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Financial Stability Report

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Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Date 2-Year 10-Year
1/16/1997 6.01 6.58
2/15/1997 5.9 6.42
3/16/1997 6.22 6.69
4/16/1997 6.45 6.89
5/16/1997 6.28 6.71
6/16/1997 6.09 6.49
7/16/1997 5.89 6.22
8/16/1997 5.94 6.3
9/16/1997 5.88 6.21
10/16/1997 5.77 6.03
11/16/1997 5.71 5.88
12/16/1997 5.72 5.81
1/16/1998 5.36 5.54
2/15/1998 5.42 5.57
3/16/1998 5.56 5.65
4/16/1998 5.56 5.64
5/16/1998 5.59 5.65
6/16/1998 5.52 5.5
7/16/1998 5.46 5.46
8/16/1998 5.27 5.34
9/16/1998 4.67 4.81
10/16/1998 4.09 4.53
11/16/1998 4.54 4.83
12/16/1998 4.51 4.65
1/16/1999 4.62 4.72
2/15/1999 4.88 5
3/16/1999 5.05 5.23
4/16/1999 4.98 5.18
5/16/1999 5.25 5.54
6/16/1999 5.62 5.9
7/16/1999 5.55 5.79
8/16/1999 5.68 5.94
9/16/1999 5.66 5.92
10/16/1999 5.86 6.11
11/16/1999 5.86 6.03
12/16/1999 6.1 6.28
1/16/2000 6.44 6.66
2/15/2000 6.61 6.52
3/16/2000 6.53 6.26
4/16/2000 6.4 5.99
5/16/2000 6.81 6.44
6/16/2000 6.48 6.1
7/16/2000 6.34 6.05
8/16/2000 6.23 5.83
9/16/2000 6.08 5.8
10/16/2000 5.91 5.74
11/16/2000 5.88 5.72
12/16/2000 5.35 5.24
1/16/2001 4.76 5.16
2/15/2001 4.66 5.1
3/16/2001 4.34 4.89
4/16/2001 4.23 5.14
5/16/2001 4.26 5.39
6/16/2001 4.08 5.28
7/16/2001 4.04 5.24
8/16/2001 3.76 4.97
9/16/2001 3.12 4.73
10/16/2001 2.73 4.57
11/16/2001 2.78 4.65
12/16/2001 3.11 5.09
1/16/2002 3.03 5.04
2/15/2002 3.02 4.91
3/16/2002 3.56 5.28
4/16/2002 3.42 5.21
5/16/2002 3.26 5.16
6/16/2002 2.99 4.93
7/16/2002 2.56 4.65
8/16/2002 2.13 4.26
9/16/2002 2 3.87
10/16/2002 1.91 3.94
11/16/2002 1.92 4.05
12/16/2002 1.84 4.03
1/16/2003 1.74 4.05
2/15/2003 1.63 3.9
3/16/2003 1.57 3.81
4/16/2003 1.62 3.96
5/16/2003 1.42 3.57
6/16/2003 1.23 3.33
7/16/2003 1.47 3.98
8/16/2003 1.86 4.45
9/16/2003 1.71 4.27
10/16/2003 1.75 4.29
11/16/2003 1.93 4.3
12/16/2003 1.91 4.27
1/16/2004 1.76 4.15
2/15/2004 1.74 4.08
3/16/2004 1.58 3.83
4/16/2004 2.07 4.35
5/16/2004 2.53 4.72
6/16/2004 2.76 4.73
7/16/2004 2.64 4.5
8/16/2004 2.51 4.28
9/16/2004 2.53 4.13
10/16/2004 2.58 4.1
11/16/2004 2.85 4.19
12/16/2004 3.01 4.23
1/16/2005 3.22 4.22
2/15/2005 3.38 4.17
3/16/2005 3.73 4.5
4/16/2005 3.65 4.34
5/16/2005 3.64 4.14
6/16/2005 3.64 4
7/16/2005 3.87 4.18
8/16/2005 4.04 4.26
9/16/2005 3.95 4.2
10/16/2005 4.27 4.46
11/16/2005 4.42 4.54
12/16/2005 4.4 4.47
1/16/2006 4.4 4.42
2/15/2006 4.67 4.57
3/16/2006 4.73 4.72
4/16/2006 4.89 4.99
5/16/2006 4.97 5.11
6/16/2006 5.12 5.11
7/16/2006 5.12 5.09
8/16/2006 4.9 4.88
9/16/2006 4.77 4.72
10/16/2006 4.8 4.73
11/16/2006 4.74 4.6
12/16/2006 4.67 4.56
1/16/2007 4.88 4.76
2/15/2007 4.85 4.72
3/16/2007 4.57 4.56
4/16/2007 4.67 4.69
5/16/2007 4.77 4.75
6/16/2007 4.98 5.1
7/16/2007 4.82 5
8/16/2007 4.31 4.67
9/16/2007 4.01 4.52
10/16/2007 3.97 4.53
11/16/2007 3.34 4.15
12/16/2007 3.12 4.1
1/16/2008 2.48 3.74
2/15/2008 1.97 3.74
3/16/2008 1.62 3.51
4/16/2008 2.05 3.68
5/16/2008 2.45 3.88
6/16/2008 2.77 4.1
7/16/2008 2.57 4.01
8/16/2008 2.42 3.89
9/16/2008 2.08 3.69
10/16/2008 1.61 3.81
11/16/2008 1.21 3.53
12/16/2008 0.82 2.42
1/16/2009 0.81 2.52
2/15/2009 0.98 2.87
3/16/2009 0.93 2.82
4/16/2009 0.93 2.93
5/16/2009 0.93 3.29
6/16/2009 1.18 3.72
7/16/2009 1.02 3.56
8/16/2009 1.12 3.59
9/16/2009 0.96 3.4
10/16/2009 0.95 3.39
11/16/2009 0.8 3.4
12/16/2009 0.87 3.59
1/16/2010 0.93 3.73
2/15/2010 0.86 3.69
3/16/2010 0.96 3.73
4/16/2010 1.06 3.85
5/16/2010 0.83 3.42
6/16/2010 0.72 3.2
7/16/2010 0.62 3.01
8/16/2010 0.52 2.7
9/16/2010 0.48 2.65
10/16/2010 0.38 2.54
11/16/2010 0.45 2.76
12/16/2010 0.62 3.29
1/16/2011 0.61 3.39
2/15/2011 0.77 3.58
3/16/2011 0.7 3.41
4/16/2011 0.73 3.46
5/16/2011 0.56 3.17
6/16/2011 0.41 3
7/16/2011 0.41 3
8/16/2011 0.23 2.3
9/16/2011 0.21 1.98
10/16/2011 0.28 2.15
11/16/2011 0.25 2.01
12/16/2011 0.26 1.98
1/16/2012 0.24 1.97
2/15/2012 0.28 1.97
3/16/2012 0.34 2.17
4/16/2012 0.29 2.05
5/16/2012 0.29 1.8
6/16/2012 0.29 1.62
7/16/2012 0.25 1.53
8/16/2012 0.27 1.68
9/16/2012 0.26 1.72
10/16/2012 0.28 1.75
11/16/2012 0.27 1.65
12/16/2012 0.26 1.72
1/16/2013 0.27 1.91
2/15/2013 0.27 1.98
3/16/2013 0.26 1.96
4/16/2013 0.23 1.76
5/16/2013 0.25 1.93
6/16/2013 0.33 2.3
7/16/2013 0.34 2.58
8/16/2013 0.36 2.74
9/16/2013 0.4 2.81
10/16/2013 0.34 2.62
11/16/2013 0.3 2.72
12/16/2013 0.34 2.9
1/16/2014 0.39 2.86
2/15/2014 0.33 2.71
3/16/2014 0.4 2.72
4/16/2014 0.42 2.71
5/16/2014 0.39 2.56
6/16/2014 0.45 2.6
7/16/2014 0.51 2.54
8/16/2014 0.47 2.42
9/16/2014 0.57 2.53
10/16/2014 0.45 2.3
11/16/2014 0.53 2.33
12/16/2014 0.64 2.21
1/16/2015 0.55 1.88
2/15/2015 0.62 1.98
3/16/2015 0.64 2.04
4/16/2015 0.54 1.94
5/16/2015 0.61 2.2
6/16/2015 0.69 2.36
7/16/2015 0.67 2.32
8/16/2015 0.7 2.17
9/16/2015 0.71 2.17
10/16/2015 0.64 2.07
11/16/2015 0.88 2.26
12/16/2015 0.98 2.24
1/16/2016 0.9 2.09
2/15/2016 0.73 1.78
3/16/2016 0.88 1.89
4/16/2016 0.77 1.81
5/16/2016 0.82 1.81
6/16/2016 0.73 1.64
7/16/2016 0.67 1.5
8/16/2016 0.74 1.56
9/16/2016 0.77 1.63
10/16/2016 0.84 1.76
11/16/2016 0.98 2.14
12/16/2016 1.2 2.49
1/16/2017 1.21 2.43
2/15/2017 1.2 2.42
3/16/2017 1.31 2.48
4/16/2017 1.24 2.3
5/16/2017 1.3 2.3
6/16/2017 1.34 2.19
7/16/2017 1.37 2.32
8/16/2017 1.34 2.21
9/16/2017 1.38 2.2
10/16/2017 1.55 2.36
11/16/2017 1.7 2.35
12/16/2017 1.84 2.4
1/16/2018 2.03 2.58
2/15/2018 2.18 2.86
3/16/2018 2.28 2.84
4/16/2018 2.38 2.87
5/16/2018 2.51 2.98
6/16/2018 2.53 2.91
7/16/2018 2.61 2.89
8/16/2018 2.64 2.89
9/16/2018 2.77 3
10/16/2018 2.86 3.15
11/16/2018 2.86 3.12
12/16/2018 2.68 2.83
1/16/2019 2.54 2.71
2/15/2019 2.5 2.68
3/16/2019 2.41 2.57
4/16/2019 2.34 2.53
5/16/2019 2.21 2.4
6/16/2019 1.81 2.07
7/16/2019 1.84 2.06
8/16/2019 1.57 1.63
9/16/2019 1.65 1.7
10/16/2019 1.55 1.71
11/16/2019 1.61 1.81
12/16/2019 1.61 1.86
1/16/2020 1.52 1.76
2/15/2020 1.33 1.5
3/16/2020 0.45 0.87
4/16/2020 0.22 0.66
5/16/2020 0.17 0.67
6/16/2020 0.19 0.73
7/16/2020 0.15 0.62
8/16/2020 0.14 0.65
9/16/2020 0.13 0.68
10/16/2020 0.15 0.79
11/16/2020 0.17 0.87
12/16/2020 0.14 0.93
1/16/2021 0.13 1.08
2/15/2021 0.12 1.26
3/16/2021 0.15 1.61
4/16/2021 0.16 1.64
5/16/2021 0.16 1.62
6/16/2021 0.2 1.52
7/16/2021 0.22 1.32
8/16/2021 0.22 1.28
9/16/2021 0.24 1.37
10/16/2021 0.36 1.58

Note: The 2-year and 10-year Treasury rates are the constant-maturity yields based on the most actively traded securities.

Source: Federal Reserve Board, Statistical Release H.15, "Selected Interest Rates."

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Figure 1-2. Term Premium on 10-Year Nominal Treasury Securities

Percentage points

Date Term Premium
1/16/1997 1.49
2/15/1997 1.42
3/16/1997 1.56
4/16/1997 1.66
5/16/1997 1.56
6/16/1997 1.49
7/16/1997 1.32
8/16/1997 1.32
9/16/1997 1.33
10/16/1997 1.23
11/16/1997 1.07
12/16/1997 1.00
1/16/1998 0.89
2/15/1998 0.91
3/16/1998 0.97
4/16/1998 0.97
5/16/1998 0.98
6/16/1998 0.89
7/16/1998 0.86
8/16/1998 0.81
9/16/1998 0.59
10/16/1998 0.61
11/16/1998 0.69
12/16/1998 0.60
1/16/1999 0.70
2/15/1999 0.83
3/16/1999 0.99
4/16/1999 0.98
5/16/1999 1.14
6/16/1999 1.32
7/16/1999 1.28
8/16/1999 1.35
9/16/1999 1.35
10/16/1999 1.44
11/16/1999 1.28
12/16/1999 1.35
1/16/2000 1.51
2/15/2000 1.39
3/16/2000 1.22
4/16/2000 1.04
5/16/2000 1.24
6/16/2000 1.06
7/16/2000 0.97
8/16/2000 0.83
9/16/2000 0.83
10/16/2000 0.76
11/16/2000 0.71
12/16/2000 0.53
1/16/2001 0.68
2/15/2001 0.78
3/16/2001 0.78
4/16/2001 1.05
5/16/2001 1.29
6/16/2001 1.29
7/16/2001 1.27
8/16/2001 1.17
9/16/2001 1.19
10/16/2001 1.27
11/16/2001 1.39
12/16/2001 1.77
1/16/2002 1.76
2/15/2002 1.66
3/16/2002 1.84
4/16/2002 1.81
5/16/2002 1.75
6/16/2002 1.60
7/16/2002 1.46
8/16/2002 1.22
9/16/2002 0.96
10/16/2002 0.97
11/16/2002 1.14
12/16/2002 1.17
1/16/2003 1.15
2/15/2003 1.08
3/16/2003 0.99
4/16/2003 1.09
5/16/2003 0.83
6/16/2003 0.67
7/16/2003 1.07
8/16/2003 1.46
9/16/2003 1.36
10/16/2003 1.31
11/16/2003 1.34
12/16/2003 1.31
1/16/2004 1.23
2/15/2004 1.19
3/16/2004 1.01
4/16/2004 1.32
5/16/2004 1.56
6/16/2004 1.49
7/16/2004 1.30
8/16/2004 1.14
9/16/2004 0.97
10/16/2004 0.90
11/16/2004 0.87
12/16/2004 0.84
1/16/2005 0.79
2/15/2005 0.68
3/16/2005 0.84
4/16/2005 0.73
5/16/2005 0.58
6/16/2005 0.45
7/16/2005 0.48
8/16/2005 0.49
9/16/2005 0.42
10/16/2005 0.52
11/16/2005 0.55
12/16/2005 0.48
1/16/2006 0.37
2/15/2006 0.42
3/16/2006 0.48
4/16/2006 0.61
5/16/2006 0.66
6/16/2006 0.62
7/16/2006 0.57
8/16/2006 0.45
9/16/2006 0.39
10/16/2006 0.37
11/16/2006 0.28
12/16/2006 0.27
1/16/2007 0.37
2/15/2007 0.36
3/16/2007 0.26
4/16/2007 0.36
5/16/2007 0.40
6/16/2007 0.66
7/16/2007 0.59
8/16/2007 0.53
9/16/2007 0.51
10/16/2007 0.54
11/16/2007 0.48
12/16/2007 0.53
1/16/2008 0.39
2/15/2008 0.63
3/16/2008 0.67
4/16/2008 0.77
5/16/2008 0.83
6/16/2008 0.93
7/16/2008 0.88
8/16/2008 0.80
9/16/2008 0.77
10/16/2008 1.09
11/16/2008 1.14
12/16/2008 0.52
1/16/2009 0.52
2/15/2009 0.74
3/16/2009 0.68
4/16/2009 0.67
5/16/2009 0.92
6/16/2009 1.28
7/16/2009 1.15
8/16/2009 1.18
9/16/2009 1.06
10/16/2009 1.02
11/16/2009 1.04
12/16/2009 1.09
1/16/2010 1.22
2/15/2010 1.16
3/16/2010 1.15
4/16/2010 1.23
5/16/2010 0.97
6/16/2010 0.84
7/16/2010 0.66
8/16/2010 0.44
9/16/2010 0.39
10/16/2010 0.27
11/16/2010 0.39
12/16/2010 0.80
1/16/2011 0.87
2/15/2011 1.02
3/16/2011 0.92
4/16/2011 0.97
5/16/2011 0.77
6/16/2011 0.60
7/16/2011 0.63
8/16/2011 0.17
9/16/2011 -0.03
10/16/2011 0.06
11/16/2011 -0.03
12/16/2011 -0.06
1/16/2012 -0.09
2/15/2012 -0.12
3/16/2012 0.02
4/16/2012 -0.05
5/16/2012 -0.21
6/16/2012 -0.33
7/16/2012 -0.39
8/16/2012 -0.30
9/16/2012 -0.30
10/16/2012 -0.29
11/16/2012 -0.33
12/16/2012 -0.29
1/16/2013 -0.18
2/15/2013 -0.11
3/16/2013 -0.14
4/16/2013 -0.25
5/16/2013 -0.16
6/16/2013 0.12
7/16/2013 0.34
8/16/2013 0.46
9/16/2013 0.53
10/16/2013 0.37
11/16/2013 0.41
12/16/2013 0.55
1/16/2014 0.58
2/15/2014 0.46
3/16/2014 0.48
4/16/2014 0.50
5/16/2014 0.41
6/16/2014 0.43
7/16/2014 0.41
8/16/2014 0.35
9/16/2014 0.41
10/16/2014 0.28
11/16/2014 0.30
12/16/2014 0.22
1/16/2015 0.03
2/15/2015 0.06
3/16/2015 0.11
4/16/2015 0.01
5/16/2015 0.19
6/16/2015 0.29
7/16/2015 0.27
8/16/2015 0.14
9/16/2015 0.14
10/16/2015 0.07
11/16/2015 0.18
12/16/2015 0.12
1/16/2016 0.03
2/15/2016 -0.19
3/16/2016 -0.12
4/16/2016 -0.18
5/16/2016 -0.17
6/16/2016 -0.27
7/16/2016 -0.38
8/16/2016 -0.35
9/16/2016 -0.30
10/16/2016 -0.24
11/16/2016 -0.01
12/16/2016 0.24
1/16/2017 0.20
2/15/2017 0.19
3/16/2017 0.16
4/16/2017 0.01
5/16/2017 -0.01
6/16/2017 -0.13
7/16/2017 -0.06
8/16/2017 -0.12
9/16/2017 -0.15
10/16/2017 -0.06
11/16/2017 -0.09
12/16/2017 -0.08
1/16/2018 -0.01
2/15/2018 0.14
3/16/2018 0.10
4/16/2018 0.08
5/16/2018 0.14
6/16/2018 0.08
7/16/2018 0.04
8/16/2018 0.02
9/16/2018 0.05
10/16/2018 0.11
11/16/2018 0.07
12/16/2018 -0.12
1/16/2019 -0.21
2/15/2019 -0.24
3/16/2019 -0.29
4/16/2019 -0.32
5/16/2019 -0.38
6/16/2019 -0.54
7/16/2019 -0.53
8/16/2019 -0.73
9/16/2019 -0.70
10/16/2019 -0.63
11/16/2019 -0.52
12/16/2019 -0.49
1/16/2020 -0.53
2/15/2020 -0.70
3/16/2020 -0.75
4/16/2020 -0.83
5/16/2020 -0.85
6/16/2020 -0.84
7/16/2020 -0.89
8/16/2020 -0.89
9/16/2020 -0.87
10/16/2020 -0.81
11/16/2020 -0.75
12/16/2020 -0.72
1/16/2021 -0.64
2/15/2021 -0.53
3/16/2021 -0.25
4/16/2021 -0.21
5/16/2021 -0.23
6/16/2021 -0.27
7/16/2021 -0.39
8/16/2021 -0.43
9/16/2021 -0.37
10/16/2021 -0.20

Note: Term premiums are estimated from a 3-factor term structure model using Treasury yields and Blue Chip interest rate forecasts.

Source: Department of the Treasury; Wolters Kluwer, Blue Chip Financial Forecasts; Federal Reserve Bank of New York; Federal Reserve Board staff estimates.

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Figure 1-3. Implied Volatility of 10-Year Swap Rate

This is a line chart titled "Implied Volatility of the 10-Year Swap Rate.” The x-axis measures time and ranges from years 2003 to 2021. The y-axis ranges from 0 to 250 basis points. The data are monthly. The variable plotted, the implied volatility on the 10-year swap rate, is designated by a black line. It begins in 2003 at around 120 basis points. It then steadily declines from 2004 to 2007 where it reaches around 70 basis points. It gradually rises from 2007 to 2009 peak of around 250 basis points in 2009. It then drops steeply to around 60 basis points in 2014, and then stays at that level until 2020. In 2020, there is a large jump to 150 basis points then a sharp decline to right above 50 basis points, ending in October 2020. In 2021 there is a gradual increase to around 75 basis points, then a sharp increase to about 83 basis points, followed by a decrease to 66 basis points. It then levels off at about 74 basis points in October 2021. The median for this series, designated by a horizontal red line, is plotted at 80.72 basis points.

Note: Implied volatility on the 10-year swap rate, 1 month ahead, derived from swaptions.

Source: Barclays.

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Figure 1-4. Treasury Market Depth

This is a line chart titled “Treasury Market Depth”. The x-axis measures from January 2019 to October 2021. The left y-axis measures the blue line labeled “30-year” and ranges from 0 to 35. The right y-axis measures the black line labeled “5-year” and the red line labeled “10-year” ranging from 0 to 350. Both axes are measured in millions of dollars. The red line begins in January 2019 around 100 and in the same month sees an increase to 200. In March, it reaches around 250 to drop back to 200 in the same month. It drops to around 75 by August. It hovers around 100 until March 2020. In March of 2020 it decreases sharply to around 25 and increases to around 75 in April. It then increases to right above 150 in October. There is a quick decrease around March 2021 to just over 50 and then an increase until April 2021, where the series dips and increases to about 150 in May 2021. The red series then decreased to 100 in June, increases to 150 in July, and then decreases to 100 by mid-August 2021. The series ends in October 2021 at about 140 million dollars. The black line begins around 150. It increases to roughly 250 in February 2019. It then declines to 150 by August 2019. It then drops to around 100 and stays roughly around that value until the start of 2020. By February it reaches almost 175 and then drops to around 25 in March 2020. It then increases to 100 by the end of April. It then increases steadily to end right below 300 in October. It stays between 200 and 300 to end 2020. There is a sharp decrease to around 100 in March 2021 and an increase to 150 and decrease to 100 in April. The series then steadily increases to about 180 by June 2021, then decreases to about 130 in mid-June. It then increases to 170 in July, and then gradually stabilizes to end at about 150 million dollars in October 2021. The blue line begins around 15 in January 2019. From February to July it stays between roughly 23 and 28. It then drops to around 10 and hovers between 10 and 15 until March 2020. It then drops to 5 and stays there through April 2020. It then sees an increase to around 15 in July 2020 and then decreases to right below 10 in October 2020. It steadily increases to 15 in April 2021, and continues to increase to 20 in June. The series then sharply decreases to about 12 at the end of June, sees a slight increase to 15 in July, and then dips to 10 in late July. It then increases to about 17 in September, then decreases sharply to about 13 in early October. The series ends at about 19 on October 20th, 2021.

Note: Market depth is defined as the average top three bid and ask quote sizes for on-the-run Treasury securities.

Source: Interdealer broker community.

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Figure 1-5. Corporate Bond Yields

This is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2021. The y-axis ranges from 0 to 24 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "High-yield" and is designated by a black line. It begins at around 9 percent in 1997 and rises gradually to around 13 percent in 1999 and 2000. It falls to around 7 percent in 2003, and then peaks sharply in 2008 and 2009 at around 22 percent before falling sharply to around 9 percent in late 2009. It generally remains between 6 and 8 percent from 2010 to 2019, with local peaks of about 10 and 8 in early 2016 and December 2018, respectively. In March 2020, it sharply jumps to about 10 percent. After that, it steadily decreases to 4 percent in April 2021, and stays at around 4 percent by the end of the series in October 2021. The second line is labeled "Triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, and fluctuates between 7 and 9 percent until it drops to around 5 percent in 2002 and 2003. It gradually rises until it sharply increases to around 10 percent in 2008 and 2009, and then declines to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to October 2019. It has a spike in early 2020 then decreases to around 2 percent in October 2020. It hovers at the level for the rest of 2020 and into 2021, ending at a little over 2 percent in October.

Note: The triple-B series reflects the effective yield of the ICE Bank of America Merrill Lynch (BoAML) triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the effective yield of the ICE BofAML U.S. High Yield Index (H0A0).

Source: ICE Data Indices, LLC, used with permission.

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Figure 1-6. Corporate Bond Spreads to Similar-Maturity Treasury Securities

This is a line chart titled "Corporate Bond Spreads to Similar-Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2021. The data are monthly, and there are two variables plotted on the chart. The first line is labeled "High-yield" and is designated by a black line. This line corresponds to the values on the right y-axis, which ranges from 0 to 24 percentage points. It begins at around 3 percentage points in 1997, rises to around 8 percentage points from 2000 to 2002, then drops to around 4 percentage points in 2003. The series then hovers around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 20 percentage points. It then falls steeply in 2009 to around 6 percentage points, goes briefly up to around 8 percentage points in 2011 and 2012, falls gradually to around 4 percentage points from 2012 to 2014, rises gradually from 2014 to 2016 to 8 percentage points, then falls to around 4 percentage points again from 2016 to October 2018. It then increases in November and December 2018 but decreases to around 3.5 percentage points in November 2019. In mid-2020, it jumps to almost 10 percent then drops to about 5 percent in October. It then steadily decreases to in April 2021 around 3 percentage points, and remains there until October 2021. The second line is labeled "Triple B" and is designated by a blue line. This line corresponds to the values on the left y-axis, which ranges from 0 to 12 percentage points. It begins at just under 1 percentage point in 1997, rises to around 3 percentage points from 2000 to 2002, then drops sharply to around 1 percentage point in 2003. It remains around 1 percentage point until 2008 when it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 2 percentage points and goes briefly up to around 3 percentage points in 2011 and 2012. It then falls gradually to around 1.5 percentage points from 2012 to 2014, rises gradually to around 2 percentage points in 2016, then declines to around 1.5 percentage points again from 2016 to October 2018. It then increases in November and December 2018 but decreases to around 1.5 percentage points in November 2019. In early 2020 it jumps to almost 4 percent and drops right below 2 percent in October 2020. It then decreases to 1 percent in April 2021, and remains there by October 2021.

Note: The triple-B series reflects the option-adjusted spread of the ICE Bank of America Merrill Lynch (BofAML) triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the option-adjusted spread of the ICE BofAML U.S. High Yield Index (H0A0).

Source: ICE Data Indices, LLC, used with permission.

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Figure 1-7. Excess Bond Premium

Percentage points

Date Excess Bond Premium
1/16/1997 -0.33
2/15/1997 -0.48
3/16/1997 -0.51
4/16/1997 -0.47
5/16/1997 -0.46
6/16/1997 -0.57
7/16/1997 -0.54
8/16/1997 -0.50
9/16/1997 -0.59
10/16/1997 -0.44
11/16/1997 -0.36
12/16/1997 -0.40
1/16/1998 -0.36
2/15/1998 -0.36
3/16/1998 -0.41
4/16/1998 -0.44
5/16/1998 -0.39
6/16/1998 -0.36
7/16/1998 -0.32
8/16/1998 0.08
9/16/1998 0.06
10/16/1998 0.19
11/16/1998 0.17
12/16/1998 0.04
1/16/1999 0.05
2/15/1999 -0.21
3/16/1999 -0.19
4/16/1999 -0.23
5/16/1999 -0.23
6/16/1999 -0.17
7/16/1999 -0.13
8/16/1999 -0.06
9/16/1999 0.06
10/16/1999 0.08
11/16/1999 0.04
12/16/1999 -0.19
1/16/2000 0.00
2/15/2000 0.07
3/16/2000 0.34
4/16/2000 0.49
5/16/2000 0.68
6/16/2000 0.73
7/16/2000 0.81
8/16/2000 1.00
9/16/2000 1.10
10/16/2000 1.51
11/16/2000 1.57
12/16/2000 1.58
1/16/2001 1.15
2/15/2001 1.14
3/16/2001 1.07
4/16/2001 0.88
5/16/2001 0.73
6/16/2001 0.97
7/16/2001 0.74
8/16/2001 0.74
9/16/2001 1.19
10/16/2001 1.01
11/16/2001 -0.20
12/16/2001 0.34
1/16/2002 0.54
2/15/2002 0.72
3/16/2002 0.20
4/16/2002 0.34
5/16/2002 0.45
6/16/2002 0.90
7/16/2002 1.51
8/16/2002 1.42
9/16/2002 1.60
10/16/2002 1.40
11/16/2002 0.98
12/16/2002 0.87
1/16/2003 0.84
2/15/2003 0.62
3/16/2003 0.11
4/16/2003 0.03
5/16/2003 -0.53
6/16/2003 -0.41
7/16/2003 -1.13
8/16/2003 -0.23
9/16/2003 -0.58
10/16/2003 -0.55
11/16/2003 -0.59
12/16/2003 -0.55
1/16/2004 -0.73
2/15/2004 -0.35
3/16/2004 -0.55
4/16/2004 -0.80
5/16/2004 -0.41
6/16/2004 -0.41
7/16/2004 -0.34
8/16/2004 -0.42
9/16/2004 -0.57
10/16/2004 -0.53
11/16/2004 -0.70
12/16/2004 -0.75
1/16/2005 -0.72
2/15/2005 -0.99
3/16/2005 -0.70
4/16/2005 -0.45
5/16/2005 -0.36
6/16/2005 -0.51
7/16/2005 -0.61
8/16/2005 -0.58
9/16/2005 -0.51
10/16/2005 -0.36
11/16/2005 -0.36
12/16/2005 -0.33
1/16/2006 -0.38
2/15/2006 -0.36
3/16/2006 -0.45
4/16/2006 -0.48
5/16/2006 -0.38
6/16/2006 -0.40
7/16/2006 -0.30
8/16/2006 -0.30
9/16/2006 -0.38
10/16/2006 -0.40
11/16/2006 -0.38
12/16/2006 -0.51
1/16/2007 -0.56
2/15/2007 -0.57
3/16/2007 -0.38
4/16/2007 -0.38
5/16/2007 -0.63
6/16/2007 -0.41
7/16/2007 0.00
8/16/2007 0.13
9/16/2007 0.05
10/16/2007 -0.02
11/16/2007 0.31
12/16/2007 0.48
1/16/2008 0.70
2/15/2008 0.92
3/16/2008 1.12
4/16/2008 0.62
5/16/2008 0.63
6/16/2008 0.76
7/16/2008 1.02
8/16/2008 1.21
9/16/2008 1.71
10/16/2008 3.31
11/16/2008 2.96
12/16/2008 3.16
1/16/2009 2.70
2/15/2009 3.11
3/16/2009 2.66
4/16/2009 2.18
5/16/2009 1.30
6/16/2009 0.87
7/16/2009 0.27
8/16/2009 0.03
9/16/2009 0.00
10/16/2009 -0.18
11/16/2009 -0.04
12/16/2009 -0.54
1/16/2010 -0.22
2/15/2010 -0.02
3/16/2010 -0.19
4/16/2010 -0.31
5/16/2010 -0.17
6/16/2010 0.01
7/16/2010 0.16
8/16/2010 -0.32
9/16/2010 -0.02
10/16/2010 0.01
11/16/2010 -0.14
12/16/2010 -0.44
1/16/2011 -0.01
2/15/2011 -0.29
3/16/2011 -0.33
4/16/2011 -0.28
5/16/2011 -0.14
6/16/2011 -0.02
7/16/2011 -0.06
8/16/2011 -0.10
9/16/2011 0.40
10/16/2011 -0.13
11/16/2011 0.48
12/16/2011 0.24
1/16/2012 0.16
2/15/2012 0.04
3/16/2012 -0.38
4/16/2012 -0.19
5/16/2012 -0.12
6/16/2012 0.13
7/16/2012 -0.04
8/16/2012 -0.22
9/16/2012 -0.17
10/16/2012 -0.20
11/16/2012 -0.06
12/16/2012 -0.18
1/16/2013 -0.10
2/15/2013 -0.04
3/16/2013 -0.11
4/16/2013 -0.14
5/16/2013 -0.52
6/16/2013 -0.39
7/16/2013 -0.02
8/16/2013 -0.13
9/16/2013 -0.15
10/16/2013 -0.03
11/16/2013 0.00
12/16/2013 -0.16
1/16/2014 -0.32
2/15/2014 -0.22
3/16/2014 -0.30
4/16/2014 -0.38
5/16/2014 -0.39
6/16/2014 -0.33
7/16/2014 -0.35
8/16/2014 -0.33
9/16/2014 -0.25
10/16/2014 -0.24
11/16/2014 0.03
12/16/2014 0.04
1/16/2015 -0.09
2/15/2015 -0.35
3/16/2015 -0.18
4/16/2015 -0.03
5/16/2015 0.03
6/16/2015 0.13
7/16/2015 0.19
8/16/2015 0.38
9/16/2015 0.52
10/16/2015 0.41
11/16/2015 0.49
12/16/2015 0.67
1/16/2016 0.91
2/15/2016 0.93
3/16/2016 0.56
4/16/2016 0.21
5/16/2016 0.22
6/16/2016 0.02
7/16/2016 -0.03
8/16/2016 -0.04
9/16/2016 -0.10
10/16/2016 -0.09
11/16/2016 -0.79
12/16/2016 -0.27
1/16/2017 -0.21
2/15/2017 -0.21
3/16/2017 -0.19
4/16/2017 -0.14
5/16/2017 -0.19
6/16/2017 -0.15
7/16/2017 -0.17
8/16/2017 -0.08
9/16/2017 -0.28
10/16/2017 -0.23
11/16/2017 -0.16
12/16/2017 -0.23
1/16/2018 -0.44
2/15/2018 -0.27
3/16/2018 -0.14
4/16/2018 -0.33
5/16/2018 -0.24
6/16/2018 -0.01
7/16/2018 -0.17
8/16/2018 -0.12
9/16/2018 -0.21
10/16/2018 -0.02
11/16/2018 0.12
12/16/2018 0.32
1/16/2019 0.16
2/15/2019 0.05
3/16/2019 -0.15
4/16/2019 -0.02
5/16/2019 -0.04
6/16/2019 -0.01
7/16/2019 -0.06
8/16/2019 -0.18
9/16/2019 -0.27
10/16/2019 -0.26
11/16/2019 -0.21
12/16/2019 -0.32
1/16/2020 -0.28
2/15/2020 -0.19
3/16/2020 1.16
4/16/2020 0.63
5/16/2020 0.39
6/16/2020 0.03
7/16/2020 -0.19
8/16/2020 -0.29
9/16/2020 -0.01
10/16/2020 -0.21
11/16/2020 -0.48
12/16/2020 -0.51
1/16/2021 -0.66
2/15/2021 -0.97
3/16/2021 -0.75
4/16/2021 -0.49
5/16/2021 -0.43
6/16/2021 -0.60
7/16/2021 -0.57
8/16/2021 -0.48
9/16/2021 -0.71

Note: The excess bond premium (EBP) is the residual of a regression of corporate bond spreads on controls for firms’ expected defaults. By construction, its historical mean is zero. Positive (negative) EBP values indicate that investors’ risk appetite is below (above) its historical mean.

