Board of Governors of the Federal Reserve System

Figure 1: Federal Funds Rate and 10-year Treasury Yield

Left Panel:
This figure plots the quarterly federal funds rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016Q1 at 0.37 percent and ends in 2030Q4 at 2.52 percent. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022Q2 to 2030Q4. The bottom of the 70-percent interval begins at 0.75 percent and ends at 0.13 percent. The top of the 70-percent interval starts at 0.75 percent and ends at 4.88 percent. The bottom of the 90-percent interval starts at 0.75 percent and ends at 0.13 percent. The top of the 90-percent interval begins at 0.75 percent and ends at 6.13 percent.

Right Panel:
This figure plots the quarterly 10-year Treasury yield paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016Q1 at 1.97 and ends in 2030Q4 at 3.48 percent. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022Q2 to 2030Q4. The bottom of the 70-percent interval begins at 2.90 percent and ends at 2.31 percent. The top of the 70-percent interval starts at 3.14 percent and ends at 4.96 percent. The bottom of the 90-percent interval starts at 2.84 percent and ends at 1.62 percent. The top of the 90-percent interval begins at 3.24 percent and ends at 5.79 percent.

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Figure 2: SOMA Holdings and Reserve Balances & ON RRP

Left Panel:
This figure plots projected monthly securities holdings in the SOMA portfolio in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in January 2016 at $4,236.84 billion and ends in December 2030 at $7,643.61 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from June 2022 to December 2030. The bottom of the 70-percent interval begins at $8,463.36 billion and ends at $7,189.73 billion. The top of the 70-percent interval starts at $8,463.97 billion and ends at $8,067.98 billion. The bottom of the 90-percent interval starts at $8,463.18 billion and ends at $6,653.75 billion. The top of the 90-percent interval begins at $8,464.16 billion and ends at $8,281.47 billion.

Right Panel:
This figure plots projected monthly combined amounts of reserve balances and overnight reverse repurchase agreements in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in January 2016 at $2,488.57 billion and ends in December 2030 at $2,787.16 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from June 2022 to December 2030. The bottom of the 70-percent interval begins at $5,054.85 billion and ends at $2,660.65 billion. The top of the 70-percent interval starts at $5,058.54 billion and ends at $2,947.79 billion. The bottom of the 90-percent interval starts at $5,053.83 billion and ends at $2,491.72 billion. The top of the 90-percent interval begins at $5,059.84 billion and ends at $3,024.13 billion.

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Figure 3: Interest Income and Interest Expense

Left Panel:
This figure plots projected annual interest income in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016 at $111.11 billion and ends in 2030 at $207.70 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022 to 2030. The bottom of the 70-percent interval begins at $150.12 billion and ends at $156.86 billion. The top of the 70-percent interval starts at $150.63 billion and ends at $269.46 billion. The bottom of the 90-percent interval starts at $150.01 billion and ends at $126.88 billion. The top of the 90-percent interval begins at $150.86 billion and ends at $299.83 billion.

Right Panel:
This figure plots projected annual interest expense in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016 at $13.17 billion and ends in 2030 at $86.60 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022 to 2030. The bottom of the 70-percent interval begins at $76.74 billion and ends at $5.47 billion. The top of the 70-percent interval starts at $82.43 billion and ends at $173.57 billion. The bottom of the 90-percent interval starts at $74.55 billion and ends at $4.78 billion. The top of the 90-percent interval begins at $83.95 billion and ends at $222.44 billion.

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Figure 4: Remittances to Treasury and Deferred Asset

Left Panel:
This figure plots projected annual remittances to Treasury in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016 at $92.19 billion and ends in 2030 at $110.90 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022 to 2030. The bottom of the 70-percent interval begins at $68.74 billion and ends at $44.38 billion. The top of the 70-percent interval starts at $70.41 billion and ends at $163.23 billion. The bottom of the 90-percent interval starts at $68.29 billion and ends at $0 billion. The top of the 90-percent interval begins at $70.98 billion and ends at $189.75 billion.

Right Panel:
This figure plots projected year-end deferred assets in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016 at $0 billion, rises to $58.00 billion in 2024, and ends in 2030 at $0 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022 to 2030. The bottom of the 70-percent interval begins at $7.09 billion, rises to $32.62 billion in 2023, and ends at $0 billion. The top of the 70-percent interval starts at $11.30 billion, rises to $127.52 billion in 2025, and ends at $0 billion. The bottom of the 90-percent interval starts at $5.44 billion, rises to $12.52 billion in 2023, and ends at $0 billion. The top of the 90-percent interval begins at $12.47 billion, rises to $183.58 billion in 2026, and ends at $13.93 billion.

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Figure 5: Unrealized Gains/Losses

This figure plots projected year-end unrealized gain/loss positions of SOMA in billions of dollars for various interest rate paths from the stochastic simulations and the June 2022 baseline path. The baseline path is depicted as a solid black line and begins in 2016 at $72.23 billion and ends in 2030 at -$272.31 billion. The 70- and 90-percent confidence intervals are shown as bands of light-blue and dark-blue, respectively, from 2022 to 2030. The bottom of the 70-percent interval begins at -$893.55 billion and ends at -$717.35 billion. The top of the 70-percent interval starts at -$464.70 billion and ends at $135.50 billion. The bottom of the 90-percent interval starts at -$1,015.82 billion and ends at -$953.31 billion. The top of the 90-percent interval begins at -$358.18 billion and ends at $379.05 billion.

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