feds treasury purchasessales as of june 6 2012

7/31/2019 Feds Treasury PurchasesSales as of June 6 2012

1/10


2/10

Barclays | Feds Treasury Purchases/Sales as of 6/6/2012

Maturity Bucket 02/15/2036 05/15/2042 6/6/2012 5/31/2012 5/24/2012

Maturity Bucket (yrs) 20.0-30.0y 02/36 - 05/42 02/36 - 05/42 02/36 - 05/42

1,703 1,833 1,8405,807 4,564 5,319

29.3% 40.2% 34.6%

0.0% 0.0% 0.0%

6.6% 40.8% 21.0%

CUSIP Security Description

Option Adjusted

Spread (Tsy

Curve)

Amount

Outstanding($m

n)

SOMA Holdings

Before Operation

(% of

outstanding)

Maximum

Allowed

Purchase

Amount (% of

outstanding)

Maximum

Allowed

Purchase

Amount ($mn)

Par Amt

Accepted

($mn)

Par Amt

Accepted

($mn)

Par Amt

Accepted

($mn)

912810FT0 T 4 1/2 02/15/36 0.6 26,397 32% 5.0% 1,320 28 25 38

912810PT9 T 4 3/4 02/15/37 0.6 16,589 51% 2.5% 415 20 4 2912810PU6 T 5 05/15/37 0.4 21,413 60% 1.0% 214 10 108 202

912810PW2 T 4 3/8 02/15/38 0.4 22,525 41% 5.0% 1,126 NA NA NA

912810PX0 T 4 1/2 05/15/38 0.2 25,500 35% 5.0% 1,275 NA NA NA

912810QA9 T 3 1/2 02/15/39 0.5 25,909 11% 24.1% 6,241 36 11 0

912810QB7 T 4 1/4 05/15/39 0.5 38,779 37% 5.0% 1,939 75 17 16

912810QC5 T 4 1/2 08/15/39 0.5 41,431 49% 2.5% 1,036 20 18 0

912810QD3 T 4 3/8 11/15/39 0.5 44,564 26% 8.7% 3,864 0 22 6

912810QE1 T 4 5/8 02/15/40 0.3 44,902 33% 5.0% 2,245 1,110 38 18

912810QH4 T 4 3/8 05/15/40 0.5 43,473 22% 12.7% 5,499 45 203 171

912810QK7 T 3 7/8 08/15/40 0.5 43,213 34% 5.0% 2,161 50 98 161

912810QL5 T 4 1/4 11/15/40 0.5 42,903 22% 13.4% 5,737 90 272 147

912810QN1 T 4 3/4 02/15/41 0.4 43,005 41% 5.0% 2,150 65 120 311912810QQ4 T 4 3/8 05/15/41 0.5 42,000 28% 6.7% 2,834 90 272 591

912810QS0 T 3 3/4 08/15/41 0.6 42,489 8% 26.6% 11,301 64 625 177

912810QT8 T 3 1/8 11/15/41 0.6 44,623 6% 28.7% 12,814 0 0 0

912810QU5 T 3 1/8 02/15/42 0.6 47,219 11% 23.8% 11,232 0 0 0

912810QW1 T 3 05/15/42 -0.1 17,001 6% 29.1% 4,949 NA 0 0

* Shaded securities are the cheapest five versus our Treasury spline, where maximum allowed purchase amount is greater than $250mn

The values are NA for securities that were either excluded from the operation or were not in the maturity bucket at the time of the operation

Source: NY Federal Reserve, Barclays Research

Today's Purchase Operation and the Previous Two Operations in This Bucket

Operation Date :

Maturity/Call Date Range :

Total Par Amt Accepted (mlns) :Total Par Amt Submitted (mlns) :

Acceptance Ratio :

OTR purchased as % of total purchased :

Share of Top 5 Cheapest Securities* :


3/10


Maturity Bucket 12/15/2013 02/28/2014 5/10/2012 4/18/2012 3/9/2012

Maturity Bucket (yrs) Bucket 3 (~1.6y) 10/13 - 01/14 07/13 - 01/14 08/13 - 01/14

8,636 8,630 8,63045,952 58,692 51,507

5.3 6.8 6.0

17.1% 13.5% 13.8%

3.1% 1.7% 2.0%

CUSIP Security Description

Amount

Outstanding($mn)

SOMA Holdings

Before Operation

($mn)

SOMA Holdings

Before Operation

(% of

outstanding) Amt Sold ($mn) Amt Sold ($mn) Amt Sold ($mn)

912828PL8 T 0 3/4 12/15/13 32,468 7,523 23% 1,483 5 3

912828JW1 T 1 1/2 12/31/13 30,044 1,474 5% 630 1,164 3912828RW2 T 0 1/8 12/31/13 36,133 0 0% NA NA NA

912828PQ7 T 1 01/15/14 32,701 10,025 31% 1,225 894 271

912828JZ4 T 1 3/4 01/31/14 31,273 3,597 12% 901 536 184

912828SB7 T 0 1/4 01/31/14 35,659 18 0% 7 30 2

912828QH6 T 1 1/4 02/15/14 32,735 10,417 32% NA NA NA

912828CA6 T 4 02/15/14 28,081 0 0% NA NA NA

912828KF6 T 1 7/8 02/28/14 33,714 6,415 19% NA NA NA

912828SG6 T 0 1/4 02/28/14 35,497 184 1% NA NA NA

The values are NA for securities that were either excluded from the operation or were not in the maturity bucket at the time of the operation

Source: NY Federal Reserve, Barclays Research

Previous Three Operations in the Tenor of the Next Operation

Operation Date :

Maturity/Call Date Range :

Total Par Amt Sold (mlns) :Total Par Amt Submitted (mlns) :

Submitted/Sold Ratio :

Total Sold as % of Holdings :

Total Sold as % of Outstanding :