Source: Federal Reserve Board staff calculations based on Lehman Brothers Fixed Income Database (Warga); Intercontinental Exchange, Inc., ICE Data Services; Center for Research in Security Prices, CRSP/Compustat Merged Database, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.

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Figure 1-8. Secondary-Market Spreads of Leveraged Loans

Percentage points

Date B BB
1/31/1997 n.a. 2.09
2/28/1997 n.a. 2.08
3/31/1997 n.a. 2.08
4/30/1997 n.a. 2.13
5/31/1997 n.a. 2.16
6/30/1997 n.a. 2.17
7/31/1997 2.28 1.91
8/31/1997 2.26 1.85
9/30/1997 2.28 1.89
10/31/1997 2.55 1.95
11/30/1997 2.55 1.91
12/31/1997 2.58 1.89
1/31/1998 2.58 2.04
2/28/1998 2.58 2.08
3/31/1998 2.61 2.01
4/30/1998 2.60 2.02
5/31/1998 2.65 2.17
6/30/1998 2.64 2.28
7/31/1998 2.65 2.25
8/31/1998 2.75 2.33
9/30/1998 2.94 2.50
10/31/1998 3.06 2.63
11/30/1998 3.35 2.69
12/31/1998 3.23 2.56
1/31/1999 3.20 2.62
2/28/1999 3.21 2.55
3/31/1999 3.57 2.48
4/30/1999 3.93 2.65
5/31/1999 3.80 2.84
6/30/1999 3.86 2.84
7/31/1999 4.10 2.95
8/31/1999 4.46 2.99
9/30/1999 4.75 3.96
10/31/1999 4.96 4.09
11/30/1999 4.74 3.91
12/31/1999 6.08 4.02
1/31/2000 6.24 4.07
2/29/2000 6.07 4.11
3/31/2000 6.05 3.43
4/30/2000 5.44 3.51
5/31/2000 5.25 3.26
6/30/2000 5.67 3.12
7/31/2000 6.03 3.00
8/31/2000 5.73 3.02
9/30/2000 6.65 3.19
10/31/2000 6.91 3.26
11/30/2000 7.31 3.07
12/31/2000 6.69 3.05
1/31/2001 6.26 2.95
2/28/2001 5.95 2.91
3/31/2001 6.83 2.95
4/30/2001 6.71 2.96
5/31/2001 6.50 2.95
6/30/2001 6.62 2.99
7/31/2001 6.71 3.03
8/31/2001 6.51 3.00
9/30/2001 7.42 3.35
10/31/2001 8.71 3.51
11/30/2001 6.82 3.11
12/31/2001 6.21 3.09
1/31/2002 5.89 3.05
2/28/2002 5.50 3.09
3/31/2002 5.22 3.07
4/30/2002 4.92 2.94
5/31/2002 5.62 2.95
6/30/2002 5.90 2.99
7/31/2002 6.63 3.38
8/31/2002 6.53 3.72
9/30/2002 6.64 3.75
10/31/2002 7.37 4.64
11/30/2002 6.72 4.14
12/31/2002 6.58 3.52
1/31/2003 6.10 3.60
2/28/2003 6.30 3.56
3/31/2003 6.03 3.57
4/30/2003 5.11 3.58
5/31/2003 4.66 3.35
6/30/2003 4.48 3.24
7/31/2003 4.51 3.03
8/31/2003 4.72 3.01
9/30/2003 4.98 2.98
10/31/2003 4.82 2.94
11/30/2003 4.78 2.85
12/31/2003 4.51 2.61
1/31/2004 4.03 2.51
2/29/2004 4.20 2.45
3/31/2004 3.92 2.38
4/30/2004 3.92 2.33
5/28/2004 4.06 2.40
6/25/2004 3.77 2.34
7/30/2004 3.84 2.26
8/31/2004 3.69 2.20
9/30/2004 3.61 2.14
10/29/2004 3.42 2.10
11/30/2004 3.26 2.07
12/31/2004 3.21 2.01
1/31/2005 3.25 1.98
2/25/2005 3.14 1.94
3/31/2005 3.05 1.85
4/29/2005 3.30 1.83
5/31/2005 3.12 1.86
6/30/2005 3.10 1.84
7/29/2005 3.04 1.77
8/30/2005 2.98 1.68
9/30/2005 2.96 1.73
10/28/2005 3.00 1.77
11/30/2005 2.89 1.78
12/30/2005 2.81 1.81
1/31/2006 2.82 1.75
2/28/2006 2.78 1.68
3/31/2006 2.74 1.68
4/28/2006 2.74 1.66
5/31/2006 2.67 1.73
6/30/2006 2.67 1.84
7/28/2006 2.70 1.88
8/31/2006 2.74 1.87
9/29/2006 2.74 1.86
10/31/2006 2.70 1.83
11/30/2006 2.70 1.97
12/29/2006 2.73 1.94
1/31/2007 2.60 1.91
2/28/2007 2.53 1.74
3/30/2007 2.49 1.77
4/27/2007 2.46 1.80
5/31/2007 2.41 1.79
6/29/2007 2.70 2.01
7/31/2007 3.48 2.82
8/31/2007 3.59 3.00
9/28/2007 3.34 2.71
10/26/2007 3.29 2.64
11/30/2007 3.86 3.06
12/28/2007 4.16 2.93
1/31/2008 4.98 3.74
2/29/2008 6.07 4.38
3/28/2008 7.21 4.32
4/30/2008 6.35 3.68
5/30/2008 6.38 3.59
6/27/2008 6.39 3.86
7/31/2008 7.17 4.18
8/29/2008 7.65 4.23
9/30/2008 10.61 5.94
10/31/2008 17.05 9.27
11/28/2008 20.89 11.03
12/31/2008 24.76 11.47
1/30/2009 20.70 8.74
2/27/2009 20.75 7.85
3/31/2009 20.32 7.79
4/30/2009 15.79 5.77
5/29/2009 12.40 5.56
6/30/2009 10.23 4.86
7/31/2009 8.50 4.19
8/31/2009 7.81 4.13
9/30/2009 6.96 4.01
10/30/2009 6.37 4.20
11/30/2009 6.70 4.53
12/31/2009 6.02 3.88
1/29/2010 5.67 3.70
2/26/2010 5.78 3.81
3/31/2010 5.27 3.50
4/30/2010 5.05 3.43
5/28/2010 6.11 3.99
6/30/2010 6.43 4.17
7/30/2010 5.98 4.01
8/31/2010 5.98 4.01
9/30/2010 5.62 3.88
10/29/2010 5.22 3.66
11/30/2010 5.61 3.71
12/31/2010 5.29 3.69
1/31/2011 4.80 3.51
2/28/2011 4.82 3.52
3/31/2011 4.85 3.44
4/29/2011 4.89 3.41
5/31/2011 5.04 3.57
6/30/2011 5.35 3.81
7/29/2011 5.42 3.82
8/31/2011 6.75 5.11
9/30/2011 6.85 4.69
10/31/2011 6.06 4.02
11/30/2011 6.54 4.24
12/30/2011 6.33 4.16
1/31/2012 5.71 3.85
2/29/2012 5.33 3.80
3/30/2012 5.37 3.76
4/30/2012 5.38 3.91
5/31/2012 5.86 4.26
6/29/2012 5.79 4.25
7/31/2012 5.88 4.10
8/31/2012 5.69 4.17
9/28/2012 5.55 3.96
10/31/2012 5.49 3.83
11/30/2012 5.60 3.84
12/31/2012 5.49 3.84
1/31/2013 5.28 3.72
2/28/2013 5.32 3.86
3/28/2013 5.14 3.73
4/30/2013 5.04 3.79
5/31/2013 4.87 3.62
6/28/2013 4.98 3.59
7/31/2013 4.82 3.33
8/30/2013 4.92 3.41
9/30/2013 4.99 3.46
10/31/2013 4.90 3.43
11/22/2013 4.92 3.50
11/29/2013 4.91 3.52
12/6/2013 4.90 3.52
12/13/2013 4.88 3.52
12/20/2013 4.86 3.46
12/27/2013 4.84 3.40
12/31/2013 4.86 3.39
1/3/2014 4.84 3.37
1/10/2014 4.77 3.34
1/17/2014 4.74 3.35
1/24/2014 4.74 3.34
1/31/2014 4.77 3.37
2/7/2014 4.76 3.37
2/14/2014 4.74 3.42
2/21/2014 4.72 3.44
2/28/2014 4.71 3.32
3/7/2014 4.70 3.32
3/14/2014 4.68 3.32
3/21/2014 4.65 3.31
3/28/2014 4.65 3.32
3/31/2014 4.66 3.32
4/4/2014 4.72 3.38
4/11/2014 4.70 3.41
4/17/2014 4.72 3.40
4/25/2014 4.76 3.45
4/30/2014 4.74 3.43
5/2/2014 4.74 3.41
5/9/2014 4.73 3.37
5/16/2014 4.70 3.38
5/23/2014 4.71 3.39
5/30/2014 4.72 3.39
6/6/2014 4.70 3.40
6/13/2014 4.69 3.40
6/20/2014 4.69 3.39
6/27/2014 4.68 3.37
6/30/2014 4.68 3.37
7/3/2014 4.67 3.38
7/11/2014 4.66 3.42
7/18/2014 4.67 3.42
7/25/2014 4.67 3.43
7/31/2014 4.72 3.47
8/1/2014 4.75 3.50
8/8/2014 4.76 3.56
8/15/2014 4.80 3.63
8/22/2014 4.79 3.61
8/29/2014 4.76 3.58
9/5/2014 4.77 3.58
9/12/2014 4.82 3.63
9/19/2014 4.82 3.63
9/26/2014 4.90 3.71
9/30/2014 4.95 3.76
10/3/2014 4.97 3.76
10/10/2014 4.99 3.78
10/17/2014 5.14 3.92
10/24/2014 5.09 3.84
10/31/2014 5.00 3.74
11/7/2014 5.01 3.71
11/14/2014 5.00 3.69
11/21/2014 5.01 3.68
11/28/2014 5.03 3.67
12/5/2014 5.14 3.69
12/12/2014 5.41 3.91
12/19/2014 5.52 3.95
12/26/2014 5.45 3.90
12/31/2014 5.44 3.88
1/2/2015 5.44 3.89
1/9/2015 5.44 3.92
1/16/2015 5.45 3.89
1/23/2015 5.44 3.88
1/30/2015 5.47 3.93
2/6/2015 5.41 3.86
2/13/2015 5.33 3.79
2/20/2015 5.27 3.75
2/27/2015 5.22 3.73
3/6/2015 5.19 3.68
3/13/2015 5.16 3.69
3/20/2015 5.21 3.70
3/27/2015 5.21 3.67
3/31/2015 5.19 3.65
4/2/2015 5.18 3.66
4/10/2015 5.12 3.58
4/17/2015 5.14 3.56
4/24/2015 5.11 3.56
4/30/2015 5.11 3.56
5/1/2015 5.12 3.55
5/8/2015 5.09 3.57
5/15/2015 5.11 3.60
5/22/2015 5.13 3.57
5/29/2015 5.14 3.57
6/5/2015 5.22 3.58
6/12/2015 5.28 3.61
6/19/2015 5.31 3.64
6/26/2015 5.31 3.62
6/30/2015 5.36 3.65
7/2/2015 5.35 3.63
7/10/2015 5.34 3.59
7/17/2015 5.30 3.55
7/24/2015 5.31 3.55
7/31/2015 5.36 3.58
8/7/2015 5.38 3.62
8/14/2015 5.41 3.68
8/21/2015 5.48 3.71
8/28/2015 5.56 3.74
8/31/2015 5.56 3.73
9/4/2015 5.41 3.72
9/11/2015 5.42 3.69
9/18/2015 5.45 3.68
9/25/2015 5.52 3.70
9/30/2015 5.67 3.77
10/2/2015 5.75 3.78
10/9/2015 5.75 3.77
10/16/2015 5.79 3.78
10/23/2015 5.76 3.78
10/30/2015 5.77 3.85
11/6/2015 5.77 3.81
11/13/2015 5.90 3.90
11/20/2015 6.08 3.95
11/27/2015 6.11 3.92
11/30/2015 6.14 3.92
12/4/2015 6.21 3.87
12/11/2015 6.66 3.96
12/18/2015 7.00 4.02
12/24/2015 7.08 4.05
12/31/2015 7.08 4.03
1/8/2016 7.12 4.01
1/15/2016 7.22 4.03
1/22/2016 7.46 4.14
1/29/2016 7.43 4.14
2/5/2016 7.46 4.11
2/12/2016 7.71 4.26
2/19/2016 7.52 4.27
2/26/2016 7.51 4.24
2/29/2016 7.50 4.24
3/4/2016 7.25 4.11
3/11/2016 6.95 3.97
3/18/2016 6.56 3.76
3/24/2016 6.50 3.78
3/31/2016 6.50 3.75
4/1/2016 6.28 3.81
4/8/2016 6.20 3.73
4/15/2016 5.81 3.69
4/22/2016 5.60 3.62
4/29/2016 5.52 3.60
5/6/2016 5.50 3.64
5/13/2016 5.46 3.65
5/20/2016 5.42 3.62
5/27/2016 5.33 3.58
5/31/2016 5.32 3.58
6/3/2016 5.34 3.57
6/10/2016 5.29 3.61
6/17/2016 5.29 3.65
6/24/2016 5.34 3.64
6/30/2016 5.40 3.68
7/1/2016 5.38 3.65
7/8/2016 5.34 3.62
7/15/2016 5.23 3.54
7/22/2016 5.15 3.48
7/29/2016 5.12 3.45
8/5/2016 5.10 3.47
8/12/2016 5.07 3.44
8/19/2016 5.13 3.44
8/26/2016 5.10 3.45
8/31/2016 5.08 3.44
9/2/2016 5.04 3.43
9/9/2016 5.00 3.39
9/16/2016 5.00 3.37
9/23/2016 4.89 3.35
9/30/2016 4.88 3.34
10/7/2016 4.84 3.27
10/14/2016 4.86 3.27
10/21/2016 4.81 3.20
10/28/2016 4.78 3.19
10/31/2016 4.79 3.20
11/4/2016 4.80 3.25
11/10/2016 4.80 3.27
11/18/2016 4.77 3.22
11/25/2016 4.75 3.21
11/30/2016 4.73 3.20
12/2/2016 4.68 3.20
12/9/2016 4.59 3.09
12/16/2016 4.54 3.07
12/23/2016 4.60 3.07
12/30/2016 4.64 3.04
1/6/2017 4.57 3.02
1/13/2017 4.54 3.03
1/20/2017 4.56 3.06
1/27/2017 4.54 3.09
1/31/2017 4.54 3.10
2/3/2017 4.50 3.06
2/10/2017 4.51 3.01
2/17/2017 4.45 2.95
2/24/2017 4.39 2.93
2/28/2017 4.38 2.92
3/3/2017 4.34 2.88
3/10/2017 4.34 2.87
3/17/2017 4.32 2.85
3/24/2017 4.32 2.94
3/31/2017 4.25 2.91
4/7/2017 4.15 2.88
4/13/2017 4.12 2.85
4/21/2017 4.13 2.83
4/28/2017 4.13 2.82
5/5/2017 4.16 2.88
5/12/2017 4.13 2.88
5/19/2017 4.11 2.89
5/26/2017 4.04 2.89
5/31/2017 4.05 2.88
6/2/2017 4.05 2.87
6/9/2017 4.03 2.87
6/16/2017 4.04 2.88
6/23/2017 4.07 2.86
6/30/2017 4.08 2.84
7/7/2017 4.07 2.83
7/14/2017 4.09 2.83
7/21/2017 4.09 2.80
7/28/2017 4.03 2.78
7/31/2017 4.03 2.78
8/4/2017 4.03 2.75
8/11/2017 4.06 2.80
8/18/2017 4.07 2.78
8/25/2017 4.07 2.82
8/31/2017 4.08 2.85
9/1/2017 4.06 2.85
9/8/2017 4.02 2.87
9/15/2017 4.02 2.89
9/22/2017 4.02 2.82
9/29/2017 4.01 2.72
10/6/2017 3.98 2.67
10/13/2017 3.95 2.67
10/20/2017 3.93 2.65
10/27/2017 3.94 2.65
10/31/2017 3.95 2.65
11/3/2017 3.97 2.63
11/10/2017 3.98 2.62
11/17/2017 3.96 2.65
11/24/2017 3.95 2.64
11/30/2017 3.94 2.63
12/1/2017 3.95 2.63
12/8/2017 3.94 2.61
12/15/2017 4.00 2.62
12/22/2017 3.91 2.63
12/29/2017 3.89 2.59
1/5/2018 3.87 2.55
1/12/2018 3.81 2.54
1/19/2018 3.77 2.52
1/26/2018 3.73 2.50
1/31/2018 3.72 2.49
2/2/2018 3.70 2.44
2/9/2018 3.74 2.48
2/16/2018 3.73 2.49
2/23/2018 3.73 2.50
2/28/2018 3.72 2.51
3/2/2018 3.72 2.51
3/9/2018 3.72 2.51
3/16/2018 3.70 2.49
3/23/2018 3.72 2.49
3/30/2018 3.72 2.49
4/6/2018 3.72 2.49
4/13/2018 3.68 2.49
4/20/2018 3.66 2.46
4/27/2018 3.67 2.44
4/30/2018 3.67 2.44
5/4/2018 3.68 2.44
5/11/2018 3.68 2.44
5/18/2018 3.68 2.47
5/25/2018 3.69 2.49
5/31/2018 3.71 2.51
6/1/2018 3.72 2.48
6/8/2018 3.71 2.49
6/15/2018 3.73 2.49
6/22/2018 3.75 2.52
6/29/2018 3.76 2.55
7/6/2018 3.75 2.53
7/13/2018 3.76 2.54
7/20/2018 3.75 2.53
7/27/2018 3.76 2.51
7/31/2018 3.75 2.51
8/3/2018 3.75 2.50
8/10/2018 3.77 2.52
8/17/2018 3.77 2.53
8/24/2018 3.81 2.48
8/31/2018 3.83 2.49
9/7/2018 3.82 2.49
9/14/2018 3.81 2.50
9/21/2018 3.78 2.48
9/28/2018 3.73 2.48
10/5/2018 3.73 2.48
10/12/2018 3.75 2.49
10/19/2018 3.75 2.49
10/26/2018 3.79 2.54
10/31/2018 3.85 2.56
11/2/2018 3.84 2.58
11/9/2018 3.86 2.61
11/16/2018 3.95 2.68
11/23/2018 4.07 2.76
11/30/2018 4.18 2.88
12/7/2018 4.33 3.01
12/14/2018 4.51 3.15
12/21/2018 4.83 3.37
12/28/2018 4.94 3.46
12/31/2018 4.94 3.46
1/4/2019 4.73 3.18
1/11/2019 4.49 2.91
1/18/2019 4.48 2.84
1/25/2019 4.53 2.88
1/31/2019 4.55 2.89
2/1/2019 4.54 2.89
2/8/2019 4.49 2.86
2/15/2019 4.44 2.83
2/22/2019 4.33 2.76
2/28/2019 4.24 2.70
3/1/2019 4.24 2.69
3/8/2019 4.32 2.75
3/15/2019 4.31 2.73
3/22/2019 4.40 2.79
3/29/2019 4.46 2.88
4/5/2019 4.32 2.79
4/12/2019 4.26 2.74
4/18/2019 4.21 2.73
4/26/2019 4.18 2.70
4/30/2019 4.17 2.69
5/3/2019 4.13 2.68
5/10/2019 4.20 2.68
5/17/2019 4.16 2.68
5/24/2019 4.22 2.68
5/31/2019 4.30 2.68
6/7/2019 4.30 2.67
6/14/2019 4.31 2.65
6/21/2019 4.31 2.66
6/28/2019 4.36 2.70
7/5/2019 4.36 2.69
7/12/2019 4.32 2.67
7/19/2019 4.30 2.65
7/26/2019 4.30 2.65
7/31/2019 4.28 2.63
8/2/2019 4.30 2.73
8/9/2019 4.41 2.77
8/16/2019 4.50 2.80
8/23/2019 4.51 2.78
8/30/2019 4.46 2.80
9/6/2019 4.42 2.74
9/13/2019 4.35 2.67
9/20/2019 4.34 2.68
9/27/2019 4.33 2.67
9/30/2019 4.33 2.68
10/4/2019 4.43 2.70
10/11/2019 4.59 2.74
10/18/2019 4.62 2.72
10/25/2019 4.63 2.71
10/31/2019 4.68 2.73
11/1/2019 4.68 2.75
11/8/2019 4.68 2.75
11/15/2019 4.62 2.75
11/22/2019 4.67 2.75
11/29/2019 4.66 2.74
12/6/2019 4.55 2.71
12/13/2019 4.36 2.66
12/20/2019 4.24 2.64
12/27/2019 4.24 2.64
12/31/2019 4.24 2.64
1/3/2020 4.23 2.62
1/10/2020 4.14 2.58
1/17/2020 4.11 2.57
1/24/2020 4.11 2.60
1/31/2020 4.19 2.63
2/7/2020 4.22 2.68
2/14/2020 4.21 2.69
2/21/2020 4.19 2.71
2/28/2020 4.58 3.04
3/6/2020 4.85 3.24
3/13/2020 6.39 4.75
3/20/2020 9.69 7.88
3/27/2020 9.03 6.15
3/31/2020 8.25 5.13
4/3/2020 8.15 5.05
4/9/2020 7.31 4.26
4/17/2020 6.74 3.94
4/24/2020 6.91 4.12
4/30/2020 6.96 4.25
5/1/2020 6.88 4.14
5/8/2020 6.56 4.05
5/15/2020 6.51 4.03
5/22/2020 6.16 3.71
5/29/2020 5.77 3.43
6/5/2020 5.42 3.21
6/12/2020 5.37 3.26
6/19/2020 5.22 3.14
6/26/2020 5.51 3.38
6/30/2020 5.60 3.44
7/3/2020 5.40 3.36
7/10/2020 5.37 3.30
7/17/2020 5.20 3.19
7/24/2020 5.07 3.09
7/31/2020 5.09 3.13
8/7/2020 4.96 3.05
8/14/2020 4.86 3.02
8/21/2020 4.88 3.09
8/28/2020 4.83 3.07
8/31/2020 4.82 3.05
9/4/2020 4.65 2.90
9/11/2020 4.58 2.87
9/18/2020 4.56 2.88
9/25/2020 4.74 3.06
9/30/2020 4.75 3.05
10/2/2020 4.75 3.10
10/9/2020 4.63 3.01
10/16/2020 4.67 3.04
10/23/2020 4.83 3.07
10/30/2020 5.00 3.22
11/6/2020 4.81 3.06
11/13/2020 4.67 2.99
11/20/2020 4.67 3.02
11/27/2020 4.61 2.98
11/30/2020 4.60 2.99
12/4/2020 4.50 2.90
12/11/2020 4.46 2.86
12/18/2020 4.39 2.81
12/24/2020 4.41 2.81
12/31/2020 4.39 2.80
1/8/2021 4.23 2.63
1/15/2021 4.16 2.65
1/22/2021 4.16 2.63
1/29/2021 4.22 2.69
2/5/2021 4.20 2.68
2/12/2021 4.13 2.70
2/19/2021 4.12 2.71
2/26/2021 4.13 2.69
3/5/2021 4.14 2.75
3/12/2021 4.15 2.77
3/19/2021 4.21 2.81
3/26/2021 4.23 2.84
3/31/2021 4.24 2.86
4/2/2021 4.24 2.84
4/9/2021 4.17 2.79
4/16/2021 4.16 2.81
4/23/2021 4.19 2.77
4/30/2021 4.18 2.80
5/7/2021 4.19 2.81
5/14/2021 4.19 2.84
5/21/2021 4.16 2.82
5/28/2021 4.15 2.79
6/4/2021 4.14 2.82
6/11/2021 4.12 2.80
6/18/2021 4.15 2.86
6/25/2021 4.17 2.88
6/30/2021 4.17 2.89
7/2/2021 4.17 2.90
7/9/2021 4.16 2.91
7/16/2021 4.15 2.86
7/23/2021 4.17 2.90
7/30/2021 4.21 2.92
8/6/2021 4.23 2.93
8/13/2021 4.23 3.09
8/20/2021 4.25 3.14
8/27/2021 4.24 3.12
8/31/2021 4.23 3.11
9/3/2021 4.21 3.09
9/10/2021 4.18 3.07
9/17/2021 4.18 3.07
9/24/2021 4.18 3.06
9/30/2021 4.17 3.05
10/1/2021 4.17 3.05
10/8/2021 4.18 3.05
10/15/2021 4.20 3.05

Note: The data show secondary-market discounted spreads to maturity. Spreads are the constant spread used to equate discounted loan cash flows to the current market price. B-rated spreads begin in July 1997.

Source: S&P Global Market Intelligence, Leveraged Commentary & Data.

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Figure 1-9. Forward Price-to-Earnings Ratio of S&P 500 Firms

Ratio

Date Forward price-to-earnings ratio
1/16/1989 10.07
2/15/1989 10.14
3/16/1989 10.11
4/16/1989 10.42
5/16/1989 10.73
6/16/1989 10.85
7/16/1989 11.24
8/16/1989 11.56
9/16/1989 11.51
10/16/1989 11.47
11/16/1989 11.51
12/16/1989 11.88
1/16/1990 11.53
2/15/1990 11.30
3/16/1990 11.50
4/16/1990 11.65
5/16/1990 12.07
6/16/1990 12.38
7/16/1990 12.39
8/16/1990 11.51
9/16/1990 10.79
10/16/1990 10.30
11/16/1990 11.18
12/16/1990 11.66
1/16/1991 11.26
2/15/1991 13.43
3/16/1991 13.77
4/16/1991 14.45
5/16/1991 13.64
6/16/1991 13.90
7/16/1991 14.16
8/16/1991 14.40
9/16/1991 14.21
10/16/1991 14.31
11/16/1991 14.45
12/16/1991 14.01
1/16/1992 15.37
2/15/1992 15.01
3/16/1992 14.86
4/16/1992 14.81
5/16/1992 14.70
6/16/1992 14.01
7/16/1992 14.43
8/16/1992 14.45
9/16/1992 14.41
10/16/1992 14.00
11/16/1992 14.52
12/16/1992 14.71
1/16/1993 14.61
2/15/1993 14.66
3/16/1993 15.01
4/16/1993 15.03
5/16/1993 14.72
6/16/1993 14.63
7/16/1993 14.63
8/16/1993 14.76
9/16/1993 14.80
10/16/1993 14.64
11/16/1993 14.67
12/16/1993 14.48
1/16/1994 14.75
2/15/1994 14.60
3/16/1994 14.34
4/16/1994 13.46
5/16/1994 13.42
6/16/1994 13.47
7/16/1994 13.00
8/16/1994 13.21
9/16/1994 13.11
10/16/1994 12.92
11/16/1994 12.56
12/16/1994 12.09
1/16/1995 12.31
2/15/1995 12.48
3/16/1995 12.50
4/16/1995 12.66
5/16/1995 12.91
6/16/1995 13.06
7/16/1995 13.30
8/16/1995 13.35
9/16/1995 13.67
10/16/1995 13.77
11/16/1995 13.80
12/16/1995 14.32
1/16/1996 14.01
2/15/1996 15.23
3/16/1996 14.81
4/16/1996 14.79
5/16/1996 15.19
6/16/1996 14.71
7/16/1996 14.41
8/16/1996 14.92
9/16/1996 15.24
10/16/1996 15.61
11/16/1996 16.07
12/16/1996 15.85
1/16/1997 16.46
2/15/1997 17.36
3/16/1997 16.65
4/16/1997 16.03
5/16/1997 17.38
6/16/1997 18.39
7/16/1997 19.23
8/16/1997 18.68
9/16/1997 18.92
10/16/1997 19.20
11/16/1997 18.60
12/16/1997 18.87
1/16/1998 18.66
2/15/1998 20.36
3/16/1998 21.42
4/16/1998 21.90
5/16/1998 21.69
6/16/1998 21.42
7/16/1998 22.77
8/16/1998 21.17
9/16/1998 20.01
10/16/1998 19.28
11/16/1998 22.02
12/16/1998 22.30
1/16/1999 23.70
2/15/1999 23.53
3/16/1999 24.72
4/16/1999 24.95
5/16/1999 24.74
6/16/1999 24.30
7/16/1999 25.44
8/16/1999 23.90
9/16/1999 23.47
10/16/1999 22.55
11/16/1999 24.50
12/16/1999 24.42
1/16/2000 24.85
2/15/2000 24.02
3/16/2000 23.73
4/16/2000 23.91
5/16/2000 23.88
6/16/2000 24.10
7/16/2000 24.10
8/16/2000 23.86
9/16/2000 23.86
10/16/2000 21.44
11/16/2000 22.25
12/16/2000 22.10
1/16/2001 21.98
2/15/2001 22.10
3/16/2001 19.72
4/16/2001 21.41
5/16/2001 22.23
6/16/2001 21.67
7/16/2001 21.61
8/16/2001 21.17
9/16/2001 18.42
10/16/2001 20.37
11/16/2001 21.49
12/16/2001 21.57
1/16/2002 21.00
2/15/2002 20.47
3/16/2002 20.75
4/16/2002 20.17
5/16/2002 19.40
6/16/2002 18.11
7/16/2002 16.14
8/16/2002 16.60
9/16/2002 15.72
10/16/2002 15.78
11/16/2002 16.02
12/16/2002 16.12
1/16/2003 16.48
2/15/2003 15.34
3/16/2003 15.71
4/16/2003 15.68
5/16/2003 16.56
6/16/2003 17.69
7/16/2003 17.27
8/16/2003 16.94
9/16/2003 17.41
10/16/2003 17.50
11/16/2003 17.10
12/16/2003 17.43
1/16/2004 18.10
2/15/2004 18.09
3/16/2004 17.40
4/16/2004 17.11
5/16/2004 15.98
6/16/2004 16.41
7/16/2004 15.92
8/16/2004 15.51
9/16/2004 15.77
10/16/2004 15.48
11/16/2004 16.17
12/16/2004 16.32
1/16/2005 15.95
2/15/2005 16.17
3/16/2005 15.64
4/16/2005 15.30
5/16/2005 15.28
6/16/2005 15.41
7/16/2005 15.41
8/16/2005 15.14
9/16/2005 14.95
10/16/2005 14.33
11/16/2005 14.61
12/16/2005 14.98
1/16/2006 14.90
2/15/2006 14.93
3/16/2006 15.06
4/16/2006 14.99
5/16/2006 14.30
6/16/2006 13.69
7/16/2006 13.90
8/16/2006 14.13
9/16/2006 14.26
10/16/2006 14.65
11/16/2006 14.81
12/16/2006 14.83
1/16/2007 15.01
2/15/2007 15.39
3/16/2007 14.56
4/16/2007 15.31
5/16/2007 15.51
6/16/2007 15.30
7/16/2007 15.41
8/16/2007 13.87
9/16/2007 15.01
10/16/2007 15.01
11/16/2007 14.32
12/16/2007 14.20
1/16/2008 13.49
2/15/2008 13.68
3/16/2008 13.09
4/16/2008 13.81
5/16/2008 14.30
6/16/2008 13.51
7/16/2008 12.60
8/16/2008 13.29
9/16/2008 12.01
10/16/2008 9.93
11/16/2008 9.74
12/16/2008 11.87
1/16/2009 11.48
2/15/2009 12.46
3/16/2009 12.42
4/16/2009 13.51
5/16/2009 14.66
6/16/2009 14.73
7/16/2009 14.80
8/16/2009 15.20
9/16/2009 15.91
10/16/2009 15.85
11/16/2009 15.12
12/16/2009 14.89
1/16/2010 14.80
2/15/2010 13.81
3/16/2010 14.44
4/16/2010 14.82
5/16/2010 12.99
6/16/2010 12.82
7/16/2010 12.49
8/16/2010 12.10
9/16/2010 12.35
10/16/2010 12.84
11/16/2010 12.57
12/16/2010 13.03
1/16/2011 13.21
2/15/2011 13.70
3/16/2011 12.61
4/16/2011 12.97
5/16/2011 12.90
6/16/2011 12.07
7/16/2011 12.64
8/16/2011 11.28
9/16/2011 11.24
10/16/2011 11.50
11/16/2011 11.67
12/16/2011 11.40
1/16/2012 12.33
2/15/2012 12.63
3/16/2012 12.96
4/16/2012 12.66
5/16/2012 12.01
6/16/2012 11.89
7/16/2012 12.59
8/16/2012 12.92
9/16/2012 13.34
10/16/2012 13.21
11/16/2012 12.19
12/16/2012 12.86
1/16/2013 13.12
2/15/2013 13.53
3/16/2013 13.72
4/16/2013 13.59
5/16/2013 14.48
6/16/2013 14.10
7/16/2013 14.51
8/16/2013 14.58
9/16/2013 14.84
10/16/2013 14.71
11/16/2013 15.03
12/16/2013 15.20
1/16/2014 15.43
2/15/2014 15.44
3/16/2014 15.60
4/16/2014 15.50
5/16/2014 15.45
6/16/2014 15.83
7/16/2014 15.97
8/16/2014 15.55
9/16/2014 15.89
10/16/2014 14.76
11/16/2014 16.19
12/16/2014 16.11
1/16/2015 16.23
2/15/2015 17.35
3/16/2015 17.27
4/16/2015 17.28
5/16/2015 17.09
6/16/2015 16.96
7/16/2015 16.98
8/16/2015 16.75
9/16/2015 16.09
10/16/2015 16.14
11/16/2015 16.80
12/16/2015 16.69
1/16/2016 15.30
2/15/2016 15.91
3/16/2016 16.71
4/16/2016 17.09
5/16/2016 16.67
6/16/2016 16.74
7/16/2016 17.40
8/16/2016 17.52
9/16/2016 16.92
10/16/2016 16.89
11/16/2016 16.95
12/16/2016 17.33
1/16/2017 17.28
2/15/2017 17.91
3/16/2017 18.04
4/16/2017 17.54
5/16/2017 17.49
6/16/2017 17.91
7/16/2017 18.23
8/16/2017 18.09
9/16/2017 18.18
10/16/2017 18.44
11/16/2017 18.15
12/16/2017 18.64
1/16/2018 18.73
2/15/2018 17.28
3/16/2018 17.37
4/16/2018 16.92
5/16/2018 16.68
6/16/2018 16.84
7/16/2018 17.03
8/16/2018 16.82
9/16/2018 17.21
10/16/2018 16.49
11/16/2018 15.72
12/16/2018 14.65
1/16/2019 15.45
2/15/2019 16.34
3/16/2019 16.60
4/16/2019 17.08
5/16/2019 16.66
6/16/2019 17.03
7/16/2019 17.45
8/16/2019 16.54
9/16/2019 17.40
10/16/2019 17.31
11/16/2019 17.83
12/16/2019 18.25
1/16/2020 18.73
2/15/2020 19.27
3/16/2020 14.13
4/16/2020 18.93
5/16/2020 20.52
6/16/2020 22.40
7/16/2020 23.10
8/16/2020 23.10
9/16/2020 22.64
10/16/2020 22.81
11/16/2020 22.24
12/16/2020 22.56
1/16/2021 23.05
2/15/2021 22.76
3/16/2021 22.45
4/16/2021 22.65
5/16/2021 21.33
6/16/2021 21.60
7/16/2021 22.18
8/16/2021 21.44
9/16/2021 21.63
10/16/2021 20.81

Note: The figure shows aggregate forward price-to-earnings ratio of S&P 500 firms, based on expected earnings for 12 months ahead. Median marked with a horizontal red line at a ratio of about 16.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), Institutional Brokers Estimate System estimates.

