy Year End 1/1/8 2/19/8 4/8/8 5/27/8 7/15/8 9/2/8 1/21/8 12/9/8 1/27/9 Source: Federal Reserve Bank of New York
28 March 17 18, 29 Authorized for Public Release 249 of 266 Class II FOMC Restricted FR Page 4 of (1) Baseline Scenario Liquidity Facilities (CPFF/AMLF/PDCF/TAF/Swaps/etc.) Additional Outright Purchase Programs (Agency, MBS, LT Tsys) TALF Systemic Lending (AIG/Bear) Other Assets Mar-9 YE Source: Federal Reserve Bank of New York (11) Optimistic Scenario Liquidity Facilities (CPFF/AMLF/PDCF/TAF/Swaps/etc.) Additional Outright Purchase Programs (Agency, MBS, LT Tsys) TALF Systemic Lending (AIG/Bear) Other Assets Mar-9 YE Source: Federal Reserve Bank of New York (12) Stress Scenario Liquidity Facilities (CPFF/AMLF/PDCF/TAF/Swaps/etc.) Additional Outright Purchase Programs (Agency, MBS, LT Tsys) TALF Systemic Lending (AIG/Bear) Other Assets Mar-9 YE Source: Federal Reserve Bank of New York
29 March 17 18, 29 Authorized for Public Release 25 of 266 Class II FOMC Restricted FR Page 5 of (13) Liabilities Stress Scenario Total Reserves Baseline Scenario Total Reserves Optimistic Scenario Total Reserves All Other Liabilities Federal Reserve Notes Mar-9 YE Source: Federal Reserve Bank of New York
30 March 17 18, 29 Authorized for Public Release 251 of 266 Appendix 4: Materials used by Mr. Stockton
31 March 17 18, 29 Authorized for Public Release 252 of 266 Recent Changes in Consumer Price Indexes (Percent change) 12-month change 2 3-month change Feb. Feb. Nov. Feb. Item Weights Nov. Dec. Jan. Feb. Annual rate Monthly rate Total CPI Food Meats, poultry, fish, and eggs Fruits and vegetables Other Energy Motor Fuel Heating oil Natural gas Electricity CPI excluding food and energy Goods ex. food and energy Nondurables ex. food and energy Apparel Tobacco Other nondurables Durables New vehicles New cars New trucks Used cars and trucks Computers Audio/Video Equipment Other Durables Services excluding energy Rent of shelter Owners equivalent rent Rent of primary residence Lodging away from home Services ex. energy and shelter Medical services Tuition and other school fees Air fares Other services Memo: Chained CPI n.a. n.a. n.a. n.a. n.a. n.a. All items less food and energy n.a. n.a. n.a. n.a. n.a. n.a. 1. Relative importance weights for December 28, which are based on expenditure weights. For the chained CPI, the expenditure weights are shown. 2. Not seasonally adjusted. Source: Bureau of Labor Statistics.
32 March 17 18, 29 Authorized for Public Release 253 of 266 Appendix 5: Materials used by Mr. Madigan
33 March 17 18, 29 Authorized for Public Release 254 of 266 Class I FOMC Restricted Controlled (FR) Material for FOMC Briefing on Monetary Policy Alternatives Brian Madigan March 18, 29
34 March 17 18, 29 Authorized for Public Release 255 of 266 January FOMC Statement The Federal Open Market Committee decided today to keep its target range for the federal funds rate at to ¼ percent. The Committee continues to anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. Information received since the Committee met in December suggests that the economy has weakened further. Industrial production, housing starts, and employment have continued to decline steeply, as consumers and businesses have cut back spending. Furthermore, global demand appears to be slowing significantly. Conditions in some financial markets have improved, in part reflecting government efforts to provide liquidity and strengthen financial institutions; nevertheless, credit conditions for households and firms remain extremely tight. The Committee anticipates that a gradual recovery in economic activity will begin later this year, but the downside risks to that outlook are significant. In light of the declines in the prices of energy and other commodities in recent months and the prospects for considerable economic slack, the Committee expects that inflation pressures will remain subdued in coming quarters. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. The Federal Reserve will employ all available tools to promote the resumption of sustainable economic growth and to preserve price stability. The focus of the Committee's policy is to support the functioning of financial markets and stimulate the economy through open market operations and other measures that are likely to keep the size of the Federal Reserve's balance sheet at a high level. The Federal Reserve continues to purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and it stands ready to expand the quantity of such purchases and the duration of the purchase program as conditions warrant. The Committee also is prepared to purchase longer-term Treasury securities if evolving circumstances indicate that such transactions would be particularly effective in improving conditions in private credit markets. The Federal Reserve will be implementing the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses. The Committee will continue to monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and to assess whether expansions of or modifications to lending facilities would serve to further support credit markets and economic activity and help to preserve price stability.