4/10


Fed Operations by Security

SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased

in QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchases

/Sales in

MEP

Current Fed

Holdings

SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased in

QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchase/

Sales in

MEP

Current Fed

Holdings

T 1 7/8 06/15/12 35,370 8,499 0 8,499 0 -3,839 4,660 24.0% 0.0% 24.0% 0.0% -10.9% 13.2%

T 0 5 /8 0 6/ 30 /1 2 4 1, 19 1 1,191 0 1,191 0 -1,191 0 2.9% 0.0% 2.9% 0.0% -2.9% 0.0%

T 4 7/8 06/30/12 15,903 5,564 9 5,573 0 -4,563 1,010 35.0% 0.1% 35.0% 0.0% -28.7% 6.4%

T 1 1 /2 0 7/ 15 /1 2 3 5, 59 2 6,671 0 6,671 0 -6,670 1 18.7% 0.0% 18.7% 0.0% -18.7% 0.0%

T 0 5/8 07/31/12 39,248 1,248 277 1,525 0 -1,524 1 3.2% 0.7% 3.9% 0.0% -3.9% 0.0%

T 4 5 /8 0 7/ 31 /1 2 1 5, 80 4 4,597 0 4,597 0 -2,958 1,639 29.1% 0.0% 29.1% 0.0% -18.7% 10.4%

T 1 3/4 08/15/12 42,715 10,889 110 10,999 0 -4,536 6,463 25.5% 0.3% 25.7% 0.0% -10.6% 15.1%

T 4 3 /8 0 8/ 15 /1 2 1 9, 64 8 3,543 0 3,543 0 -1,799 1,744 18.0% 0.0% 18.0% 0.0% -9.2% 8.9%

T 0 3/8 08/31/12 37,906 906 1,582 2,488 0 -2,467 21 2.4% 4.2% 6.6% 0.0% -6.5% 0.1%

T 4 1 /8 0 8/ 31 /1 2 1 6, 09 1 4,356 1 4,357 0 -822 3,535 27.1% 0.0% 27.1% 0.0% -5.1% 22.0%

T 1 3/8 09/15/12 38,082 3,595 802 4,397 0 -4,397 0 9.4% 2.1% 11.5% 0.0% -11.5% 0.0%

T 0 3 /8 0 9/ 30 /1 2 3 7, 12 91,134 0 1,134

0 -1,1340 3.1% 0.0% 3.1% 0.0% -3.1% 0.0%

T 4 1/4 09/30/12 15,874 3,668 0 3,668 0 -2,843 825 23.1% 0.0% 23.1% 0.0% -17.9% 5.2%

T 1 3 /8 1 0/ 15 /1 2 3 9, 30 6 305 632 937 0 -937 0 0.8% 1.6% 2.4% 0.0% -2.4% 0.0%

T 0 3/8 10/31/12 35,717 717 52 769 0 -769 0 2.0% 0.1% 2.2% 0.0% -2.2% 0.0%

T 3 7 /8 1 0/ 31 /1 2 1 5, 51 0 3,470 0 3,470 0 -3,469 1 22.4% 0.0% 22.4% 0.0% -22.4% 0.0%

T 1 3/8 11/15/12 44,975 5,104 1,237 6,341 0 -6,341 0 11.3% 2.8% 14.1% 0.0% -14.1% 0.0%

T 4 11/15/12 18,113 1,055 0 1,055 0 -1,054 1 5.8% 0.0% 5.8% 0.0% -5.8% 0.0%

T 0 1/2 11/30/12 36,382 1,379 2,532 3,911 0 -3,911 0 3.8% 7.0% 10.8% 0.0% -10.7% 0.0%

T 3 3 /8 1 1/ 30 /1 2 1 5, 95 3 3,554 0 3,554 0 -3,454 100 22.3% 0.0% 22.3% 0.0% -21.7% 0.6%

T 1 1/8 12/15/12 40,217 1,298 2,123 3,421 0 -3,421 0 3.2% 5.3% 8.5% 0.0% -8.5% 0.0%

T 0 5 /8 1 2/ 31 /1 2 3 6, 75 5 1,754 600 2,354 0 -2,354 0 4.8% 1.6% 6.4% 0.0% -6.4% 0.0%

T 3 5/8 12/31/12 15,657 2,999 0 2,999 0 -2,618 381 19.2% 0.0% 19.2% 0.0% -16.7% 2.4%

T 1 3 /8 0 1/ 15 /1 3 4 1, 55 2 2,297 2,360 4,657 0 -4,157 500 5.5% 5.7% 11.2% 0.0% -10.0% 1.2%

T 0 5/8 01/31/13 35,698 697 2,368 3,065 0 -3,065 0 2.0% 6.6% 8.6% 0.0% -8.6% 0.0%

T 2 7 /8 0 1/ 31 /1 3 1 5, 70 0 1,902 78 1,980 0 -1,979 1 12.1% 0.5% 12.6% 0.0% -12.6% 0.0%

T 1 3/8 02/15/13 44,497 5,721 3,072 8,793 0 -5,572 3,221 12.9% 6.9% 19.8% 0.0% -12.5% 7.2%

T 3 7 /8 0 2/ 15 /1 3 1 9, 49 8 3,135 25 3,160 0 -609 2,551 16.1% 0.1% 16.2% 0.0% -3.1% 13.1%

T 0 5/8 02/28/13 36,923 1,923 5,306 7,229 0 -7,223 6 5.2% 14.4% 19.6% 0.0% -19.6% 0.0%

T 2 3 /4 0 2/ 28 /1 3 1 7, 78 4 3,239 216 3,455 0 -1,774 1,681 18.2% 1.2% 19.4% 0.0% -10.0% 9.5%

T 1 3/8 03/15/13 40,473 2,511 1,294 3,805 0 -3,805 0 6.2% 3.2% 9.4% 0.0% -9.4% 0.0%

T 0 3 /4 0 3/ 31 /1 3 3 6, 57 0 1,570 150 1,720 0 -1,719 1 4.3% 0.4% 4.7% 0.0% -4.7% 0.0%

T 2 1/2 03/31/13 20,571 3,807 101 3,908 0 -2,776 1,132 18.5% 0.5% 19.0% 0.0% -13.5% 5.5%

T 1 3 /4 0 4/ 15 /1 3 4 2, 92 8 7,444 2,865 10,309 0 -4,183 6,126 17.3% 6.7% 24.0% 0.0% -9.7% 14.3%

T 0 5/8 04/30/13 37,209 2,208 4,208 6,416 0 -3,722 2,694 5.9% 11.3% 17.2% 0.0% -10.0% 7.2%

T 3 1 /8 0 4/ 30 /1 3 2 0, 74 3 2,412 0 2,412 0 -2,397 15 11.6% 0.0% 11.6% 0.0% -11.6% 0.1%

T 1 3/8 05/15/13 41,317 5,623 1,900 7,523 0 -3,598 3,925 13.6% 4.6% 18.2% 0.0% -8.7% 9.5%

T 3 5 /8 0 5/ 15 /1 3 1 8, 25 4 3,795 0 3,795 0 -2,527 1,268 20.8% 0.0% 20.8% 0.0% -13.8% 6.9%

T 0 1/2 05/31/13 37,946 2,946 0 2,946 0 -2,941 5 7.8% 0.0% 7.8% 0.0% -7.8% 0.0%

T 3 1 /2 0 5/ 31 /1 3 2 0, 51 9 3,053 15 3,068 0 -1,209 1,859 14.9% 0.1% 15.0% 0.0% -5.9% 9.1%

T 1 1/8 06/15/13 36,208 1,715 6,697 8,412 0 -7,185 1,227 4.7% 18.5% 23.2% 0.0% -19.8% 3.4%T 0 3 /8 0 6/ 30 /1 3 3 6, 12 7 1,127 0 1,127 0 -1,126 1 3.1% 0.0% 3.1% 0.0% -3.1% 0.0%