Return to text
Figure 1-10. Spread of Forward Earnings-to-Price Ratio of S&P 500 Firms to Expected 10-Year Real Treasury Yield

Percentage points

Date Spread of forward price-to-earnings ratio
10/16/1991 3.31
11/16/1991 3.30
12/16/1991 3.81
1/16/1992 2.88
2/15/1992 2.80
3/16/1992 2.74
4/16/1992 3.00
5/16/1992 3.14
6/16/1992 3.59
7/16/1992 3.57
8/16/1992 3.78
9/16/1992 3.93
10/16/1992 3.84
11/16/1992 3.38
12/16/1992 3.38
1/16/1993 3.49
2/15/1993 3.80
3/16/1993 3.87
4/16/1993 4.09
5/16/1993 4.23
6/16/1993 4.41
7/16/1993 4.33
8/16/1993 4.36
9/16/1993 4.65
10/16/1993 4.77
11/16/1993 4.38
12/16/1993 4.44
1/16/1994 4.36
2/15/1994 4.18
3/16/1994 3.79
4/16/1994 3.83
5/16/1994 3.68
6/16/1994 3.74
7/16/1994 3.80
8/16/1994 3.75
9/16/1994 3.58
10/16/1994 3.44
11/16/1994 3.47
12/16/1994 3.89
1/16/1995 3.54
2/15/1995 3.76
3/16/1995 3.99
4/16/1995 4.09
5/16/1995 4.38
6/16/1995 4.72
7/16/1995 4.32
8/16/1995 4.08
9/16/1995 4.18
10/16/1995 4.12
11/16/1995 4.22
12/16/1995 4.16
1/16/1996 4.37
2/15/1996 3.65
3/16/1996 3.34
4/16/1996 3.10
5/16/1996 2.74
6/16/1996 2.81
7/16/1996 3.03
8/16/1996 3.03
9/16/1996 2.65
10/16/1996 2.80
11/16/1996 2.94
12/16/1996 2.95
1/16/1997 2.46
2/15/1997 2.28
3/16/1997 2.22
4/16/1997 2.11
5/16/1997 1.82
6/16/1997 1.69
7/16/1997 1.88
8/16/1997 1.93
9/16/1997 1.94
10/16/1997 1.68
11/16/1997 2.03
12/16/1997 2.05
1/16/1998 2.29
2/15/1998 1.78
3/16/1998 1.46
4/16/1998 1.27
5/16/1998 1.29
6/16/1998 1.50
7/16/1998 1.28
8/16/1998 1.76
9/16/1998 2.48
10/16/1998 2.86
11/16/1998 1.96
12/16/1998 2.04
1/16/1999 1.44
2/15/1999 1.20
3/16/1999 0.76
4/16/1999 1.01
5/16/1999 0.72
6/16/1999 0.43
7/16/1999 0.33
8/16/1999 0.40
9/16/1999 0.46
10/16/1999 0.43
11/16/1999 0.24
12/16/1999 0.03
1/16/2000 -0.30
2/15/2000 -0.04
3/16/2000 0.21
4/16/2000 0.42
5/16/2000 0.02
6/16/2000 0.32
7/16/2000 0.41
8/16/2000 0.63
9/16/2000 0.63
10/16/2000 1.21
11/16/2000 1.10
12/16/2000 1.57
1/16/2001 1.67
2/15/2001 1.67
3/16/2001 2.39
4/16/2001 1.78
5/16/2001 1.40
6/16/2001 1.61
7/16/2001 1.68
8/16/2001 1.98
9/16/2001 2.88
10/16/2001 2.60
11/16/2001 2.26
12/16/2001 1.78
1/16/2002 1.94
2/15/2002 2.15
3/16/2002 1.72
4/16/2002 1.97
5/16/2002 2.26
6/16/2002 2.86
7/16/2002 3.79
8/16/2002 3.99
9/16/2002 4.70
10/16/2002 4.54
11/16/2002 4.37
12/16/2002 4.34
1/16/2003 4.27
2/15/2003 4.88
3/16/2003 4.83
4/16/2003 4.71
5/16/2003 4.79
6/16/2003 4.65
7/16/2003 4.15
8/16/2003 3.76
9/16/2003 3.80
10/16/2003 3.77
11/16/2003 3.90
12/16/2003 3.83
1/16/2004 3.75
2/15/2004 3.81
3/16/2004 4.29
4/16/2004 3.85
5/16/2004 3.88
6/16/2004 3.71
7/16/2004 4.14
8/16/2004 4.51
9/16/2004 4.58
10/16/2004 4.72
11/16/2004 4.36
12/16/2004 4.29
1/16/2005 4.40
2/15/2005 4.39
3/16/2005 4.26
4/16/2005 4.61
5/16/2005 4.82
6/16/2005 4.92
7/16/2005 4.74
8/16/2005 4.77
9/16/2005 4.91
10/16/2005 4.92
11/16/2005 4.68
12/16/2005 4.60
1/16/2006 4.71
2/15/2006 4.54
3/16/2006 4.32
4/16/2006 4.10
5/16/2006 4.31
6/16/2006 4.62
7/16/2006 4.54
8/16/2006 4.64
9/16/2006 4.71
10/16/2006 4.52
11/16/2006 4.59
12/16/2006 4.61
1/16/2007 4.18
2/15/2007 4.05
3/16/2007 4.57
4/16/2007 4.16
5/16/2007 4.03
6/16/2007 3.76
7/16/2007 3.81
8/16/2007 4.81
9/16/2007 4.43
10/16/2007 4.43
11/16/2007 5.08
12/16/2007 5.17
1/16/2008 5.99
2/15/2008 5.86
3/16/2008 6.41
4/16/2008 5.86
5/16/2008 5.40
6/16/2008 5.60
7/16/2008 6.25
8/16/2008 5.96
9/16/2008 6.93
10/16/2008 8.31
11/16/2008 8.74
12/16/2008 7.99
1/16/2009 8.05
2/15/2009 7.04
3/16/2009 7.20
4/16/2009 6.65
5/16/2009 5.70
6/16/2009 5.24
7/16/2009 5.39
8/16/2009 5.20
9/16/2009 5.11
10/16/2009 4.94
11/16/2009 5.24
12/16/2009 5.20
1/16/2010 5.25
2/15/2010 5.78
3/16/2010 5.46
4/16/2010 5.21
5/16/2010 6.54
6/16/2010 6.85
7/16/2010 7.16
8/16/2010 7.77
9/16/2010 7.64
10/16/2010 7.35
11/16/2010 7.33
12/16/2010 6.48
1/16/2011 6.40
2/15/2011 5.96
3/16/2011 6.74
4/16/2011 6.58
5/16/2011 6.91
6/16/2011 7.61
7/16/2011 7.23
8/16/2011 8.90
9/16/2011 9.25
10/16/2011 8.98
11/16/2011 9.01
12/16/2011 9.26
1/16/2012 8.42
2/15/2012 8.23
3/16/2012 7.81
4/16/2012 8.31
5/16/2012 9.01
6/16/2012 9.27
7/16/2012 8.77
8/16/2012 8.40
9/16/2012 8.13
10/16/2012 8.14
11/16/2012 8.87
12/16/2012 8.38
1/16/2013 8.02
2/15/2013 7.71
3/16/2013 7.63
4/16/2013 7.92
5/16/2013 7.28
6/16/2013 7.06
7/16/2013 6.49
8/16/2013 6.28
9/16/2013 6.10
10/16/2013 6.45
11/16/2013 6.19
12/16/2013 5.93
1/16/2014 5.89
2/15/2014 6.03
3/16/2014 5.95
4/16/2014 5.96
5/16/2014 6.14
6/16/2014 5.94
7/16/2014 5.89
8/16/2014 6.17
9/16/2014 5.92
10/16/2014 6.63
11/16/2014 6.00
12/16/2014 6.16
1/16/2015 6.34
2/15/2015 5.83
3/16/2015 5.79
4/16/2015 5.93
5/16/2015 5.72
6/16/2015 5.60
7/16/2015 5.68
8/16/2015 5.92
9/16/2015 6.15
10/16/2015 6.24
11/16/2015 5.78
12/16/2015 5.84
1/16/2016 6.52
2/15/2016 6.57
3/16/2016 6.16
4/16/2016 6.21
5/16/2016 6.35
6/16/2016 6.50
7/16/2016 6.37
8/16/2016 6.27
9/16/2016 6.40
10/16/2016 6.35
11/16/2016 5.93
12/16/2016 5.43
1/16/2017 5.61
2/15/2017 5.42
3/16/2017 5.32
4/16/2017 5.67
5/16/2017 5.67
6/16/2017 5.67
7/16/2017 5.39
8/16/2017 5.54
9/16/2017 5.53
10/16/2017 5.25
11/16/2017 5.34
12/16/2017 5.14
1/16/2018 5.00
2/15/2018 5.15
3/16/2018 5.15
4/16/2018 5.34
5/16/2018 5.31
6/16/2018 5.31
7/16/2018 5.17
8/16/2018 5.25
9/16/2018 5.00
10/16/2018 5.12
11/16/2018 5.45
12/16/2018 6.20
1/16/2019 5.96
2/15/2019 5.65
3/16/2019 5.65
4/16/2019 5.52
5/16/2019 5.79
6/16/2019 5.99
7/16/2019 5.87
8/16/2019 6.61
9/16/2019 6.23
10/16/2019 6.26
11/16/2019 5.98
12/16/2019 5.79
1/16/2020 5.76
2/15/2020 5.87
3/16/2020 8.34
4/16/2020 6.69
5/16/2020 6.30
6/16/2020 5.85
7/16/2020 5.73
8/16/2020 5.71
9/16/2020 5.77
10/16/2020 5.72
11/16/2020 5.75
12/16/2020 5.63
1/16/2021 5.46
2/15/2021 5.32
3/16/2021 4.98
4/16/2021 5.03
5/16/2021 5.31
6/16/2021 5.36
7/16/2021 5.59
8/16/2021 5.79
9/16/2021 5.66
10/16/2021 5.63

Note: This figure shows aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Expected real Treasury yields are calculated from the 10-year consumer price index inflation forecast, and the smoothed nominal yield curve is estimated from off-the-run securities. Median marked with a horizontal red line at about 5 percentage points.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), Institutional Brokers Estimate System estimates; Department of the Treasury; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Return to text
1-11. S&P 500 Return Volatility

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2021. The y-axis ranges from 0 to 70 percent. The data are monthly. The first line is labeled "Option-implied volatility" and is designated by a black line. The line is jagged throughout the plot. It starts around 20 percent in 1997, rises to and falls from around 30 percent at the end of 1997, and rises up from around 20 percent to around 40 percent in both 2001 and 2002. It gradually falls from 2002 through 2006 to around 10 percent, before it rapidly increases to its peak of around 60 percent in late 2008. It quickly declines to around 15 percent in 2010, and rises to 30 percent in late 2010 before falling again to around 20 percent. It rises from 15 percent to around 35 percent and falls back down to around 15 percent in late 2011, and remains steady around 15 percent until 2016, when it rises to almost 25 percent. It falls again from 2016 to the beginning of 2018, when it rises from around 10 percent to around 20 percent. It spikes again beginning October 2018 and ending in December around 25 percent. It then declines throughout 2019, ending around 15 percent in November. In early 2020, there is a large spike to almost 60 percent then a drop to around 30 by October of 2020. It then decreases even more to begin 2021, ending right below 20 percent in April. The line then increases sharply to about 25 in October 2021. The second line is labeled "Realized volatility," and is designated by a blue line. It follows mainly the same trends as the black line, but at a slightly lower percent. It begins at just above 10 percent in 1997, rises to just below 20 percent and falls back to around 10 during 1997, and rises in 1998 to around 25 percent before falling to around 15 percent in 1999. It remains between 15 and just above 20 percent until 2002, when it spikes from around 15 percent to almost 30 percent. It then falls gradually from 2002 to 2004, reaching just under 10 percent and staying steadily around 10 percent through the end of 2006. It then quickly increases through 2007 and 2008, reaching its peak of around 60 percent in late 2008. It quickly declines to around 10 percent in 2010, and rises to around 20 percent in late 2010 before falling again to around 10 percent. It rises from 10 to around 25 percent in late 2011, and falls again to below 10 percent, where it stays until late 2015. It then increases from below 10 percent to just above 20 percent. It falls again from around 20 percent to just under 10 percent in 2015, and continues to decline until early 2018. It then spikes up in October 2018 and continues to rise until January 2019, where it peaks around 20 percent and then declines to about 10 percent in November 2019. In early 2020, there is a spike to around 60 percent, followed by a decrease to around 18 percent in October 2020. It then decreases into 2021 to around 12 percent in April. Finally, it increases sharply and ends at about 14 in October 2021.

Note: Realized volatility estimated from five-minute returns using an exponentially weighted moving average with 75 percent of the weight distributed over the past 20 days.

Source: Bloomberg Finance L.P.

Return to text
Figure 1-12. Commercial Real Estate Prices (Real)

Jan. 2001 = 100

Date Equal-weighted Value-weighted
1/16/1996 na 71.52
2/15/1996 na 71.45
3/16/1996 na 72.00
4/16/1996 na 73.12
5/16/1996 na 73.11
6/16/1996 na 72.49
7/16/1996 na 72.08
8/16/1996 na 71.71
9/16/1996 na 71.38
10/16/1996 na 69.42
11/16/1996 na 71.34
12/16/1996 na 73.82
1/16/1997 na 76.02
2/16/1997 na 78.78
3/16/1997 na 80.13
4/16/1997 na 80.10
5/16/1997 na 80.59
6/16/1997 na 80.60
7/16/1997 na 81.41
8/16/1997 na 81.69
9/16/1997 na 82.81
10/16/1997 na 82.05
11/16/1997 na 85.91
12/16/1997 na 87.88
1/16/1998 84.09 90.81
2/15/1998 84.49 90.97
3/16/1998 84.72 91.20
4/16/1998 85.21 90.34
5/16/1998 85.37 93.07
6/16/1998 85.57 94.61
7/16/1998 85.38 94.13
8/16/1998 85.25 93.93
9/16/1998 84.86 93.67
10/16/1998 86.26 93.81
11/16/1998 87.63 94.16
12/16/1998 89.42 93.71
1/16/1999 89.04 91.93
2/15/1999 89.20 92.25
3/16/1999 89.51 91.68
4/16/1999 89.86 90.94
5/16/1999 90.83 91.13
6/16/1999 91.38 91.43
7/16/1999 91.86 91.80
8/16/1999 92.32 93.11
9/16/1999 92.24 93.40
10/16/1999 93.10 93.51
11/16/1999 93.70 93.90
12/16/1999 94.61 94.19
1/16/2000 95.17 93.88
2/15/2000 95.45 91.59
3/16/2000 95.59 89.39
4/16/2000 96.30 88.36
5/16/2000 97.59 91.88
6/16/2000 98.37 94.50
7/16/2000 98.57 96.75
8/16/2000 98.33 98.31
9/16/2000 97.24 99.26
10/16/2000 98.53 100.22
11/16/2000 99.22 101.12
12/16/2000 100.44 101.15
1/16/2001 100.00 100.00
2/15/2001 100.11 99.72
3/16/2001 100.02 99.86
4/16/2001 99.68 100.21
5/16/2001 99.17 99.90
6/16/2001 99.56 98.88
7/16/2001 101.24 98.99
8/16/2001 103.12 98.98
9/16/2001 103.91 98.40
10/16/2001 104.41 97.20
11/16/2001 103.41 96.13
12/16/2001 103.23 95.36
1/16/2002 103.53 95.31
2/15/2002 104.49 96.29
3/16/2002 105.38 96.93
4/16/2002 105.50 96.89
5/16/2002 105.87 96.50
6/16/2002 105.94 95.74
7/16/2002 106.61 95.24
8/16/2002 107.17 95.23
9/16/2002 108.46 95.52
10/16/2002 110.39 96.30
11/16/2002 112.41 98.19
12/16/2002 114.43 100.79
1/16/2003 113.98 102.55
2/15/2003 112.80 102.58
3/16/2003 112.38 102.03
4/16/2003 113.88 101.75
5/16/2003 115.47 102.19
6/16/2003 116.12 101.50
7/16/2003 116.71 100.96
8/16/2003 117.00 98.48
9/16/2003 118.09 97.16
10/16/2003 119.74 97.21
11/16/2003 121.36 98.33
12/16/2003 122.83 99.65
1/16/2004 123.43 99.55
2/15/2004 124.55 102.05
3/16/2004 125.44 103.26
4/16/2004 126.91 106.10
5/16/2004 127.47 105.75
6/16/2004 128.89 107.64
7/16/2004 130.69 109.81
8/16/2004 132.52 112.49
9/16/2004 133.37 114.30
10/16/2004 133.16 115.43
11/16/2004 133.93 115.27
12/16/2004 135.76 115.22
1/16/2005 137.91 113.93
2/15/2005 139.70 115.38
3/16/2005 141.21 115.96
4/16/2005 141.92 117.30
5/16/2005 143.54 117.15
6/16/2005 144.57 117.65
7/16/2005 145.15 118.11
8/16/2005 146.20 118.78
9/16/2005 146.51 119.24
10/16/2005 148.54 120.97
11/16/2005 151.39 123.80
12/16/2005 153.28 125.46
1/16/2006 152.78 125.41
2/15/2006 153.48 126.14
3/16/2006 152.79 127.63
4/16/2006 152.22 128.54
5/16/2006 152.11 129.66
6/16/2006 153.04 130.42
7/16/2006 152.07 131.65
8/16/2006 150.98 132.64
9/16/2006 150.83 133.57
10/16/2006 151.79 134.63
11/16/2006 154.06 135.44
12/16/2006 154.72 137.65
1/16/2007 155.83 138.88
2/15/2007 155.76 139.97
3/16/2007 155.76 139.92
4/16/2007 155.99 141.11
5/16/2007 155.31 142.64
6/16/2007 155.23 143.72
7/16/2007 154.60 144.86
8/16/2007 155.18 145.69
9/16/2007 154.29 145.37
10/16/2007 152.72 145.22
11/16/2007 150.92 144.50
12/16/2007 149.69 144.11
1/16/2008 149.24 142.09
2/15/2008 147.98 136.10
3/16/2008 145.61 130.46
4/16/2008 142.75 125.07
5/16/2008 140.38 127.78
6/16/2008 137.64 129.26
7/16/2008 135.95 131.83
8/16/2008 135.10 128.80
9/16/2008 133.44 125.51
10/16/2008 132.89 124.49
11/16/2008 132.06 126.74
12/16/2008 130.05 127.29
1/16/2009 125.39 126.50
2/15/2009 121.88 122.91
3/16/2009 118.41 118.53
4/16/2009 115.97 111.49
5/16/2009 114.50 103.86
6/16/2009 112.96 95.70
7/16/2009 113.07 91.20
8/16/2009 111.04 92.09
9/16/2009 108.37 92.93
10/16/2009 105.58 92.74
11/16/2009 105.18 89.79
12/16/2009 105.06 87.19
1/16/2010 105.76 86.04
2/15/2010 106.21 86.81
3/16/2010 105.78 88.85
4/16/2010 103.98 91.73
5/16/2010 101.55 95.09
6/16/2010 99.44 95.39
7/16/2010 99.23 95.02
8/16/2010 99.01 94.69
9/16/2010 98.69 94.61
10/16/2010 98.05 95.09
11/16/2010 98.26 94.09
12/16/2010 97.82 94.29
1/16/2011 96.82 94.57
2/15/2011 95.65 96.56
3/16/2011 94.06 96.12
4/16/2011 93.82 95.22
5/16/2011 93.78 94.75
6/16/2011 93.54 94.21
7/16/2011 93.24 93.05
8/16/2011 93.09 92.09
9/16/2011 93.86 91.64
10/16/2011 95.10 93.66
11/16/2011 96.09 95.58
12/16/2011 95.24 97.79
1/16/2012 93.73 98.31
2/15/2012 92.73 98.53
3/16/2012 92.39 96.35
4/16/2012 92.83 95.45
5/16/2012 93.69 95.24
6/16/2012 93.91 96.42
7/16/2012 94.76 97.54
8/16/2012 94.68 98.04
9/16/2012 94.88 96.90
10/16/2012 96.10 97.02
11/16/2012 98.29 97.97
12/16/2012 98.96 99.44
1/16/2013 97.95 99.70
2/15/2013 97.01 99.56
3/16/2013 96.72 100.37
4/16/2013 98.61 101.79
5/16/2013 99.53 103.89
6/16/2013 100.52 104.76
7/16/2013 100.91 107.46
8/16/2013 101.31 108.55
9/16/2013 101.72 110.37
10/16/2013 102.50 110.76
11/16/2013 103.89 111.59
12/16/2013 104.68 110.34
1/16/2014 105.75 109.75
2/15/2014 106.83 109.20
3/16/2014 106.95 109.34
4/16/2014 107.29 109.85
5/16/2014 107.61 110.60
6/16/2014 108.20 111.08
7/16/2014 109.44 111.61
8/16/2014 110.62 112.85
9/16/2014 111.90 113.26
10/16/2014 113.37 114.89
11/16/2014 115.38 116.25
12/16/2014 116.66 120.07
1/16/2015 117.73 123.51
2/15/2015 117.78 127.66
3/16/2015 118.31 126.24
4/16/2015 119.48 126.28
5/16/2015 120.02 124.46
6/16/2015 120.30 125.36
7/16/2015 120.97 124.72
8/16/2015 121.83 124.66
9/16/2015 122.41 125.25
10/16/2015 122.79 125.37
11/16/2015 123.80 126.20
12/16/2015 125.54 126.21
1/16/2016 126.98 125.72
2/15/2016 128.00 124.61
3/16/2016 128.10 122.27
4/16/2016 127.49 121.37
5/16/2016 127.23 122.59
6/16/2016 127.28 125.07
7/16/2016 129.15 127.67
8/16/2016 130.62 128.42
9/16/2016 132.33 127.85
10/16/2016 133.03 128.58
11/16/2016 134.18 129.50
12/16/2016 134.90 130.59
1/16/2017 135.71 128.87
2/15/2017 137.71 128.54
3/16/2017 139.95 128.99
4/16/2017 141.85 129.69
5/16/2017 143.45 130.60
6/16/2017 145.55 130.65
7/16/2017 146.96 130.79
8/16/2017 146.76 131.86
9/16/2017 145.56 132.91
10/16/2017 145.25 136.09
11/16/2017 146.99 136.29
12/16/2017 148.84 135.36
1/16/2018 150.07 132.34
2/15/2018 148.80 134.06
3/16/2018 147.71 136.65
4/16/2018 147.18 139.73
5/16/2018 148.40 137.52
6/16/2018 150.39 134.41
7/16/2018 151.50 132.13
8/16/2018 151.68 133.20
9/16/2018 151.52 134.41
10/16/2018 152.46 134.09
11/16/2018 155.14 133.94
12/16/2018 156.71 135.20
1/16/2019 156.51 137.34
2/15/2019 155.07 139.74
3/16/2019 155.66 138.57
4/16/2019 155.71 138.53
5/16/2019 156.94 140.01
6/16/2019 157.54 144.36
7/16/2019 158.57 145.58
8/16/2019 160.26 145.34
9/16/2019 161.44 143.49
10/16/2019 160.74 142.47
11/16/2019 160.38 141.97
12/16/2019 160.01 142.86
1/16/2020 161.31 142.48
2/15/2020 163.10 144.12
3/16/2020 165.95 144.13
4/16/2020 165.89 144.85
5/16/2020 163.88 142.69
6/16/2020 161.62 140.28
7/16/2020 160.88 139.33
8/16/2020 162.29 140.17
9/16/2020 164.77 142.22
10/16/2020 169.30 144.02
11/16/2020 172.89 147.51
12/16/2020 172.25 148.43
1/16/2021 170.65 148.09
2/15/2021 168.52 145.86
3/16/2021 170.57 145.88
4/16/2021 172.30 145.71
5/16/2021 174.92 145.64
6/16/2021 175.88 144.64
7/16/2021 176.54 146.08
8/16/2021 177.36 148.10

Note: Series are deflated using the consumer price index and seasonally adjusted by Federal Reserve Board staff. The data begin in 1998 for the equal-weighted curve and 1996 for the value-weighted curve.

Source: CoStar Group, Inc., CoStar Commercial Repeat Sale Indices; Bureau of Labor Statistics, consumer price index via Haver Analytics.

Return to text
Figure 1-13. Capitalization Rate at Property Purchase

Percent

Date Capitalization rate
1/16/2001 8.42
2/15/2001 8.42
3/16/2001 8.45
4/16/2001 8.40
5/16/2001 8.45
6/16/2001 8.43
7/16/2001 8.47
8/16/2001 8.49
9/16/2001 8.53
10/16/2001 8.52
11/16/2001 8.55
12/16/2001 8.61
1/16/2002 8.63
2/15/2002 8.65
3/16/2002 8.67
4/16/2002 8.73
5/16/2002 8.67
6/16/2002 8.68
7/16/2002 8.64
8/16/2002 8.59
9/16/2002 8.48
10/16/2002 8.44
11/16/2002 8.41
12/16/2002 8.35
1/16/2003 8.31
2/15/2003 8.28
3/16/2003 8.27
4/16/2003 8.24
5/16/2003 8.24
6/16/2003 8.18
7/16/2003 8.15
8/16/2003 8.12
9/16/2003 8.11
10/16/2003 8.09
11/16/2003 8.06
12/16/2003 8.01
1/16/2004 7.98
2/15/2004 7.93
3/16/2004 7.89
4/16/2004 7.84
5/16/2004 7.81
6/16/2004 7.79
7/16/2004 7.75
8/16/2004 7.72
9/16/2004 7.64
10/16/2004 7.59
11/16/2004 7.54
12/16/2004 7.44
1/16/2005 7.41
2/15/2005 7.36
3/16/2005 7.31
4/16/2005 7.25
5/16/2005 7.20
6/16/2005 7.13
7/16/2005 7.08
8/16/2005 7.04
9/16/2005 7.00
10/16/2005 6.93
11/16/2005 6.90
12/16/2005 6.87
1/16/2006 6.81
2/15/2006 6.78
3/16/2006 6.73
4/16/2006 6.71
5/16/2006 6.68
6/16/2006 6.65
7/16/2006 6.62
8/16/2006 6.59
9/16/2006 6.56
10/16/2006 6.56
11/16/2006 6.56
12/16/2006 6.55
1/16/2007 6.53
2/15/2007 6.52
3/16/2007 6.52
4/16/2007 6.49
5/16/2007 6.46
6/16/2007 6.45
7/16/2007 6.44
8/16/2007 6.44
9/16/2007 6.44
10/16/2007 6.45
11/16/2007 6.43
12/16/2007 6.42
1/16/2008 6.43
2/15/2008 6.45
3/16/2008 6.46
4/16/2008 6.50
5/16/2008 6.55
6/16/2008 6.60
7/16/2008 6.63
8/16/2008 6.68
9/16/2008 6.74
10/16/2008 6.73
11/16/2008 6.78
12/16/2008 6.82
1/16/2009 6.88
2/15/2009 6.89
3/16/2009 6.93
4/16/2009 6.95
5/16/2009 6.99
6/16/2009 7.08
7/16/2009 7.20
8/16/2009 7.25
9/16/2009 7.35
10/16/2009 7.43
11/16/2009 7.47
12/16/2009 7.54
1/16/2010 7.54
2/15/2010 7.57
3/16/2010 7.60
4/16/2010 7.68
5/16/2010 7.68
6/16/2010 7.67
7/16/2010 7.63
8/16/2010 7.65
9/16/2010 7.62
10/16/2010 7.59
11/16/2010 7.56
12/16/2010 7.49
1/16/2011 7.50
2/15/2011 7.47
3/16/2011 7.41
4/16/2011 7.38
5/16/2011 7.36
6/16/2011 7.30
7/16/2011 7.28
8/16/2011 7.23
9/16/2011 7.20
10/16/2011 7.19
11/16/2011 7.17
12/16/2011 7.15
1/16/2012 7.10
2/15/2012 7.10
3/16/2012 7.08
4/16/2012 7.04
5/16/2012 7.01
6/16/2012 6.98
7/16/2012 6.96
8/16/2012 6.95
9/16/2012 6.94
10/16/2012 6.90
11/16/2012 6.88
12/16/2012 6.84
1/16/2013 6.85
2/15/2013 6.84
3/16/2013 6.83
4/16/2013 6.81
5/16/2013 6.81
6/16/2013 6.79
7/16/2013 6.78
8/16/2013 6.74
9/16/2013 6.72
10/16/2013 6.72
11/16/2013 6.72
12/16/2013 6.69
1/16/2014 6.65
2/15/2014 6.62
3/16/2014 6.59
4/16/2014 6.60
5/16/2014 6.58
6/16/2014 6.57
7/16/2014 6.54
8/16/2014 6.54
9/16/2014 6.50
10/16/2014 6.47
11/16/2014 6.46
12/16/2014 6.43
1/16/2015 6.41
2/15/2015 6.40
3/16/2015 6.39
4/16/2015 6.34
5/16/2015 6.32
6/16/2015 6.31
7/16/2015 6.30
8/16/2015 6.28
9/16/2015 6.28
10/16/2015 6.26
11/16/2015 6.24
12/16/2015 6.22
1/16/2016 6.23
2/15/2016 6.21
3/16/2016 6.19
4/16/2016 6.18
5/16/2016 6.18
6/16/2016 6.17
7/16/2016 6.15
8/16/2016 6.14
9/16/2016 6.11
10/16/2016 6.10
11/16/2016 6.11
12/16/2016 6.12
1/16/2017 6.10
2/15/2017 6.11
3/16/2017 6.13
4/16/2017 6.14
5/16/2017 6.13
6/16/2017 6.12
7/16/2017 6.12
8/16/2017 6.11
9/16/2017 6.10
10/16/2017 6.11
11/16/2017 6.10
12/16/2017 6.09
1/16/2018 6.08
2/15/2018 6.08
3/16/2018 6.06
4/16/2018 6.04
5/16/2018 6.04
6/16/2018 6.04
7/16/2018 6.04
8/16/2018 6.04
9/16/2018 6.05
10/16/2018 6.05
11/16/2018 6.04
12/16/2018 6.02
1/16/2019 6.03
2/15/2019 6.02
3/16/2019 6.03
4/16/2019 6.03
5/16/2019 6.05
6/16/2019 6.04
7/16/2019 6.04
8/16/2019 6.03
9/16/2019 6.01
10/16/2019 5.99
11/16/2019 5.98
12/16/2019 5.97
1/16/2020 5.96
2/15/2020 5.97
3/16/2020 5.94
4/16/2020 5.94
5/16/2020 5.90
6/16/2020 5.89
7/16/2020 5.86
8/16/2020 5.85
9/16/2020 5.86
10/16/2020 5.84
11/16/2020 5.82
12/16/2020 5.80
1/16/2021 5.78
2/15/2021 5.77
3/16/2021 5.77
4/16/2021 5.77
5/16/2021 5.78
6/16/2021 5.78
7/16/2021 5.77
8/16/2021 5.77

Note: The data are a 12-month moving average of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), “Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market,” Journal of Real Estate Portfolio Management, vol. 16 (May–August), pp. 101–18.

Return to text
1-14. Change in Bank Standards for Commercial Real Estate Loans

This is a line chart titled “Change in Bank Standards for Commercial Real Estate Loans.” The x axis measures time and ranges from the years 1997 to 2021. The y axis ranges from -100 to 100, which measures the net percentage of banks reporting on the right. On the left y axis, from -100 to 0, is labeled “Easing” and from 0 to 100 is labeled “Tightening.” There is one variable charted on the plot and it is the net percentage of banks reporting in the Senior Loan Officer Opinion Survey on Bank Lending Practices. It is represented by a solid black line. It begins at 0 and spikes to 50 in 1998. It declines until 2000 with a spike back up to 50 in 2001 then steadily declines to -20 in 2005. It then increases until 2009 to around 95. It decreases to around -20 in 2011 and remains fairly steady until 2015. It then increases and hits 50 in 2016 before falling to around -15 in2018. It increases to around 19 by the end of 2019. The series then drops to around 5 and then sharply increases to 80 by Q2 of 2020. The series then sharply decreases to a little under zero at the beginning of 2020, and ultimately ends at about –25 in Q2 of 2021. The chart also includes recession bars.

Note: Banks’ responses are weighted by their commercial real estate loan market shares. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter.

Source: Federal Reserve Board (FRB), Senior Loan Officer Opinion Survey on Bank Lending Practices; FRB staff calculations.

Return to text
Figure 1-15. Farmland Prices

2020 dollars per acre

Date Midwest index United States
7/2/1967 2570.07 na
7/2/1968 2695.72 na
7/2/1969 2643.50 na
7/2/1970 2528.56 na
7/2/1971 2363.41 na
7/2/1972 2367.13 na
7/2/1973 2545.79 na
7/2/1974 3073.63 na
7/2/1975 3424.13 na
7/2/1976 4022.62 na
7/2/1977 4827.56 na
7/2/1978 5041.31 na
7/2/1979 5115.66 na
7/2/1980 5119.61 na
7/2/1981 4870.29 na
7/2/1982 4438.25 na
7/2/1983 3767.96 na
7/2/1984 3311.84 na
7/2/1985 2361.69 na
7/2/1986 1875.72 na
7/2/1987 1595.78 na
7/2/1988 1748.01 na
7/2/1989 1912.61 na
7/2/1990 1920.14 na
7/2/1991 1878.38 na
7/2/1992 1884.05 na
7/2/1993 1886.05 na
7/2/1994 2287.15 na
7/2/1995 2207.01 na
7/2/1996 2356.86 na
7/2/1997 2168.92 2047.86
7/2/1998 2292.36 2127.81
7/2/1999 2314.42 2175.38
7/2/2000 2283.74 2194.72
7/2/2001 2267.47 2207.70
7/2/2002 2301.67 2288.15
7/2/2003 2331.91 2335.22
7/2/2004 2437.10 2397.87
7/2/2005 2815.95 2730.72
7/2/2006 3037.12 3069.27
7/2/2007 3365.54 3158.40
7/2/2008 3755.46 3318.91
7/2/2009 3569.03 3221.00
7/2/2010 3759.17 3204.75
7/2/2011 4362.84 3429.42
7/2/2012 5109.16 3776.92
7/2/2013 5850.08 4233.48
7/2/2014 6293.60 4472.35
7/2/2015 6043.37 4477.86
7/2/2016 5759.23 4357.11
7/2/2017 5581.32 4255.37
7/2/2018 5446.74 4174.87
7/2/2019 5345.26 4151.18
7/2/2020 5230.70 4100.00
7/2/2021 5427.38 4190.76

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states derived from staff calculations. Values are given in real terms. The data extend through July 2021. Median marked with a horizontal red line at about 2800.