35 March 17 18, 29 Authorized for Public Release 256 of Alternative A 1. Information received since the Federal Open Market Committee met in January indicates that the economy is undergoing a severe contraction and that the outlook for the next several quarters has worsened. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. U.S. exports have slumped as a number of major trading partners have also fallen into recession. Although the near-term economic outlook is weak, the Committee anticipates that policy actions to stabilize financial markets and institutions, together with fiscal and monetary stimulus, will contribute to a gradual resumption of sustainable economic growth. 2. In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. 3. In these circumstances, the Federal Reserve will employ all available tools to promote economic recovery and to preserve price stability. The Committee will maintain the target range for the federal funds rate at to ¼ percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period. To provide greater support to mortgage lending and housing markets, the Committee decided today to increase the size of the Federal Reserve s balance sheet further by purchasing an additional $5 billion of agency mortgage-backed securities, bringing its total purchases of these securities to $1 trillion this year; at least half of this total will be acquired by June. The Committee also decided to boost its purchases of agency debt securities; it now anticipates purchasing $2 billion of such issues this year. Moreover, to help improve conditions in private credit markets, the Committee decided to purchase $3 billion of longer-term Treasury securities over the next six months. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will continue to monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments, and it will be assessing whether a faster pace of asset purchases would be helpful in improving credit market conditions and supporting economic activity.
36 March 17 18, 29 Authorized for Public Release 257 of Alternative B 1. Information received since the Federal Open Market Committee met in January indicates that the economy is undergoing a severe contraction and that the outlook for the next several quarters has worsened. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. U.S. exports have slumped as a number of major trading partners have also fallen into recession. Although the near-term economic outlook is weak, the Committee anticipates that policy actions to stabilize financial markets and institutions, together with fiscal and monetary stimulus, will contribute to a gradual resumption of sustainable economic growth. 2. In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. 3. In these circumstances, the Federal Reserve will employ all available tools to promote economic recovery and to preserve price stability. The Committee will maintain the target range for the federal funds rate at to ¼ percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. To provide greater support to mortgage lending and housing markets, the Committee decided today to increase the size of the Federal Reserve s balance sheet further by purchasing an additional $75 billion of agency mortgage-backed securities, bringing its total purchases of these securities to $1.25 trillion this year, and to increase its purchases of agency debt this year by $1 billion to a total of $2 billion. The Committee also is prepared to purchase longer-term Treasury securities if evolving circumstances indicate that such transactions would be particularly effective in improving conditions in private credit markets. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will continue to monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and to assess whether lending facilities should be expanded or modified to provide further support to credit markets and economic activity and to help preserve price stability.
37 March 17 18, 29 Authorized for Public Release 258 of Alternative C 1. The Federal Open Market Committee decided today to keep its target range for the federal funds rate at to ¼ percent. The Committee continues to anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. 2. Information received since the Committee met in January indicates that the economy has slowed further. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. Furthermore, global demand appears to be slowing significantly. Conditions in some financial markets have improved, in part reflecting government efforts to provide liquidity and strengthen financial institutions. The Committee anticipates that a gradual recovery in economic activity will begin later this year, but the downside risks to that outlook are significant. 3. In light of the declines in the prices of energy and other commodities that occurred last fall and the prospects for considerable economic slack, the Committee expects that inflation will remain subdued in coming quarters before returning to rates that best foster economic growth and price stability in the longer term. 4. The Federal Reserve will employ all available tools to promote the resumption of sustainable economic growth and to preserve price stability. The Federal Reserve continues to purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and it stands ready to expand the quantity of such purchases and the duration of the purchase program as conditions warrant. The Committee also is prepared to purchase longer-term Treasury securities if evolving circumstances indicate that such transactions would be particularly effective in improving conditions in private credit markets. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will continue to monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and to assess whether lending facilities should be expanded or modified to provide further support to credit markets and economic activity and to help preserve price stability.
