Accessible Material
January 2011 Tealbook A Tables and Charts†
Financial Developments
Policy Expectations and Treasury Yields
Figure: Selected Interest Rates
Line chart, December 13 through January 17. Unit is percent. There are two series, "June 2012 Eurodollar (right scale)" and "10-year Treasury Yield (left scale)." June 2012 Eurodollar begins at about 1.35 and generally decreases 1.2 around December 13. It generally increases to about 1.5 on December 16 then generally decreases to about 1.25 around December 19. It fluctuates but generally increases to about 1.4 around December 23 then remains about constant until around December 24. It generally increases to about 1.45 around December 25 then generally decreases to about 1.35 around December 27. It generally increases to about 1.45 around December 28 then fluctuates but generally decreases to about 1 around January 4. It generally increases to about 1.45 around January 6 then fluctuates but generally decreases to about 0 on January 13. It generally increases to about 1.2 around January 14 then generally decreases to about 1 around January 15. It remains about constant until about January 15 then generally increases to about 1.25 around January 16. It generally decreases ending at about 1.2. 10-year Treasury yield begins at about 3.4 then generally decreases to about 3.25 around December 13. It generally increases to about 3.55 around December 16. It generally decreases to about 3.25 around December 20 then generally increases to about 3.4 around December 28. It fluctuates but generally decreases to about 3.3 around January 1 then generally increases to about 3.4 around January 2. It generally decreases to about 3.3 around January 4. It generally increases to about 3.5 around January 5 then generally decreases to about 3.25 around January 8. It generally increases to about 3.4 around January 12 then generally decreases to about 3.25 around January 13. It fluctuates but generally increases to about 3.4 around January 15 then generally decreases ending at about 3.35.
Note: 5-minute intervals. 8:00 to 4:00pm. No adjustment for term premiums.
Source: Bloomberg.
Figure: Inflation Compensation
Line chart, 2007 to 2011. Unit is percent. Data are daily. The end of the timeline is labelled January 18. There are two series, "5 to 10 years ahead" and "Next 5 years (adjusted for the indexation-lag (carry) effect)". 5 to 10 years ahead begins at about 2.5 and generally increases to about 3.5 in 2008:Q4. It generally decreases to about 2 in 2009:Q1 then generally increases to about 3.5 around 1009:Q4. It generally decreases to about 2 in 2010:Q3 then generally increases ending at about 3. Next 5 years begins at about 2.25 and fluctuates but remains about constant until 2008:Q3. It generally decreases to about -2 in 2008:Q4. It generally increases to about 2 in 2009:Q4 then generally decreases to about 1 in 2010:Q3. It generally increases ending at about 2.
Note: Estimates based on smoothed nominal and inflation-indexed Treasury yield curves.
Source: Barclays PLC and staff estimates.
Figure: Market-Based Measures of Uncertainty
Line chart, January 2010 to January 2011. Unit for left scale is Basis Points. Unit for right scale is Percent. There are two series, "10-Year Treasury (right scale)" and "1-year Eurodollar futures (left scale)." 10-Year treasury begins at about 7 and generally decreases to about 5 in March 2010. It generally increases to about 8 in May 2010 then generally decreases to about 6 in August 2010. It generally increases to about 7.5 in September 2010 then generally decreases to about 6 in November 2010. It generally increases to about 9 in December 2010. It generally decreases ending at about 8.
Source: Bloomberg; CME Group; staff analysis.
Figure: Implied Federal Funds Rate
Line chart, 2011 and 2012. Unit is percent. There are four series, "Mean: January 18, 2011," "Mean: December 13, 2010," "Mode: January 18, 2011," and "Mode: December 13, 2010." Mean: January 18, 2011 and Mean: December 13, 2010 begin at about 0.25 and remain about constant until 2011:Q2. They generally increase together ending at about 1.1. Mode: January 18, 2011 and Mode: December 13, 2010 begin at about 0 and remain about constant until 2011:Q4. They generally increase together ending at about 0.5.
Note: Mean is estimated from federal funds and Eurodollar futures. Mode is estimated from distribution of federal funds rate implied by interest rate caps. Both include an allowance for term premiums and other adjustments.
Source: Bloomberg and CME Group.