Source: Department of Agriculture; Federal Reserve Bank of Minneapolis staff calculations.

Return to text
Figure 1-16. Farmland Price-to-Rent Ratio

Ratio

Date Midwest index United States
7/2/1967 14.13 na
7/2/1968 14.20 na
7/2/1969 14.20 na
7/2/1970 13.99 na
7/2/1971 13.51 na
7/2/1972 13.40 na
7/2/1973 14.17 na
7/2/1974 14.53 na
7/2/1975 14.60 na
7/2/1976 16.16 na
7/2/1977 18.02 na
7/2/1978 19.56 na
7/2/1979 20.58 na
7/2/1980 21.55 na
7/2/1981 21.25 na
7/2/1982 19.56 na
7/2/1983 17.42 na
7/2/1984 15.95 na
7/2/1985 13.00 na
7/2/1986 11.90 na
7/2/1987 11.72 na
7/2/1988 12.52 na
7/2/1989 13.30 na
7/2/1990 13.41 na
7/2/1991 13.51 na
7/2/1992 13.74 na
7/2/1993 13.89 na
7/2/1994 17.97 na
7/2/1995 17.35 na
7/2/1996 18.36 na
7/2/1997 16.67 na
7/2/1998 17.47 20.15
7/2/1999 18.20 20.74
7/2/2000 17.84 20.86
7/2/2001 17.95 21.27
7/2/2002 18.18 22.21
7/2/2003 18.63 22.74
7/2/2004 19.45 22.88
7/2/2005 22.50 26.41
7/2/2006 24.61 30.06
7/2/2007 25.78 32.65
7/2/2008 26.32 32.28
7/2/2009 24.43 26.97
7/2/2010 25.44 26.47
7/2/2011 27.84 26.85
7/2/2012 28.48 26.80
7/2/2013 30.45 28.01
7/2/2014 32.19 29.01
7/2/2015 31.64 28.47
7/2/2016 32.10 29.71
7/2/2017 32.28 29.63
7/2/2018 31.89 29.35
7/2/2019 32.05 29.29
7/2/2020 31.90 29.50
7/2/2021 33.81 31.35

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states derived from staff calculations. The data extend through July 2021. Median marked with a horizontal red line at about 18.

Source: Department of Agriculture; Federal Reserve Bank of Minneapolis staff calculations.

Return to text
Figure 1-17. Growth of Nominal Prices of Existing Homes

Twelve-month percent change

Date CoreLogic Zillow Case-Shiller
1/16/2003 9.69 7.23 9.63
2/15/2003 9.62 7.30 9.76
3/16/2003 9.57 7.36 9.65
4/16/2003 9.50 7.44 9.46
5/16/2003 9.25 7.53 9.15
6/16/2003 8.99 7.58 8.91
7/16/2003 8.82 7.61 8.86
8/16/2003 8.97 7.65 9.00
9/16/2003 9.38 7.73 9.24
10/16/2003 9.88 7.81 9.39
11/16/2003 10.31 7.86 9.58
12/16/2003 10.88 7.87 9.82
1/16/2004 11.36 7.94 10.23
2/15/2004 11.77 8.10 10.68
3/16/2004 12.35 8.32 11.42
4/16/2004 13.01 8.57 12.02
5/16/2004 13.51 8.86 12.51
6/16/2004 14.16 9.22 12.98
7/16/2004 14.54 9.60 13.14
8/16/2004 14.60 9.93 13.13
9/16/2004 14.73 10.18 13.15
10/16/2004 14.99 10.38 13.28
11/16/2004 15.21 10.58 13.50
12/16/2004 15.49 10.83 13.64
1/16/2005 15.59 11.06 13.80
2/15/2005 15.83 11.24 14.01
3/16/2005 16.24 11.36 14.23
4/16/2005 16.38 11.54 14.24
5/16/2005 16.23 11.67 14.31
6/16/2005 16.01 11.78 14.28
7/16/2005 15.88 11.81 14.28
8/16/2005 16.04 11.86 14.37
9/16/2005 16.27 11.89 14.51
10/16/2005 15.99 11.91 14.36
11/16/2005 15.62 11.88 14.08
12/16/2005 15.20 11.74 13.51
1/16/2006 14.69 11.50 12.93
2/15/2006 13.83 11.20 12.09
3/16/2006 12.50 10.89 11.04
4/16/2006 10.96 10.51 9.97
5/16/2006 9.35 10.05 8.75
6/16/2006 7.50 9.45 7.28
7/16/2006 5.90 8.73 6.04
8/16/2006 4.50 7.92 4.83
9/16/2006 3.32 7.02 3.71
10/16/2006 2.41 6.18 2.97
11/16/2006 1.44 5.36 2.20
12/16/2006 0.35 4.63 1.73
1/16/2007 -0.56 4.00 1.05
2/15/2007 -1.39 3.40 0.53
3/16/2007 -2.68 2.79 -0.31
4/16/2007 -3.57 2.14 -0.83
5/16/2007 -4.24 1.44 -1.35
6/16/2007 -4.56 0.76 -1.63
7/16/2007 -4.90 0.10 -1.96
8/16/2007 -5.48 -0.48 -2.26
9/16/2007 -6.40 -1.00 -2.76
10/16/2007 -7.55 -1.49 -3.55
11/16/2007 -8.70 -1.99 -4.61
12/16/2007 -9.79 -2.49 -5.40
1/16/2008 -10.99 -3.06 -6.37
2/15/2008 -12.14 -3.69 -7.28
3/16/2008 -12.82 -4.38 -7.84
4/16/2008 -13.41 -5.11 -8.13
5/16/2008 -13.52 -5.78 -8.18
6/16/2008 -13.55 -6.40 -8.26
7/16/2008 -13.87 -6.96 -8.44
8/16/2008 -14.26 -7.64 -8.85
9/16/2008 -15.07 -8.23 -9.60
10/16/2008 -15.87 -8.78 -10.34
11/16/2008 -16.37 -9.23 -10.90
12/16/2008 -17.16 -9.68 -11.99
1/16/2009 -17.63 -10.03 -12.70
2/15/2009 -17.19 -10.14 -12.75
3/16/2009 -16.40 -10.14 -12.74
4/16/2009 -15.12 -10.07 -12.19
5/16/2009 -13.39 -10.01 -11.29
6/16/2009 -11.63 -9.86 -10.05
7/16/2009 -10.09 -9.58 -9.03
8/16/2009 -8.73 -9.17 -8.28
9/16/2009 -7.50 -8.73 -7.59
10/16/2009 -5.86 -8.21 -6.65
11/16/2009 -3.89 -7.48 -5.21
12/16/2009 -2.22 -6.64 -3.85
1/16/2010 -1.41 -5.77 -2.92
2/15/2010 -1.42 -5.10 -3.09
3/16/2010 -0.25 -4.40 -1.99
4/16/2010 0.85 -3.66 -1.05
5/16/2010 1.04 -2.94 -0.76
6/16/2010 0.67 -2.42 -1.40
7/16/2010 -0.20 -2.24 -2.12
8/16/2010 -1.23 -2.21 -2.81
9/16/2010 -2.14 -2.31 -3.35
10/16/2010 -2.79 -2.52 -3.67
11/16/2010 -3.55 -2.96 -4.14
12/16/2010 -3.67 -3.45 -4.11
1/16/2011 -3.58 -3.94 -4.10
2/15/2011 -3.51 -4.37 -3.72
3/16/2011 -4.32 -4.83 -4.04
4/16/2011 -4.52 -5.40 -4.29
5/16/2011 -4.40 -5.93 -4.31
6/16/2011 -3.89 -6.29 -3.89
7/16/2011 -3.05 -6.29 -3.54
8/16/2011 -2.29 -6.12 -3.17
9/16/2011 -1.61 -5.81 -3.07
10/16/2011 -1.36 -5.53 -3.30
11/16/2011 -1.34 -5.18 -3.64
12/16/2011 -0.96 -4.86 -3.89
1/16/2012 -0.34 -4.46 -3.51
2/15/2012 0.58 -4.04 -2.72
3/16/2012 1.92 -3.48 -1.40
4/16/2012 2.71 -2.81 -0.49
5/16/2012 3.38 -2.01 0.25
6/16/2012 3.78 -1.24 0.86
7/16/2012 4.13 -0.57 1.36
8/16/2012 4.66 0.05 2.05
9/16/2012 5.30 0.65 2.99
10/16/2012 5.99 1.34 4.02
11/16/2012 6.95 2.05 5.34
12/16/2012 7.78 2.79 6.44
1/16/2013 8.66 3.52 7.57
2/15/2013 9.35 4.26 8.33
3/16/2013 9.91 4.91 8.90
4/16/2013 9.94 5.47 9.02
5/16/2013 9.74 5.97 9.09
6/16/2013 9.36 6.51 9.27
7/16/2013 9.42 7.03 9.72
8/16/2013 9.58 7.51 10.17
9/16/2013 9.88 7.92 10.61
10/16/2013 10.09 8.24 10.83
11/16/2013 10.04 8.42 10.70
12/16/2013 9.88 8.52 10.72
1/16/2014 9.81 8.51 10.44
2/15/2014 9.75 8.43 10.14
3/16/2014 8.91 8.16 8.95
4/16/2014 7.95 7.78 7.96
5/16/2014 7.02 7.33 7.03
6/16/2014 6.31 6.88 6.25
7/16/2014 5.72 6.39 5.58
8/16/2014 5.33 5.86 5.05
9/16/2014 5.07 5.37 4.74
10/16/2014 5.11 4.96 4.61
11/16/2014 5.06 4.69 4.58
12/16/2014 5.00 4.50 4.51
1/16/2015 5.00 4.32 4.32
2/15/2015 5.09 4.17 4.24
3/16/2015 5.17 4.17 4.29
4/16/2015 5.19 4.27 4.30
5/16/2015 5.18 4.41 4.35
6/16/2015 5.18 4.46 4.36
7/16/2015 5.06 4.51 4.41
8/16/2015 5.07 4.65 4.47
9/16/2015 5.25 4.82 4.67
10/16/2015 5.32 4.95 4.88
11/16/2015 5.40 4.98 5.10
12/16/2015 5.51 5.04 5.21
1/16/2016 5.63 5.14 5.29
2/15/2016 5.64 5.24 5.19
3/16/2016 5.61 5.22 5.07
4/16/2016 5.57 5.22 5.02
5/16/2016 5.39 5.21 4.95
6/16/2016 5.16 5.27 4.89
7/16/2016 5.15 5.34 4.89
8/16/2016 5.13 5.40 4.99
9/16/2016 5.20 5.45 5.09
10/16/2016 5.32 5.52 5.13
11/16/2016 5.43 5.66 5.19
12/16/2016 5.45 5.75 5.30
1/16/2017 5.51 5.78 5.49
2/15/2017 5.65 5.79 5.56
3/16/2017 5.69 5.88 5.63
4/16/2017 5.64 5.98 5.63
5/16/2017 5.64 6.06 5.65
6/16/2017 5.75 6.12 5.69
7/16/2017 5.76 6.15 5.74
8/16/2017 5.84 6.21 5.83
9/16/2017 5.90 6.29 5.92
10/16/2017 5.97 6.39 6.02
11/16/2017 6.05 6.45 6.09
12/16/2017 6.06 6.52 6.21
1/16/2018 6.00 6.58 6.21
2/15/2018 6.21 6.66 6.42
3/16/2018 6.39 6.70 6.46
4/16/2018 6.35 6.70 6.41
5/16/2018 6.23 6.67 6.26
6/16/2018 5.96 6.63 6.13
7/16/2018 5.75 6.61 5.91
8/16/2018 5.50 6.57 5.65
9/16/2018 5.32 6.49 5.41
10/16/2018 5.20 6.35 5.27
11/16/2018 4.93 6.18 4.94
12/16/2018 4.61 6.01 4.52
1/16/2019 4.41 5.86 4.13
2/15/2019 4.17 5.63 3.84
3/16/2019 3.90 5.37 3.64
4/16/2019 3.81 5.07 3.53
5/16/2019 3.79 4.80 3.42
6/16/2019 3.70 4.56 3.22
7/16/2019 3.63 4.33 3.13
8/16/2019 3.74 4.14 3.12
9/16/2019 3.83 3.98 3.18
10/16/2019 3.89 3.85 3.23
11/16/2019 4.06 3.74 3.43
12/16/2019 4.28 3.65 3.70
1/16/2020 4.43 3.62 4.01
2/15/2020 4.59 3.69 4.29
3/16/2020 4.94 3.88 4.58
4/16/2020 4.86 4.08 4.61
5/16/2020 4.45 4.15 4.38
6/16/2020 4.67 4.19 4.40
7/16/2020 5.33 4.40 4.85
8/16/2020 5.87 4.94 5.84
9/16/2020 6.54 5.70 7.05
10/16/2020 7.32 6.53 8.43
11/16/2020 8.00 7.44 9.53
12/16/2020 8.75 8.31 10.43
1/16/2021 9.27 9.07 11.29
2/15/2021 9.88 9.82 12.16
3/16/2021 11.00 10.58 13.44
4/16/2021 12.78 11.53 14.97
5/16/2021 14.85 12.96 16.90
6/16/2021 16.58 14.76 18.73
7/16/2021 17.51 16.52 19.70
8/16/2021 18.14 17.68 na
9/16/2021 na 18.43 na

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data; S&P Case-Shiller Home Price Indices.

Return to text
Figure 1-18. House Price Valuation Measure
Date Percent Valuation
1979 Q1 -1.64
1979 Q2 0.37
1979 Q3 -0.34
1979 Q4 1.06
1980 Q1 0.65
1980 Q2 0.39
1980 Q3 1.56
1980 Q4 4.42
1981 Q1 4.81
1981 Q2 3.46
1981 Q3 1.83
1981 Q4 1.19
1982 Q1 -1.11
1982 Q2 -0.71
1982 Q3 -0.27
1982 Q4 -0.66
1983 Q1 0.96
1983 Q2 0.29
1983 Q3 1.53
1983 Q4 -2.04
1984 Q1 -2.24
1984 Q2 -1.97
1984 Q3 -1.93
1984 Q4 -1.16
1985 Q1 -0.14
1985 Q2 1.19
1985 Q3 1.72
1985 Q4 0.87
1986 Q1 1.35
1986 Q2 0.30
1986 Q3 1.65
1986 Q4 1.48
1987 Q1 1.32
1987 Q2 -0.88
1987 Q3 0.00
1987 Q4 -0.21
1988 Q1 -0.78
1988 Q2 1.80
1988 Q3 1.19
1988 Q4 1.93
1989 Q1 1.20
1989 Q2 2.97
1989 Q3 2.33
1989 Q4 2.27
1990 Q1 2.10
1990 Q2 0.01
1990 Q3 -1.01
1990 Q4 -0.95
1991 Q1 -1.10
1991 Q2 -0.87
1991 Q3 -1.94
1991 Q4 -3.61
1992 Q1 -4.17
1992 Q2 -4.91
1992 Q3 -4.94
1992 Q4 -6.24
1993 Q1 -6.14
1993 Q2 -5.88
1993 Q3 -5.24
1993 Q4 -4.66
1994 Q1 -4.59
1994 Q2 -5.53
1994 Q3 -7.05
1994 Q4 -6.37
1995 Q1 -6.48
1995 Q2 -4.60
1995 Q3 -2.95
1995 Q4 -2.89
1996 Q1 -3.24
1996 Q2 -4.74
1996 Q3 -4.99
1996 Q4 -5.74
1997 Q1 -5.36
1997 Q2 -4.64
1997 Q3 -4.24
1997 Q4 -5.16
1998 Q1 -4.80
1998 Q2 -3.27
1998 Q3 -3.92
1998 Q4 -2.59
1999 Q1 -2.34
1999 Q2 -1.35
1999 Q3 -1.25
1999 Q4 -1.27
2000 Q1 0.26
2000 Q2 1.30
2000 Q3 3.62
2000 Q4 4.59
2001 Q1 5.39
2001 Q2 6.01
2001 Q3 5.62
2001 Q4 4.57
2002 Q1 4.06
2002 Q2 4.70
2002 Q3 5.22
2002 Q4 7.06
2003 Q1 8.26
2003 Q2 9.56
2003 Q3 10.33
2003 Q4 10.32
2004 Q1 11.86
2004 Q2 13.42
2004 Q3 16.29
2004 Q4 19.07
2005 Q1 20.61
2005 Q2 24.20
2005 Q3 26.91
2005 Q4 27.88
2006 Q1 28.73
2006 Q2 29.14
2006 Q3 29.11
2006 Q4 28.98
2007 Q1 27.83
2007 Q2 26.99
2007 Q3 25.46
2007 Q4 22.79
2008 Q1 20.26
2008 Q2 16.97
2008 Q3 13.35
2008 Q4 9.44
2009 Q1 5.25
2009 Q2 3.53
2009 Q3 0.91
2009 Q4 -0.93
2010 Q1 -1.20
2010 Q2 -0.24
2010 Q3 -1.82
2010 Q4 -4.91
2011 Q1 -7.19
2011 Q2 -9.75
2011 Q3 -12.56
2011 Q4 -13.75
2012 Q1 -13.70
2012 Q2 -13.92
2012 Q3 -15.08
2012 Q4 -13.85
2013 Q1 -12.91
2013 Q2 -11.58
2013 Q3 -10.49
2013 Q4 -9.40
2014 Q1 -7.69
2014 Q2 -7.41
2014 Q3 -5.50
2014 Q4 -5.23
2015 Q1 -4.51
2015 Q2 -4.84
2015 Q3 -5.16
2015 Q4 -5.26
2016 Q1 -4.22
2016 Q2 -3.14
2016 Q3 -3.05
2016 Q4 -2.31
2017 Q1 -2.25
2017 Q2 -0.89
2017 Q3 -0.40
2017 Q4 1.41
2018 Q1 2.90
2018 Q2 2.71
2018 Q3 3.26
2018 Q4 3.19
2019 Q1 4.37
2019 Q2 4.08
2019 Q3 3.39
2019 Q4 3.69
2020 Q1 3.42
2020 Q2 4.07
2020 Q3 4.93
2020 Q4 6.96
2021 Q1 9.49
2021 Q2 12.48
2021Q3 17.31

Note: Valuation is measured as the deviation from the long-run relationship between the price-to-rent ratio and the real 10-year Treasury yield.

Source: For house prices, Zillow, Inc., Zillow Real Estate Data; for rent data, Bureau of Labor Statistics.

Return to text
Figure 1-19. Selected Local Housing Price-to-Rent Ratio Indexes

Jan. 2010 = 100

Date Phoenix Miami Los Angeles Median 90th Percentile 10th Percentile
1/16/1996 na 99.31 71.19 83.02 108.70 71.19
2/15/1996 na 99.41 71.29 82.72 108.65 71.29
3/16/1996 na 99.67 70.94 82.44 108.30 70.94
4/16/1996 na 99.66 70.94 82.19 108.39 70.94
5/16/1996 na 99.59 70.83 82.01 108.20 70.83
6/16/1996 na 99.88 70.73 82.06 107.71 70.73
7/16/1996 na 100.46 70.67 82.09 107.76 70.67
8/16/1996 na 100.34 70.39 82.21 107.62 70.39
9/16/1996 na 100.26 70.23 82.24 107.04 70.23
10/16/1996 na 99.93 69.87 82.30 107.32 69.87
11/16/1996 na 99.82 69.91 82.42 107.11 69.91
12/16/1996 na 99.89 69.94 82.54 106.89 69.94
1/16/1997 na 99.61 69.77 82.73 106.07 69.77
2/15/1997 na 99.52 69.64 82.91 106.37 69.64
3/16/1997 na 99.33 69.60 83.15 106.15 69.60
4/16/1997 na 99.39 69.55 83.47 105.93 69.55
5/16/1997 na 99.28 69.62 83.73 105.81 69.62
6/16/1997 na 99.18 69.66 83.93 105.81 69.66
7/16/1997 na 99.04 69.79 84.56 105.82 69.79
8/16/1997 na 98.90 70.03 84.76 105.53 70.03
9/16/1997 na 98.95 70.08 84.96 105.69 70.08
10/16/1997 na 99.06 70.38 85.12 105.19 70.38
11/16/1997 na 99.03 70.58 85.31 105.59 70.58
12/16/1997 na 99.15 70.81 85.54 105.86 70.81
1/16/1998 na 99.50 71.36 85.09 106.39 71.36
2/15/1998 na 99.75 71.81 85.52 106.38 71.81
3/16/1998 na 99.82 72.21 85.75 106.64 72.21
4/16/1998 na 99.85 72.58 85.98 106.44 72.58
5/16/1998 na 100.07 72.95 86.20 106.09 72.95
6/16/1998 na 99.96 73.31 86.24 105.97 73.31
7/16/1998 na 99.84 73.50 86.28 105.71 73.50
8/16/1998 na 99.68 73.93 86.64 105.90 73.77
9/16/1998 na 100.42 74.40 87.07 105.64 74.01
10/16/1998 na 100.86 74.82 87.40 105.40 74.26
11/16/1998 na 101.18 75.25 87.79 105.28 74.57
12/16/1998 na 101.11 75.41 87.87 104.82 74.82
1/16/1999 na 101.23 75.96 88.01 105.08 75.03
2/15/1999 na 101.25 76.29 87.92 105.58 74.88
3/16/1999 na 101.19 76.73 88.01 106.04 74.82
4/16/1999 na 101.37 77.03 88.52 106.55 74.85
5/16/1999 na 101.46 77.42 88.68 107.31 74.86
6/16/1999 na 102.23 77.82 89.30 108.02 75.03
7/16/1999 na 102.89 78.32 89.78 108.51 75.22
8/16/1999 na 103.47 78.84 90.33 108.66 75.34
9/16/1999 na 102.91 78.95 90.82 108.64 75.58
10/16/1999 na 102.93 79.27 91.33 108.75 75.78
11/16/1999 na 103.09 79.66 91.45 108.92 76.45
12/16/1999 na 103.14 80.21 91.56 109.41 77.58
1/16/2000 na 103.13 80.42 91.77 109.44 78.36
2/15/2000 na 103.50 80.73 92.04 109.81 79.19
3/16/2000 na 104.10 81.33 92.31 110.31 79.93
4/16/2000 na 104.41 81.66 92.63 111.01 81.13
5/16/2000 na 104.93 82.41 93.19 111.46 81.56
6/16/2000 na 104.22 83.02 93.27 111.84 81.83
7/16/2000 na 104.72 83.60 94.27 112.28 81.93
8/16/2000 na 104.88 84.23 95.24 112.71 81.89
9/16/2000 na 105.30 84.89 95.98 113.03 81.92
10/16/2000 na 105.78 85.25 96.61 113.54 82.03
11/16/2000 na 106.29 85.79 97.33 114.04 82.16
12/16/2000 na 107.22 86.16 97.87 114.60 82.28
1/16/2001 na 107.64 86.63 98.41 114.49 82.37
2/15/2001 na 108.06 87.12 99.12 115.19 82.68
3/16/2001 na 108.81 87.48 99.99 115.71 82.33
4/16/2001 na 109.48 87.96 99.75 115.79 82.44
5/16/2001 na 110.45 88.10 99.48 115.80 82.40
6/16/2001 na 111.22 88.29 99.07 115.94 82.13
7/16/2001 na 112.19 88.62 99.37 116.33 82.43
8/16/2001 na 113.31 88.93 99.57 116.26 82.75
9/16/2001 na 114.31 89.23 99.67 116.27 83.17
10/16/2001 na 115.54 89.71 99.71 116.14 83.22
11/16/2001 na 116.50 90.19 99.64 116.50 83.34
12/16/2001 na 117.33 90.59 99.54 117.33 83.96
1/16/2002 108.12 117.95 90.68 99.14 117.95 84.08
2/15/2002 108.62 118.79 91.26 99.38 118.79 84.55
3/16/2002 109.23 119.38 91.91 99.66 119.38 85.19
4/16/2002 109.78 120.07 92.73 100.02 120.07 85.65
5/16/2002 110.13 120.42 93.56 100.30 120.42 85.95
6/16/2002 110.53 121.28 94.43 100.57 121.28 86.58
7/16/2002 110.77 121.66 95.43 100.81 121.66 87.06
8/16/2002 111.02 122.77 96.70 100.94 122.77 87.63
9/16/2002 111.26 123.29 97.68 101.20 123.29 87.53
10/16/2002 111.57 124.18 98.64 101.63 124.18 88.28
11/16/2002 112.09 125.06 99.66 102.12 125.06 88.26
12/16/2002 112.64 126.63 100.78 102.57 126.63 89.10
1/16/2003 113.28 127.92 101.83 103.00 127.92 89.78
2/15/2003 113.79 129.25 102.83 103.44 129.25 90.57
3/16/2003 114.29 130.82 103.96 103.96 130.82 91.14
4/16/2003 114.68 132.40 105.08 104.34 132.40 91.77
5/16/2003 114.93 133.93 106.37 104.52 133.93 92.67
6/16/2003 115.23 134.96 107.41 105.16 134.96 93.48
7/16/2003 115.33 136.39 108.63 105.80 136.39 94.37
8/16/2003 115.55 137.39 109.76 106.51 137.39 94.98
9/16/2003 116.10 139.07 111.29 107.32 139.07 95.53
10/16/2003 116.61 140.30 112.80 108.31 140.30 96.57
11/16/2003 117.37 141.75 114.40 109.45 141.75 97.84
12/16/2003 117.94 142.61 116.06 110.73 142.61 98.89
1/16/2004 118.64 144.24 118.02 111.71 144.24 99.76
2/15/2004 119.34 146.08 120.09 112.86 146.08 100.76
3/16/2004 120.30 147.64 122.15 113.98 147.64 101.82
4/16/2004 121.16 148.76 124.36 115.27 148.76 103.06
5/16/2004 122.11 150.39 126.66 116.76 150.39 105.00
6/16/2004 123.15 152.11 129.09 118.02 152.11 105.90
7/16/2004 124.62 154.23 131.61 119.58 154.23 106.75
8/16/2004 126.25 156.52 133.23 120.08 156.52 106.93
9/16/2004 127.90 158.80 135.26 120.88 158.80 106.79
10/16/2004 129.51 161.23 137.11 121.65 161.23 106.89
11/16/2004 131.61 162.02 138.29 123.21 162.02 106.84
12/16/2004 134.33 164.04 139.61 124.06 164.04 106.48
1/16/2005 137.45 165.27 140.61 124.40 165.27 107.23
2/15/2005 140.68 167.42 141.89 125.06 167.42 107.47
3/16/2005 143.90 169.50 143.17 125.54 169.50 107.75
4/16/2005 147.40 171.55 144.19 126.36 171.55 107.84
5/16/2005 151.15 174.90 145.32 127.16 174.90 108.11
6/16/2005 156.67 178.43 146.57 127.45 176.86 108.95
7/16/2005 162.61 181.24 148.18 127.86 176.75 108.53
8/16/2005 168.44 183.67 149.75 128.41 176.36 108.96
9/16/2005 174.81 187.08 151.44 129.27 175.51 109.24
10/16/2005 179.61 189.63 153.26 129.90 176.05 109.02
11/16/2005 185.08 191.88 154.46 130.26 175.74 109.62
12/16/2005 187.66 193.80 156.03 131.05 176.40 109.59
1/16/2006 188.76 196.05 157.17 131.72 176.84 110.19
2/15/2006 190.06 197.50 157.90 132.52 176.86 110.32
3/16/2006 192.04 199.47 158.41 132.99 176.45 110.16
4/16/2006 194.04 201.84 158.10 133.10 176.42 110.06
5/16/2006 193.42 204.83 159.00 133.22 176.94 109.97
6/16/2006 192.31 205.45 159.23 133.33 177.23 110.50
7/16/2006 190.08 205.52 158.62 133.87 176.76 110.68
8/16/2006 187.69 206.22 158.43 134.23 176.42 111.00
9/16/2006 184.93 205.40 157.35 133.23 175.34 110.66
10/16/2006 182.93 204.26 156.52 132.95 173.94 110.47
11/16/2006 181.28 203.82 155.58 132.99 171.97 110.81
12/16/2006 179.57 202.52 154.23 133.38 169.63 111.01
1/16/2007 177.75 201.30 153.42 133.51 167.67 111.11
2/15/2007 176.45 199.38 152.38 133.75 166.94 109.95
3/16/2007 175.60 196.65 151.26 133.54 165.96 109.63
4/16/2007 174.83 193.14 150.20 133.00 164.58 109.45
5/16/2007 173.73 189.79 148.91 132.41 163.01 109.19
6/16/2007 172.27 186.48 147.64 131.56 162.03 109.31
7/16/2007 170.39 183.23 146.03 130.69 160.99 109.48
8/16/2007 168.54 179.32 144.04 129.73 160.27 109.48
9/16/2007 166.59 176.21 142.03 129.33 158.51 109.98
10/16/2007 164.18 173.76 139.88 128.73 157.07 109.99
11/16/2007 161.85 170.27 138.06 127.93 155.41 110.45
12/16/2007 159.14 167.58 136.11 126.88 153.95 110.01
1/16/2008 156.38 164.21 133.77 126.09 152.36 109.22
2/15/2008 152.80 160.67 131.06 124.67 150.87 108.44
3/16/2008 149.06 155.88 128.26 123.99 148.93 106.80
4/16/2008 144.41 152.29 124.37 122.31 145.96 105.98
5/16/2008 141.02 148.09 120.83 120.46 142.98 105.13
6/16/2008 137.70 144.10 117.34 118.33 139.93 104.19
7/16/2008 134.19 140.46 114.39 116.56 136.71 104.05
8/16/2008 130.17 136.94 112.11 114.54 133.64 103.55
9/16/2008 126.44 132.79 110.07 112.34 130.30 102.45
10/16/2008 123.19 128.85 107.95 110.87 128.16 101.34
11/16/2008 119.43 124.78 105.63 109.73 124.78 100.88
12/16/2008 115.25 121.45 103.25 108.46 121.45 100.41
1/16/2009 111.55 117.74 101.22 106.83 117.74 99.76
2/15/2009 110.11 115.23 100.02 105.96 115.23 99.67
3/16/2009 108.42 112.73 99.19 104.67 112.73 99.19
4/16/2009 106.77 110.21 98.54 103.44 110.21 99.01
5/16/2009 104.50 108.12 98.01 102.75 108.12 98.24
6/16/2009 103.01 106.41 97.41 101.49 106.41 97.41
7/16/2009 101.93 104.96 96.92 100.96 104.96 96.92
8/16/2009 101.06 103.56 97.38 100.01 103.56 97.35
9/16/2009 100.26 102.34 97.57 100.18 102.34 97.14
10/16/2009 98.67 101.58 98.04 100.02 101.58 97.59
11/16/2009 99.07 101.43 98.69 100.26 101.23 98.63
12/16/2009 99.30 100.48 99.85 100.08 100.50 99.35
1/16/2010 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2010 99.54 99.59 99.72 99.94 100.48 99.59
3/16/2010 98.80 99.74 100.08 100.09 100.81 99.22
4/16/2010 98.79 99.07 100.43 100.29 101.41 99.07
5/16/2010 98.37 98.81 101.32 99.94 101.48 98.71
6/16/2010 98.07 97.46 101.05 99.63 101.47 98.68
7/16/2010 96.39 96.78 100.56 99.20 100.86 97.72
8/16/2010 95.11 96.02 99.64 98.82 100.57 96.98
9/16/2010 93.31 95.26 98.70 97.78 100.04 95.58
10/16/2010 92.36 94.38 97.98 97.02 99.36 94.49
11/16/2010 91.46 93.30 97.03 96.58 98.88 93.44
12/16/2010 90.16 91.92 96.65 95.97 98.41 92.66
1/16/2011 88.64 91.46 95.92 95.18 97.92 91.88
2/15/2011 87.17 90.75 96.16 94.72 97.56 90.75
3/16/2011 86.15 90.20 95.59 94.18 97.30 89.86
4/16/2011 84.90 89.55 94.89 93.36 96.63 88.90
5/16/2011 83.56 88.98 93.89 92.44 96.08 88.03
6/16/2011 82.06 88.69 93.37 91.20 95.42 86.44
7/16/2011 81.30 88.20 93.06 90.75 94.69 85.51
8/16/2011 81.13 87.68 93.02 90.17 94.29 84.91
9/16/2011 81.07 87.49 92.17 89.87 94.15 84.36
10/16/2011 81.10 87.39 91.40 89.08 93.67 83.91
11/16/2011 81.36 87.29 91.21 88.63 93.26 83.64
12/16/2011 81.94 87.10 90.72 88.62 93.04 82.70
1/16/2012 82.40 87.15 90.13 88.17 92.85 82.07
2/15/2012 83.15 86.98 89.66 87.59 92.70 81.03
3/16/2012 83.29 86.78 89.09 87.16 92.74 80.65
4/16/2012 84.88 86.87 88.90 86.90 92.79 80.44
5/16/2012 87.14 87.22 89.08 87.59 92.75 80.26
6/16/2012 89.53 87.40 89.29 88.67 92.63 80.69
7/16/2012 91.40 87.65 89.75 89.59 92.96 81.28
8/16/2012 93.00 88.13 90.41 89.86 93.35 81.74
9/16/2012 94.94 88.91 91.02 89.65 93.79 82.42
10/16/2012 96.73 89.45 91.95 89.49 94.25 83.18
11/16/2012 98.71 90.32 92.78 90.32 94.76 83.66
12/16/2012 99.40 91.03 93.84 91.03 95.69 83.66
1/16/2013 100.67 92.05 94.86 91.16 96.68 84.13
2/15/2013 101.46 93.20 96.69 91.60 97.89 84.30
3/16/2013 102.56 94.58 98.49 91.85 99.05 84.35
4/16/2013 103.33 95.70 100.41 92.10 100.71 84.33
5/16/2013 104.20 96.86 102.04 92.90 102.51 84.36
6/16/2013 105.40 98.05 103.79 93.52 104.30 84.32
7/16/2013 107.08 99.38 105.40 94.31 106.26 84.35
8/16/2013 108.54 100.87 107.18 94.90 108.47 84.35
9/16/2013 109.60 101.63 108.61 95.44 109.53 84.33
10/16/2013 110.34 103.22 109.78 96.09 110.24 84.45
11/16/2013 110.65 104.61 110.74 96.58 110.74 84.45
12/16/2013 111.22 106.25 111.44 97.34 111.44 84.69
1/16/2014 112.13 107.55 112.00 98.18 112.12 84.87
2/15/2014 113.67 108.29 112.24 98.91 113.56 85.48
3/16/2014 113.68 109.12 112.34 99.35 114.35 85.82
4/16/2014 113.37 109.66 112.05 99.44 114.74 85.86
5/16/2014 113.02 110.18 112.07 99.65 115.33 85.85
6/16/2014 112.82 110.51 111.89 99.63 115.46 86.03
7/16/2014 112.38 111.23 111.82 100.09 114.96 86.31
8/16/2014 112.05 111.97 111.50 100.42 115.52 86.24
9/16/2014 111.46 112.44 111.32 100.29 115.84 85.99
10/16/2014 111.34 113.18 111.14 100.51 116.15 85.71
11/16/2014 111.82 112.84 111.32 101.03 116.71 85.54
12/16/2014 112.25 113.16 111.67 101.34 117.32 85.72
1/16/2015 112.29 113.30 112.04 101.59 117.54 85.49
2/15/2015 112.21 113.58 112.72 101.71 118.24 85.26
3/16/2015 112.65 113.66 112.82 101.72 119.11 85.17
4/16/2015 113.46 114.11 113.02 101.79 119.92 85.15
5/16/2015 114.10 114.73 113.19 101.78 120.58 85.12
6/16/2015 114.07 114.94 113.35 101.96 121.24 85.02
7/16/2015 114.46 115.13 113.55 102.09 121.61 84.93
8/16/2015 114.88 115.22 113.82 102.38 123.22 85.04
9/16/2015 115.49 115.50 114.25 102.54 122.74 84.95
10/16/2015 115.72 115.85 114.58 102.73 123.24 85.27
11/16/2015 115.91 116.36 114.85 102.92 123.29 85.17
12/16/2015 116.00 116.57 115.19 103.29 123.88 85.19
1/16/2016 116.63 117.07 115.33 103.60 124.44 85.06
2/15/2016 117.15 117.37 115.80 104.08 124.75 85.07
3/16/2016 117.21 117.52 115.34 104.71 125.02 85.09
4/16/2016 117.46 117.42 115.86 105.06 125.80 85.18
5/16/2016 117.63 118.17 115.97 105.27 126.06 85.16
6/16/2016 117.83 118.98 116.25 105.57 125.85 85.24
7/16/2016 117.53 119.63 116.14 105.32 124.66 85.46
8/16/2016 117.48 119.90 116.30 105.08 123.58 85.53
9/16/2016 117.56 120.17 116.43 104.81 122.41 85.85
10/16/2016 118.07 120.34 116.71 104.77 122.73 86.20
11/16/2016 118.54 120.20 116.68 104.89 122.61 86.41
12/16/2016 118.72 120.43 116.59 105.40 122.52 86.55
1/16/2017 118.64 120.78 116.65 105.46 122.21 86.80
2/15/2017 118.82 120.93 116.78 106.05 122.54 86.42
3/16/2017 118.99 120.85 117.17 106.46 122.71 86.35
4/16/2017 119.30 121.05 117.36 107.24 122.75 86.48
5/16/2017 119.33 121.29 117.86 107.92 123.27 86.65
6/16/2017 119.54 121.52 118.46 108.71 123.78 86.94
7/16/2017 119.99 121.54 118.32 109.25 124.49 87.06
8/16/2017 120.09 121.59 118.34 109.59 125.25 87.18
9/16/2017 120.34 121.96 118.42 109.94 126.33 87.49
10/16/2017 120.56 122.24 118.43 109.84 126.81 87.77
11/16/2017 120.83 122.54 118.83 109.94 128.31 88.04
12/16/2017 121.06 122.73 119.22 109.79 129.49 88.36
1/16/2018 120.41 122.89 119.55 109.90 130.82 88.51
2/15/2018 120.88 123.23 120.12 109.96 131.87 88.77
3/16/2018 121.09 123.95 120.38 110.67 132.96 89.16
4/16/2018 121.09 124.39 120.52 111.01 134.68 89.41
5/16/2018 121.37 124.90 120.57 111.31 136.14 89.71
6/16/2018 121.40 124.39 120.78 112.07 136.52 89.69
7/16/2018 121.56 124.96 120.79 112.44 137.24 89.87
8/16/2018 121.80 125.23 120.69 112.94 137.82 90.11
9/16/2018 122.08 125.40 120.18 113.25 138.04 90.23
10/16/2018 122.07 124.79 119.93 113.49 138.10 90.32
11/16/2018 122.26 124.99 119.65 113.50 137.23 90.55
12/16/2018 122.34 125.20 119.14 113.55 135.93 90.38
1/16/2019 122.58 125.45 118.52 113.76 134.54 90.46
2/15/2019 122.53 124.60 117.45 112.80 134.06 90.44
3/16/2019 122.61 124.34 116.73 111.92 133.19 90.49
4/16/2019 122.57 124.16 116.29 110.82 132.54 90.47
5/16/2019 122.70 123.96 116.08 110.50 132.20 90.55
6/16/2019 122.96 123.51 115.75 110.26 131.81 90.60
7/16/2019 122.46 123.35 115.40 109.56 131.61 90.52
8/16/2019 122.05 123.38 115.24 109.48 131.14 90.33
9/16/2019 121.92 123.36 115.18 109.23 130.64 90.03
10/16/2019 122.25 123.58 115.24 109.22 130.12 89.82
11/16/2019 122.24 124.18 114.99 109.58 129.91 89.68
12/16/2019 122.78 124.44 115.08 110.36 130.29 89.27
1/16/2020 123.59 124.49 115.52 111.16 130.99 89.12
2/15/2020 124.52 125.27 116.33 111.78 131.29 88.95
3/16/2020 125.21 125.71 117.35 112.63 132.13 88.91
4/16/2020 126.28 125.95 117.78 113.29 132.99 88.88
5/16/2020 126.66 125.80 117.08 113.15 131.33 88.71
6/16/2020 127.28 126.21 116.49 113.36 129.85 88.64
7/16/2020 128.13 126.35 116.65 113.76 129.68 88.87
8/16/2020 129.97 125.91 118.21 115.34 131.36 89.07
9/16/2020 131.61 126.55 119.73 117.21 132.64 89.90
10/16/2020 133.70 127.33 120.98 118.61 133.27 90.77
11/16/2020 136.04 128.04 122.44 119.64 134.41 91.80
12/16/2020 137.94 128.71 123.61 120.96 135.40 92.32
1/16/2021 140.28 129.90 124.56 121.98 136.23 92.68
2/15/2021 142.38 131.00 125.76 123.17 137.19 93.36
3/16/2021 145.31 132.20 127.19 124.74 138.75 94.08
4/16/2021 147.53 133.67 129.41 126.23 141.25 94.63
5/16/2021 151.04 135.70 131.53 128.40 144.50 95.81
6/16/2021 154.66 137.47 134.55 130.58 148.05 96.94
7/16/2021 158.44 140.37 137.58 132.92 151.26 97.91
8/16/2021 160.35 142.79 139.64 135.16 153.25 99.28
9/16/2021 161.07 144.90 140.61 136.53 154.86 99.59

