The following trading statistics represent the activity over the 60 days when the Federal Reserve conducted

permanent outright
purchases of US Treasuy notes or Bonds. More specifically we focused on a 48H period that includes the day ahead and the day of the
purchase operation. Over that time period 10Y US Treasury yields rose from 2.70% to 3.40% roughly, or about 0.5bp per business
day. During the same period the S&P 500 rallied from 820 to 1,050, or about 0.2% per business day. These overall statistics are well
worth keeping in mind when analyzing the results.

Hourly Average Bp Move 10Y Treasury

0.3

0.2

0.1
B asis P o in ts

0.0
30

30
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
00
00
00
00
00
00
30
30
30
30
30
30

00
00
00
00
00
00
10
20
30
40
50
60
70
80
90

10
20
30
40
50
60
70
80
90
10
11
12
13
14
15
18
19
20
21
22
23

10
11
12
13
14
15
-0.1

-0.2

-0.3

-0.4
Time
 10Y Treasury Hourly Dispersion

15.0
Low
10th Percentile
90th Percentile
10.0 High

5.0
Basis Points

0.0
0

0
00

00

00

30

30

30

00

00

00
30

30
20

40

60

80

20

40

60

80
10

12

14

18

20

22

10

12

14
-5.0

-10.0

-15.0
Time
 80
100
120
140
160
180
200
3/2/09

3/16/09

3/30/09

4/13/09

4/27/09

5/11/09

5/25/09

6/8/09

6/22/09

7/6/09

7/20/09
POMO
MOVE Index vs. Fed POMO Days

10-yr T yld

8/3/09
MOVE Index

8/17/09

8/31/09

9/14/09

9/28/09

10/12/09

10/26/09
2
3
4

2.5
3.5
4.5
-0.10%
-0.05%
0.00%
0.05%
0.10%
0.15%
30

23
0

43
0

63
0

83
0
10
30

12
30

14
30

16
30

18
30

20
30

22
30

30

23
0

43
0
Average Hourly S&P Move

63
0

83
0
10
30

12
30

14
30

16
30

18
30

20
30

22
30
 Mini S&P Hourly Dispersion

3.00%
2.50%
2.00%
1.50%
1.00%
10th %
0.50% High
0.00% Low
90th %
-0.50%
30

30
30

30

30

30

30

30

30

30

30

30

30

30

30

30
0

0
23

43

63

83

23

43

63

83
10

12

14

16

18

20

22

10

12

14

16

18

20

22
-1.00%
-1.50%
-2.00%
-2.50%