Figure: Distribution of the Quarter of First Rate Increase from the Desk's Dealer Survey
Bar chart, 2011:Q1 to 2013:Q1 or later. Unit is percent. There are two series, "Recent: 18 respondents" and "December FOMC: 18 respondents" which is represented as a line chart. Recent: 18 respondents begins at about 0 and generally increases to about 15 in 2012:Q1. It generally decreases to about 12 in 2012:Q2 then generally increases ending at about 25. December FOMC: 18 respondents begins at about 0 and generally increases to about 15 in 2012:Q1. It generally decreases to about 12 in 2012:Q2 then generally increases to about 20 in 2012:Q4. It then decreases to end at about 0.
Note: For the December FOMC, the probability reported in the 2012:Q4 bin corresponds to the probability that the first policy rate hike will occur in 2012:Q4 or later.
Source: Desk's Dealer Survey from January 18, 2011.
Asset Market Developments
Figure: Equity Prices
Line chart, 2008 to 2011. Unit is an index, December 13, 2010 = 100. Data are daily. The end of the timeline is labeled January 18. There are two series, "S&P 500 Bank Index" and "S&P 500." S&P 500 Bank Index begins at about 120 and generally decreases to about 85 in 2008:Q2. It generally increases to about 160 in 2008:Q4 then generally decreases to about 40 in 2009:Q1. It fluctuates but generally increases to about 120 in 2010:Q2 then generally decreases to about 80 in 2010:Q3. It generally increases ending at about 110. S&P 500 begins at about 100 and generally decreases to about 50 in 2009:Q1. It generally increases to about 100 in 2010:Q1 then generally decreases to about 80 in 2010:Q3. It generally increases ending at about 110.
Source: Bloomberg.
Figure: Implied Volatility on S&P 500 (VIX)
Line chart, 2007 to 2011. Unit is percent, log scale. Data are daily. The end of the timeline is labeled January 18. The series begins at about 0 and fluctuates but generally increases to about 35 in 2008:Q2. It generally decreases to about 14 in 2008:Q2 then generally increases to about 80 in 2008:Q4. It generally decreases to about 15 in 2010:Q2 then generally increases to about 50 in 2010:Q2. It generally decreases ending at about 15.
Source: Chicago Board Options Exchange.
Figure: Equity Risk Premium
Line chart, 1990 to 2011. Unit is percent. Data are monthly. The end of the timeline is labeled January 18. There are two series, "Expected 10-year real equity return" and "Expected real yield on 10-Year Treasury (off-the-run 10-year Treasury yield less Philadelphia Fed 10-year expected inflation)." Expected 10-year real equity return begins at about 8 and generally increases to about 10 in 1991. It generally decreases to about 7.5 in 1992 then generally increases to about 8.25 in 1995. It generally decreases to about 2 in 2000 then fluctuates but generally increases to about 12 in 2008. It generally decreases to about 8 in 2009 then generally increases ending at about 9. Expected real yield on 10-year Treasury begins at about 4 and generally decreases to about 2 in 1993. It generally increases to about 4.25 in 1995 then generally decreases to about 2 in 1998. It generally increases to about 4 in 1999 then fluctuates but generally decreases ending at about 1. The end of both series are marked by a + which denotes the latest observation using daily interest rates and stock prices and latest earning data from I/B/E/S.
Source: Thomson Financial.
Figure: Corporate Bond Spreads
Line chart, 2007 to 2011. Unit is basis points. Data are daily. The end of the timeline is labeled January 18. There are two series, "10-year high-yield (right scale)" and "10-year BBB (left scale)." 10-year high-yield begins at about 250 and fluctuates but generally increases to about 1750 in 2008:Q4. It fluctuates but generally decreases ending at about 350. 10-year BBB begins at about 100 and generally increases to about 1250 in 2008:Q4. It fluctuates but generally decreases ending at about 250.
Note: Measured relative to a smoothed nominal off-the-run Treasury yield curve.
Source: Merrill Lynch and staff estimates.