Note: The data are seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 19 metropolitan statistical areas.

Source: For house prices, Zillow, Inc., Zillow Real Estate Data; for rent data, Bureau of Labor Statistics.

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A. Household Willingness to Take Financial Risks and Direct Stock Ownership

Percent

Date Household Willingness Direct Stock Ownership
1989 13.07 16.89
1992 14.27 16.99
1995 17.09 15.24
1998 22.79 19.21
2001 22.77 21.31
2004 19.25 20.65
2007 20.13 17.93
2010 16.89 15.09
2013 17.09 13.75
2016 20.57 13.94
2019 22.66 15.18

Note: The black line is the share of households who are willing to take substantial or above-average financial risks and expecting to earn substantial or above-average returns. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: July 1990–March 1991, March 2001–November 2001, and December 2007–June 2009.

Source: Federal Reserve Board, Survey of Consumer Finances.

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B. Payment for Order Flow Paid to Selected Retail Brokers

This is a stacked bar chart titled “Payment for Order Flow Paid to Selected Retail Brokers”. The x-axis shows January 2020 to May of 2021. The data is monthly. The y-axis is in millions of dollars and ranges from 0 to 450. There are four variables represented in the chart. The first variable is Schwab, represented by the blue section of the bar. The value of the blue section is around 15 millions of dollars in January 2020 and increases slightly to around 20 millions of dollars in June 2021, fluctuating during the increase. The second variable is Robinhood, designated by the red section of the bar. It starts at around 60 millions of dollars in January 2020, increasing to 150 millions of dollars in June of 2020. It then decreases to around 100 millions of dollars in October of 2020, before increasing to around 160 millions of dollars by February 2021. It then decreases again to just around 100 millions of dollars in May 2021, before increasing to 125 million in June 2021. The third variable is TD Ameritrade which is not visible until April 2020. In April 2020 it shows a value just shy of 50 millions of dollars and remains at that level with minor fluctuations for the remainder of the chart finishing at just under 50 millions of dollars in June 2021. The fourth variable is E-Trade designated by the light gray section of each bar starting at 20 millions of dollars in January 2020. It then increases to around 100 millions of dollars in June of 2020 before reducing to around 75 millions of dollars in July 2020 and staying consistent until October 2020. Bar then increases steadily to around 150 millions of dollars in February 2021 decreasing with some fluctuation to 100 millions of dollars in June 2021.

Note: The key identifies bars in order from bottom to top.

Source: Securities and Exchange Commission, filings under Rule 606 from Schwab, TD Ameritrade, E-Trade, and Robinhood, Disclosure of Order Routing Information.

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C. Payment for Order Flow Paid by Selected Venues

This is a stacked bar chart is titled “Payment for Order Flow Paid by Selected Trading Venues”. The x-axis shows January 2020 to June 2021. The data is monthly. The y-axis shows millions of dollars and ranges from 0 to 450. This chart shows five variables. The first variable is Citadel, designated by the light gray portion of the bars, starts at around 30 millions of dollars in January 2020 and steadily increasing to around 120 millions of dollars in June of 2020. It then decreases to around 100 millions of dollars by August of 2020 before increasing to almost 150 millions of dollars in February of 2021. After February, it decreases to just over 75 millions of dollars in May of 2021, before increasing to just over 100 millions of dollars by June 2021. The second variable is Virtu Financial, designated by the dark gray section of the bars, starts at around 10 millions of dollars, steadily increasing to around 40 million dollars in June of 2020. It then reduces 20 millions of dollars in August through November of 2020 before expanding back to around 50 millions of dollars by February of 2021. It then reduces to around 30 millions of dollars by June of 2021. The third variable is Wolverine Trading, designated by the red portion of the bar. It starts at around 5 millions of dollars and increases slightly to around 15 millions of dollars by June of 2020. It shows minor fluctuations between July and September of 2020 before expanding to around 30 millions of dollars by February of 2021. It remains between 20 and 30 millions of dollars until it increases to around 40 millions of dollars in June of 2021. The fourth variable is Global Execution designated by the blue portion of the bar which starts at around 10 millions of dollars in June of 2020. It then increases to around 50 millions of dollars by June of 2020. It remains at 50 millions of dollars until increasing to just under 60 millions of dollars in December of 2020 where it remains until June of 2021. The fifth variable is Other and is designated by the tan section of the bars. It starts at around 20 millions of dollars in January 2020 and increases to around 70 millions of dollars by June of 2020. It then decreases to around 40 millions of dollars by October of 2020 before increasing back to around 70 millions of dollars by February 2021. It then decreases to 20 millions of dollars by May 2021 before increasing to around 50 millions of dollars by June 2021.

Note: “Other” consists of all other trading venues. Includes payment for order flow from only E-Trade, TD Ameritrade, Robinhood, and Schwab. The key identifies bars in order from top to bottom.

Source: Securities and Exchange Commission, filings under Rule 606 from Schwab, TD Ameritrade, E-Trade, and Robinhood, Disclosure of Order Routing Information.

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D. GameStop Stock Price and Twitter Mentions of GameStop

Thousands of tweets, Dollars

Date Tweets (thousands) GameStop stock price (dollars)
20201201 3761 15.8
20201202 7883 16.58
20201203 8430 16.120001
20201204 3044 16.9
20201205 2493  
20201206 2869  
20201207 3105 16.35
20201208 3647 16.940001
20201209 4419 13.66
20201210 4125 14.12
20201211 3421 13.31
20201212 6895  
20201213 7076  
20201214 4702 12.72
20201215 5632 13.85
20201216 3452 13.85
20201217 3644 14.83
20201218 9522 15.63
20201219 6193  
20201220 4732  
20201221 4953 15.53
20201222 6617 19.459999
20201223 5236 20.57
20201224 3987 20.15
20201225 3122  
20201226 2621  
20201227 2357  
20201228 12148 20.99
20201229 6992 19.379999
20201230 2931 19.26
20201231 2579 18.84
20210101 1803  
20210102 5176  
20210103 3506  
20210104 2187 17.25
20210105 2075 17.370001
20210106 3321 18.360001
20210107 6515 18.08
20210108 4398 17.690001
20210109 1765  
20210110 1975  
20210111 3208 19.940001
20210112 2422 19.950001
20210113 7080 31.4
20210114 7469 39.91
20210115 6174 35.5
20210116 10946  
20210117 3337  
20210118 6916  
20210119 6399 39.360001
20210120 10279 39.119999
20210121 21517 43.029999
20210122 34275 65.010002
20210123 12400  
20210124 8349  
20210125 64996 76.790001
20210126 137190 147.979996
20210127 742846 347.51001
20210128 2121200 193.600006
20210129 1013126 325
20210130 384364  
20210131 196565  
20210201 240083 225
20210202 203047 90
20210203 114615 92.410004
20210204 89148 53.5
20210205 69976 63.77
20210206 32645  
20210207 26551  
20210208 31741 60
20210209 28828 50.310001
20210210 28493 51.200001
20210211 22777 51.099998
20210212 18969 52.400002
20210213 12902  
20210214 10202  
20210215 13040  
20210216 15025 49.509998
20210217 22990 45.939999
20210218 53468 40.689999
20210219 25883 40.59
20210220 12751  
20210221 9870  
20210222 12638 46
20210223 13338 44.970001
20210224 94339 91.709999
20210225 92035 108.730003
20210226 35380 101.739998
20210227 13010  
20210228 12827  

Note: There is a vertical line marked at January 22, 2021 to mark when Twitter posts spiked alongside a sharp rises in trading volumes for GameStop and other meme stocks.

Source: For Twitter mentions, Twitter, Inc., enterprise-level application programming interface; for GameStop stock price, Bloomberg.

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E. Intraday Flow Correlations of GameStop and AMC Entertainment Holdings

This is a bar chart entitled “Intraday Flow Correlations of GameStop and AMC Entertainment holdings. The x-axis shows October 2020 to March 2021. The data is daily. The y-axis measures beta and ranges from negative 0.2 to positive 0.8. There is a vertical event line labeled “Jan. 22, 2021”. The chart begins in October where the bars fluctuate between 0.15 and negative 0.1 until the event line where the chart shows a dramatic spike up to a beta of 0.6 in late January. The bars then decline sharply to a beta of 0.1 until early February 2021 where there is a one day spike to just under 0.12 before decreasing to 0.025 by mid February. The bars then spike upward to a beta of 0.6 in late February before reducing to between 0.3 and 0.4 for a few days, spiking again to a beta just over 0.5 in mid-March, reducing to around 0.2 for a few days, spiking to almost 0.4 for a day, returning to just under 0.2 until late-March. In late march there is a spike to a beta just under 0.3 before declining to under 0.1 by the end of the chart.

Source: Bloomberg; New York Stock Exchange, Daily TAQ (Trade and Quote); Federal Reserve Board staff estimates.

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A. Foreign Holdings of U.S. Treasury Securities

This is a line chart titled “A. Foreign Holdings of U.S. Treasury Securities”. The X axis ranges from 2006 to 2021 in 1-year units. The left-hand side Y axis ranges from 0 to 8 in trillions of dollars. The right-hand side Y-axis ranges from 0 to 45 in percent. The data are quarterly. There are two variables charted on the plot. The first line is labeled Total and is plotted with respect to the left-hand side Y axis; is designated by a solid blue line; and ranges from 2 to 7 trillion. The variable starts at 2 trillion in 2005:Q4 and steadily increases to 6.28 trillion in 2015:Q4. The variable remains steady at this level through 2019:Q1. The variable quickly increases to about 7 trillion in 2019:Q4. The variables last value is 7.2 trillion in 2021:Q1. The second line is labeled Share of U.S. Treasury securities outstanding and is plotted with respect to the right-hand Y axis; is designated by a solid green line; and ranges from 30 to 44 percent. The variable starts at 35 percent in 2005:Q4. The variable rises steadily to 44 percent in 2008:Q3. The variable plateaus through 2015:Q1 around 44 percent. The variable begins to steadily decline in the later part of 2015 till late 2018 where it ends up around 35 percent in 2018:Q3. After a small tick up in early 2019, the variable decreases rapidly to 30 percent in 2020:Q2. The variable remains at this level through the remainder of the sample ending in 2021:Q1.

Source: Federal Reserve Board (FRB), Statistical Release Z.1, “Financial Accounts of the United States”; FRB staff calculations.

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B. Net Purchases of U.S. Treasury Securities by U.S. and Foreign Holders

This is a side-by-side bar chart titled “B. Net Purchases of U.S. Treasury Securities by U.S. and Foreign Holders.” The X axis ranges from 2019:Q1 to 2020:Q4 in quarters. The Y axis ranges from -400 to 1400 in 200 billions. The data are quarterly. There are six variables charted on the plot. The first bar is labeled All foreign investors; is designated by a grey bar; and ranges from –287 to 140 billion. This variable starts at 140 in 2019:Q1 and remains positive through 2019:Q3. There is large decline of 287 billion dollars in 2020:Q1. The variable rebounds in 2020:Q2 with an increase of 108 billion. The last value is in 2020:Q4 at 60 billion. The second bar is labeled Mutual funds; is designated by a burnt orange bar; and ranges from –264 to 101 billion. The variable increases from 1 to 62 billion through 2019. There is a large decrease in the variable in 2020:Q1 of 265 billion. The variable experiences a rebound of 100 billion in 2020:Q2 and remains positive throughout the rest of sample where it ends at 61 billion in 2020:Q4. The third bar is labeled Households (incl. Hedge funds); is designated by a tan bar; and ranges from –224 to 170 billion. The variable starts at 170 in 2019:Q1 and is positive through 2019:Q3. The variable experiences three large declines in 2019:Q4, 2020:Q1, and 2020:Q2 of –137, -244, and -100, respectively. The variable increases in 2020:Q3 and 2020:Q4 where it ends at 126 billion. The fourth bar is labeled Other; is designated by a light blue bar; and ranges from –213 to 530 billion. The variable starts at –213 in 2019:Q1. It experiences two large increases in 2019:Q3 and 2019:Q4 of 375 and 236, respectively. There is another large increase in 2020:Q2 of 530 billion. The variable remains positive throughout the rest of sample. The fifth bar is labeled Money market funds; is designated by a dark blue bar; and ranges from –136 to 1081 billion. The variable starts at 6 billion in 2019:Q1 and experiences a decline of –136 billion in 2019:Q2. Thereafter, the variable remains positive through 2020:Q2 where its largest increase of 1081 billion occurs. The variables experience two small declines in 2020:Q3 and 2020:Q4 of –74 and –18 billion, respectively. The sixth bar labeled Federal Reserve; is designated by a dark grey bar; and ranges from –67 to 1129 billion. The variable starts at –50 billion in 2019:Q1. The variable has a massive increase of 1019 billion in 2020:Q2. Thereafter, the variable is positive around 250 throughout the rest of the sample.

Note: The key identifies bars in order from left to right.

Source: Federal Reserve Board (FRB), Statistical Release Z.1, “Financial Accounts of the United States”; FRB staff calculations.

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C. Cumulative Net Flows to Foreign-Domiciled Bond Funds

This is a line chart titled “Cumulative Net Flows to Foreign-Domiciled Bond Funds.” The X axis ranges from January 2020 to May 2020. The Y axis ranges from –60 to 40 in 20 billions. The data are daily. There are two variables charted on the plot. The first variable is labeled Foreign-Domiciled funds focused on U.S. government securities; is designated by a black line; and ranges from 0 to 10 billion. The variable ranges just above zero billion from January 2020 till the end of February 2020. The variable increases to 8 billion in the end of march and then slowly decreases throughout the rest of the sample. Its last value is around 4 billion in the end of May 2020. The second variable is labeled Other foreign-domiciled bond funds; is designated by a blue line; and ranges from -46 to 33 billion. The variable starts at around 0 in January 2020 and steadily increases to 21 billion in early March 2020. The variable decreases sharply in the latter part of march to –46 billion. In the middle part of April 2020, the variable begins to increase, and it ends at –27 billion on April 30th, 2020.

Note: The sample includes foreign-domiciled funds with a reported investment mandate for either U.S. or global bonds, excluding funds domiciled in Caribbean offshore financial centers.

Source: EPFR Global; Federal Reserve Board staff calculations.

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D. Sensitivity of Foreign-Domiciled Bond Fund Holdings to Net Outflows in March 2020

This is a bar chart with three bars titled “D. Sensitivity of Foreign-Domiciled Bond Fund Holdings to Net Outflows in March 2020.” The X axis has three labels U.S. Treasury Securities, Other Countries’ sovereign bonds, and Corporate bonds, from left to right. The Y axis ranges from 0 to 1.6 where units represent a percent reduction following net flows of 1 percent. The first bar labeled U.S. Treasury securities stands at 1.5. The second bar labeled Other Countries’ sovereign bond stands at 0.75. The third bar labeled Corporate bonds stands at 0.5.

Note: Percent reduction in security holdings by foreign-domiciled bond funds following net outflows equivalent to 1 percent of assets in March 2020, by type of security. This is estimated from fund-level regressions of changes in portfolio holdings, by type of security, on net outflows—while controlling for fund size, returns, and dummies for fund type—for a sample of 840 foreign-domiciled bond funds with a reported investment mandate for either U.S. or global bonds.

Source: Morningstar, Inc.; Federal Reserve Board staff calculations.

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Figure 2-1. Private Nonfinancial-Sector Credit-to-GDP Ratio

Ratio

Period Private Nonfinancial-Sector Credit-to-GDP Ratio
1980:Q1 0.98
1980:Q2 0.99
1980:Q3 0.98
1980:Q4 0.97
1981:Q1 0.94
1981:Q2 0.96
1981:Q3 0.96
1981:Q4 0.97
1982:Q1 0.99
1982:Q2 0.99
1982:Q3 1.00
1982:Q4 1.00
1983:Q1 1.00
1983:Q2 0.99
1983:Q3 0.99
1983:Q4 0.99
1984:Q1 0.99
1984:Q2 1.00
1984:Q3 1.02
1984:Q4 1.04
1985:Q1 1.05
1985:Q2 1.07
1985:Q3 1.08
1985:Q4 1.10
1986:Q1 1.11
1986:Q2 1.13
1986:Q3 1.15
1986:Q4 1.17
1987:Q1 1.18
1987:Q2 1.18
1987:Q3 1.19
1987:Q4 1.18
1988:Q1 1.20
1988:Q2 1.20
1988:Q3 1.21
1988:Q4 1.21
1989:Q1 1.21
1989:Q2 1.21
1989:Q3 1.21
1989:Q4 1.22
1990:Q1 1.22
1990:Q2 1.22
1990:Q3 1.22
1990:Q4 1.24
1991:Q1 1.24
1991:Q2 1.23
1991:Q3 1.21
1991:Q4 1.21
1992:Q1 1.19
1992:Q2 1.18
1992:Q3 1.17
1992:Q4 1.16
1993:Q1 1.16
1993:Q2 1.16
1993:Q3 1.16
1993:Q4 1.16
1994:Q1 1.16
1994:Q2 1.16
1994:Q3 1.16
1994:Q4 1.16
1995:Q1 1.17
1995:Q2 1.18
1995:Q3 1.18
1995:Q4 1.19
1996:Q1 1.19
1996:Q2 1.19
1996:Q3 1.19
1996:Q4 1.19
1997:Q1 1.19
1997:Q2 1.19
1997:Q3 1.20
1997:Q4 1.20
1998:Q1 1.22
1998:Q2 1.24
1998:Q3 1.24
1998:Q4 1.25
1999:Q1 1.26
1999:Q2 1.27
1999:Q3 1.29
1999:Q4 1.29
2000:Q1 1.31
2000:Q2 1.31
2000:Q3 1.32
2000:Q4 1.33
2001:Q1 1.34
2001:Q2 1.35
2001:Q3 1.38
2001:Q4 1.39
2002:Q1 1.40
2002:Q2 1.40
2002:Q3 1.41
2002:Q4 1.42
2003:Q1 1.43
2003:Q2 1.45
2003:Q3 1.44
2003:Q4 1.44
2004:Q1 1.45
2004:Q2 1.46
2004:Q3 1.47
2004:Q4 1.48
2005:Q1 1.48
2005:Q2 1.50
2005:Q3 1.51
2005:Q4 1.52
2006:Q1 1.54
2006:Q2 1.56
2006:Q3 1.58
2006:Q4 1.60
2007:Q1 1.61
2007:Q2 1.63
2007:Q3 1.65
2007:Q4 1.66
2008:Q1 1.69
2008:Q2 1.68
2008:Q3 1.69
2008:Q4 1.71
2009:Q1 1.72
2009:Q2 1.72
2009:Q3 1.69
2009:Q4 1.66
2010:Q1 1.64
2010:Q2 1.61
2010:Q3 1.58
2010:Q4 1.56
2011:Q1 1.56
2011:Q2 1.54
2011:Q3 1.53
2011:Q4 1.52
2012:Q1 1.50
2012:Q2 1.49
2012:Q3 1.49
2012:Q4 1.49
2013:Q1 1.48
2013:Q2 1.48
2013:Q3 1.48
2013:Q4 1.47
2014:Q1 1.49
2014:Q2 1.47
2014:Q3 1.46
2014:Q4 1.46
2015:Q1 1.47
2015:Q2 1.47
2015:Q3 1.47
2015:Q4 1.48
2016:Q1 1.49
2016:Q2 1.49
2016:Q3 1.49
2016:Q4 1.49
2017:Q1 1.49
2017:Q2 1.50
2017:Q3 1.49
2017:Q4 1.49
2018:Q1 1.49
2018:Q2 1.49
2018:Q3 1.49
2018:Q4 1.49
2019:Q1 1.50
2019:Q2 1.49
2019:Q3 1.49
2019:Q4 1.49
2020:Q1 1.55
2020:Q2 1.74
2020:Q3 1.62
2020:Q4 1.60
2021:Q1 1.58
2021:Q2 1.55

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980–July 1980, July 1981–November 1982, July 1990–March 1991, March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020.  GDP is gross domestic product.

Source: Federal Reserve Board (FRB) staff calculations based on Bureau of Economic Analysis, national income and product accounts, and FRB, Statistical Release Z.1, “Financial Accounts of the United States.”

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Figure 2-2. Nonfinancial Business- and Household-Sector Credit-to-GDP Ratios

Ratio

Period Household (left scale) Nonfinancial Business (right scale)
1980:Q1 0.48 0.50
1980:Q2 0.48 0.50
1980:Q3 0.48 0.50
1980:Q4 0.48 0.49
1981:Q1 0.46 0.48
1981:Q2 0.47 0.50
1981:Q3 0.46 0.50
1981:Q4 0.47 0.51
1982:Q1 0.47 0.52
1982:Q2 0.47 0.52
1982:Q3 0.47 0.53
1982:Q4 0.47 0.53
1983:Q1 0.46 0.53
1983:Q2 0.46 0.53
1983:Q3 0.46 0.53
1983:Q4 0.46 0.53
1984:Q1 0.46 0.53
1984:Q2 0.47 0.54
1984:Q3 0.47 0.55
1984:Q4 0.48 0.56
1985:Q1 0.49 0.56
1985:Q2 0.50 0.57
1985:Q3 0.51 0.57
1985:Q4 0.52 0.58
1986:Q1 0.53 0.58
1986:Q2 0.54 0.60
1986:Q3 0.55 0.60
1986:Q4 0.56 0.62
1987:Q1 0.56 0.62
1987:Q2 0.56 0.62
1987:Q3 0.57 0.62
1987:Q4 0.56 0.62
1988:Q1 0.57 0.63
1988:Q2 0.57 0.63
1988:Q3 0.57 0.63
1988:Q4 0.57 0.63
1989:Q1 0.57 0.63
1989:Q2 0.58 0.63
1989:Q3 0.58 0.63
1989:Q4 0.59 0.64
1990:Q1 0.59 0.63
1990:Q2 0.59 0.63
1990:Q3 0.60 0.63
1990:Q4 0.61 0.63
1991:Q1 0.61 0.62
1991:Q2 0.61 0.61
1991:Q3 0.61 0.60
1991:Q4 0.62 0.59
1992:Q1 0.61 0.58
1992:Q2 0.61 0.57
1992:Q3 0.61 0.56
1992:Q4 0.61 0.55
1993:Q1 0.61 0.55
1993:Q2 0.61 0.55
1993:Q3 0.61 0.55
1993:Q4 0.61 0.54
1994:Q1 0.61 0.54
1994:Q2 0.61 0.54
1994:Q3 0.62 0.54
1994:Q4 0.62 0.54
1995:Q1 0.62 0.54
1995:Q2 0.63 0.55
1995:Q3 0.63 0.55
1995:Q4 0.64 0.55
1996:Q1 0.64 0.55
1996:Q2 0.64 0.55
1996:Q3 0.64 0.55
1996:Q4 0.64 0.55
1997:Q1 0.65 0.55
1997:Q2 0.64 0.55
1997:Q3 0.64 0.55
1997:Q4 0.65 0.56
1998:Q1 0.65 0.57
1998:Q2 0.66 0.58
1998:Q3 0.66 0.58
1998:Q4 0.66 0.59
1999:Q1 0.66 0.60
1999:Q2 0.67 0.60
1999:Q3 0.67 0.61
1999:Q4 0.68 0.61
2000:Q1 0.69 0.62
2000:Q2 0.68 0.62
2000:Q3 0.70 0.63
2000:Q4 0.70 0.63
2001:Q1 0.71 0.63
2001:Q2 0.71 0.64
2001:Q3 0.74 0.65
2001:Q4 0.74 0.65
2002:Q1 0.75 0.64
2002:Q2 0.76 0.64
2002:Q3 0.77 0.64
2002:Q4 0.79 0.64
2003:Q1 0.80 0.63
2003:Q2 0.82 0.63
2003:Q3 0.82 0.62
2003:Q4 0.83 0.61
2004:Q1 0.84 0.61
2004:Q2 0.85 0.61
2004:Q3 0.86 0.61
2004:Q4 0.87 0.60
2005:Q1 0.88 0.60
2005:Q2 0.89 0.61
2005:Q3 0.90 0.61
2005:Q4 0.91 0.61
2006:Q1 0.92 0.62
2006:Q2 0.93 0.63
2006:Q3 0.95 0.63
2006:Q4 0.96 0.64
2007:Q1 0.96 0.65
2007:Q2 0.97 0.66
2007:Q3 0.97 0.68
2007:Q4 0.98 0.69
2008:Q1 0.99 0.70
2008:Q2 0.97 0.71
2008:Q3 0.98 0.72
2008:Q4 0.97 0.73
2009:Q1 0.98 0.74
2009:Q2 0.98 0.73
2009:Q3 0.98 0.72
2009:Q4 0.96 0.70
2010:Q1 0.95 0.69
2010:Q2 0.93 0.67
2010:Q3 0.92 0.67
2010:Q4 0.91 0.66
2011:Q1 0.90 0.65
2011:Q2 0.89 0.65
2011:Q3 0.88 0.65
2011:Q4 0.87 0.65
2012:Q1 0.86 0.65
2012:Q2 0.84 0.65
2012:Q3 0.84 0.65
2012:Q4 0.83 0.66
2013:Q1 0.82 0.66
2013:Q2 0.82 0.66
2013:Q3 0.81 0.66
2013:Q4 0.81 0.66
2014:Q1 0.81 0.67
2014:Q2 0.80 0.67
2014:Q3 0.79 0.67
2014:Q4 0.79 0.68
2015:Q1 0.78 0.69
2015:Q2 0.78 0.69
2015:Q3 0.77 0.70
2015:Q4 0.77 0.71
2016:Q1 0.77 0.72
2016:Q2 0.77 0.72
2016:Q3 0.77 0.72
2016:Q4 0.77 0.72
2017:Q1 0.77 0.72
2017:Q2 0.77 0.73
2017:Q3 0.76 0.73
2017:Q4 0.76 0.73
2018:Q1 0.76 0.73
2018:Q2 0.75 0.74
2018:Q3 0.75 0.74
2018:Q4 0.75 0.75
2019:Q1 0.75 0.75
2019:Q2 0.74 0.75
2019:Q3 0.74 0.75
2019:Q4 0.74 0.75
2020:Q1 0.76 0.79
2020:Q2 0.83 0.91
2020:Q3 0.78 0.84
2020:Q4 0.78 0.82
2021:Q1 0.77 0.81
2021:Q2 0.76 0.79

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980–July 1980, July 1981–November 1982, July 1990–March 1991, March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020. GDP is gross domestic product.

Source: Federal Reserve Board (FRB) staff calculations based on Bureau of Economic Analysis, national income and product accounts, and FRB, Statistical Release Z.1, “Financial Accounts of the United States.”