T 3 3/8 06/30/13 22,145 2,514 189 2,703 0 -2,703 0 11.4% 0.9% 12.2% 0.0% -12.2% 0.0%

T 1 07/15/13 35,010 407 7,942 8,349 0 -8,348 1 1.2% 22.7% 23.8% 0.0% -23.8% 0.0%

T 0 3/8 07/31/13 36,042 1,042 0 1,042 0 -1,042 0 2.9% 0.0% 2.9% 0.0% -2.9% 0.0%

T 3 3 /8 0 7/ 31 /1 3 2 3, 31 4 4,716 0 4,716 0 -3,160 1,556 20.2% 0.0% 20.2% 0.0% -13.6% 6.7%

T 0 3/4 08/15/13 36,036 2,652 1,704 4,356 0 -4,356 0 7.4% 4.7% 12.1% 0.0% -12.1% 0.0%

T 4 1 /4 0 8/ 15 /1 3 3 3, 52 1 5,570 793 6,363 0 -4,424 1,939 16.6% 2.4% 19.0% 0.0% -13.2% 5.8%

T 0 1/8 08/31/13 36,071 1,070 0 1,070 0 -1,070 0 3.0% 0.0% 3.0% 0.0% -3.0% 0.0%

T 3 1 /8 0 8/ 31 /1 3 2 3, 83 7 1,859 0 1,859 0 -1,858 1 7.8% 0.0% 7.8% 0.0% -7.8% 0.0%

T 0 3/4 09/15/13 33,357 1,282 4,101 5,383 0 -5,383 0 3.8% 12.3% 16.1% 0.0% -16.1% 0.0%

T 3 1 /8 0 9/ 30 /1 3 2 6, 22 0 3,273 612 3,885 0 -3,884 1 12.5% 2.3% 14.8% 0.0% -14.8% 0.0%

T 0 1/8 09/30/13 36,090 1,090 #N/A 1,090 0 -1,089 1 3.0% #N/A 3.0% 0.0% -3.0% 0.0%

T 0 1 /2 1 0/ 15 /1 3 3 2, 28 0 366 10,088 10,454 0 -9,222 1,232 1.1% 31.3% 32.4% 0.0% -28.6% 3.8%

T 2 3/4 10/31/13 25,063 3,670 1,020 4,690 0 -4,664 26 14.6% 4.1% 18.7% 0.0% -18.6% 0.1%

T 0 1 /4 1 0/ 31 /1 3 3 6, 33 1 0 #N/A 0 1,33 1 - 1,330 1 0.0% #N/A 0.0% 3.7% -3.7% 0.0%

T 0 1/2 11/15/13 32,853 858 10,318 11,176 0 -6,936 4,240 2.6% 31.4% 34.0% 0.0% -21.1% 12.9%

T 4 1 /4 1 1/ 15 /1 3 3 0, 63 7 2,988 0 2,988 0 -2,987 1 9.8% 0.0% 9.8% 0.0% -9.7% 0.0%

T 2 11/30/13 27,819 3,319 4,935 8,254 0 -3,040 5,214 11.9% 17.7% 29.7% 0.0% -10.9% 18.7%

T 0 1 /4 1 1/ 30 /1 3 3 6, 58 6 0 #N/A 0 1,58 6 - 1,585 1 0.0% #N/A 0.0% 4.3% -4.3% 0.0%

T 0 3/4 12/15/13 32,468 465 14,250 14,715 0 -7,192 7,523 1.4% 43.9% 45.3% 0.0% -22.2% 23.2%

T 1 1 /2 1 2/ 31 /1 3 3 0, 04 4 2,312 3,349 5,661 0 -4,187 1,474 7.7% 11.1% 18.8% 0.0% -13.9% 4.9%

T 0 1/8 12/31/13 36,133 0 #N/A 0 1,133 -1,133 0 0.0% #N/A 0.0% 3.1% -3.1% 0.0%

T 1 01/15/14 32,701 701 17,505 18,206 0 -8,181 10,025 2.1% 53.5% 55.7% 0.0% -25.0% 30.7%

T 1 3/4 01/31/14 31,273 6,791 1,479 8,270 0 -4,673 3,597 21.7% 4.7% 26.4% 0.0% -14.9% 11.5%

$mn

Securities

Latest

Outstanding

($mn)

As % of latest outstanding


5/10



SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased

in QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchases

/Sales in

MEP

Current Fed

Holdings

SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased in

QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchase/

Sales in

MEP

Current Fed

Holdings

$mn

Securities

Latest

Outstanding

($mn)


T 0 1 /4 0 5/ 31 /1 4 3 5, 00 1 0 #N/A 0 0 0 0 0.0% #N/A 0.0% 0.0% 0.0% 0.0%

T 0 3/4 06/15/14 32,000 0 150 150 0 -150 0 0.0% 0.5% 0.5% 0.0% -0.5% 0.0%

T 2 5 /8 0 6/ 30 /1 4 3 8, 07 5 6,443 255 6,698 0 -6,698 0 16.9% 0.7% 17.6% 0.0% -17.6% 0.0%

T 0 5/8 07/15/14 32,000 0 196 196 0 -196 0 0.0% 0.6% 0.6% 0.0% -0.6% 0.0%

T 2 5 /8 0 7/ 31 /1 4 3 9, 97 6 4,046 3,131 7,177 0 -2,552 4,625 10.1% 7.8% 18.0% 0.0% -6.4% 11.6%

T 0 1/2 08/15/14 32,980 980 0 980 0 -979 1 3.0% 0.0% 3.0% 0.0% -3.0% 0.0%

T 4 1 /4 0 8/ 15 /1 4 2 4, 72 2 3,070 742 3,812 0 -3,412 400 12.4% 3.0% 15.4% 0.0% -13.8% 1.6%

T 2 3/8 08/31/14 40,175 1,958 4,188 6,146 0 -3,817 2,329 4.9% 10.4% 15.3% 0.0% -9.5% 5.8%

T 0 1 /4 0 9/ 15 /1 4 3 2, 00 0 0 0 0 0 0 0 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%