Figure: Libor over OIS Spreads
Line chart, 2009 to 2011. Unit is basis points. Data are daily. The end of the timeline is labeled January 19. There are three series, "1-month," "3-month," and "6-month." 1-month begins at about 10 and fluctuates but generally decreases to about 5 in 2010:Q2. It generally increases to about 15 in 2010:Q3 then generally decreases to about 5 in 2010:Q3. It generally increases ending at about 10. 3-month begins at about 45 and generally decreases to about 5 in 2010:Q1. It generally increases to about 30 in 2010:Q3 then generally decreases ending at about 15. 6-month begins at about 100 and generally decreases to about 20 in 2010:Q1. It generally increases to about 55 in 2010:Q3 then generally decreases ending at about 30.
Source: British Bankers' Association and Prebon.
Figure: Spread on 30-Day Commercial Paper
Line chart, March 2009 to January 2011. Unit is basis points. Data are 5-day moving average. The end of the timeline is labeled January 18. There are two series, "A2/P2" and "ABCP." A2/P2 begins at about 100 and generally decreases to about 0 in January 2010. It generally increases 25 in July 2010. It fluctuates but remains about constant to the end of the timeline. ABCP begins at about 40 and generally decreases to about 0 in April 2010. It generally increases to about 25 in June 2010. It generally decreases to about 0 in October 2010 then generally increases ending at about 25.
Note: ABCP spread is the AA ABCP rate minus the AA nonfinancial rate. The A2/P2 spread is the A2/P2 nonfinancial rate minus the AA nonfinancial rate.
Source: Depository Trust & Clearing Corporation.
[Box:] Balance Sheet Developments over the Intermeeting Period
| Change since last FOMC |
Current (01/18/11) |
Maximum level |
Date of maximum level |
|
|---|---|---|---|---|
| Total assets | 30 | 2,426 | 2,472 | 01/13/11 |
| Selected assets: | ||||
| Liquidity programs for financial firms | +0 | +0 | 677 | 11/06/08 |
| Primary, secondary, and seasonal credit | -0 | +0 | 114 | 10/28/08 |
| Foreign central bank liquidity swaps | +0 | +0 | 586 | 12/04/08 |
| Term Asset-Backed Securities Loan Facility (TALF) | -1 | 24 | 49 | 03/11/10 |
| Support for specific institutions | -48 | 65 | 121 | 05/05/10 |
| Credit extended to AIG, net | -20 | 0 | 91 | 10/27/08 |
| Preferred interests in AIA Aurora LLC and ALICO Holdings LLC |
-26 | 0 | 26 | 01/13/11 |
| Net portfolio holdings of Maiden Lane LLC, Maiden Lane II LLC, and Maiden Lane III LLC |
-2 | 65 | 75 | 12/30/08 |
| Securities held outright* | 73 | 2,204 | 2,209 | 01/14/11 |
| U.S. Treasury securities | 118 | 1,078 | 1,078 | 01/18/11 |
| Agency debt securities | -2 | 146 | 169 | 03/11/10 |
| Agency mortgage-backed securities | -42 | 980 | 1,129 | 06/14/10 |
| Total liabilities | 35 | 2,373 | 2,419 | 01/13/11 |
| Selected liabilities: | ||||
| Federal Reserve notes in circulation | 1 | 938 | 944 | 12/29/10 |
| Reverse repurchase agreements | 10 | 59 | 110 | 10/14/08 |
| Foreign official and international accounts | 10 | 59 | 92 | 12/22/08 |
| Others | -0 | 0 | 26 | 09/26/08 |
| Reserve balances of depository institutions** | -6 | 1,058 | 1,249 | 02/24/10 |
| Term deposits held by depository institutions | -5 | 0 | 5 | 11/03/10 |
| U.S. Treasury, general account | 69 | 92 | 187 | 12/31/09 |
| U.S. Treasury, supplementary financing account | +0 | 200 | 559 | 10/22/08 |
| Funds from AIG asset dispositions, held as agent | -27 | 0 | 27 | 01/13/11 |
| Other deposits | -11 | +0 | 81 | 03/12/10 |
| Total capital | -5 | 53 | 60 | 08/03/10 |
Note: +0 (-0) denotes positive (negative) value rounded to zero. Return to table
* Par value. Return to table
** Includes required clearing balances and overdrafts. Excludes as-of adjustments. Return to table
Figure: Federal Reserve Lending to AIG
Line chart 2008:Q3 to 2011:Q2 (Daily). Unit is billions of dollars. Data are January 14, 2011 AIG recapitalization. There are four series, "Credit extended to AIG, net," "Preferred interests in AIA Aurora LLC and ALICO Holdings LLC," "Balance of loan (principal and accrued interest) to Maiden Lane III LLC," and "Balance of loan (principal and accrued interest) to Maiden Lane II LLC." Credit extended to AIG, net begins at a range of about [0, 90] and generally decreases ending at about [0, 80]. Preferred interests in AIA Aurora LLC and ALICO Holdings LLC begins at a range of about [0, 80] and generally decreases ending at about [0, 50]. Balance of loan (principal and accrued interest) to Maiden Lane III LLC begins at a range [0, 70] and generally decreases ending at about [0, 60]. Balance of loan (principal and accrued interest) to Maiden Lane II LLC begins at a range of about [0, 80] and generally decreases ending at about [20, 80].