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Figure 2-3. Growth of Real Aggregate Debt of the Business Sector

Percent change, annual rate

Date Growth of aggregate debt
1997:Q1 5.12
1997:Q2 5.86
1997:Q3 9.67
1997:Q4 6.59
1998:Q1 10.59
1998:Q2 11.83
1998:Q3 8.54
1998:Q4 8.77
1999:Q1 10.84
1999:Q2 6.38
1999:Q3 10.51
1999:Q4 6.38
2000:Q1 8.79
2000:Q2 9.39
2000:Q3 4.36
2000:Q4 4.73
2001:Q1 1.09
2001:Q2 6.09
2001:Q3 3.25
2001:Q4 1.42
2002:Q1 1.80
2002:Q2 -0.56
2002:Q3 -0.45
2002:Q4 1.03
2003:Q1 -0.19
2003:Q2 -0.61
2003:Q3 1.14
2003:Q4 -2.13
2004:Q1 3.92
2004:Q2 1.12
2004:Q3 5.24
2004:Q4 3.87
2005:Q1 4.46
2005:Q2 5.77
2005:Q3 4.97
2005:Q4 6.80
2006:Q1 7.83
2006:Q2 6.78
2006:Q3 4.58
2006:Q4 10.01
2007:Q1 8.03
2007:Q2 11.46
2007:Q3 11.47
2007:Q4 7.91
2008:Q1 5.90
2008:Q2 6.33
2008:Q3 3.44
2008:Q4 1.47
2009:Q1 -3.48
2009:Q2 -4.82
2009:Q3 -6.37
2009:Q4 -6.78
2010:Q1 -4.03
2010:Q2 -3.67
2010:Q3 0.97
2010:Q4 -0.51
2011:Q1 -1.93
2011:Q2 0.70
2011:Q3 1.06
2011:Q4 2.40
2012:Q1 0.87
2012:Q2 2.59
2012:Q3 5.36
2012:Q4 6.23
2013:Q1 1.02
2013:Q2 3.82
2013:Q3 5.58
2013:Q4 2.45
2014:Q1 5.02
2014:Q2 3.81
2014:Q3 4.95
2014:Q4 6.69
2015:Q1 6.59
2015:Q2 6.81
2015:Q3 4.20
2015:Q4 5.19
2016:Q1 6.80
2016:Q2 2.14
2016:Q3 3.86
2016:Q4 0.20
2017:Q1 4.03
2017:Q2 5.29
2017:Q3 4.19
2017:Q4 3.37
2018:Q1 1.75
2018:Q2 0.99
2018:Q3 3.64
2018:Q4 2.76
2019:Q1 5.62
2019:Q2 1.92
2019:Q3 4.11
2019:Q4 0.90
2020:Q1 17.13
2020:Q2 16.01
2020:Q3 -3.42
2020:Q4 -0.76
2021:Q1 1.61
2021:Q2 -4.57

Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for the core personal consumption expenditures price.

Source: Federal Reserve Board, Statistical Release Z.1, “Financial Accounts of the United States.”

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Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period High-yield and Unrated Bonds Institutional Leveraged Loans
2004:Q2 -12.80 15.57
2004:Q3 -4.74 6.33
2004:Q4 -14.74 20.88
2005:Q1 2.97 10.50
2005:Q2 -6.40 16.90
2005:Q3 -12.99 7.28
2005:Q4 2.73 20.61
2006:Q1 -13.66 27.16
2006:Q2 12.57 40.14
2006:Q3 -5.59 17.86
2006:Q4 30.51 66.30
2007:Q1 1.69 40.68
2007:Q2 23.35 54.31
2007:Q3 -7.04 25.72
2007:Q4 -10.42 36.06
2008:Q1 -20.14 2.21
2008:Q2 3.04 26.22
2008:Q3 -0.41 6.60
2008:Q4 -23.88 4.80
2009:Q1 -26.27 -11.82
2009:Q2 1.71 -15.53
2009:Q3 -9.79 -13.26
2009:Q4 -9.41 -24.98
2010:Q1 3.24 -17.85
2010:Q2 13.18 -9.71
2010:Q3 14.21 11.76
2010:Q4 24.80 -15.34
2011:Q1 -0.93 -4.49
2011:Q2 16.40 25.49
2011:Q3 -7.89 -5.51
2011:Q4 3.69 3.91
2012:Q1 23.12 -6.47
2012:Q2 -13.41 18.45
2012:Q3 38.55 -4.38
2012:Q4 22.46 25.96
2013:Q1 23.05 11.30
2013:Q2 18.30 31.31
2013:Q3 26.33 45.16
2013:Q4 22.54 43.54
2014:Q1 14.77 29.44
2014:Q2 15.14 45.62
2014:Q3 32.94 48.42
2014:Q4 4.02 26.18
2015:Q1 32.37 6.46
2015:Q2 3.91 -3.11
2015:Q3 -1.20 8.58
2015:Q4 -13.41 28.80
2016:Q1 1.20 9.09
2016:Q2 2.36 4.99
2016:Q3 -3.04 -12.88
2016:Q4 -44.17 7.19
2017:Q1 9.06 -4.24
2017:Q2 -10.84 49.01
2017:Q3 -2.13 13.03
2017:Q4 -3.39 16.81
2018:Q1 -0.14 24.23
2018:Q2 -8.16 62.21
2018:Q3 11.04 46.68
2018:Q4 -20.48 48.55
2019:Q1 13.01 45.53
2019:Q2 21.75 9.20
2019:Q3 11.04 -11.33
2019:Q4 7.04 13.09
2020:Q1 0.20 3.09
2020:Q2 79.96 -11.42
2020:Q3 6.04 14.32
2020:Q4 -21.11 -6.17
2021:Q1 6.70 13.65
2021:Q2 21.28 51.34
2021:Q3 15.37 41.24

Note: Institutional leveraged loans generally exclude loan commitments held by banks.

Source: Mergent, Fixed Income Securities Database; S&P Global Market Intelligence, Leveraged Commentary & Data.

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Figure 2-5. Gross Balance Sheet Leverage of Public Nonfinancial Businesses

Percent

Date All firms 75th percentile firms
2000:Q1 30.36 48.23
2000:Q2 29.61 47.96
2000:Q3 29.02 47.49
2000:Q4 29.18 46.99
2001:Q1 29.19 47.47
2001:Q2 29.38 47.46
2001:Q3 29.36 47.33
2001:Q4 29.99 47.14
2002:Q1 30.61 46.04
2002:Q2 29.67 44.28
2002:Q3 29.45 44.00
2002:Q4 29.18 44.39
2003:Q1 28.97 42.83
2003:Q2 28.15 42.18
2003:Q3 27.79 41.60
2003:Q4 26.73 41.51
2004:Q1 26.33 39.46
2004:Q2 25.72 38.93
2004:Q3 25.40 38.73
2004:Q4 25.15 39.17
2005:Q1 24.95 37.81
2005:Q2 24.82 37.81
2005:Q3 24.14 37.48
2005:Q4 24.19 38.32
2006:Q1 24.47 37.41
2006:Q2 24.36 37.75
2006:Q3 24.38 37.69
2006:Q4 24.71 38.52
2007:Q1 24.95 37.98
2007:Q2 25.18 38.62
2007:Q3 25.58 38.56
2007:Q4 25.84 38.90
2008:Q1 26.07 39.07
2008:Q2 26.19 38.75
2008:Q3 27.19 39.96
2008:Q4 28.77 42.57
2009:Q1 28.71 41.54
2009:Q2 27.96 39.94
2009:Q3 26.98 38.48
2009:Q4 26.77 38.74
2010:Q1 26.37 37.07
2010:Q2 26.25 36.69
2010:Q3 26.24 36.29
2010:Q4 26.03 36.97
2011:Q1 25.80 36.14
2011:Q2 25.86 35.62
2011:Q3 26.18 36.37
2011:Q4 26.11 37.74
2012:Q1 26.03 36.97
2012:Q2 26.59 37.13
2012:Q3 26.71 37.48
2012:Q4 27.10 38.79
2013:Q1 26.95 38.04
2013:Q2 27.37 38.24
2013:Q3 27.68 38.48
2013:Q4 27.94 40.09
2014:Q1 28.54 39.16
2014:Q2 28.47 40.27
2014:Q3 28.63 40.79
2014:Q4 29.22 42.13
2015:Q1 30.07 42.35
2015:Q2 30.60 42.02
2015:Q3 31.11 42.51
2015:Q4 32.05 43.82
2016:Q1 32.66 43.75
2016:Q2 32.90 43.64
2016:Q3 32.99 42.96
2016:Q4 32.85 43.10
2017:Q1 33.12 42.69
2017:Q2 33.49 42.19
2017:Q3 33.32 42.07
2017:Q4 32.97 41.91
2018:Q1 33.28 41.91
2018:Q2 33.07 42.11
2018:Q3 32.79 41.58
2018:Q4 33.18 42.43
2019:Q1 35.26 46.21
2019:Q2 35.44 46.53
2019:Q3 35.50 47.27
2019:Q4 35.47 47.53
2020:Q1 37.48 49.74
2020:Q2 37.70 49.10
2020:Q3 36.80 47.18
2020:Q4 36.19 46.35
2021:Q1 35.71 45.83
2021:Q2 35.16 44.75

Note: Gross leverage is an asset-weighted average of the ratio of firms’ book value of total debt to book value of total assets. The 75th percentile is calculated from a sample of the 2,500 largest firms by assets. The dashed sections of the lines in the first quarter of 2019 reflect the structural break in the series due to the 2019 compliance deadline for Financial Accounting Standards Board rule Accounting Standards Update 2016-02. The new accounting standard requires operating leases, previously considered off-balance-sheet activities, to be included in measures of debt and assets.

Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.

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Figure 2-6. Interest Coverage Ratios for Public Nonfinancial Businesses

Ratio

Date Median 25th percentile
2000:Q1 2.36 0.88
2000:Q2 2.32 0.86
2000:Q3 2.26 0.84
2000:Q4 2.20 0.79
2001:Q1 2.11 0.67
2001:Q2 2.06 0.58
2001:Q3 1.87 0.38
2001:Q4 1.78 0.28
2002:Q1 1.78 0.29
2002:Q2 1.74 0.24
2002:Q3 1.84 0.37
2002:Q4 2.00 0.54
2003:Q1 2.11 0.60
2003:Q2 2.12 0.56
2003:Q3 2.19 0.58
2003:Q4 2.30 0.65
2004:Q1 2.54 0.74
2004:Q2 2.85 0.88
2004:Q3 3.02 1.00
2004:Q4 2.97 0.93
2005:Q1 3.01 0.98
2005:Q2 3.01 0.92
2005:Q3 3.07 0.90
2005:Q4 3.04 0.93
2006:Q1 3.07 0.93
2006:Q2 3.01 0.96
2006:Q3 2.98 0.89
2006:Q4 2.93 0.90
2007:Q1 2.92 0.89
2007:Q2 2.84 0.78
2007:Q3 2.70 0.78
2007:Q4 2.73 0.73
2008:Q1 2.79 0.77
2008:Q2 3.00 0.80
2008:Q3 2.96 0.81
2008:Q4 2.60 0.49
2009:Q1 2.68 0.39
2009:Q2 2.47 0.35
2009:Q3 2.33 0.22
2009:Q4 2.28 0.41
2010:Q1 2.60 0.71
2010:Q2 2.74 0.78
2010:Q3 2.93 0.95
2010:Q4 3.03 1.02
2011:Q1 3.19 1.09
2011:Q2 3.36 1.16
2011:Q3 3.50 1.24
2011:Q4 3.45 1.26
2012:Q1 3.40 1.24
2012:Q2 3.43 1.23
2012:Q3 3.28 1.03
2012:Q4 3.10 0.88
2013:Q1 3.19 0.94
2013:Q2 3.25 0.95
2013:Q3 3.27 0.95
2013:Q4 3.17 0.79
2014:Q1 3.21 0.74
2014:Q2 3.41 0.86
2014:Q3 3.47 0.84
2014:Q4 3.37 0.75
2015:Q1 3.35 0.67
2015:Q2 3.29 0.53
2015:Q3 3.30 0.51
2015:Q4 3.11 0.40
2016:Q1 2.93 0.26
2016:Q2 2.91 0.20
2016:Q3 2.94 0.24
2016:Q4 3.00 0.18
2017:Q1 3.03 0.35
2017:Q2 3.10 0.53
2017:Q3 3.05 0.53
2017:Q4 3.08 0.52
2018:Q1 3.05 0.51
2018:Q2 3.08 0.44
2018:Q3 3.16 0.45
2018:Q4 3.06 0.49
2019:Q1 2.96 0.45
2019:Q2 2.90 0.40
2019:Q3 2.81 0.32
2019:Q4 2.68 0.13
2020:Q1 2.51 -0.35
2020:Q2 2.13 -0.89
2020:Q3 2.22 -0.89
2020:Q4 2.23 -1.17
2021:Q1 2.75 -0.82
2021:Q2 3.25 -0.31

Note: The interest coverage ratio is earnings before interest and taxes divided by interest payments. Firms with leverage less than 5 percent and interest payments less than $500,000 are excluded.

Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.

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Figure 2-7. Default Rates of Leveraged Loans

Percent

Date Leveraged loan default rate
12/31/1998 1.51
1/31/1999 1.40
2/28/1999 0.62
3/31/1999 0.96
4/30/1999 0.91
5/31/1999 1.08
6/30/1999 1.51
7/31/1999 1.47
8/31/1999 2.59
9/30/1999 2.84
10/31/1999 2.80
11/30/1999 4.23
12/31/1999 4.17
1/31/2000 5.32
2/29/2000 5.64
3/31/2000 5.79
4/30/2000 7.39
5/31/2000 7.13
6/30/2000 7.50
7/31/2000 7.39
8/31/2000 6.66
9/30/2000 6.60
10/31/2000 6.74
11/30/2000 5.80
12/31/2000 6.57
1/31/2001 5.89
2/28/2001 5.65
3/31/2001 5.48
4/30/2001 4.78
5/31/2001 6.42
6/30/2001 6.28
7/31/2001 6.82
8/31/2001 6.80
9/30/2001 6.50
10/31/2001 6.72
11/30/2001 6.50
12/31/2001 6.30
1/31/2002 7.25
2/28/2002 7.25
3/31/2002 6.85
4/30/2002 6.95
5/31/2002 5.69
6/30/2002 7.41
7/31/2002 6.84
8/31/2002 6.78
9/30/2002 6.41
10/31/2002 6.59
11/30/2002 6.53
12/31/2002 6.01
1/31/2003 5.13
2/28/2003 5.01
3/31/2003 5.47
4/30/2003 5.26
5/31/2003 5.35
6/30/2003 2.62
7/31/2003 2.64
8/31/2003 2.67
9/30/2003 2.91
10/31/2003 2.30
11/30/2003 2.28
12/31/2003 2.25
1/31/2004 1.89
2/29/2004 1.61
3/31/2004 1.11
4/30/2004 0.94
5/31/2004 0.68
6/30/2004 0.94
7/31/2004 0.91
8/31/2004 0.88
9/30/2004 1.01
10/31/2004 1.02
11/30/2004 1.02
12/31/2004 1.01
1/31/2005 1.03
2/28/2005 1.37
3/31/2005 1.26
4/30/2005 1.48
5/31/2005 1.54
6/30/2005 1.29
7/31/2005 1.46
8/31/2005 1.43
9/30/2005 1.65
10/31/2005 2.56
11/30/2005 2.29
12/31/2005 3.02
1/31/2006 2.96
2/28/2006 2.89
3/31/2006 2.79
4/30/2006 2.47
5/31/2006 2.30
6/30/2006 2.28
7/31/2006 2.08
8/31/2006 2.08
9/30/2006 1.56
10/31/2006 0.99
11/30/2006 1.07
12/31/2006 0.48
1/31/2007 0.45
2/28/2007 0.24
3/31/2007 0.23
4/30/2007 0.22
5/31/2007 0.16
6/30/2007 0.15
7/31/2007 0.21
8/31/2007 0.21
9/30/2007 0.42
10/31/2007 0.33
11/30/2007 0.25
12/31/2007 0.24
1/31/2008 0.72
2/29/2008 0.94
3/31/2008 1.07
4/30/2008 1.30
5/31/2008 1.73
6/30/2008 1.70
7/31/2008 1.90
8/31/2008 2.03
9/30/2008 1.91
10/31/2008 1.97
11/30/2008 1.94
12/31/2008 3.75
1/31/2009 4.95
2/28/2009 5.25
3/31/2009 8.02
4/30/2009 8.03
5/31/2009 8.66
6/30/2009 9.15
7/31/2009 9.57
8/31/2009 9.68
9/30/2009 9.75
10/31/2009 10.71
11/30/2009 10.81
12/31/2009 9.61
1/31/2010 8.82
2/28/2010 8.59
3/31/2010 5.82
4/30/2010 5.65
5/31/2010 4.64
6/30/2010 4.02
7/31/2010 3.47
8/31/2010 3.57
9/30/2010 3.55
10/31/2010 2.28
11/30/2010 2.25
12/31/2010 1.87
1/31/2011 1.46
2/28/2011 1.27
3/31/2011 1.11
4/30/2011 0.95
5/31/2011 0.91
6/30/2011 0.91
7/31/2011 0.77
8/31/2011 0.33
9/30/2011 0.32
10/31/2011 0.32
11/30/2011 0.17
12/31/2011 0.17
1/31/2012 0.21
2/29/2012 0.21
3/31/2012 0.21
4/30/2012 0.56
5/31/2012 1.05
6/30/2012 1.04
7/31/2012 1.04
8/31/2012 1.07
9/30/2012 1.00
10/31/2012 1.06
11/30/2012 1.28
12/31/2012 1.27
1/31/2013 1.42
2/28/2013 1.40
3/31/2013 2.21
4/30/2013 1.91
5/31/2013 1.40
6/30/2013 1.37
7/31/2013 2.02
8/31/2013 2.16
9/30/2013 2.41
10/31/2013 2.31
11/30/2013 2.08
12/31/2013 2.11
1/31/2014 1.88
2/28/2014 1.86
3/31/2014 1.21
4/30/2014 4.64
5/31/2014 4.60
6/30/2014 4.41
7/31/2014 3.89
8/31/2014 3.61
9/30/2014 3.34
10/31/2014 3.28
11/30/2014 3.33
12/31/2014 3.24
1/31/2015 3.99
2/28/2015 3.92
3/31/2015 3.79
4/30/2015 1.26
5/31/2015 1.26
6/30/2015 1.24
7/31/2015 1.10
8/31/2015 1.30
9/30/2015 1.27
10/31/2015 1.27
11/30/2015 1.42
12/31/2015 1.50
1/31/2016 1.29
2/29/2016 1.41
3/31/2016 1.75
4/30/2016 1.69
5/31/2016 1.96
6/30/2016 1.97
7/31/2016 2.17
8/31/2016 1.98
9/30/2016 1.95
10/31/2016 1.95
11/30/2016 1.66
12/31/2016 1.58
1/31/2017 1.56
2/28/2017 1.41
3/31/2017 1.49
4/30/2017 1.43
5/31/2017 1.42
6/30/2017 1.54
7/31/2017 1.36
8/31/2017 1.36
9/30/2017 1.53
10/31/2017 1.51
11/30/2017 1.95
12/31/2017 2.05
1/31/2018 1.95
2/28/2018 2.00
3/31/2018 2.42
4/30/2018 2.37
5/31/2018 2.12
6/30/2018 1.98
7/31/2018 1.99
8/31/2018 1.99
9/30/2018 1.81
10/31/2018 1.92
11/30/2018 1.61
12/31/2018 1.63
1/31/2019 1.42
2/28/2019 1.62
3/31/2019 0.93
4/30/2019 1.01
5/31/2019 1.00
6/30/2019 1.34
7/31/2019 1.32
8/31/2019 1.29
9/30/2019 1.29
10/31/2019 1.43
11/30/2019 1.48
12/31/2019 1.39
1/31/2020 1.83
2/29/2020 1.83
3/31/2020 1.84
4/30/2020 2.32
5/31/2020 3.14
6/30/2020 3.23
7/31/2020 3.90
8/31/2020 4.08
9/30/2020 4.17
10/31/2020 4.11
11/30/2020 3.89
12/31/2020 3.83
1/31/2021 3.38
2/28/2021 3.25
3/31/2021 3.15
4/30/2021 2.61
5/31/2021 1.73
6/30/2021 1.25
7/31/2021 0.58
8/31/2021 0.47
9/30/2021 0.35

Note: The data begin in December 1998. The default rate is calculated as the amount in default over the past 12 months divided by the total outstanding volume at the beginning of the 12-month period. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020.

Source: S&P Global, Leveraged Commentary & Data.

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Figure 2-8. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio

Percent

Date Debt multiples ≤ 4x Debt multiples 4x­4.99x Debt multiples 5x-5.99x Debt multiples ≥ 6x
2001 61.10 26.20 10.10 2.70
2002 54.60 27.30 12.20 5.90
2003 52.60 29.30 11.50 6.70
2004 45.00 28.60 17.60 8.80
2005 41.80 25.10 25.10 8.00
2006 36.40 26.30 21.10 16.30
2007 31.20 23.70 17.50 27.70
2008 63.10 14.20 12.10 10.70
2009 53.10 17.70 11.50 17.70
2010 53.70 22.60 17.90 5.80
2011 43.80 22.60 19.20 14.40
2012 35.90 26.60 21.80 15.80
2013 31.50 29.00 23.10 16.40
2014 28.70 22.60 21.50 27.20
2015 29.90 24.80 26.50 18.90
2016 21.90 32.60 24.40 21.00
2017 22.70 27.60 27.60 22.00
2018 19.30 24.20 26.90 29.60
2019 20.30 23.50 23.30 32.90
2020 22.60 25.50 23.70 28.20
2021:Q1 21.40 29.30 20.70 28.50
2021:Q2 18.10 19.30 20.50 42.20
2021:Q3 25.00 20.00 22.50 32.50

Note: Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 million and exclude existing tranches of add-ons and amendments as well as restatements with no new money. The key identifies bars in order from top to bottom.

Source: Mergent, Fixed Income Securities Database; S&P Global, Leveraged Commentary & Data.

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Figure 2-9. Total Household Loan Balances

This is a line chart titled “Total Household Loan Balances”. The x-axis measures time and ranges from the years 1999 to 2021. The y-axis measures trillions of dollars (real) and ranges from 0 to 11. The data is quarterly. There are 3 variables charted on the plot. The first line is labeled 'Prime'; is designated by a black line; and ranges from about 3.9 to 10.7 trillions of dollars. This variable rises from around 3.9 to 9.5 trillions of dollars from 1999 to 2008 and then declines to 7.9 trillions of dollars in 2014. After 2014, this variable rises slowly until it reaches around 10.7 trillions of dollars to end in 2021 Q2. The second variable is labeled 'Near prime' and is designated by a blue line. It ranges from around 2.5 to around 4.1 trillions of dollars. The variable has a slight increase from 2.5 to around 4.1 trillions of dollars from 2002 to 2008 but is otherwise stable at a little more than 3 trillions of dollars for the remainder of the time period. The third variable is labeled 'Subprime'; is designated by the red line; and ranges from 1.3 to around 3.2 trillions of dollars. There is a slight increase from 1.3 trillions of dollars in 1999 to around 2.5 trillions of dollars in 2007, and there is a steeper increase to around 3.2 trillions of dollars between 2007 and 2010. The variable then decreases and remains at around 1.8 trillions of dollars from 2014 to 2020 Q2. It then shows a slight drop to around 1.4 trillions of dollars, ending in 2021 Q3.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. Student loan balances before 2004 are estimated using average growth from 2004 to 2007, by risk score. The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 2-10. Estimates of New Mortgage Volumes to Households

This is a bar graph titled "Estimate of New Mortgage Volume to Households". The x-axis ranges from the years 2000 to 2021. The y-axis ranges from 0 to 1400, in billions of dollars (real). There are 3 variables charted on the plot. The first variable is labeled 'Subprime' and is designated by the orange bar. It ranges from around 100 to around 400 billions of dollars. It starts at a little more than 200 billions of dollars in 2000 and very slightly increases to around 400 billions of dollars between 2001 and 2006. Then it decreases more quickly to around 100 billions of dollars in 2009, and remains fairly unchanged until 2021. The second variable is labeled 'Near prime'; is designated by the blue bars; and ranges from 200 to around 900 billions of dollars. The variable starts at around 500 billions of dollars in 2000 and increases quickly, peaking at around 900 billion dollars in 2006 before steeply falling to around 300 billion dollars by 2009. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2021. The third variable is labeled 'Prime'; is designated by the black bars; and ranges from around 600 to 1250 billions of dollars. The variable starts at around 600 billions of dollars in 2000 and steeply increases to a peak of around 1250 billions of dollars in 2004. The variable remains between 1100 and 1200 billion dollars from 2004 to 2007 before falling sharply from 2008 to 2012 to about 600 billion. The variable then builds back up to 800 billion in 2014. It then drops back to 700 billion in 2015 before climbing close to 1000 billion in 2020, jumping to 1250 in 2021.

Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores were measured one year ago. The data are converted to constant 2021 dollars using the consumer price index. The key identifies bars in order from left to right.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 2-11. Mortgage Loss Mitigation and Delinquency

This is a line chart titled “Mortgage Loss Mitigation and Delinquency.” The x-axis ranges from 2001 to 2021. The data are quarterly through 2019 then transition to monthly. The y-axis ranges from 0 to 10 percent of mortgages. There are two variables plotted. The first being “Delinquent”, which is shown as a solid black line. It begins around 3 percent in 2001 and stays there until 2007. It then begins to rise to around 8 percent by 2010. It then steadily decreases to right above 2 percent to end the quarterly data in 2019. The monthly data continues to decrease through the end of the line in August 2021 stopping around 1 percent of mortgages. The second variable is “Delinquent/Loss Mitigation”, which is shown as a solid blue line. It begins around 6 percent in 2001 and stays there until rising in 2008 to about 10 percent. It then gradually fluctuates while decreasing until 2018. In 2019, it starts by spiking to 8 percent then dropping to below 6 to end the quarterly data. The monthly data starts in 2020 and spikes to around 9 percent and decreases sharply to 4.5 percent of mortgages by August 2021.

Note: Loss mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), or loans with no scheduled payment and a nonzero balance. Delinquent includes loans reported to the credit bureau at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning January 2020.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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Figure 2-12. Estimates of Mortgages with Negative Equity

Percent of mortgages

Date CoreLogic
1/31/2011 25.28
2/28/2011 25.14
3/31/2011 24.99
4/30/2011 24.93
5/31/2011 24.87
6/30/2011 24.81
7/31/2011 24.65
8/31/2011 24.50
9/30/2011 24.36
10/31/2011 24.65
11/30/2011 24.93
12/31/2011 25.23
1/31/2012 24.69
2/29/2012 24.20
3/31/2012 23.67
4/30/2012 23.21
5/31/2012 22.74
6/30/2012 22.28
7/31/2012 22.17
8/31/2012 22.06
9/30/2012 21.96
10/31/2012 21.84
11/30/2012 21.72
12/31/2012 21.60
1/31/2013 21.11
2/28/2013 20.67
3/31/2013 20.18
4/30/2013 18.43
5/31/2013 16.62
6/30/2013 14.87
7/31/2013 14.35
8/31/2013 13.83
9/30/2013 13.33
10/31/2013 13.37
11/30/2013 13.41
12/31/2013 13.45
1/31/2014 13.25
2/28/2014 13.07
3/31/2014 12.88
4/30/2014 12.23
5/31/2014 11.56
6/30/2014 10.92
7/31/2014 10.74
8/31/2014 10.56
9/30/2014 10.39
10/31/2014 10.49
11/30/2014 10.59
12/31/2014 10.69
1/31/2015 10.54
2/28/2015 10.41
3/31/2015 10.27
4/30/2015 9.81
5/31/2015 9.34
6/30/2015 8.88
7/31/2015 8.70
8/31/2015 8.53
9/30/2015 8.36
10/31/2015 8.36
11/30/2015 8.36
12/31/2015 8.36
1/31/2016 8.28
2/29/2016 8.20
3/31/2016 8.12
4/30/2016 7.77
5/31/2016 7.41
6/30/2016 7.06
7/31/2016 6.82
8/31/2016 6.58
9/30/2016 6.34
10/31/2016 6.32
11/30/2016 6.29
12/31/2016 6.26
1/31/2017 6.19
2/28/2017 6.12
3/31/2017 6.05
4/30/2017 5.85
5/31/2017 5.65
6/30/2017 5.45
7/31/2017 5.28
8/31/2017 5.12
9/30/2017 4.96
10/31/2017 4.94
11/30/2017 4.92
12/31/2017 4.91
1/31/2018 4.84
2/28/2018 4.78
3/31/2018 4.71
4/30/2018 4.57
5/31/2018 4.43
6/30/2018 4.29
7/31/2018 4.24
8/31/2018 4.19
9/30/2018 4.14
10/31/2018 4.15
11/30/2018 4.15
12/31/2018 4.16
1/31/2019 4.15
2/28/2019 4.13
3/31/2019 4.12
4/30/2019 4.03
5/31/2019 3.93
6/30/2019 3.84
7/31/2019 3.80
8/31/2019 3.76
9/30/2019 3.72
10/31/2019 3.67
11/30/2019 3.61
12/31/2019 3.56
1/31/2020 3.52
2/29/2020 3.48
3/31/2020 3.44
4/30/2020 3.38
5/31/2020 3.32
6/30/2020 3.26
7/31/2020 3.18
8/31/2020 3.10
9/30/2020 3.02
10/31/2020 2.95
11/30/2020 2.87
12/31/2020 2.80
1/31/2021 2.72
2/28/2021 2.65
3/31/2021 2.58
4/30/2021 2.47
5/31/2021 2.37
6/30/2021 2.26

Source:  CoreLogic, Inc., Real Estate Data.

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Figure 2-13. Estimates of Housing Leverage

This is a line chart titled "Estimates of Housing Leverage". The x-axis ranges from the years 1999 to 2020. The y-axis ranges from 60 to 180, which measures indexed ratios of outstanding mortgage debt to home values (with 100 being the ratio in 1999:Q1). The data is quarterly, ending in the second quarter of 2021. There are two variables charted on the plot. The first line is labeled 'Relative to model-implied values' and is designated by the black line. It ranges from 100 to a little less than 140. The variable starts at 100 in 1999 and increasing to a little less than 140 in 2008 before decreasing to about 110 in 2020 Q4. There is a slight uptick to about 115 from the end of 2020 to the second quarter to 2021. The second line is labeled 'Relative to market value' and is designated by the blue line. The variable also starts at 100 in 1999 and hover between 90 and 100 until 2006. It then rises sharply to around 135 in the years 2009-2012 before decreasing to around 95 at the end of the time period in 2021 Q2.

Note: Housing leverage is estimated as the ratio of the average outstanding mortgage loan balance for owner-occupied homes with a mortgage to (1) current home values using the Zillow national house price index and (2) model-implied house prices estimated by a staff model based on rents, interest rates, and a time trend.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Zillow, Inc., Zillow Real Estate Data; Bureau of Labor Statistics via Haver Analytics.

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Figure 2-14. Consumer Credit Balances

This is a line chart titled "Consumer Credit Balances". The x-axis ranges from the years 1999 to 2021. The y-axis ranges from 200 to 2000, in the units billions of dollars (real). The data is quarterly. There are 3 variables plotted on the chart. The first line is labeled 'Auto loans'; is designated by a black line; and ranges from around 600 to 1400 billions of dollars. It starts around at around 600 in 1999 and increases to around 1100 billions of dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but began increasing again afterwards; the line ends at about 1400 billions of dollars in 2021 Q2. The second variable is labeled 'Credit cards' and is represented by a blue line. It ranges from around 800 to 1000 billions of dollars. Starting at around 800 billions of dollars in 1999, credit cards balances increase to a little under 1000 billion and remain steady for several years with a peak at around 1100 billion in 2009. Balances began to decrease after 2009 to around 800 billions of dollars in 2013 and steadily increased to around 950 by the end of 2019 before declining back to 800 billions of dollars by 2021 Q2. The third variable is labeled 'Student loans' and is represented by a red line. The variable starts at around 400 billions of dollars in 2005. There are two small, brief dips in 2008 and 2012 but otherwise balances steadily increase to about 1600 billions of dollars by 2021 Q2.

Note: The data are converted to constant 2021 dollars using the consumer price index. Student loan data begin in 2005.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 2-15. Auto Loan Balances

This is a line chart labeled "Auto Loan Balances". The x-axis ranges from the years 1999 to 2021, and the y-axis ranges from 150 to 750 billions of dollars (real). The data is quarterly, ending in Q2 of 2021. There are 3 variables plotted on the chart. The first variable is labeled 'Prime' and is designated by a black line. It ranges from around 175 to 700 billions of dollars. Auto loans to borrowers with prime credit scores started at around 175 billions of dollars in 1999 and continued to increase to around 450 billion in 2006. There is a slight decline from 2006 until balances were close to 375 billion in 2010 and 2011. From 2011 onwards, the balances labeled 'Prime' increased, reaching 700 billions of dollars by Q2 of 2021. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 200 to 350 billions of dollars. Starting at 200 billion in 1999, balances to those with near prime credit increases to almost 350 billions of dollars in 2005 to 2006. Near prime balances decrease to around 250 billion dollars in 2010 to 2011 before increasing again. The level was stable at around 350 billions of dollars since 2016 with a slight uptick to just over 400 to finish in Q2 2021. The third variable is labeled 'Subprime'; is designated by a red line; and ranges from around 150 to 350 billions of dollars. It starts at around 175 billions of dollars in 1999 and increases with fluctuations until reaching a peak at around 300 billions of dollars in 2008. It decreases to around 200 billion of dollars in 2012 before beginning to increase to around 300 billions of dollars in 2018. It increases to about 350 billions of dollars in Q4 of 2019. It then drops to 275 billions of dollars ending in 2021 Q2.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 2-16. Auto Loss Mitigation and Delinquency

This chart is titled “Auto Loss Mitigation and Delinquency.” The x-axis ranges from 2000 to 2021. The data are measured quarterly until 2019 then measured as monthly. The y-axis ranges from 0 to 10 percent. There are two variables plotted. The first being “Delinquent”, which is represented by a solid black line. It begins at 3 percent and fluctuates around that level until about 2009. It then increases to just above 4 percent then slowly decreases and maintains at a level of about 3 percent to end the quarterly data. The monthly data then begins and decreases to around 2 percent in August of 2020. There is then a slight uptick in the data in early 2021 followed by a slight decrease below 2 percent, then a slight uptick back to 2 percent. The second variable is “Delinquent/Loss Mitigation” shown by a solid blue line. For the entirety of the plotted quarterly data, it stays between 4 and 6 percent, with fluctuations in-between. Then, when the monthly data begins, it spikes to just over 9 percent in late 2019, decreasing sharply to around 5 percent in early 2021, continuing to decrease to just above 3 percent ending in August 2021.