T 2 3/8 09/30/14 40,709 1,860 2,895 4,755 0 -4,754 1 4.6% 7.1% 11.7% 0.0% -11.7% 0.0%

T 0 1 /2 1 0/ 15 /1 4 3 2, 00 0 0 #N/A 0 0 0 0 0.0% #N/A 0.0% 0.0% 0.0% 0.0%

T 2 3/8 10/31/14 42,011 3,332 2,669 6,001 0 -3,030 2,971 7.9% 6.4% 14.3% 0.0% -7.2% 7.1%

T 4 1 /4 1 1/ 15 /1 4 2 5, 47 3 2,513 804 3,317 0 -1,445 1,872 9.9% 3.2% 13.0% 0.0% -5.7% 7.3%

T 0 3/8 11/15/14 34,449 0 #N/A 0 2,448 -2,448 0 0.0% #N/A 0.0% 7.1% -7.1% 0.0%

T 2 1 /8 1 1/ 30 /1 4 4 3, 26 1 1,594 1,837 3,431 0 -1,256 2,175 3.7% 4.2% 7.9% 0.0% -2.9% 5.0%

T 0 1/4 12/15/14 33,171 0 #N/A 0 1,171 -1,171 0 0.0% #N/A 0.0% 3.5% -3.5% 0.0%

T 2 5 /8 1 2/ 31 /1 4 4 3, 24 5 3,647 3,128 6,775 0 -2,694 4,081 8.4% 7.2% 15.7% 0.0% -6.2% 9.4%

T 0 1/4 01/15/15 34,271 0 #N/A 0 2,271 -1,320 951 0.0% #N/A 0.0% 6.6% -3.9% 2.8%

T 2 1 /4 0 1/ 31 /1 5 4 2, 68 5 3,425 1,346 4,771 0 -1,520 3,251 8.0% 3.2% 11.2% 0.0% -3.6% 7.6%

T 11 1/4 02/15/15 10,520 3,682 1,017 4,699 0 -2,279 2,420 35.0% 9.7% 44.7% 0.0% -21.7% 23.0%

T 4 02/15/15 34,215 5,534 2,825 8,359 0 -3,345 5,014 16.2% 8.3% 24.4% 0.0% -9.8% 14.7%

T 0 1/4 02/15/15 35,902 0 #N/A 0 3,902 -909 2,993 0.0% #N/A 0.0% 10.9% -2.5% 8.3%

T 2 3 /8 0 2/ 28 /1 5 4 3, 03 3 1,334 2,518 3,852 0 -566 3,286 3.1% 5.9% 9.0% 0.0% -1.3% 7.6%

T 0 3/8 03/15/15 34,222 0 #N/A 0 2,222 -1,445 777 0.0% #N/A 0.0% 6.5% -4.2% 2.3%

T 2 1 /2 0 3/ 31 /1 5 4 3, 42 1 1,607 1,321 2,928 0 -831 2,097 3.7% 3.0% 6.7% 0.0% -1.9% 4.8%

T 0 3/8 04/15/15 37,823 0 #N/A 0 5,823 -823 5,000 0.0% #N/A 0.0% 15.4% -2.2% 13.2%

T 2 1 /2 0 4/ 30 /1 5 4 2, 89 2 1,769 4,766 6,535 0 -215 6,320 4.1% 11.1% 15.2% 0.0% -0.5% 14.7%

T 4 1/8 05/15/15 34,472 10,544 1,953 12,497 0 -284 12,213 30.6% 5.7% 36.3% 0.0% -0.8% 35.4%

T 0 1 /4 0 5/ 15 /1 5 3 4, 00 2 0 #N/A 0 2,002 -408 1,594 0.0% #N/A 0.0% 5.9% -1.2% 4.7%

T 2 1/8 05/31/15 40,866 3,317 4,347 7,664 0 0 7,664 8.1% 10.6% 18.8% 0.0% 0.0% 18.8%

T 1 7 /8 0 6/ 30 /1 5 3 9, 13 2 2,35 5 12 ,505 14,86 0 0 0 14,860 6.0% 32.0% 38.0% 0.0% 0.0% 38.0%

T 1 3/4 07/31/15 38,214 2,364 8,104 10,468 0 0 10,468 6.2% 21.2% 27.4% 0.0% 0.0% 27.4%

T 1 0 5 /8 0 8/ 15 /1 5 4 ,0 24 1,407 751 2,158 0 0 2,158 35.0% 18.7% 53.6% 0.0% 0.0% 53.6%

T 4 1/4 08/15/15 32,470 6,071 1,285 7,356 0 0 7,356 18.7% 4.0% 22.7% 0.0% 0.0% 22.7%

T 1 1 /4 0 8/ 31 /1 5 3 6, 88 1 881 4,653 5,534 0 0 5,534 2.4% 12.6% 15.0% 0.0% 0.0% 15.0%

T 1 1/4 09/30/15 36,103 1,103 3,475 4,578 0 0 4,578 3.1% 9.6% 12.7% 0.0% 0.0% 12.7%

T 1 1 /4 1 0/ 31 /1 5 3 5, 71 8 717 3,613 4,330 0 0 4,330 2.0% 10.1% 12.1% 0.0% 0.0% 12.1%

T 9 7/8 11/15/15 5,585 1,911 870 2,781 0 0 2,781 34.2% 15.6% 49.8% 0.0% 0.0% 49.8%

T 4 1 /2 1 1/ 15 /1 5 2 3, 22 1 2,221 531 2,752 0 0 2,752 9.6% 2.3% 11.8% 0.0% 0.0% 11.8%

T 1 3/8 11/30/15 36,379 1,379 5,286 6,665 0 0 6,665 3.8% 14.5% 18.3% 0.0% 0.0% 18.3%

T 2 1 /8 1 2/ 31 /1 5 3 6, 75 7 1,75 4 20 ,545 22,29 9 0 0 22,299 4.8% 55.9% 60.7% 0.0% 0.0% 60.7%T 2 01/31/16 35,698 697 5,141 5,838 0 0 5,838 2.0% 14.4% 16.4% 0.0% 0.0% 16.4%