Source: Federal Reserve Board (2011), Statistical Release H.4.1, "Factors Affecting Reserve Balances" (January 13) and internal data.
Business Finance
Figure: Selected Components of Net Debt Financing, Nonfinancial Firms
Stacked bar chart, 2006 to 2010. Unit is billions of dollars. Data are monthly rate. There are three series, "Commercial paper (seasonally adjusted, period-end basis)," "C&I loans (seasonally adjusted, period-end basis)," and Bonds. There is a fourth series, presented as a line chart that shows the total. Approximate values are: 2006: Bonds: 19, C&I loans: 10, Commercial paper: 1, Total: 30; 2007: Bonds: 25, C&I Loans: 20, Commercial paper: 0, Total: 45; 2008: Bonds: 15, C&I Loans: 10, Commercial Paper: 5, Total: 30; 2009: Bonds: 35, C&I Loans: -25, Commercial Paper: -10, Total: 0; 2010:H1: Bonds: 30, C&I Loans: -15 , Commercial Paper: 5, Total: 20; 2010:Q3: Bonds: 40, C&I Loans: -1, Commercial Paper: 2, Total: 40; 2010:Q4: Bonds: 40 C&I Loans: 5, Commercial Paper: -5, Total: 40.
Source: Depository Trust & Clearing Corporation; Thomson Financial; Federal Reserve Board.
Figure: Syndicated Loan Issuance by Institutional Investors
Stacked bar chart, 1998 to 2010. Unit is billions of dollars. Data are annual rate. There are two series, "New Money" and "Refinancings." Approximate values are: 1998: Refinancings: 50, New Money: 0; 1999: Refinancings: 51, New Money: 0; 2000: Refinancings: 50, New Money: 0; 2001: Refinancings: 40, New Money: 0; 2002: Refinancings: 52, New Money: 48; 2003: Refinancings: 52, New Money: 50; 2004: Refinancings: 125, New Money: 115; 2005: Refinancings: 100, New Money: 140; 2006: Refinancings: 90, New Money: 270; 2007: Refinancings: 100, New Money: 325; 2008: Refinancings: 10, New Money: 50; 2009: Refinancings: 40, New Money: 20; 2010:Q1: Refinancings: 100, New Money: 50; 2010:Q2: Refinancings: 100, New Money: 100; 2010:Q3: Refinancings: 75, New Money: 125; 2010:Q4: Refinancings: 110, New Money: 150.
Source: Reuters LPC.
Figure: Selected Components of Net Equity Issuance, Nonfinancial Firms
Stacked bar chart, 2006 to 2010. Unit is billions of dollars. Data are monthly rate. There are four series, "Public Issuance," "Private issuance," "Repurchases," and "Cash Mergers." There is a fifth series presented as a line chart that shows the total. Approximate values are as follows. 2006: Public Issuance: 4, Private Issuance: 20, Repurchases: -20, Cash Mergers: -20; Total: -36; 2007: Public Issuance: 4, Private Issuance: 24, Repurchases: -45, Cash Mergers: -40, Total: -57; 2008: Public Issuance: 2, Private Issuance: 25, Repurchases: -35, Cash Mergers: -17, Total: -25; 2009:H1: Public Issuance: 4, Private Issuance: 20, Repurchases: -8, Cash Mergers: -2, Total: 14; 2009:H2: Public Issuance: 4, Private Issuance: 5, Repurchases: -15, Cash Mergers: -16, Total: -22; 2010:Q1: Public Issuance: 4, Private Issuance: 5, Repurchases: -24, Cash Mergers: -10, Total: -25; 2010:Q2: Public Issuance: 4, Private Issuance: 5, Repurchases: -25, Cash Mergers: -9, Total: -25; 2010:Q3 (preliminary): Public Issuance: 4, Private Issuance: 5, Repurchases: -26, Cash Mergers: -8, Total: -25.
