In a note Tuesday, NatWest Markets..............>

FED: In a note Tuesday, NatWest Markets strategists laid out % probabilites on

actions being taken in various areas of Fed policy today:

- On asset purchases: 40% probability of QE2/3 style back-end purchases = curve

would initially flatten; 30% signal purchases more evenly balanced across the

curve = bull steepening; 25% no guidance = low impact; 5% heavy bill purchases =

repo softer, FRA/OIS narrows.

- On IOER: 50% unch; 45% +5bps = EFFR/SOFR up 4-5bps, LIBOR/bills see little

impact; 5% +More than 5bps = more spillover into LIBOR, bills

- On MMLF/CPFF: 90% unch = FRA/OIS spread widens modestly; 10% lowering rates =

FRA/OIS lower, could be net positive for risk assets.

- On forward guidance: 70% unch = no impact; 30% stronger variable-based

guidance = front end of curve flattening, 2s10s and 5s/30s steepen modestly.