T 9 1 /4 0 2/ 15 /1 6 5 ,4 32 1,901 506 2,407 0 0 2,407 35.0% 9.3% 44.3% 0.0% 0.0% 44.3%

T 4 1/2 02/15/16 21,842 1,802 659 2,461 0 0 2,461 8.3% 3.0% 11.3% 0.0% 0.0% 11.3%

T 2 1 /8 0 2/ 29 /1 6 3 6, 92 3 1,92 3 19 ,246 21,16 9 0 0 21,169 5.2% 52.1% 57.3% 0.0% 0.0% 57.3%

T 2 5/8 02/29/16 23,179 6,259 4,321 10,580 0 0 10,580 27.0% 18.6% 45.6% 0.0% 0.0% 45.6%

T 2 1 /4 0 3/ 31 /1 6 3 6, 57 0 1,57 0 12 ,982 14,55 2 0 0 14,552 4.3% 35.5% 39.8% 0.0% 0.0% 39.8%

T 2 3/8 03/31/16 25,138 5,407 3,629 9,036 0 0 9,036 21.5% 14.4% 35.9% 0.0% 0.0% 35.9%

T 2 04/30/16 37,209 2,20 8 11 ,587 13,79 5 0 0 13,795 5.9% 31.1% 37.1% 0.0% 0.0% 37.1%

T 2 5/8 04/30/16 26,901 9,357 4,219 13,576 0 0 13,576 34.8% 15.7% 50.5% 0.0% 0.0% 50.5%

T 7 1 /4 0 5/ 15 /1 6 1 8, 82 4 4,913 711 5,624 0 0 5,624 26.1% 3.8% 29.9% 0.0% 0.0% 29.9%

T 5 1/8 05/15/16 23,294 6,678 1,719 8,397 0 0 8,397 28.7% 7.4% 36.0% 0.0% 0.0% 36.0%

T 1 3 /4 0 5/ 31 /1 6 3 7, 94 6 2,94 6 11 ,722 14,66 8 0 0 14,668 7.8% 30.9% 38.7% 0.0% 0.0% 38.7%

T 3 1/4 05/31/16 26,896 9,411 1,157 10,568 0 0 10,568 35.0% 4.3% 39.3% 0.0% 0.0% 39.3%

T 1 1 /2 0 6/ 30 /1 6 3 6, 12 7 1,127 2,729 3,856 0 0 3,856 3.1% 7.6% 10.7% 0.0% 0.0% 10.7%

T 3 1/4 06/30/16 27,784 7,827 1,884 9,711 0 0 9,711 28.2% 6.8% 35.0% 0.0% 0.0% 35.0%

T 1 1 /2 0 7/ 31 /1 6 3 6, 04 1 1,042 0 1,042 0 0 1,042 2.9% 0.0% 2.9% 0.0% 0.0% 2.9%

T 3 1/4 07/31/16 28,701 5,721 415 6,136 0 0 6,136 19.9% 1.4% 21.4% 0.0% 0.0% 21.4%

T 4 7 /8 0 8/ 15 /1 6 2 2, 55 7 6,301 50 6,351 0 0 6,351 27.9% 0.2% 28.2% 0.0% 0.0% 28.2%

T 1 08/31/16 36,070 1,070 0 1,070 0 0 1,070 3.0% 0.0% 3.0% 0.0% 0.0% 3.0%

T 3 08/31/16 28,843 2,656 3,248 5,904 0 0 5,904 9.2% 11.3% 20.5% 0.0% 0.0% 20.5%

T 1 09/30/16 36,090 1,090 #N/A 1,090 0 0 1,090 3.0% #N/A 3.0% 0.0% 0.0% 3.0%

T 3 09/30/16 29,514 1,641 4,097 5,738 0 0 5,738 5.6% 13.9% 19.4% 0.0% 0.0% 19.4%

T 3 1/8 10/31/16 31,764 2,104 3,094 5,198 0 0 5,198 6.6% 9.7% 16.4% 0.0% 0.0% 16.4%

T 1 10/31/16 36,331 0 #N/A 0 1,331 0 1,331 0.0% #N/A 0.0% 3.7% 0.0% 3.7%


6/10



SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased

in QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchases

/Sales in

MEP

Current Fed

Holdings

SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased in

QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchase/

Sales in

MEP

Current Fed

Holdings

$mn

Securities

Latest

Outstanding

($mn)