38 March 17 18, 29 Authorized for Public Release 259 of Alternative A' 1. The Federal Open Market Committee decided today to increase the size of the Federal Reserve s balance sheet further by purchasing $3 billion of longer-term Treasury securities over the next six months and by acquiring an additional $5 billion of agency mortgagebacked securities (MBS) and $1 billion of agency debt securities this year. These steps will bring the Committee s total purchases of agency MBS this year to $1 trillion, at least half of which will be acquired by June, and its total purchases of agency debt to $2 billion. The Committee anticipates that these actions will help improve conditions in private credit markets and will provide greater support to mortgage lending and housing markets. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will maintain the target range for the federal funds rate at to ¼ percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. 2. This decision reflects information received since the Committee met in January that indicates that the economy is undergoing a severe contraction and that the outlook for the next several quarters has worsened. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. U.S. exports have slumped as a number of major trading partners have also fallen into recession. Although the near-term economic outlook is weak, the Committee anticipates that policy actions to stabilize financial markets and institutions, together with fiscal and monetary stimulus, will contribute to a gradual resumption of sustainable economic growth. 3. In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. 4. The Federal Reserve will continue to employ all available tools to promote economic recovery and to preserve price stability. The Committee will monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and, and it will be assessing whether a faster pace of asset purchases would be helpful in improving credit market conditions and supporting economic activity.
39 March 17 18, 29 Authorized for Public Release 26 of Alternative B' 1. The Federal Open Market Committee decided today to increase the size of the Federal Reserve s balance sheet further by purchasing an additional $75 billion of agency mortgagebacked securities and an additional $1 billion of agency debt. These actions will bring the Committee s total purchases of these securities over the course of this year to $1.25 trillion and $2 billion, respectively. The Committee anticipates that this action will provide greater support to mortgage lending and housing markets. The Committee also is prepared to purchase longer-term Treasury securities if evolving circumstances indicate that such transactions would be particularly effective in improving conditions in private credit markets. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will maintain the target range for the federal funds rate at to ¼ percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. 2. This decision reflects information received since the Committee met in January that indicates that the economy is undergoing a severe contraction and that the outlook for the next several quarters has worsened. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. U.S. exports have slumped as a number of major trading partners have also fallen into recession. Although the near-term economic outlook is weak, the Committee anticipates that policy actions to stabilize financial markets and institutions, together with fiscal and monetary stimulus, will contribute to a gradual resumption of sustainable economic growth. 3. In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. 4. The Federal Reserve will continue to employ all available tools to promote economic recovery and to preserve price stability. The Committee will monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and will assess whether lending facilities should be expanded or modified to provide further support to credit markets and economic activity and to help preserve price stability.
40 March 17 18, 29 Authorized for Public Release 261 of Alternative C' 1. The Federal Open Market Committee today reaffirmed that the focus of its policy is to support the functioning of financial markets and to stimulate the economy through measures that are likely to keep the size of the Federal Reserve's balance sheet at a high level. The Federal Reserve continues to purchase large quantities of agency debt and mortgage-backed securities to provide support to the mortgage and housing markets, and it stands ready to expand the quantity of such purchases and the duration of the purchase program as conditions warrant. The Committee also is prepared to purchase longer-term Treasury securities if evolving circumstances indicate that such transactions would be particularly effective in improving conditions in private credit markets. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will maintain the target range for the federal funds rate at to ¼ percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. 2. Information received since the Committee met in January indicates that the economy has slowed further. Job losses, declining equity and housing wealth, and tight credit conditions have weighed on consumer sentiment and spending. Weaker sales prospects and difficulties in obtaining credit have led businesses to cut back on inventories and fixed investment. Furthermore, global demand appears to be slowing significantly. Conditions in some financial markets have improved, in part reflecting government efforts to provide liquidity and strengthen financial institutions. The Committee anticipates that a gradual recovery in economic activity will begin later this year, but the downside risks to that outlook are significant. 3. In light of the declines in the prices of energy and other commodities that occurred last fall and the prospects for considerable economic slack, the Committee expects that inflation will remain subdued in coming quarters before returning to rates that best foster economic growth and price stability in the longer term. 4. The Federal Reserve will continue to employ all available tools to promote economic recovery and to preserve price stability. The Committee will monitor carefully the size and composition of the Federal Reserve's balance sheet in light of evolving financial market developments and will assess whether lending facilities should be expanded or modified to provide further support to credit markets and economic activity and to help preserve price stability.