Source: Thomson Financial, Investment Benchmark Report; Money Tree Report by PricewaterhouseCoopers, National Venture Capital Association, and Venture Economics.
Figure: S&P 500 Earnings Per Share
Line chart, 2000 to 2010. Unit is dollars per share. Data are quarterly. The end of the timeline is labeled Q3. The series begins at about 14 and generally decreases to about 10 in 2002:Q1. It generally increases to about 24 in 2007:Q1 then generally decreases to about 16 in 2007:Q4. It generally increases to about 19 in 2008:Q1 then generally decreases to about 6 in 2008:Q4. It generally increases ending at about 22.
Note: Data are seasonally adjusted by staff.
Source: Thomson Financial.
Figure: Bond Ratings Changes of Nonfinancial Firms
Stacked bar chart, 1990 to 2010. There are two series, "Upgrades" and "Downgrades." Approximate values are as follows: 1990: Upgrades: 10, Downgrades: 35; 1991: Upgrades: 15, Downgrades: 35; 1992: Upgrades: 9, Downgrades: 45; 1993: Upgrades: 10, Downgrades: 19; 1994: Upgrades: 9, Downgrades: 10; 1995: Upgrades: 20, Downgrades: 9; 1996: Upgrades: 16, Downgrades: 10; 1997: Upgrades: 10, Downgrades: 10; 1998: Upgrades: 15, Downgrades: 10; 1999: Upgrades: 10, Downgrades: 18; 2000: Upgrades: 10, Downgrades: 21; 2001: Upgrades: 7, Downgrades: 30; 2002: Upgrades: 5, Downgrades: 35; 2003: Upgrades: 6, Downgrades: 19; 2004: Upgrades: 5, Downgrades: 5; 2005: Upgrades: 6, Downgrades: 10; 2006: Upgrades: 5, Downgrades: 11; 2007: Upgrades: 10, Downgrades: 10; 2008: Upgrades: 5, Downgrades: 18; 2009: Upgrades: 8, Downgrades: 20; 2010:H1: Upgrades: 18, Downgrades: 5; 2010:Q3: Upgrades: 10, Downgrades: 5; 2010:Q4: Upgrades: 18, Downgrades: 5.
Source: Calculated using data from Moody's Investors Service.
Figure: CMBS Issuance
Bar chart, 2000 to 2011. Unit is billions of dollars. Data are annual rate. Approximate values are: 2000: 40, 2001: 70, 2002: 50, 2003: 80, 2004: 90, 2005: 160; 2006: 200; 2007: 230; 2008: 10; 2009: 0; 2010:H1: 10; 2010:Q3: 20; 2010:Q4: 30; 2011:Q1 (estimate from deals in 2011:Q1 pipeline): 50.
Source: Commercial Mortgage Alert.
Household Finance
Figure: Mortgage Rate and MBS Yield
Line chart, 2007 to 2011. Unit is percent. Data are weekly. The end of the upper series is labeled January 12. The end of the lower series is labeled January 18. There are two series, "30-year conforming fixed mortgage rate" and "MBS Yield." 30-year conforming fixed mortgage rate begins at about 5.8 and generally increases to about 6.6 in 2007:Q3. It generally decreases to about 5.5 in 2008:Q1 then generally increases to about 6.5 in 2008:Q3. It fluctuates but generally decreases to about 4.5 in 2009:Q1. It generally increases to about 5.5 in 2009:Q2 then generally decreases to about 4.5 in 2009:Q4. It generally decreases to about 3.7 in 2010:Q4 then generally increases ending at about 4.6. MBS yield begins at about 5.5 and generally increases to about 6.5 in 2007:Q2. It generally decreases to about 4.5 in 2008:Q1 then fluctuates but generally increases to about 6.4 in 2008:Q4. It generally decreases to about 3.5 in 2009:Q1 then generally increases to about 5 in 2009:Q2, It generally decreases to about 3.5 in 2009:Q4 then generally increases to about 4.5 in 2010:Q1. It generally decreases to about 3.4 in 2010:Q4. It generally increases ending at about 4.5.