T 0 7/8 04/30/17 35,940 0 #N/A 0 940 0 940 0.0% #N/A 0.0% 2.6% 0.0% 2.6%

T 8 3 /4 0 5/ 15 /1 7 1 5, 55 9 5,445 1,422 6,867 0 0 6,867 35.0% 9.1% 44.1% 0.0% 0.0% 44.1%

T 4 1/2 05/15/17 25,587 8,953 3,665 12,618 0 0 12,618 35.0% 14.3% 49.3% 0.0% 0.0% 49.3%

T 2 3 /4 0 5/ 31 /1 7 3 1, 67 4 2,408 8,768 11,176 0 0 11,176 7.6% 27.7% 35.3% 0.0% 0.0% 35.3%

T 0 5/8 05/31/17 35,000 0 #N/A 0 0 0 0 0.0% #N/A 0.0% 0.0% 0.0% 0.0%

T 2 1 /2 0 6/ 30 /1 7 3 0, 89 3 1,339 9,014 10,353 0 0 10,353 4.3% 29.2% 33.5% 0.0% 0.0% 33.5%

T 2 3/8 07/31/17 29,952 972 5,717 6,689 0 0 6,689 3.2% 19.1% 22.3% 0.0% 0.0% 22.3%

T 8 7 /8 0 8/ 15 /1 7 1 0, 96 8 3,838 2,090 5,928 0 0 5,928 35.0% 19.1% 54.0% 0.0% 0.0% 54.0%

T 4 3/4 08/15/17 28,000 9,800 2,449 12,249 0 0 12,249 35.0% 8.7% 43.7% 0.0% 0.0% 43.7%

T 1 7 /8 0 8/ 31 /1 7 2 9, 71 0 710 1,151 1,861 0 0 1,861 2.4% 3.9% 6.3% 0.0% 0.0% 6.3%

T 1 7/8 09/30/17 29,914 914 3,697 4,611 0 0 4,611 3.1% 12.4% 15.4% 0.0% 0.0% 15.4%

T 1 7 /8 1 0/ 31 /1 7 2 9, 59 5 594 1,376 1,970 0 44 2,014 2.0% 4.6% 6.7% 0.0% 0.1% 6.8%

T 4 1/4 11/15/17 27,674 8,567 1,384 9,951 0 7 9,958 31.0% 5.0% 36.0% 0.0% 0.0% 36.0%

T 2 1 /4 1 1/ 30 /1 7 3 0, 14 4 1,143 5,850 6,993 0 30 7,023 3.8% 19.4% 23.2% 0.0% 0.1% 23.3%

T 2 3/4 12/31/17 30,454 1,454 11,749 13,203 0 5 13,208 4.8% 38.6% 43.4% 0.0% 0.0% 43.4%

T 2 5 /8 0 1/ 31 /1 8 2 9, 57 8 578 12,676 13,254 0 21 13,275 2.0% 42.9% 44.8% 0.0% 0.1% 44.9%

T 3 1/2 02/15/18 39,205 6,294 5,917 12,211 0 783 12,994 16.1% 15.1% 31.1% 0.0% 2.0% 33.1%

T 2 3 /4 0 2/ 28 /1 8 3 0, 59 3 1,59 3 15 ,706 17,29 9 0 6 17,305 5.2% 51.3% 56.5% 0.0% 0.0% 56.6%

T 2 7/8 03/31/18 30,300 1,301 13,142 14,443 0 11 14,454 4.3% 43.4% 47.7% 0.0% 0.0% 47.7%

T 2 5 /8 0 4/ 30 /1 8 3 0, 83 0 1,83 0 15 ,403 17,23 3 0 34 17,267 5.9% 50.0% 55.9% 0.0% 0.1% 56.0%

T 9 1/8 05/15/18 6,717 2,351 638 2,989 0 369 3,358 35.0% 9.5% 44.5% 0.0% 5.5% 50.0%

T 3 7 /8 0 5/ 15 /1 8 3 4, 07 8 8,10 7 12 ,629 20,73 6 0 271 21,007 23.8% 37.1% 60.8% 0.0% 0.8% 61.6%

T 2 3/8 05/31/18 31,441 2,441 12,401 14,842 0 3,207 18,049 7.8% 39.4% 47.2% 0.0% 10.2% 57.4%

T 2 3 /8 0 6/ 30 /1 8 2 9, 93 4 934 5,700 6,634 0 7,843 14,477 3.1% 19.0% 22.2% 0.0% 26.2% 48.4%

T 2 1/4 07/31/18 29,864 864 3,443 4,307 0 13,457 17,764 2.9% 11.5% 14.4% 0.0% 45.1% 59.5%

T 4 08/15/18 36,803 8,25 5 14 ,350 22,60 5 0 0 22,605 22.4% 39.0% 61.4% 0.0% 0.0% 61.4%

T 1 1/2 08/31/18 29,886 887 1,235 2,122 0 5,695 7,817 3.0% 4.1% 7.1% 0.0% 19.1% 26.2%

T 1 3 /8 0 9/ 30 /1 8 2 9, 90 3 903 #N/A 903 0 5,566 6,469 3.0% #N/A 3.0% 0.0% 18.6% 21.6%

T 1 3/4 10/31/18 30,103 0 #N/A 0 1,103 14,925 16,028 0.0% #N/A 0.0% 3.7% 49.6% 53.2%

T 9 11/15/18 7,174 2,510 1,042 3,552 0 44 3,596 35.0% 14.5% 49.5% 0.0% 0.6% 50.1%

T 3 3/4 11/15/18 57,351 6,435 20,286 26,721 0 388 27,109 11.2% 35.4% 46.6% 0.0% 0.7% 47.3%

T 1 3 /8 1 1/ 30 /1 8 3 0, 31 4 0 #N/A 0 1,314 9,156 10,470 0.0% #N/A 0.0% 4.3% 30.2% 34.5%

T 1 3/8 12/31/18 29,939 0 #N/A 0 939 11,098 12,037 0.0% #N/A 0.0% 3.1% 37.1% 40.2%

T 1 1 /4 0 1/ 31 /1 9 2 9, 54 6 0 #N/A 0 546 4,295 4,841 0.0% #N/A 0.0% 1.8% 14.5% 16.4%

T 8 7/8 02/15/19 13,091 4,573 1,752 6,325 0 686 7,011 34.9% 13.4% 48.3% 0.0% 5.2% 53.6%

T 2 3 /4 0 2/ 15 /1 9 5 8, 67 7 2,67 6 18 ,817 21,49 3 0 5,891 27,384 4.6% 32.1% 36.6% 0.0% 10.0% 46.7%

T 1 3/8 02/28/19 29,412 0 #N/A 0 412 798 1,210 0.0% #N/A 0.0% 1.4% 2.7% 4.1%

T 1 1 /2 0 3/ 31 /1 9 2 9, 68 8 0 #N/A 0 688 8,000 8,688 0.0% #N/A 0.0% 2.3% 26.9% 29.3%

T 1 1/4 04/30/19 29,779 0 #N/A 0 779 10,550 11,329 0.0% #N/A 0.0% 2.6% 35.4% 38.0%

T 3 1 /8 0 5/ 15 /1 9 6 4, 41 1 4,41 4 17 ,058 21,47 2 0 9,478 30,950 6.9% 26.5% 33.3% 0.0% 14.7% 48.1%

T 1 1/8 05/31/19 29,000 0 #N/A 0 0 2,399 2,399 0.0% #N/A 0.0% 0.0% 8.3% 8.3%T 8 1 /8 0 8/ 15 /1 9 1 8, 94 1 6,629 4,708 11,337 0 689 12,026 35.0% 24.9% 59.9% 0.0% 3.6% 63.5%