41 March 17 18, 29 Authorized for Public Release 262 of Directive Wording Alternative A/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 to ¼ percent. The Committee directs the Desk to purchase GSE debt, agency-guaranteed MBS, and longer-term Treasury securities during the intermeeting period with the aim of providing support to the mortgage and housing markets private credit markets and economic activity. The timing and pace of these purchases should depend on conditions in the markets for such securities and on a broader assessment of private credit market conditions in primary mortgage markets and the housing sector. The Desk is expected to purchase up to $2 billion in housing-related GSE debt by the end of the second quarter of this year. The Desk is expected to purchase at least $5 billion in agency-guaranteed MBS by the end of the second quarter of this year and is expected to purchase up to $1 trillion of these securities by the end of this year. The Committee also directs the Desk to purchase long-term Treasury securities during the intermeeting period. By the end of this year, the Desk is expected to purchase up to $3 billion of long-term Treasury securities, with the aim of improving conditions in private credit markets. 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.
42 March 17 18, 29 Authorized for Public Release 263 of Directive Wording Alternative B/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 to ¼ percent. The Committee directs the Desk to purchase GSE debt and agency-guaranteed MBS during the intermeeting period with the aim of providing support to the mortgage and housing markets. The timing and pace of these purchases should depend on conditions in the markets for such securities and on a broader assessment of conditions in primary mortgage markets and the housing sector. The Desk is expected to purchase up to $2 billion in housing-related GSE debt by the end of the second quarter of this year. The Desk is expected to purchase at least $5 billion in agency-guaranteed MBS by the end of the second quarter of this year and is expected to purchase up to $1.25 trillion of these securities by the end of this year. 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.
43 March 17 18, 29 Authorized for Public Release 264 of Directive Wording Alternative C/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 to ¼ percent. The Committee directs the Desk to purchase GSE debt and agency-guaranteed MBS during the intermeeting period with the aim of providing support to the mortgage and housing markets. The timing and pace of these purchases should depend on conditions in the markets for such securities and on a broader assessment of conditions in primary mortgage markets and the housing sector. By the end of the second quarter of this year, the Desk is expected to purchase up to $1 billion in housing-related GSE debt and up to $5 billion in agency-guaranteed MBS. 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.
44 March 17 18, 29 Authorized for Public Release 265 of 266 Appendix 6: Materials used by Messrs. Plosser and Bullard
45 March 17 18, 29 Authorized for Public Release 266 of 266 Bullard/Plosser Statement Alternative B'' 1. The Federal Open Market Committee decided today to continue to increase the Federal Reserve balance sheet through the purchase of agency MBS and Treasury securities. The Committee expects the growth rate of the MBS and Treasury components of the balance sheet combined to average about 1 percent per month. The Committee will carefully monitor macroeconomic and financial conditions and adjust this rate of expansion as warranted. 2. The Federal Reserve has launched the Term Asset-Backed Securities Loan Facility to facilitate the extension of credit to households and small businesses and anticipates that the range of eligible collateral for this facility is likely to be expanded to include other financial assets. The Committee will maintain the target range for the federal funds rate at to 1/4 percent and anticipates that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for some time. 3. The decision reflects the Committee s view that the economy is undergoing a severe contraction. Although the near-term outlook is weak, the Committee anticipates that market forces and policy actions will contribute to a gradual resumption of sustainable economic growth. 4. In light of increasing economic slack here and abroad, the Committee expects that inflation will remain subdued. Moreover, the Committee sees some risk that inflation could persist for a time below rates that best foster economic growth and price stability in the longer term. 5. The Federal Reserve will continue to employ all available tools to promote economic recovery and to preserve price stability. The Committee will monitor carefully the size and composition of the Federal Reserve s balance sheet in light of evolving financial market developments and will assess whether lending facilities should be expanded or modified to provide further support to credit markets and economic activity and to help preserve price stability.
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