Note: For MBS Yield, Fannie Mae 30-year current coupon rate.
Source: For mortgage rate, Freddie Mac; for MBS yield, Bloomberg.
Figure: Purchase and Refinance Activity
Line chart, 2002 to 2011. Unit is an index, March 16, 1990 = 100. Unit is weekly. The end of the timeline is labeled January 14. There are two series, "Purchase Index (left scale)" and "Refi Index (right scale)." Purchase Index begins at about 6,000 and generally increases to about 10,000 in early 2006. It generally decreases to about 7,000 in mid-2006 then generally increases to about 9,000 in late 2007. It generally decreases ending at about 4,000. Refi index begins at about 100 then generally increases to be about 500 in mid-2003. It generally decreases to about 100 in early 2004 then generally increases to about 200 in early 2004. It generally decreases to about 100 in mid-2004 then generally increases to about 150 in mid-2005. It generally decreases to about 100 in early 2006 then generally increases to about 200 in early 2008. It generally decreases to about 100 in late 2008 then generally increases to about 300 in early 2009. It fluctuates but generally decreases to about 100 in early 2009. It generally increases to about 275 in late 2010 then generally decreases ending at about 100.
Note: Seasonally adjusted by FRB staff.
Source: Mortgage Bankers Association.
Figure: Prices of Existing Homes
Line chart, 2005 to 2010. Unit is index peaks normalized to 100. Data are monthly. There are three series, "FHFA," "CoreLogic," and "20-city S&P/Case-Shiller." FHFA begins at about 90 then generally increases to about 100 in early 2007. It generally decreases ending at about 85 in October 2010. CoreLogic begins at about 85 and generally increases to about 100 in early 2006. It generally decreases to about 70 in early 2009 then generally increases to about 72 in early 2010. It generally decreases ending at about 65 in November 2010. 20-city S&P/Case-Shiller begins at about 85 then generally increases to about 100. It generally decreases to about 67 in early 2009 then generally increases ending at about 70 in November 2010.
Source: For FHFA, Federal Housing Finance Agency; for CoreLogic, CoreLogic; for S&P/Case-Shiller, Standard & Poor's.
Figure: Growth of Household Sector Debt
Line chart, 1992 to 2010. Unit is percent. Data are quarterly, s.a.a.r. The end of the upper series is labeled Q3. The end of the lower series is labeled Q4 (estimate). There are two series, "Home Mortgage" and "Consumer Credit." Home Mortgage begins at about 8 and fluctuates but generally increases to about 16 in 2003. It fluctuates but generally decreases ending at about -4. Consumer Credit begins at about -1 and generally increases to about 16 and fluctuates but generally decreases to about 4 in 1998. It fluctuates but generally increases to about 16 in 2000 then fluctuates but generally decreases to about -6 in 2010. It generally increases ending at about 1.
Source: Federal Reserve Board.
Figure: Delinquency Rates
Line chart, 2002 to 2010. Unit is percent of loans. Data are monthly. The end of the timeline is labeled November. There are three series, "Credit card loans in securitized pools," "Auto loans at captive finance companies," and "Prime mortgages." Credit card loans in securitized pools begins at about 5 and generally decreases to about 3.25 in late 2005. It generally increases to about 6 in early 2009 then generally decreases ending at about 4.25. Auto loans at captive finance companies begins at about 2 and fluctuates but generally increases to about 3.25. It generally decreases ending at about 3. Prime mortgages begins at about 1.5 and generally increases to about 7 in early 2010. It generally decreases ending at about 6.
Note: For mortgage delinquency rate, percent of loans 90 or more days past due or in foreclosure.
Source: For mortgage rate, LPS Applied Analytics; for credit card, Moody's; for auto loans, Federal Reserve Board.