T 3 5/8 08/15/19 66,753 4,546 30,129 34,675 0 2,400 37,075 6.8% 45.1% 51.9% 0.0% 3.6% 55.5%

T 3 3 /8 1 1/ 15 /1 9 7 1, 03 7 4,03 7 19 ,410 23,44 7 0 8,802 32,249 5.7% 27.3% 33.0% 0.0% 12.4% 45.4%

T 8 1/2 02/15/20 9,476 3,314 2,900 6,214 0 419 6,633 35.0% 30.6% 65.6% 0.0% 4.4% 70.0%

T 3 5 /8 0 2/ 15 /2 0 7 1, 59 5 4,593 4,073 8,666 0 6,713 15,379 6.4% 5.7% 12.1% 0.0% 9.4% 21.5%

T 8 3/4 05/15/20 7,582 2,653 2,653 5,306 0 0 5,306 35.0% 35.0% 70.0% 0.0% 0.0% 70.0%

T 3 1 /2 0 5/ 15 /2 0 6 8, 21 9 2,21 9 11 ,294 13,51 3 0 9,228 22,741 3.3% 16.6% 19.8% 0.0% 13.5% 33.3%

T 8 3/4 08/15/20 17,059 5,970 5,971 11,941 0 0 11,941 35.0% 35.0% 70.0% 0.0% 0.0% 70.0%

T 2 5 /8 0 8/ 15 /2 0 6 7, 85 0 1,849 629 2,478 0 20,286 22,764 2.7% 0.9% 3.7% 0.0% 29.9% 33.6%

T 2 5/8 11/15/20 67,410 1,409 232 1,641 0 4,190 5,831 2.1% 0.3% 2.4% 0.0% 6.2% 8.7%

T 7 7 /8 0 2/ 15 /2 1 1 0, 07 6 1,932 4,355 6,287 0 766 7,053 19.2% 43.2% 62.4% 0.0% 7.6% 70.0%

T 3 5/8 02/15/21 67,585 1,584 800 2,384 0 15,685 18,069 2.3% 1.2% 3.5% 0.0% 23.2% 26.7%

T 8 1 /8 0 5/ 15 /2 1 1 0, 06 7 3,520 3,006 6,526 0 521 7,047 35.0% 29.9% 64.8% 0.0% 5.2% 70.0%

T 3 1/8 05/15/21 66,000 0 0 0 0 27,568 27,568 0.0% 0.0% 0.0% 0.0% 41.8% 41.8%

T 8 1 /8 0 8/ 15 /2 1 9 ,5 06 3,322 1,692 5,014 0 1,640 6,654 34.9% 17.8% 52.7% 0.0% 17.3% 70.0%

T 2 1/8 08/15/21 66,735 735 0 735 0 14,485 15,220 1.1% 0.0% 1.1% 0.0% 21.7% 22.8%

T 2 11/15/21 70,096 0 #N/A 0 4,095 5,097 9,192 0.0% #N/A 0.0% 5.8% 7.3% 13.1%

T 8 11/15/21 30,632 10,720 6,765 17,485 0 3,791 21,276 35.0% 22.1% 57.1% 0.0% 12.4% 69.5%

T 2 02/15/22 74,206 0 #N/A 0 8,206 174 8,380 0.0% #N/A 0.0% 11.1% 0.2% 11.3%

T 1 3/4 05/15/22 25,502 0 #N/A 0 1,501 0 1,501 0.0% #N/A 0.0% 5.9% 0.0% 5.9%

T 7 1 /4 0 8/ 15 /2 2 1 0, 12 8 2,042 114 2,156 0 725 2,881 20.2% 1.1% 21.3% 0.0% 7.2% 28.4%

T 7 5/8 11/15/22 7,424 2,597 295 2,892 0 271 3,163 35.0% 4.0% 39.0% 0.0% 3.7% 42.6%

T 7 1 /8 0 2/ 15 /2 3 1 5, 78 2 5,523 1,778 7,301 0 656 7,957 35.0% 11.3% 46.3% 0.0% 4.2% 50.4%

T 6 1/4 08/15/23 22,659 4,840 149 4,989 0 1,433 6,422 21.4% 0.7% 22.0% 0.0% 6.3% 28.3%


7/10



SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased

in QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchases

/Sales in

MEP

Current Fed

Holdings

SOMA

Holdings on

Nov 8,

2010+Add-

ons till Sep

30, 2011

Purchased in

QE2

SOMA

Holdings on

Sep 30, 2011

Auction

Addons

(Post Sep 30,

2011)

Purchase/

Sales in

MEP

Current Fed

Holdings

$mn

Securities

LatestOutstanding

($mn)