Note: Loss mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), or loans with no scheduled payment and a nonzero balance. Delinquent includes loans reported to the credit bureau as at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning in January 2020. The data for auto loans are reported semiannually by Risk Assessment, Data Analysis and Research until 2017, after which they are reported quarterly until 2020. The data for delinquent/loss mitigation begin in Q1 of 2001.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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Figure 2-17. Credit Card Balances

This is a line chart labeled "Credit Card Balances". The x-axis ranges from the years 1999 to 2021, and the y-axis ranges from 50 to 500 billions of dollars (real). The data is quarterly, ending in Q2 of 2021. There are 3 variables plotted on the chart. The first variable is labeled 'Prime' and is designated by a black line. It ranges from around 200 to 500 billions of dollars. Auto loans to borrowers with prime credit scores started at around 200 billions of dollars in 1999 and continued to increase to around 475 billion in 2009. There is a slight decline from 2009 until balances were close to 350 billion in 2011 and 2012. From 2012 onwards, the balances labeled 'Prime' have been increasing with fluctuations, reaching almost 475 billions of dollars at the end of 2019. It then decreases to around 425 in 2021 Q2. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 250 to 425 billions of dollars. Starting at 350 billion in 1999, balances to those with near prime credit increases to almost 425 billion dollars in 2002 to 2003. Near prime balances decrease to around 350 billion dollars in 2005 and remains mostly flat until 2008 before decreasing to around 250 billion dollars in 2011. The level has risen slowly since then, nearing 300 billion in 2019. It then decreases to end at just below 250 billion in 2021 Q2. The third variable is labeled 'Subprime'; is designated by a red line; and ranges from around 100 to 275 billions of dollars. It starts at around 200 billion dollars in 1999 and increases until reaching a peak at around 275 billion dollars in 2002. It decreases to around 200 billion in 2005 before beginning to increase with fluctuations to around 250 billion in 2008. It decreases to around 100 billion dollars in 2013 before slowly climbing again, reaching around 150 billion dollars in 2019 Q4. It then ends at around 125 after a decrease into 2021 Q2.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 2-18. Credit Card Delinquency Rates

This is a line chart titled "Credit Card Delinquency Rates". The x-axis ranges from the years 2000 to 2021. The y-axis ranges from 0 to 30 percent, measuring delinquency rates on credit cards. The data is quarterly, ending in Q2 of 2021. There are 3 variables charted on the plot. The first variable is labeled 'Prime' and is denoted by the black line. It ranges from around 1 to 3 percent. The variable is mostly flat at 1 percent except for a small two percentage point increase between 2009 and 2011. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 4 to 8 percent. The variable mostly hovers at 4 percent except for a small four percentage point increase between 2009 and 2011. It has been slowly increasing since Q4 of 2016 and ultimately leveling off to end around 4 percent in 2020 with a slight decrease to around 3 percent by 2021 Q2. The third variable is labeled 'Subprime' and is designated by a red line. It ranges from around 9 to 23 percent. This line starts around 15 percent in 2001 and increases to 20 percent in 2003. It decreases to around 17 percent in 2005 before quickly increasing. The rates peak at around 23 percent in 2010. It falls to 10 percent by 2016 before increasing to reach almost 15 percent in 2017 and leveling off to end around 14 percent by the end of 2019. It then slightly decreases to 9 percent by 2021 Q2.

Note: Delinquency is at least 30 days past due, excluding severe derogatory loans. The data are four-quarter moving averages. Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Credit scores are lagged four quarters.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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Figure 3-1. Common Equity Tier 1 Ratio of Banks

This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x-axis measures time and ranges from years 2001 to 2021. The y-axis ranges from 0 to 14 percent of risk weighted assets. The data are quarterly. There are three variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid black line and ranges from 8 to just over 12 percent. This variable starts at around 9 percent in 2001 decreasing to 8 percent by 2009 before increasing to 12 percent in 2014, and has remained near 12 percent through 2021 Q2, with a slight drop to 11.8 percent in 2020:Q1. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from about 6 to 12.5 percent. This remains near 7.5 percent from 2001 to 2006, decreases to 6 percent in 2008, increases to around 10 percent through the end of 2017 where it has remained through the first half of 2020 until it rose to around 12.5 percent from 2020:Q1 to 2021:Q2. The third line, labeled ‘G-SIBs’, is designated by a solid red line and ranges from 4.8 to 12.5 percent. It remains near 7 percent from 2001 to 2006, decreases to 4.8 percent in 2008:Q4 and increases to around 12 percent in 2016, where it has remained until 2019:Q4. In 2020:Q1, it decreased slightly before rising to 12.5 percent by 2021:Q2. There is also a red dot at the end of the chart indicating the preliminary results for 2021:Q3 data for G-SIBS at roughly 12.5 percent.

Note: The data are seasonally adjusted by Federal Reserve Board staff. Sample consists of domestic bank holding companies (BHCs) and intermediate holding companies (IHCs) with a substantial U.S. commercial banking presence. G-SIBs are global systemically important U.S. banks. Large non-G-SIBs are BHCs and IHCs with greater than $100 billion in total assets that are not G-SIBs. Before 2014:Q1 (advanced-approaches BHCs) or before 2015:Q1 (non- advanced-approaches BHCs), the numerator of the common equity Tier 1 ratio is Tier 1 common capital. Afterward, the numerator is common equity Tier 1 capital. The denominator is risk-weighted assets. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001—November 2001, December 2007—June 2009, and February 2020—April 2020.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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Figure 3-2. Ratio of Tangible Bank Equity to Assets

This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x-axis measures time and ranges from years 1985 to 2021. The y-axis ranges from 0 to 12 percent of total assets. The data are quarterly. There are three variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid black line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5 percent in 1985 to 10 percent in 2012:Q3. It remained near 10 percent through 2019:Q4 and then decreased to 9.4 percent in 2020:Q2. It has remained around 9.5 percent through 2021:Q2. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from 4 to 9 percent. This variable started at about 5 percent in 1985, rose sharply to 6 percent in the beginning of 1987, decreased back to around 5 percent increased to 6 percent in 1993, and remained near 6 percent until 2001 before increasing again through 2002:Q3 to about 7 percent. It decreased slowly until 2008 when it reached about 5 percent. It steadily increased after that until 2019:Q4 and then fell to about 8 percent in the first of half 2020. It has stayed around 8 percent through the end of 2021:Q2. The third line, labeled ‘G-SIBs’, is designated by a solid red line and ranges from 4 to 9 percent. This variable starts at about 5 percent, increases until 1986:Q3, decreases until 1988, and then steadily increases until 1993 when it reaches about 5.5 percent. It remains near this level until 2001 then begins increasing to about 6 percent in 2002:Q4. It decreases to 4.5 percent in 2008:Q3. It then increases through 2017 to about 8.5 percent and remains near that level through 2019:Q4. Thereafter, it fell sharply in the first half of 2020 to about 7.6 where it has remained through 2021:Q2.

Note: The data are seasonally adjusted by Federal Reserve Board staff. Sample consists of domestic bank holding companies (BHCs), intermediate holding companies (IHCs) with a substantial U.S. commercial banking presence, and commercial banks. G-SIBs are global systemically important U.S. banks. Large non-G-SIBs are BHCs and IHCs with greater than $100 billion in total assets that are not G-SIBs. Bank equity is total equity capital net of preferred equity and intangible assets. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: July 1990—March 1991, March 2001—November 2001, December 2007—June 2009, and February 2020—April 2020.

Source: Federal Financial Institutions Examination Council, Call Report Form FFIEC 031, Consolidated Reports of Condition and Income (Call Report).

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Figure 3-3. Borrower Leverage for Bank Commercial and Industrial Loans

This is a line chart titled "Borrower Leverage for Bank Commercial and Industrial Loans." The x-axis measures time and ranges from years 2013 to 2021. The y-axis ranges from 24 to 36 debt percent of assets. The data are quarterly ending at 2021:Q2. There are two variables charted on the plot. The first line, labeled 'Non-publicly-traded firms', is designated by a solid blue line and ranges from about 30 to 34 percent. This variable begins at 31 percent, quickly decreases to about 30 percent towards the end of 2013, rises slowly to 34 percent in 2019 before decreasing back down to 33 percent where it hovered through 2020, decreasing in 2021 to just under 33 percent by 2021:Q2. The second line, labeled 'Publicly-traded firms', is designated by a solid black line and ranges from about 24 to 31 percent. This variable begins at about 25, increases steadily to 31 percent where it stays through 2019:Q3. In 2019:Q4, it dropped back down to 30 percent before increasing again to 31 percent in the second half of 2020, then decreasing to just over 30 percent by 2021:Q2.

Note: Weighted median leverage of nonfinancial firms that borrow using commercial and industrial loans from the 26 banks that have filed in every quarter since 2013:Q1. Leverage is measured as the ratio of the book value of total debt to the book value of total assets of the borrower, as reported by the lender, and the median is weighted by committed amounts.

Source: Federal Reserve Board, Form FR Y-14Q (Schedule H.1), Capital Assessments and Stress Testing.

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Figure 3-4. Change in Bank Lending Standards for Commercial and Industrial Loans

This is a line chart titled "Change in Bank Lending Standards for Commercial and Industrial Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2021. The y-axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled 'Easing' and positive y-axis values are labeled 'Tightening.' The data are quarterly and end in Q2 of 2021. The variable begins around -14 percent in 1997, and increases to around 60 percent in 1998, before dropping to around 5 percent in 1999. It increases sharply to around 80 percent by the end of 2000, and gradually falls from 2001 to 2005, reaching around -55 percent by the end of 2004. It gradually increases from 2005 to 2008, reaching its peak of around 87 percent near the end of 2008. It drops sharply in 2009, reaching around 0 percent by the end of the year. It gradually declines to around -20 percent in 2011 before increasing back to 0 percent in 2012. It decreases back to around -20 in 2013, slowly increases to around 10 percent from 2014 to 2016, then decreases back towards around -20 percent in the beginning of 2018. It then increases through 2018 to end at around -5 percent before dropping back to around -15 percent in Q2 of 2019. The line then increases sharply to around 70 percent by 2020:Q2. The data falls sharply to almost -60 by 2021:Q2.

Note: Banks’ responses are weighted by their commercial and industrial loan market shares. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter. Results are shown for loans to large and medium-sized firms. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020.

Source: Federal Reserve Board (FRB), Senior Loan Officer Opinion Survey on Bank Lending Practices; FRB staff calculations.

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Figure 3-5. Leverage at Broker-Dealers

Ratio of assets to equity

Period Leverage at Broker-Dealers
1995:Q1 30.60
1995:Q2 30.72
1995:Q3 31.31
1995:Q4 31.84
1996:Q1 33.12
1996:Q2 33.10
1996:Q3 33.34
1996:Q4 33.88
1997:Q1 35.28
1997:Q2 35.29
1997:Q3 35.50
1997:Q4 32.97
1998:Q1 35.51
1998:Q2 35.01
1998:Q3 35.07
1998:Q4 30.43
1999:Q1 30.91
1999:Q2 29.37
1999:Q3 28.43
1999:Q4 28.56
2000:Q1 29.86
2000:Q2 28.89
2000:Q3 28.51
2000:Q4 28.26
2001:Q1 28.56
2001:Q2 30.03
2001:Q3 31.47
2001:Q4 31.34
2002:Q1 31.66
2002:Q2 31.26
2002:Q3 31.79
2002:Q4 30.63
2003:Q1 32.03
2003:Q2 34.79
2003:Q3 32.97
2003:Q4 33.67
2004:Q1 35.58
2004:Q2 37.77
2004:Q3 38.59
2004:Q4 39.28
2005:Q1 41.07
2005:Q2 41.44
2005:Q3 41.97
2005:Q4 39.88
2006:Q1 40.50
2006:Q2 40.65
2006:Q3 42.29
2006:Q4 43.01
2007:Q1 45.28
2007:Q2 46.90
2007:Q3 46.02
2007:Q4 46.30
2008:Q1 47.89
2008:Q2 41.87
2008:Q3 43.21
2008:Q4 30.71
2009:Q1 28.32
2009:Q2 24.90
2009:Q3 24.96
2009:Q4 23.51
2010:Q1 24.51
2010:Q2 24.04
2010:Q3 24.31
2010:Q4 23.52
2011:Q1 24.29
2011:Q2 24.44
2011:Q3 24.57
2011:Q4 24.64
2012:Q1 24.53
2012:Q2 24.43
2012:Q3 23.85
2012:Q4 23.46
2013:Q1 22.84
2013:Q2 22.15
2013:Q3 21.84
2013:Q4 21.10
2014:Q1 21.13
2014:Q2 21.35
2014:Q3 20.72
2014:Q4 19.82
2015:Q1 19.73
2015:Q2 19.33
2015:Q3 18.83
2015:Q4 18.15
2016:Q1 18.12
2016:Q2 18.30
2016:Q3 18.04
2016:Q4 17.61
2017:Q1 17.77
2017:Q2 18.31
2017:Q3 17.41
2017:Q4 17.15
2018:Q1 17.21
2018:Q2 18.06
2018:Q3 17.90
2018:Q4 18.10
2019:Q1 17.92
2019:Q2 17.86
2019:Q3 17.77
2019:Q4 16.85
2020:Q1 17.26
2020:Q2 16.26
2020:Q3 16.54
2020:Q4 16.62
2021:Q1 16.58
2021:Q2 16.22

Note: Leverage is calculated by dividing total assets by equity.

Source: Federal Reserve Board, Statistical Release Z.1, “Financial Accounts of the United States.”

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Figure 3-6. Leverage at Insurance Companies

Ratio of assets to equity

Period Life Property and casualty
2000:Q1 8.63 5.49
2000:Q2 8.45 5.40
2000:Q3 8.39 5.33
2000:Q4 8.96 5.78
2001:Q1 8.36 5.40
2001:Q2 8.83 5.50
2001:Q3 9.45 6.22
2001:Q4 10.03 6.37
2002:Q1 9.63 6.24
2002:Q2 9.83 6.32
2002:Q3 10.14 6.41
2002:Q4 10.79 6.69
2003:Q1 11.04 6.79
2003:Q2 11.16 6.71
2003:Q3 11.00 6.72
2003:Q4 10.93 6.71
2004:Q1 11.29 7.07
2004:Q2 11.37 6.77
2004:Q3 11.48 6.82
2004:Q4 11.68 6.83
2005:Q1 11.30 6.82
2005:Q2 10.67 6.61
2005:Q3 10.78 6.67
2005:Q4 10.87 6.50
2006:Q1 10.11 6.51
2006:Q2 10.00 6.41
2006:Q3 9.94 6.38
2006:Q4 9.87 6.32
2007:Q1 9.97 6.36
2007:Q2 9.83 6.35
2007:Q3 9.96 6.35
2007:Q4 9.74 6.10
2008:Q1 10.84 6.53
2008:Q2 10.72 6.44
2008:Q3 10.64 6.46
2008:Q4 10.77 5.97
2009:Q1 10.79 5.95
2009:Q2 9.97 5.61
2009:Q3 9.97 5.58
2009:Q4 8.92 5.20
2010:Q1 9.24 5.17
2010:Q2 9.45 5.10
2010:Q3 9.73 5.18
2010:Q4 8.63 4.47
2011:Q1 9.55 4.66
2011:Q2 9.36 4.61
2011:Q3 9.47 4.43
2011:Q4 8.83 4.15
2012:Q1 8.78 4.14
2012:Q2 8.81 4.11
2012:Q3 9.17 4.15
2012:Q4 9.43 4.17
2013:Q1 9.25 4.09
2013:Q2 8.89 3.96
2013:Q3 8.67 3.91
2013:Q4 8.53 3.89
2014:Q1 8.57 3.86
2014:Q2 8.44 3.68
2014:Q3 8.40 3.63
2014:Q4 8.38 3.58
2015:Q1 8.53 3.54
2015:Q2 8.24 3.51
2015:Q3 8.48 3.46
2015:Q4 9.70 3.71
2016:Q1 9.30 3.55
2016:Q2 9.73 3.57
2016:Q3 9.83 3.55
2016:Q4 10.24 4.02
2017:Q1 9.80 3.59
2017:Q2 9.69 3.59
2017:Q3 9.35 3.64
2017:Q4 10.13 4.02
2018:Q1 9.42 3.29
2018:Q2 10.28 2.96
2018:Q3 9.49 2.92
2018:Q4 10.27 3.30
2019:Q1 9.85 3.01
2019:Q2 10.84 3.00
2019:Q3 10.19 2.97
2019:Q4 10.87 3.11
2020:Q1 10.06 3.03
2020:Q2 11.81 3.13
2020:Q3 11.24 3.11
2020:Q4 11.75 3.26
2021:Q1 10.64 2.92
2021:Q2 11.28 2.89

Note: Ratio is calculated as (total assets – separate account assets)/(total capital – accumulated other comprehensive income) using generally accepted accounting principles.  The largest 10 publicly traded life and property and casualty insurers are represented.

Source:  National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via S&P Global Market Intelligence, Capital IQ Pro.

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Figure 3-7. Gross Leverage at Hedge Funds

Ratio

Period Mean Median
2013:Q1 2.25 6.53
2013:Q2 2.26 6.88
2013:Q3 2.26 6.64
2013:Q4 2.30 6.40
2014:Q1 2.32 6.51
2014:Q2 2.30 6.29
2014:Q3 2.23 6.51
2014:Q4 2.26 6.00
2015:Q1 2.18 6.02
2015:Q2 2.21 5.81
2015:Q3 2.22 6.07
2015:Q4 2.30 5.70
2016:Q1 2.23 6.22
2016:Q2 2.24 6.26
2016:Q3 2.18 6.29
2016:Q4 2.19 6.37
2017:Q1 2.21 6.73
2017:Q2 2.24 6.69
2017:Q3 2.17 6.93
2017:Q4 2.11 7.05
2018:Q1 2.17 8.38
2018:Q2 2.13 7.78
2018:Q3 2.14 7.32
2018:Q4 2.12 7.60
2019:Q1 2.05 8.05
2019:Q2 2.12 7.98
2019:Q3 2.06 7.85
2019:Q4 2.01 7.81
2020:Q1 2.01 7.95
2020:Q2 2.00 7.02
2020:Q3 1.97 7.44
2020:Q4 1.97 7.35
2021:Q1 1.92 7.44

Note: Leverage is computed as the ratio of hedge funds’ gross notional exposure to net asset value. Gross notional exposure includes the nominal value of all long and short positions and derivative notional exposures. Options are delta adjusted, and interest rate derivatives are reported at 10-year bond equivalents. The mean is weighted by net asset value. The data are reported on a two-quarter lag, starting in the first quarter of 2013.

Source: Securities and Exchange Commission, Form PF, Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors.

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Figure 3-8. Change in the Use of Financial Leverage

This is a line chart titled "Change in the Use of Financial Leverage." The x-axis measures time and ranges from years 2012 to 2021. The y-axis ranges from -80 to 60 percent. The data are quarterly. There are four variables charted on the plot. The first line, labeled ‘Hedge funds’ is designated by a solid black line and ranges from about -65 percent to about 30 percent. The line starts at -60 percent and increases steadily to 20 percent in 2013:Q1 before decreasing to -20 percent in 2013:Q3. It then increases to 20 percent by 2014:Q3, and oscillates around zero in the range of -10 to 10 through 2020:Q1. Thereafter, there is a substantial decline to about -65 percent in 2020:Q2 and then snap backs to -4 percent in 2020:Q3 before falling back down to -17 percent in 2020:Q4. It ends at -20 percent in 2021:Q3. The second line, labeled ‘Trading REITs', is designated by a solid blue line and ranges from about -45 to 20 percent. This variable begins at 0 and remains in the range of 0 to 20 percent through 2013:Q2. It then decreases sharply to -33 percent and remains there through 2014:Q1. The line then oscillates around zero in the range of -10 to 10, with one notable sharp decrease to -15 percent in 2017:Q4. The line increases to about 10 percent in the second quarter of 2019 and stays there until 2020:Q1 when it decreases down to 5 percent. In 2020:Q2, the line has a substantial decline to -75 percent and then it gradually increases through 2021:Q3 where it ends at 5 percent. The third line labeled ‘Insurance companies’ is designated by a solid red line. It begins at zero and remains in a tight range of -5 to 5 percent for the duration of the chart. The series remains around zero in 2020:Q1, decreases to about -5 percent in 2020:Q2, and the increases to about 6 percent in 2020:Q3 before returning to 0 percent from the end of 2020 through the end of the series. The fourth line labeled ‘Mutual funds’ is designated by a dashed black line. The series begins at zero and remains flat in a range of 0 to 10 percent throughout the duration of the chart. The series remains at about zero percent through 2020:Q1, decreases to -15 percent in 2020:Q2 and then increases to 0 percent from the end of 2020 through the end of the series.

Note: Net percentage equals the percentage of institutions that reported increased use of financial leverage over the past three months minus the percentage of institutions that reported decreased use of financial leverage over the past three months. REIT is real estate investment trust.

Source: Federal Reserve Board, Senior Credit Officer Opinion Survey on Dealer Financing Terms.

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Figure 3-9. Issuance of Non-agency Securitized Products, by Asset Class

This is a stacked bar chart with five categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2021. The y-axis is in billions of dollars (real) and ranges from 0 to 2800. Data are annual. CDOs (including ABS CDOs and CLOs), represented in tan, begin at about 100 in 2001, peak at about 500 in 2006, decrease to about 50 by 2008 and then five in 2010, and generally increase to about 140 in 2019 before ending around 200 in 2021. Auto loan/lease ABS, represented in dark blue, begins at about 120 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 100 by 2012, and increases to around 150 by 2021. Non-agency CMBS, represented in dark pink shading, begins at about 120 in 2001, peaks at about 300 in 2006, decreases to about zero by 2008 where it stays through 2011, and slowly increases to about 105 in 2019 where it stays through 2021. Private-label RMBS, represented in dark gray begins at about 400 in 2001, peaks at about 1600 in 2007, drops to about zero in 2009 and stays near there through 2010, and increases steadily to about 150 in 2019 before dipping slightly in 2020 and ending at about 130 in 2021. Other, represented in light gray, begins at about 220 in 2001, peaks at about 280 in 2006 and 2007, drops to about 150 in 2008, and decreases to about 124 in 2019 before decreasing to 112 in 2020 before going back up to 130 in 2021. All five categories together begin at about 900 in 2001 and peak near 2800 in 2006. The total then drops to about 300 in 2008, and increases to about 700 in 2019 before dropping slightly to about 500 in 2020 then goes back up to 800 in 2021.

Note: The data from the first and second quarters of 2021 are annualized to create the 2021 bar. RMBS is residential mortgage-backed securities; CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; CLO is collateralized loan obligation. The “Other” category consists of other asset-backed securities (ABS) backed by credit card debt, student loans, equipment, floor plans, and miscellaneous receivables; resecuritized real estate mortgage investment conduit (Re-REMIC) RMBS; and Re-REMIC CMBS. The data are converted to constant 2021 dollars using the consumer price index. The key identifies bars in order from top to bottom.

Source: Green Street Advisors, LLC, Commercial Mortgage Alert’s CMBS Database and Asset- Backed Alert’s ABS Database; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 3-10. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

This is a stacked line chart titled "Large Bank Lending to Nonbank Financial Firms: Committed Amounts." The x-axis measures time and ranges from years 2018 to 2021. The y-axis measures billions of dollars and ranges from 0 to 2000. The data are quarterly ending at 2021:Q2. There are 10 variables charted on the plot, which sum up to represent total committed amounts extended to nonbank financials by large banks. The overall trend has been steadily increasing from about 1300 billion in 2018 to about 1750 billion in 2021:Q2. The first variable, 'financial transactions processing', is designated by medium blue shading. This variable increases from 21 billion in 2018 to 36 billion in 2021:Q2. The second variable, 'Private equity, BDCs, and credit funds', is designated by red shading. This variable increases from 48 billion in 2018 to 55 billion in 2021:Q2. The third variable, 'Broker-dealers', is designated by light blue shading. This variable increases from 106 billion in 2018 to 140 billion in 2021:Q2. The fourth variable, 'Insurance', is designated by purple shading. This variable decreases from 139 billion in 2018 to 107 billion in 2019:Q1 before increasing to 115 billion in 2019:Q2 where it hovers between 115 billion and 112 billion through 2021:Q2, ending at 112 billion in 2021:Q2. The fifth variable, 'REITs', is designated by dark pink shading. It begins at 119 billion in 2018:Q1 and increases to 126 billion in 2018:Q3. It then falls steadily through 2021:Q2 where it ends at 74 billion. The sixth variable, 'Open-end investment funds', is designated by light green shading. This variable begins at 112 billion in 2018 and increases steadily to end around 165 billion in 2021:Q2. The seventh variable, 'Special purpose entities, CLOs, and ABS', is designated by light gray shading. This variable starts at 126 billion in 2018 and increases steadily to end at 220 billion in 2021:Q2. The eighth variable, 'Other financial vehicles', is designated by dark gray shading. This variable increased from 198 billion in 2018 to end at 340 billion in 2021:Q2. The ninth variable, 'Real estate lenders and lessors', is designated by beige shading. This variable has increased steadily from 95 billion in 2013:Q1 to nearly 260 billion in 2021:Q2. The tenth variable, 'Consumer lenders, other lenders, and lessors', is designated by dark blue shading. This variable starts at 162 billion in 2018 and increased steadily to 252 billion in 2020:Q1. It decreased slightly in 2020:Q2 to 251 billion before rising again to 290 billion in 2021:Q2.

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 26 bank holding companies that have filed Form FR Y-14Q in every quarter since 2018:Q1. Nonbank financial firms are identified based on reported North American Industry Classification System (NAICS) codes. In addition to NAICS codes, a name-matching algorithm is applied to identify specific entities such as real estate investment trusts (REITs), special purpose entities, collateralized loan obligations (CLOs), and asset-backed securities (ABS). REITs incorporate both mortgage (trading) REITs and equity REITs. Broker-dealers also include commodity contracts dealers and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds. BDC is business development company.

Source: Federal Reserve Board, Form FR Y-14Q (Schedule H.1), Capital Assessments and Stress Testing.

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Figure 3-11. Growth of Loan Commitments to and Utilization by Nonbank Financial Institutions in the Second Quarter of 2021, by Sector

This is a bar chart titled “Growth of Loan Commitments and Utilization to Nonbank Financial Institutions in 2021, by Sector.” The x-axis shows the ten different sectors of NBFIs. The y-axis represents percent growth of loan commitments and utilization rates to NBFIs and ranges from -20 to 40 percent. The data are quarterly. The chart shows the 2020:Q2 over 2021:Q2 growth rate. There are two variables plotted on the chart for each sector. Committed amounts is represented as a red bar and utilized amounts is represented as a light gray bar. From left to right, the first sector is REITs. REITs have a committed amount of -25 percent and a utilized amount of -50 percent for 2021:Q2. The second sector is Financial transactions processing which has a committed amount of 5 percent and a utilized amount of -20 percent for 2021:Q2. The third sector is Consumer, leasing, other lenders. This sector has a committed amount of 5 percent and a utilized amount of 15 percent for 2021:Q2. The fourth sector is Insurance which has a committed amount of 5 percent and a utilized amount of -20 percent for 2021:Q2. The fifth sector is PE, BDCs & credit funds. This sector has a committed amount of about 8 percent and a utilized amount of about -5 percent as of 2021:Q2. The sixth sector is Broker dealers which has a committed amount of 13 percent and a utilized amount of 25 percent in as of 2021:Q2. The seventh sector is Open-end investment funds which have a committed amount of 20 percent and a utilized amount of 30 percent as of 2021:Q2. The eighth sector is SPEs, CLOs, & ABS. This sector has a committed amount of 25 percent and a utilized amount of 12 percent as of 2021:Q2. The ninth sector is Real estate lenders & lessors. This sector has a committed amount of 30 percent and a utilized amount of 7 percent as of 2021:Q2. The tenth sector is Other financial vehicles which has a committed amount of 32 percent and a utilized amount of about 50 percent as of 2021:Q2. There are two bars showing the total for all NBFIs. This final sector shows a committed amount of 17 percent and a utilized amount of 15 percent.

Note: 2021:Q2-over-2020:Q2 growth rates as of 2021:Q2. REIT is real estate investment trust. PE is private equity. BDC is business development company. SPE is special purpose entity. CLO is collateralized loan obligation. ABS is asset-backed securities. The key identifies bars in order from left to right.

Source: Federal Reserve Board, Form FR Y-14Q (Schedule H.1), Capital Assessments and Stress Testing.

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Figure 4-1. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution *

Percent of GDP

Date Other Securities lending Commercial paper Domestic money market funds Repurchase agreements Uninsured deposits
2002 Q1 5.338454921 3.671869 13.04725785 21.52147324 19.02449887 11.2213538
2002 Q2 5.247557356 3.961098369 12.34103271 20.66229404 20.56732944 11.4801712
2002 Q3 5.455437546 2.751137147 12.16260089 20.22530788 20.95398631 12.38150759
2002 Q4 5.759543375 2.665088665 12.38802395 21.11222898 20.69224342 12.88164942
2003 Q1 5.931386586 3.243796482 12.11812545 20.33831903 21.00437455 13.19553592
2003 Q2 5.959235584 3.694074535 11.70071007 19.60676122 22.35262746 14.02211935
2003 Q3 5.652335567 4.512898263 11.16436349 18.71829312 21.63139606 13.50692573
2003 Q4 5.52646609 4.639374481 10.94584974 17.68713585 21.67938515 13.53385069
2004 Q1 5.625240267 4.502791856 11.1122481 16.96957291 23.19950894 14.03742657
2004 Q2 5.628632478 5.404714139 10.73235239 16.20367362 23.48794857 14.41923144
2004 Q3 5.84038459 4.790575279 10.61307083 15.61799345 25.32889938 14.66919895
2004 Q4 5.70725447 5.431470934 11.13602799 15.58378415 24.21782177 15.14410661
2005 Q1 5.735068367 6.015867337 11.24394034 14.8429203 25.3896776 15.04202804
2005 Q2 5.705392256 6.640554282 11.567792 14.67697483 26.75692271 15.15643072
2005 Q3 5.668798089 6.121539204 11.84608041 14.80197053 27.65551836 15.2811488
2005 Q4 5.720781677 5.605400518 12.30917058 15.43908371 26.57885895 15.77717409
2006 Q1 5.672952186 5.609383076 12.48319738 15.14636927 28.21433887 15.49262021
2006 Q2 5.792273148 6.256856347 12.82754789 15.44611058 28.48357291 15.76425978
2006 Q3 6.260066327 7.032810148 13.44353043 16.01712234 30.68660669 15.46617993
2006 Q4 6.591825614 7.598828176 13.94285159 17.01581804 29.68380481 16.26198807
2007 Q1 6.907947504 8.563617828 14.09271353 17.03020129 32.28164435 15.39487663
2007 Q2 7.144532861 8.724578822 14.64643855 17.58018033 32.42716243 15.24456781
2007 Q3 7.415937375 7.53329542 12.7525204 19.6019845 32.20021343 15.21393567
2007 Q4 7.881703123 7.738684775 12.15144406 21.37876026 30.48881809 16.05890309
2008 Q1 8.399677151 6.335236544 12.13195071 23.92063875 32.82501524 16.0681219
2008 Q2 8.879437846 12.04175264 11.75891432 23.3519432 29.87558959 15.50576409
2008 Q3 8.462601857 6.795510307 10.43579491 23.17297218 29.96246541 16.37606903
2008 Q4 8.374945971 6.528987028 10.94794755 26.28017747 21.75718917 12.19275287
2009 Q1 8.169126232 5.396391991 9.867138526 26.75176013 22.06374073 12.12707469
2009 Q2 8.04853469 6.13221963 8.892135211 25.83533877 21.92090492 12.12732653
2009 Q3 7.639384 5.986490983 8.092591111 23.78316107 22.45296651 8.176508483
2009 Q4 6.750977778 5.802754997 7.7629839 22.55087081 20.31820335 8.666236433
2010 Q1 6.577262923 5.667992165 7.321412175 20.24244996 22.61661267 12.21509811
2010 Q2 6.225724782 5.607811422 6.862702106 18.82050493 22.83174687 12.2369495
2010 Q3 6.352930454 5.223349749 6.938307035 18.56772756 22.71233602 13.66544192
2010 Q4 6.21294082 5.100097669 6.907175476 18.4015239 22.33364778 9.532294565
2011 Q1 5.888152461 5.049772599 7.368785411 17.84419746 23.16307479 9.612799234
2011 Q2 5.475576953 5.19918477 6.952245471 17.27356553 23.26761397 10.09778261
2011 Q3 5.191573337 4.597403436 6.419072412 16.83771567 23.89675404 10.37504756
2011 Q4 5.216754129 4.161588604 6.118013253 17.02980338 23.5874966 10.46071626
2012 Q1 5.216815416 4.170740969 6.188250169 16.22398769 23.62756829 10.53835685
2012 Q2 5.204015107 4.190970412 5.935807184 15.66507425 23.95031352 10.59932157
2012 Q3 5.138391106 4.042344433 5.865563436 15.7936318 23.97194308 10.4764862
2012 Q4 5.082099938 3.600305261 5.799784395 16.24939907 24.07631333 11.90151175
2013 Q1 5.023286937 3.711661155 6.020638508 15.81207004 22.88838124 20.08509916
2013 Q2 4.76890954 3.9098418 5.931608592 15.5539928 21.91025559 20.08931375
2013 Q3 4.552701196 4.096346978 5.776666477 15.93464739 21.07261353 20.85771117
2013 Q4 5.878079422 3.809867975 5.554349289 15.73153567 19.05673686 21.46555505
2014 Q1 6.003073542 4.285300859 5.787311776 15.41556628 19.27677659 21.52733632
2014 Q2 5.991144752 4.26423117 5.758094734 14.64193746 18.53158821 21.96372581
2014 Q3 5.88203039 4.21698928 5.613984366 14.60418068 17.99120565 22.16040629
2014 Q4 5.59312789 3.949130037 5.211510653 15.2715359 17.4460045 22.69963778
2015 Q1 5.516637899 3.945896566 5.295295313 14.90355273 17.66570431 22.79279439
2015 Q2 5.279300836 3.751297083 5.379739197 14.29930709 16.95069866 22.6033577
2015 Q3 5.233453202 3.623103067 5.414678355 14.57540719 17.24478077 22.54249588
2015 Q4 5.380996718 3.542315113 5.13576764 15.04747539 16.1981719 22.96688829
2016 Q1 5.174446199 3.593047677 5.542030001 15.00923809 16.42932454 23.09123317
2016 Q2 5.258470992 3.510065941 5.458402527 14.60424979 17.14291263 23.26322377
2016 Q3 5.248689818 3.331742717 4.853777315 14.27614073 17.07301335 23.83718043
2016 Q4 5.35105821 3.069267895 4.665057373 14.38861795 16.11990467 24.04019273
2017 Q1 5.321580191 3.19793695 4.892755024 13.85462159 16.29792104 23.82661315
2017 Q2 5.197281552 3.404557827 4.79043023 13.56923778 16.74116204 23.65147335
2017 Q3 5.284991718 3.423848276 5.022625926 14.01160599 16.20616527 23.70179954
2017 Q4 5.289248809 3.297999017 4.858093264 14.32107324 16.25151337 23.85306115
2018 Q1 5.147837299 3.309071709 5.204977831 14.04513435 15.78912066 23.44020837
2018 Q2 5.19031163 3.337173415 5.131259533 13.78576125 15.7469186 22.78330852
2018 Q3 5.222351924 3.177437203 5.060965616 13.95731554 15.67589918 22.9106723
2018 Q4 5.224631789 2.885459183 4.7852566 14.6008676 17.43371561 23.307637
2019 Q1 5.114648572 3.838185484 5.100713356 14.76777649 18.21181197 22.60644391
2019 Q2 5.059574881 3.047497819 5.121866844 14.99487418 18.54563406 22.67712743
2019 Q3 5.103953106 2.895836561 4.998402151 16.00876639 19.67942403 23.18875539
2019 Q4 5.178993901 2.666256943 4.818041764 16.61434496 18.68533489 23.73779127
2020 Q1 5.411326755 2.743214756 5.068415872 19.65263165 19.42989763 27.16044588
2020 Q2 6.409125939 3.332778236 5.168188297 24.043355 19.68137081 31.79241889
2020 Q3 5.898588833 2.851091056 4.526984661 20.8336142 18.34496275 30.59762619
2020 Q4 5.680567019 2.966393239 4.595011305 19.99744696 18.63726387 31.86759011
2021 Q1 5.565357625 3.113090896 5.014927471 20.40481836 16.76738136 32.42369609
2021 Q2 5.477611002 3.282623217 4.772898777 19.9271988 15.66469022 32.40687768

*On September 7, 2022, the data in Chart 4-1 were updated on the accessible version to fix a coding error.

Note: The black striped area denotes the period from 2008:Q4 to 2012:Q4, when insured deposits increased because of the Transaction Account Guarantee program. “Other” consists of variable-rate demand obligations (VRDOs), federal funds, funding-agreement-backed securities, private liquidity funds, offshore money market funds, and local government investment pools. Securities lending includes only lending collateralized by cash. GDP is gross domestic product. Values for VRDOs come from Bloomberg beginning in 2019:Q1. See Jack Bao, Josh David, and Song Han (2015), “The Runnables,” FEDS Notes (Washington: Board of Governors of the Federal Reserve System, September 3), https://www.federalreserve.gov/econresdata/notes/feds-notes/2015/the-runnables-20150903.html.

Source: Securities and Exchange Commission, Private Funds Statistics; iMoneyNet, Inc., Offshore Money Fund Analyzer; Bloomberg Finance L.P.; Securities Industry and Financial Markets Association: U.S. Municipal Variable-Rate Demand Obligation Update; Risk Management Association, Securities Lending Report; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation: commercial paper data; Federal Reserve Board (FRB) staff calculations based on Investment Company Institute data; FRB, Statistical Release Z.1, “Financial Accounts of the United States”; Federal Financial Institutions Examination Council, Consolidated Reports of Condition and Income (Call Report); Moody's Analytics, Inc., CreditView, Asset-Backed Commercial Paper Program Index; Bureau of Economic Analysis, gross domestic product via Haver Analytics.

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Figure 4-2. Liquid Assets Held by Banks

This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2021. The y-axis represents liquid assets as a percent of total assets, and ranges from 0 to 32 percent. The data are quarterly. There are three variables charted on the plot. The first line, labeled ‘Other BHCs’ is designated by a solid black line and ranges from about 5 percent to about 14 percent. The series falls from about 10 percent in 2001 to about 7 percent in 2008:Q4 and then rises steadily to about 12 percent in 2012:Q4. The line then declines steadily to around 9 percent at the end of 2019 before sharply increasing to about 15 percent in 2020. Its last value is in 2021:Q2 at about 17 percent. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from 6 to about 22 percent. This variable falls from about 9 percent to about 7 percent in 2008:Q3 before jumping sharply to 13 percent and rising steadily through 2021:Q1 to about 25 percent. Its last value is 2021:Q2 at about 24.5 percent. The third line, labeled G-SIBs', is designated by a solid red line and ranges from about 6 to 28 percent. It begins around 9 percent in 2001 and steadily decreases through the first half of 2008 to 6 percent before jumping sharply in the second half of 2008 to 12 percent. It then steadily increases to 22 through 2014. The series levels off and remains around 21 through 2018:Q4. The series drops to around 20 in 2019:Q1 and rises to 30 over the following eight quarters. Its last value is in 2021:Q2 at about 30 percent.

Note: Sample consists of domestic bank holding companies (BHCs), intermediate holding companies (IHCs) with a substantial U.S. commercial banking presence, and commercial banks. G-SIBs are global systemically important U.S. banks. Large non-G-SIBs are BHCs and IHCs with greater than $100 billion in total assets that are not G-SIBs. Liquid assets are cash plus estimates of securities that qualify as high-quality liquid assets as defined by the Liquidity Coverage Ratio requirement. Accordingly, Level 1 assets and discounts and restrictions on Level 2 assets are incorporated into the estimate.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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Figure 4-3. Short-Term Wholesale Funding of Banks

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2021. The y-axis represents short-term wholesale funding as a percent of assets, and ranges from 5 to 40 percent. The data are quarterly. There is one variable charted on the plot. The variable is designated by a solid black line and ranges from about 15 to 35 percent. The variable begins near 28 percent in 2000:Q1, declines steadily to about 23 percent in 2003:Q4, increases to about 33 percent in 2007:Q1 and remains there until 2008:Q1. It then steadily declines to about 16 percent in 2015:Q1 and remains near that level through 2019:Q3 before steadily declining to about 12 percent in 2020:Q4. Thereafter, the line increases to about 13 percent in 2021:Q2, and then falls to about 12 percent in 2021:Q2.

Note: Short-term wholesale funding is defined as the sum of large time deposits with maturity less than one year, federal funds purchased and securities sold under agreements to repurchase, deposits in foreign offices with maturity less than one year, trading liabilities (excluding revaluation losses on derivatives), and other borrowed money with maturity less than one year. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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Figure 4-4. Domestic Money Market Fund Assets

This is a filled line chart titled “Domestic Money Market Fund Assets.” The x axis ranges from 2000 to 2021. The Y axis ranges from 0 to 6000 in billions of real dollars. The data is monthly. There are four variables charted on the plot. The first portion is labeled Government only; it is designated by the tan filled portion of the chart and ranges from about 490 to about 4200. This variable begins increasing in late 2006 and hits a local peak in late 2009. The variable decreases fairly quickly after the peak and then moderates till 2015. In mid-2015 the variable begins to increase significantly where it peaks at 2520 in late 2016. The variable moderates for a couple years and then spikes to the maximum value of around 4171 in April 2020. The variable declines steadily after to 3860 in January 2021. Then, the variable increases modestly to about 4000 in May 2021. Thereafter, the variable decreases to its final value at about 3900 in July 2021. The second portion is labeled Tax exempt; is designated by the orange filled portion of the chart; and ranges from about 100 to about 650. This variable starts at 338 and increases continuously to the peak value of 637 in August 2008. Thereafter, the variable declines gradually through early 2015 and then drops sharply in September 2016 to about 145. The variable moderates around this level through July 2020 when it begins to fall again. The variable sharply decreases until it ends at the minimum value of 91 in July 2021. The third portion is labeled Retail prime; it is designated by the light blue filled portion of the chart and ranges from about 225 to about 1250. This variable starts at 1135 and increases sharply to 1200 in late 2001. The variable declines gradually from 2001 until 2005 where it hits a low of around 750 before it begins to gradually increase to the peak value of 1055 in March 2008. The variable begins to decline again in early 2010 and experiences a sharp decline in the second half 2016 where it hits the minimum value for the series in October 2016, January 2017, and again in May 2017. The variable begins to rise again in mid-2018 and increases to almost 500 in early 2020. The variable ends in July 2021 at 224 after a sharp decrease in the second half of 2020. The fourth portion is labeled Institutional prime; it is designated by the dark blue filled portion of the chart and ranges from about 140 to about 1608. This variable starts at 688 and generally increases from 2000 through August 2008 to the maximum value of 1600. The variable has a sharp decline in late 2009 and then another sharp increase shortly after. The variable plateaus around 1000 in 2015 and experiences a sharp decline in December 2016 to the minimum value of 139. The variable begins to increase through early 2020 and drops sharply in March 2020 from 331 to 235. The variable starts increasing through August 2020 before gradually declining in the second half of 2020. It ends in July 2021 at 259.

Note: The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Board staff calculations based on Investment Company Institute data; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 4-5. U.S Corporate Bonds Held By U.S. Mutual Funds

Billions of dollars (real)

Date Corporate bond amount
2000 Q1 432.44
2000 Q2 422.67
2000 Q3 412.78
2000 Q4 384.53
2001 Q1 394.71
2001 Q2 404.23
2001 Q3 408.41
2001 Q4 415.98
2002 Q1 435.81
2002 Q2 450.81
2002 Q3 437.55
2002 Q4 445.30
2003 Q1 443.92
2003 Q2 491.01
2003 Q3 495.49
2003 Q4 488.93
2004 Q1 522.97
2004 Q2 459.73
2004 Q3 463.74
2004 Q4 472.09
2005 Q1 453.64
2005 Q2 459.19
2005 Q3 439.83
2005 Q4 435.32
2006 Q1 452.68
2006 Q2 438.59
2006 Q3 448.03
2006 Q4 472.94
2007 Q1 475.47
2007 Q2 461.91
2007 Q3 478.14
2007 Q4 472.64
2008 Q1 460.04
2008 Q2 492.09
2008 Q3 446.43
2008 Q4 417.49
2009 Q1 429.29
2009 Q2 510.89
2009 Q3 585.35
2009 Q4 669.55
2010 Q1 737.82
2010 Q2 747.62
2010 Q3 832.68
2010 Q4 872.79
2011 Q1 905.36
2011 Q2 901.93
2011 Q3 871.75
2011 Q4 884.51
2012 Q1 960.75
2012 Q2 975.31
2012 Q3 1049.53
2012 Q4 1091.92
2013 Q1 1118.56
2013 Q2 1083.07
2013 Q3 1103.80
2013 Q4 1133.76
2014 Q1 1169.55
2014 Q2 1198.00
2014 Q3 1197.05
2014 Q4 1207.59
2015 Q1 1253.00
2015 Q2 1250.24
2015 Q3 1235.55
2015 Q4 1174.93
2016 Q1 1229.59
2016 Q2 1251.46
2016 Q3 1291.29
2016 Q4 1225.31
2017 Q1 1248.83
2017 Q2 1243.73
2017 Q3 1253.71
2017 Q4 1203.39
2018 Q1 1184.82
2018 Q2 1175.41
2018 Q3 1196.61
2018 Q4 1122.25
2019 Q1 1208.05
2019 Q2 1254.94
2019 Q3 1278.46
2019 Q4 1261.88
2020 Q1 1270.03
2020 Q2 1502.84
2020 Q3 1526.29
2020 Q4 1561.00
2021 Q1 1512.43
2021 Q2 1541.07

Note: The data show holdings of all U.S. corporate bonds by all U.S.-domiciled mutual funds (holdings of foreign bonds are excluded). The figure reflects an update in methodology from the corresponding chart in the May 2021 Financial Stability Report. The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Board (FRB) staff estimates based on FRB, Statistical Release Z.1, “Financial Accounts of the United States”; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 4-6. Bank Loan and High-Yield Bond Mutual Fund Assets

This is a stacked line chart titled “Bank Loan and High-Yield Bond Mutual Fund Assets.” The x-axis measures time and ranges from 2000 to 2021. The y-axis is in billions of dollars (real) and ranges from 0 to 525. The data are monthly. Bank loan mutual funds are represented in maroon. The series begins around 27 and decreases until hitting its minimum of 15.5 in June 2003. It then steadily increases, reaching 50 in June 2007 before decreasing to 20 in December 2008. The series then increases steadily to 168 in January 2014. The series decreases to 96 in February of 2016 and rises to 143 in October 2018. It then decreases sharply to 90 in February 2020 and drops sharply to 67 by March of 2020 where it remained steadily through 2020. In early 2021, the variable begins to steadily rise to 90 in August 2021. High-yield bond mutual funds are represented in tan. The series begins around 180 and steadily declines until November 2002. After November it begins to increase and hovers around 200 until it sharply declines to around 121 in November 2008. The series steadily increases again and reaches its peak of 325 in June 2014. It hovers around 300 until February 2018 when it drops to 265. It stays in this range until it begins to increase again in July 2020 and it ends at 295 in August 2021.

Note: The data are converted to constant 2021 dollars using the consumer price index. Key identifies series in order from top to bottom.

Source: Investment Company Institute; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 4-7. Net Flows to Selected Bond and Bank Loan Mutual Funds

This is a stacked bar chart titled “Net Flows to Selected Bond and Bank Loan Mutual Funds.” The x-axis ranges from January 2017 to August 2021, with labels for February, May, August, and November of each year. The y-axis is in billions of dollars and ranges from -150 billion to 150 billion. The data are monthly. Investment-grade bond mutual funds are shown in blue. The series starts at 5 billion in January 2017 and rises until March 2017 to 18 billion. It then oscillates within the range of 0 to 15 billion until September 2018 with one peak in January 2018 at 22 billion. It drops dramatically in October 2018 from around 10 billion the previous month to -21 billion. It goes back to zero in January 2019 and oscillates between 6 and 27 billion until March 2020. In March 2020, it plummets to -89 billion before returning to a range of 22 to 41 billion through the rest of 2020. It decreases to 28 billion in February 2021 and then continues to decrease till July 2021 to 2.2. Its last value is 10 in August 2021. Bank loan mutual funds are represented in orange. It begins around 3 billion and decreases through December 2017 to about -1 billion. It then increases steadily through July 2018 to about 1 billion dollars. It then decreases to about -5 billion in November 2018 before dropping dramatically in December 2018 to about negative 13 billion. It recovers slowly through 2019 and ends at about -3 billion dollars in December 2019. In January 2020 it increased to about zero before declining slightly in February and sharply to -11 billion in March and then experience outflows in the range of 1 to 2 billion dollars through October 2020. It increased to zero in December 2020 before going positive through 2021 where it ended at 2 billion in August 2021. High-yield bond mutual funds are represented in tan. The bar begins around 700 million and decreases to -7 billion in March 2017. The series stays negative and drops to about -5 billion in December of 2017. The series decreases significantly in February 2018 to -10 billion, and then increases one billion dollars in April 2018. The series then experiences four month of outflows that range from half a billion dollars to 3 billion dollars before experiencing a billion-dollar inflow in September 2018. The flows in 2019 range from -3 billion dollar to 3 billion dollars and the December 2020 flow is roughly 700 million. In March of 2020, there is a significant outflow of 10 billion dollars and then a ten-billion-dollar inflow in April 2020 and another 12 billion inflow in May 2020. The series experience inflows through August 2020 ranging from 2 to 5 billion dollars. The series has five consecutive outflows sizing from 700 million to 4 billion from February 2021 till June 2021. The last value is 1 billion in August 2021.

Note: Mutual fund assets under management as of August 2021 included $2,660 billion in investment-grade bond funds, $295 billion in high-yield bond funds, and $90 billion in bank loan funds. The key identifies series in order from top to bottom.

Source: Investment Company Institute.

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Figure 4-8. Less Liquid General Account Assets Held by U.S. Insurers

Percent Share (Left scale)
Billions of dollars (Right scale)

Date Illiquid corporate debt, securitized Illiquid corporate debt Alternative investment Commercial real estate, securitized Commercial real estate Other asset-backed securities Share of life insurer assets (left scale) Share of P&C insurer assets (life scale)
2006 8.66 315.65 137.23 187.41 273.65 249.03 32.95 10.06
2007 12.66 326.14 183.64 216.82 292.62 270.20 35.05 12.34
2008 13.86 344.19 167.91 221.54 304.07 265.12 34.98 11.92
2009 15.50 348.22 171.22 222.54 294.42 236.11 33.70 10.96
2010 19.88 365.18 224.58 189.54 286.60 209.85 31.50 12.88
2011 24.91 377.41 237.33 183.07 301.75 215.26 30.74 13.44
2012 31.82 392.09 254.11 168.49 314.09 200.97 30.60 13.43
2013 43.55 419.18 275.47 163.89 331.62 198.71 30.59 14.99
2014 64.52 424.25 300.22 165.76 349.12 202.31 31.08 14.90
2015 75.85 441.21 292.14 160.12 375.68 191.49 31.15 15.02
2016 81.66 467.58 306.37 154.32 407.46 197.48 31.16 15.11
2017 90.37 479.19 334.04 152.30 442.80 189.20 31.29 14.69
2018 116.89 479.53 342.81 164.39 483.61 188.44 32.62 14.90
2019 140.45 546.63 381.33 178.64 534.21 185.60 34.41 15.11
2020 173.48 635.75 433.00 185.26 555.75 179.27 35.08 16.21

Note: Securitized products include collateralized loan obligations for corporate debt, private-label commercial mortgage-backed securities for commercial real estate, and private-label residential mortgage-backed securities and asset-backed securities backed by autos, credit cards, consumer loans, and student loans for other asset-backed securities . Illiquid corporate debt includes private placements, bank/ syndicated loans, and high-yield bonds. Alternative investments include assets filed under Schedule BA. P&C is property and casualty. The key identifies bars in order from top to bottom.

Source: Staff estimates based on data from Bloomberg Finance L.P. and National Association of Insurance Commissioners Annual Statutory Filings.

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Figure 4-9. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

Left Panel
Billions of dollars (real)

Date FHLB advances Funding-agreement backed securities
2006 Q1 11.03 205.35
2006 Q2 11.23 213.08
2006 Q3 11.98 212.87
2006 Q4 13.36 220.35
2007 Q1 14.53 220.92
2007 Q2 18.10 221.11
2007 Q3 25.09 224.14
2007 Q4 28.91 222.77
2008 Q1 32.37 218.36
2008 Q2 33.45 217.64
2008 Q3 42.83 199.62
2008 Q4 60.94 187.87
2009 Q1 61.25 170.27
2009 Q2 57.67 155.62
2009 Q3 54.12 141.70
2009 Q4 54.83 130.35
2010 Q1 54.00 126.14
2010 Q2 52.34 116.61
2010 Q3 52.26 113.52
2010 Q4 51.72 108.27
2011 Q1 52.41 103.11
2011 Q2 51.49 97.54
2011 Q3 51.49 90.83
2011 Q4 51.95 90.60
2012 Q1 52.93 87.38
2012 Q2 56.48 88.83
2012 Q3 56.09 89.93
2012 Q4 54.55 86.29
2013 Q1 55.28 85.42
2013 Q2 56.31 76.48
2013 Q3 55.13 72.35
2013 Q4 56.03 70.32
2014 Q1 55.84 65.66
2014 Q2 56.06 69.01
2014 Q3 56.44 72.16
2014 Q4 56.74 77.10
2015 Q1 59.46 79.90
2015 Q2 60.59 77.98
2015 Q3 61.93 73.32
2015 Q4 62.94 78.61
2016 Q1 66.16 76.99
2016 Q2 69.61 77.92
2016 Q3 72.39 78.08
2016 Q4 72.99 82.99
2017 Q1 75.44 84.16
2017 Q2 75.20 87.86
2017 Q3 75.11 95.62
2017 Q4 76.98 93.32
2018 Q1 81.96 95.39
2018 Q2 81.36 87.72
2018 Q3 79.79 96.21
2018 Q4 82.38 93.87
2019 Q1 84.33 97.09
2019 Q2 83.42 95.57
2019 Q3 86.40 96.40
2019 Q4 89.17 98.30
2020 Q1 105.11 103.99
2020 Q2 107.98 109.19
2020 Q3 103.66 114.60
2020 Q4 104.27 118.31
2021 Q1 111.86 127.86
2021 Q2 105.90 139.84
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Figure 4-9. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

Right Panel
Billions of dollars (real)

Date Repurchase agreements Securities lending
2011 Q1 7.33 55.75
2011 Q2 8.07 54.94
2011 Q3 8.12 52.43
2011 Q4 8.42 50.03
2012 Q1 9.60 49.18
2012 Q2 12.37 56.55
2012 Q3 13.15 63.93
2012 Q4 13.11 62.16
2013 Q1 15.45 62.26
2013 Q2 15.40 63.19
2013 Q3 14.83 58.40
2013 Q4 13.25 64.11
2014 Q1 15.60 65.28
2014 Q2 15.63 67.41
2014 Q3 17.22 70.83
2014 Q4 13.16 61.35
2015 Q1 12.63 61.40
2015 Q2 12.23 55.54
2015 Q3 12.25 55.63
2015 Q4 9.73 55.51
2016 Q1 11.85 57.19
2016 Q2 13.36 59.14
2016 Q3 14.22 61.16
2016 Q4 10.78 52.64
2017 Q1 14.21 54.39
2017 Q2 14.41 55.25
2017 Q3 15.77 56.07
2017 Q4 18.13 53.32
2018 Q1 17.87 55.92
2018 Q2 19.86 48.92
2018 Q3 19.35 49.70
2018 Q4 19.21 44.40
2019 Q1 18.53 48.09
2019 Q2 17.44 47.57
2019 Q3 16.59 47.08
2019 Q4 17.83 46.94
2020 Q1 19.45 44.27
2020 Q2 21.71 50.02
2020 Q3 21.44 48.89
2020 Q4 21.39 49.57
2021 Q1 26.50 53.03
2021 Q2 20.24 52.98

Note: The data are converted to constant 2021 dollars using the consumer price index. FHLB is Federal Home Loan Bank. The keys identify series in order from top to bottom.

Source: Bureau of Labor Statistics, consumer price index via Haver Analytics; Moody's Analytics, Inc., CreditView, Asset-Backed Commercial Paper Program Index; Securities and Exchange Commission, Forms 10-Q and 10-K; National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via S&P Global, Capital IQ Pro ; Bloomberg Finance L.P.

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Figure A. Largest Liquidity Need in the Event of a Single Member’s Default, in Extreme but Plausible Market Conditions

Securities Central Counterparties (top panel)
Billions of dollars

Date Fixed Income Clearing Corporation National Securities Clearing Corporation
Q3 2017 71.22 15.76
Q4 2017 75.07 22.33
Q1 2018 70.21 22.02
Q2 2018 72.17 20.74
Q3 2018 77.88 24.05
Q4 2018 106.79 25.22
Q1 2019 115.98 34.01
Q2 2019 116.60 21.62
Q3 2019 92.94 21.13
Q4 2019 104.86 21.07
Q1 2020 102.32 29.90
Q2 2020 99.53 27.04
Q3 2020 104.91 22.82
Q4 2020 137.83 37.40
Q1 2021 105.77 40.68
Q2 2021 125.75 35.98
Figure A. Largest Liquidity Need in the event of a Single member’s Default, in extreme but Plausible market Conditions

Derivatives Central Counterparties (bottom panel)
Billions of dollars

Date CME clearing Options Clearing Corporation ICE Clear Credit LLC
Q3 2017 16.11 3.45 1.08
Q4 2017 14.94 5.60 2.45
Q1 2018 18.53 5.06 2.57
Q2 2018 12.55 3.54 1.37
Q3 2018 12.73 4.95 1.37
Q4 2018 13.92 3.04 1.64
Q1 2019 15.33 4.02 1.64
Q2 2019 15.60 5.00 1.64
Q3 2019 16.21 3.66 1.64
Q4 2019 16.02 3.59 1.46
Q1 2020 16.45 4.74 2.92
Q2 2020 15.14 3.38 3.21
Q3 2020 15.50 4.25 3.21
Q4 2020 13.91 5.47 1.45
Q1 2021 17.93 5.66 1.31
Q2 2021 16.49 6.63 1.23

Source: Clarus Financial Technology Ltd., CCPView.

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Figure B. Proportion of Collateral, by Type

CME Clearing (Top left panel)

Date Cash U.S. Treasury Securities Foreign Sovereign Bonds Other Fixed Income Securities Equities, Mutual Funds & UCITS Commodities Other
9/30/2017 33% 55% 6% 2% 1% 0% 3%
12/31/2017 32% 54% 6% 3% 1% 0% 3%
3/31/2018 28% 58% 7% 3% 1% 0% 3%
6/30/2018 26% 57% 8% 3% 2% 0% 3%
9/30/2018 25% 59% 7% 3% 2% 0% 3%
12/31/2018 27% 57% 8% 3% 2% 0% 4%
3/31/2019 22% 61% 7% 4% 2% 0% 3%
6/30/2019 23% 62% 8% 3% 2% 0% 3%
9/30/2019 24% 60% 7% 3% 2% 0% 3%
12/31/2019 23% 61% 7% 4% 2% 0% 3%
3/31/2020 38% 49% 6% 3% 1% 1% 3%
6/30/2020 31% 51% 8% 3% 3% 1% 3%
9/30/2020 39% 46% 7% 3% 1% 1% 3%
12/31/2020 40% 44% 7% 3% 1% 2% 3%
3/31/2021 55% 29% 9% 2% 1% 2% 3%
6/30/2021 62% 24% 7% 2% 1% 2% 3%
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Figure B. Proportion of Collateral, by Type

Fixed Income Clearing Corporation (Top right panel)

Date Cash U.S. Treasury Securities Other Fixed Income Securities
9/30/2017 40% 51% 9%
12/31/2017 42% 50% 8%
3/31/2018 42% 50% 8%
6/30/2018 36% 56% 8%
9/30/2018 25% 66% 9%
12/31/2018 27% 61% 13%
3/31/2019 30% 57% 13%
6/30/2019 30% 55% 14%
9/30/2019 34% 52% 13%
12/31/2019 31% 55% 14%
3/31/2020 37% 54% 9%
6/30/2020 29% 63% 9%
9/30/2020 30% 62% 8%
12/31/2020 34% 58% 8%
3/31/2021 27% 67% 7%
6/30/2021 33% 60% 7%
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Figure B. Proportion of Collateral, by Type

ICE Clear Credit LLC (Middle left panel)

Date Cash U.S. Treasury Securities
9/30/2017 85% 15%
12/31/2017 80% 20%
3/31/2018 72% 28%
6/30/2018 66% 34%
9/30/2018 64% 36%
12/31/2018 66% 34%
3/31/2019 63% 37%
6/30/2019 65% 35%
9/30/2019 64% 36%
12/31/2019 63% 37%
3/31/2020 77% 23%
6/30/2020 76% 24%
9/30/2020 80% 20%
12/31/2020 78% 22%
3/31/2021 81% 19%
6/30/2021 83% 17%
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Figure B. Proportion of Collateral, by Type

National Securities Clearing Corporation (Middle right panel)

Date Cash U.S. Treasury Securities
9/30/2017 97% 3%
12/31/2017 94% 6%
3/31/2018 96% 4%
6/30/2018 95% 5%
9/30/2018 94% 6%
12/31/2018 93% 7%
3/31/2019 94% 6%
6/30/2019 93% 7%
9/30/2019 93% 7%
12/31/2019 94% 6%
3/31/2020 96% 4%
6/30/2020 95% 5%
9/30/2020 93% 7%
12/31/2020 92% 8%
3/31/2021 91% 9%
6/30/2021 91% 9%
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Figure B. Proportion of Collateral, by Type

Options Clearing Corporation (Bottom left panel)

Date Cash U.S. Treasury Securities Foreign Sovereign Bonds Equities, Mutual Funds & UCITS Other
9/30/2017 10% 28% 1% 60% 0%
12/31/2017 11% 26% 1% 62% 0%
3/31/2018 12% 28% 1% 59% 0%
6/30/2018 11% 29% 1% 58% 1%
9/30/2018 10% 22% 1% 66% 1%
12/31/2018 12% 21% 3% 63% 1%
3/31/2019 11% 21% 3% 63% 1%
6/30/2019 11% 22% 2% 65% 1%
9/30/2019 10% 25% 2% 61% 1%
12/31/2019 9% 27% 1% 62% 1%
3/31/2020 12% 23% 1% 63% 1%
6/30/2020 12% 18% 1% 68% 1%
9/30/2020 9% 18% 1% 72% 0%
12/31/2020 9% 19% 1% 71% 0%
3/31/2021 10% 18% 1% 71% 0%
6/30/2021 12% 16% 1% 71% 0%

Note: The key identifies the bars by number, from bottom to top. UCITs is undertakings for the collective investment in transferable securities.

Source: Clarus Financial Technology Ltd., CCPView; CME Group.

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Figure A. Interdealer SOFR Swaps Risk Traded versus LIBOR Risk Traded

This is a stacked bar chart with a line series titled “Interdealer SOFR Swaps Risk Traded versus LIBOR Risk Traded”. The x-axis measures time and ranges from mid-July 2021 to mid-October 2021. The right y-axis measures percentage and ranges from 0 to 100, the left y-axis measures Dollar value of a basis point in millions and ranges from 0 to 50. The data is daily. There is a vertical event line labeled “July 26”.There are two variables shown by the bars and both are measured by the left scale. The first variable is LIBOR, designated by the dark blue portion of the bar. This category corresponds to the left y-axis. LIBOR starts at around 23 and immediately drops to 10 the next day before rebounding to around 23 for the next two days. The bar then spikes to nearly 40 before decreasing to around 3. The LIBOR portion fluctuates between 0 and 5 for most of the chart, spiking to around 15 in early-August, and early-September, and spiking to just over 10 in early October. The second bar category is SOFR, designated by light blue bars. This category corresponds to the left y-axis This bar does not appear until July 26th it starts at around 3 percent, fluctuating between 3 and 12 before spiking to around 15 in early august. After the spike it decreases slightly, fluctuating between 5 and 10 until early December where it begins to increase, fluctuating between 10 and 15. In mid-October there is a spike to about 35 before decreasing back to 12. The black line on the chart represents SOFR risk as a percent of total interdealer. This line starts at zero, but rapidly increases after July 26 peaking at nearly 100 percent. It is followed by a steep decline to 60 percent in early August and fluctuates between 50 and 100 percent for the remainder of the chart. There are two troughs at 50 percent in mid-August, one trough at 50 percent in early-mid-September and a final trough at 50 percent in early-mid-October. There are two peaks near 100 percent in mid-august, one near 90 percent peak in early September, one near 90 percent peak in mid-September where it remains, fluctuating between 75 and 100 until the trough in early-October. The line then has a near 100 percent peak in early-mid October before decreasing slightly to end at around 80 percent.

Note: The key identifies bars in order from bottom to top. SOFR is Secured Overnight Financing Rate.

Source: Clarus Financial Technology Ltd., Swap Execution Facility data.

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Figure B. SOFR Swaps Risk Traded as a Proportion of Total Swaps Risk Traded

This is a stacked bar chart with a line series titles “SOFR Swaps Risk Traded as a Proportion of Total Swaps Risk Traded.” The x-axis measures time and ranges from mid-July 2021 to mid-October 2021. The right y-axis measures percentage and ranges from 0 to 100, and the left y-axis measures the dollar value of a bases point in millions and ranges from 0 to 140. The data is daily. There is a vertical event line labeled “July 26”. There are two variables shown by the bars and both are measured by the left scale. The first variable is LIBOR DV01, designated by the dark blue portion of the bar. This category corresponds to the left y-axis. LIBOR starts at a level of about 60, and then drops to 40. It then increases to 80, and then again to about 110. LIBOR then decreases to 20 by July 26. It gradually increases to about 50 by August 3rd, and then drops to 30 before increasing again to about 50. The bars then decrease gradually to about 30 by August 11th, and then stay within a range of 20 to 40 until August 27th, when it increases to about 50. The bars then decrease to about 20, increase to about 50, then decrease to 40 by September 7th. There is then a sharp increase to about 80, and then the series drops to a range of about 40 to 60 until September 26th. There is then a sharp increase again to 80, and then a decrease to a range between 30 and 50 until October 12th. The LIBOR series then increases gradually and ends at about 70 in mid-October. The second variable is SOFR, designated by the light blue bars. Until July 26th, SOFR remains within a range of 0 to 5. From July 26th to August 3rd, the bars remain within a range of 5 to 15. There is then an increase to a range of 10 to 20 until August 11, after which the bars remain within a range of 5 to 10 until August 19th. There is then a sharp decrease to about 5, then an increase to about 15. It then stays within a range of 5 to 20 until late September, when the bars increase to about 25, then decrease gradually to 10 by early October. By October 14th, the bars increase to 40 and then end at about 20 by mid-October. The third variable is SOFR DV01 as a percent of total swaps, and is designated by a black line. This series corresponds to the right y-axis. The series remains between 0 and 5 until July 26th, when it increased to 10, and then increased to about 35 by July 27th. The series continues to range between 15 and 30 until August 20th, when the series sharply decreases to about 10. It then increases to about 35 by August 25th, then stabilizes to a range of between about 20 and 35 until September 29th. The series then spikes to almost 40, then decreases to a little over 20 by October 8th, and then increases to about 43 on October 14th. The series then ends with a sharp decline to about 28 in mid-October.

Note: SOFR is Secured Overnight Financing Rate. The key identifies bars in order from bottom to top.

Source: Clarus Financial Technology Ltd., Swap Execution Facility data.

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Fall 2021: Most Cited Potential Shocks over Next 12 to 18 Months

The chart is titled “Fall 2021: Most Cited Potential Shocks Over Next 12-18 Months.” The x-axis ranges from 0 to 70 percent and the data in each category is represented by blue bars showing the share of respondents. The categories on the left axis are listed in the following order from top to bottom: Persistent inflation; monetary tightening at 65 percent of respondents, Vaccine resistant variants at 50 percent of respondents, China regulatory/property risks at 46 percent of respondents, US-China tensions at 31 percent of respondents, Cryptocurrencies/stablecoins at 27 percent of respondents, Climate/weather at 23 percent of respondents, Risky asset valuations/correction at 23 percent of respondents, Political uncertainty at 19 percent of respondents, Fiscal cliff effects at 19 percent of respondents, Cyber attacks at 15 percent of respondents, Real yield spike/taper tantrum at 15 percent of respondents, EM risks at 15 percent of respondents, and China slowdown at 15 percent of respondents.

Note: Responses are to the following question: "Over the next 12 to 18 months, which shocks, if realized, do you think would have the greatest negative effect on the functioning of the U.S. financial system?" EME is emerging market economy.

Source: Federal Reserve Bank of New York phone survey of 26 market contacts from August to October.

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Spring 2021: Most Cited Potential Shocks over Next 12 to 18 Months

The chart is titled “Spring 2021: Most Cited Potential Shocks Over Next 12-18 Months.” The x-axis ranges from 0 to 70 percent and the data in each category is represented by blue bars showing the share of respondents. The categories on the left axis are listed in the following order from top to bottom: Vaccine resistant variants at 58 percent of respondents, Surge in real interest rates at 50 percent of respondents, Inflation surge at 42 percent of respondents, US/China tensions at 33 percent of respondents, Risky asset valuations/correction at 33 percent of respondents, TGA drawdown/debt ceiling 25 percent of respondents, Cyberattacks at 21 percent of respondents, Reach for yield/leverage at 21 percent of respondents, Crypto currencies/stable coins at 21 percent of respondents, Under-regulated nonbanks at 17 percent of respondents, SLR extension at 17 percent of respondents, EM stress at 17 percent of respondents, Bank asset quality at 13 percent of respondents, and CRE at 13 percent of respondents.

Note: Responses are to the following question: “Over the next 12 to 18 months, which shocks, if realized, do you think would have the greatest negative effect on the functioning of the U.S. financial system?” TGA is Treasury General Account. EME is emerging market economy. SLR is supplementary leverage ratio. CRE is commercial real estate.

Source: Federal Reserve Bank of New York phone survey of 24 market contacts from February to early April.

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Last Update: November 16, 2021