T 5 3 /8 0 2/ 15 /3 1 1 6, 42 8 2,396 102 2,498 0 3 2,501 14.6% 0.6% 15.2% 0.0% 0.0% 15.2%

T 4 1/2 02/15/36 26,397 2,604 183 2,787 0 5,758 8,545 9.9% 0.7% 10.6% 0.0% 21.8% 32.4%

T 4 3 /4 0 2/ 15 /3 7 1 6, 58 9 2,916 46 2,962 0 5,476 8,438 17.6% 0.3% 17.9% 0.0% 33.0% 50.9%

T 5 05/15/37 21,413 7,483 0 7,483 0 5,354 12,837 34.9% 0.0% 34.9% 0.0% 25.0% 59.9%

T 4 3 /8 0 2/ 15 /3 8 2 2, 52 5 7,883 217 8,100 0 1,162 9,262 35.0% 1.0% 36.0% 0.0% 5.2% 41.1%

T 4 1/2 05/15/38 25,500 5,817 1,862 7,679 0 1,164 8,843 22.8% 7.3% 30.1% 0.0% 4.6% 34.7%

T 3 1 /2 0 2/ 15 /3 9 2 5, 90 9 1,800 197 1,997 0 830 2,827 6.9% 0.8% 7.7% 0.0% 3.2% 10.9%

T 4 1/4 05/15/39 38,779 6,352 3,369 9,721 0 4,513 14,234 16.4% 8.7% 25.1% 0.0% 11.6% 36.7%

T 4 1 /2 0 8/ 15 /3 9 4 1, 43 1 4,598 4,877 9,475 0 10,684 20,159 11.1% 11.8% 22.9% 0.0% 25.8% 48.7%

T 4 3/8 11/15/39 44,564 2,689 3,063 5,752 0 5,982 11,734 6.0% 6.9% 12.9% 0.0% 13.4% 26.3%

T 4 5 /8 0 2/ 15 /4 0 4 4, 90 2 2,922 2,567 5,489 0 9,451 14,940 6.5% 5.7% 12.2% 0.0% 21.0% 33.3%

T 4 3/8 05/15/40 43,473 1,473 2,285 3,758 0 5,958 9,716 3.4% 5.3% 8.6% 0.0% 13.7% 22.3%

T 3 7 /8 0 8/ 15 /4 0 4 3, 21 3 1,213 130 1,343 0 13,294 14,637 2.8% 0.3% 3.1% 0.0% 30.8% 33.9%

T 4 1/4 11/15/40 42,903 903 666 1,569 0 7,710 9,279 2.1% 1.6% 3.7% 0.0% 18.0% 21.6%

T 4 3 /4 0 2/ 15 /4 1 4 3, 00 5 1,007 4,601 5,608 0 11,881 17,489 2.3% 10.7% 13.0% 0.0% 27.6% 40.7%

T 4 3/8 05/15/41 42,000 0 0 0 0 11,866 11,866 0.0% 0.0% 0.0% 0.0% 28.3% 28.3%

T 3 3 /4 0 8/ 15 /4 1 4 2, 48 9 490 0 490 0 3,080 3,570 1.2% 0.0% 1.2% 0.0% 7.2% 8.4%

T 3 1/8 11/15/41 44,623 0 #N/A 0 2,623 181 2,804 0.0% #N/A 0.0% 5.9% 0.4% 6.3%

T 3 1 /8 0 2/ 15 /4 2 4 7, 21 9 0 #N/A 0 5,219 76 5,295 0.0% #N/A 0.0% 11.1% 0.2% 11.2%

T 3 05/15/42 17,001 0 #N/A 0 1,001 0 1,001 0.0% #N/A 0.0% 5.9% 0.0% 5.9%

TIPS

TII 3 07/15/12 23,016 2,386 478 2,864 0 -2,713 151 10.4% 2.1% 12.4% 0.0% -11.8% 0.7%

TII 0 5/8 04/15/13 14,992 1,000 0 1,000 0 -999 1 6.7% 0.0% 6.7% 0.0% -6.7% 0.0%

TII 1 7/8 07/15/13 20,007 294 1,338 1,632 0 -1,632 0 1.5% 6.7% 8.2% 0.0% -8.2% 0.0%

TII 2 0 1/15/ 14 21,00 0 732 906 1,638 0 -1,290 348 3.5% 4.3% 7.8% 0.0% -6.1% 1.7%

TII 1 1/4 04/15/14 15,264 277 0 277 0 -205 72 1.8% 0.0% 1.8% 0.0% -1.3% 0.5%

TII 2 0 7/15/ 14 19,00 1 136 440 576 0 -576 0 0.7% 2.3% 3.0% 0.0% -3.0% 0.0%

TII 1 5/8 01/15/15 18,999 135 1,966 2,101 0 -1,218 883 0.7% 10.3% 11.1% 0.0% -6.4% 4.6%

TII 0 1/2 04/15/15 21,232 235 0 235 0 -234 1 1.1% 0.0% 1.1% 0.0% -1.1% 0.0%

TII 1 7/8 07/15/15 16,998 208 150 358 0 0 358 1.2% 0.9% 2.1% 0.0% 0.0% 2.1%

TII 2 0 1/15/ 16 16,99 9 335 178 513 0 0 513 2.0% 1.0% 3.0% 0.0% 0.0% 3.0%

TII 0 1/8 04/15/16 38,364 367 0 367 0 0 367 1.0% 0.0% 1.0% 0.0% 0.0% 1.0%

TII 2 1/2 07/15/16 19,999 3,061 12 3,073 0 0 3,073 15.3% 0.1% 15.4% 0.0% 0.0% 15.4%

TII 2 3/8 01/15/17 17,248 2,298 293 2,591 0 0 2,591 13.3% 1.7% 15.0% 0.0% 0.0% 15.0%

TII 0 1/8 04/15/17 16,430 0 #N/A 0 430 0 430 0.0% #N/A 0.0% 2.6% 0.0% 2.6%

TII 2 5/8 07/15/17 13,997 376 707 1,083 0 0 1,083 2.7% 5.1% 7.7% 0.0% 0.0% 7.7%

TII 1 5/8 01/15/18 16,415 2,413 215 2,628 0 3 2,631 14.7% 1.3% 16.0% 0.0% 0.0% 16.0%

TII 1 3/8 07/15/18 14,969 974 0 974 0 0 974 6.5% 0.0% 6.5% 0.0% 0.0% 6.5%

TII 2 1/8 01/15/19 14,7381,176 564 1,740

0 111,751 8.0% 3.8% 11.8% 0.0% 0.1% 11.9%

TII 1 7/8 07/15/19 15,176 509 13 522 0 6 528 3.4% 0.1% 3.4% 0.0% 0.0% 3.5%

TII 1 3/8 01/15/20 18,971 974 0 974 0 6 980 5.1% 0.0% 5.1% 0.0% 0.0% 5.2%

TII 1 1/4 07/15/20 32,375 460 4,033 4,493 0 0 4,493 1.4% 12.5% 13.9% 0.0% 0.0% 13.9%

TII 1 1/8 01/15/21 36,675 1,678 2,841 4,519 0 130 4,649 4.6% 7.7% 12.3% 0.0% 0.4% 12.7%

TII 0 5/8 07/15/21 35,841 342 0 342 498 0 841 1.0% 0.0% 1.0% 1.4% 0.0% 2.3%

TII 0 1/8 01/15/22 28,282 0 #N/A 0 282 1,154 1,436 0.0% #N/A 0.0% 1.0% 4.1% 5.1%

TII 2 3/8 01/15/25 27,998 3,895 2,276 6,171 0 298 6,469 13.9% 8.1% 22.0% 0.0% 1.1% 23.1%

TII 2 0 1/15/ 26 19,99 8 3,023 467 3,490 0 43 3,533 15.1% 2.3% 17.5% 0.0% 0.2% 17.7%

TII 2 3/8 01/15/27 16,481 2,520 478 2,998 0 50 3,048 15.3% 2.9% 18.2% 0.0% 0.3% 18.5%

TII 1 3/4 01/15/28 15,633 1,637 0 1,637 0 0 1,637 10.5% 0.0% 10.5% 0.0% 0.0% 10.5%

TII 3 5/8 04/15/28 16,782 2,838 920 3,758 0 844 4,602 16.9% 5.5% 22.4% 0.0% 5.0% 27.4%

TII 2 1/2 01/15/29 14,149 267 15 282 0 0 282 1.9% 0.1% 2.0% 0.0% 0.0% 2.0%

TII 3 7/8 04/15/29 19,495 3,219 725 3,944 0 975 4,919 16.5% 3.7% 20.2% 0.0% 5.0% 25.2%

T II 3 3 /8 0 4/ 15 /3 2 5 ,0 12 284 59 343 0 58 401 5.7% 1.2% 6.8% 0.0% 1.2% 8.0%

TII 2 1/8 02/15/40 15,170 171 3,404 3,575 0 2,709 6,284 1.1% 22.4% 23.6% 0.0% 17.9% 41.4%

TII 2 1/8 02/15/41 23,984 720 2,797 3,517 266 3,686 7,469 3.0% 11.7% 14.7% 1.1% 15.4% 31.1%

TII 0 3/4 02/15/42 9,128 0 #N/A 0 128 728 856 0.0% #N/A 0.0% 1.4% 8.0% 9.4%

Nov 8, 2010 was the last purchase operation before QE2 purchases commenced

QE2 refers to Fed purchase operations from Nov 12, 2010 to Sep 27, 2011 (dates inclusive)

MEP refers to the Maturity Extension Program, announced on September 22, 2011, commenced on Oct 03, 2011

Source: NY Fed, Barclays Research


8/10


9/10


10/10

US21683

feds treasury purchasessales as of june 6 2012

Documents