Figure: Gross Consumer ABS Issuance
Stacked bar chart, 2006 to 2007. Unit is billions of dollars. Data are monthly rate. There are three series, "Student Loan," "Credit Card," and "Auto." Approximate values are: 2006: Student loan: 6, Credit card: 6, Auto: 7; 2007: Student loan: 4, credit card: 9, auto: 6; 2008:H1: Student loan: 3, Credit card: 8, Auto: 5; 2008:H2: Student loan: 1, Credit card: 1.5, Auto: .5; 2009:H1: Student loan: 3, Credit card: 9, auto: 6; 2009:H2: Student loan: 3, Credit card: 4, auto: 10; 2010:H1: Student Loan: 2, credit card: 1, auto: 5; 2010:Q3: Student Loan: 2, credit card: 1, auto: 5; October 2010: Student Loan: 1, credit card: 0, auto: 3; November 2010: Student loan: 2, credit card: 0, auto: 6; December 2010: Student loan: 3, credit card: 0, auto: 2.
Source: Inside MBS & ABS; Merrill Lynch; Bloomberg; Federal Reserve Board.
Foreign Developments
Figure: Nominal Trade-Weighted Dollar Indexes
Line chart, 2008 to 2011. Unit is an index, January 1, 2008 = 100. Data are daily. The end of the timeline is labeled January 18. There are three series, "Broad," "Major," and "OITP." Broad begins at about 100 then generally decreases to about 95 in 2008:Q3. It fluctuates but generally increases to about 115 in 2008:Q4 then generally decreases to about 105 in 2008:Q4. It generally increases to about 115 in 2009:Q1 then generally decreases to about 100 in 2009:Q4. It generally increases to about 107 in 2010:Q2. It generally decreases to about 97 in 2010:Q4 then generally increases ending at about 100. Major begins at about 100 then generally decreases to about 95 in 2008:Q3. It fluctuates but generally increases to about 115 in 2008:Q4 then generally decreases to about 105 in 2008:Q4. It generally increases to about 115 in 2009:Q1 then generally decreases to about 95 in 2009:Q4. It generally increases to about 110 in 2010:Q2 then generally decreases to about 95 in 2010:Q4. It generally increases to about 103 in 2010:Q4 then generally decreases ending at about 100. OITP begins at about 100 and generally decreases to about 95 in 2008:Q3. It fluctuates but generally increases to about 115 in 2009:Q1. It fluctuates but generally decreases to about 102 in 2010:Q2 then generally increases to about 106 in 2010:Q2. It generally decreases ending at about 100.
Source: Federal Reserve Board and Bloomberg.
Figure: Bilateral Exchange Rates (foreign currency/$)
Line chart, 2008-2011. Unit is an index, January 1, 2008 = 100. Data are daily. The end of the timeline is labeled January 18. There are four series, "Euro," "Yen," "Chilean peso," and "Korean won." Euro begins at about 100 and generally decreases to about 90 in 2008:Q3. It generally increases to about 115 in 2008:Q4 then generally decreases to about 95 in 2009:Q4. It generally increases to about 120 in 2010:Q3 then generally decreases to about 100 in 2010:Q4. It generally increases ending at about 115. Yen begins at about 100 and generally decreases to about 85 in 2008:Q1. It generally increases to about 100 in 2008:Q3 then generally decreases to about 80 in 2009:Q1. It generally increases to about 82 in 2009:Q2 then generally decreases ending at about 75. Chilean peso begins at about 100 and generally decreases to about 85 in 2008:Q1. It generally increases to about 140 in 2008:Q4. It generally decreases to about 100 in 2009:Q4. It generally increases to about 110 in 2010:Q2. It generally decreases ending at about 95. Korean won begins at about 100 and generally increases to about 160 in 2008:Q4. It generally decreases to about 140 in 2008:Q4. It generally increases to about 170 in 2009:Q1 then generally decreases to about 120 in 2010:Q2. It generally increases to about 135 in 2010:Q2 then generally decreases ending at about 120.
Source: Federal Reserve Bank of New York.
Figure: Euro-Area 10-Year Government Bond Spreads
Line chart, 2007 to 2011. Unit is percentage points. Data are daily. There are four series, "Greece," "Portugal," "Spain," and "Ireland." Greece begins at about 0 and generally increases to about 3 in 2009:Q1. It generally decreases to about 1 in 2009:Q3 then generally increases to about 10 in 2010:Q2. It generally decreases to about 4 in 2010:Q2 then generally increases to about 10 in 2010:Q3. It generally decreases to about 6.5 in 2010:Q4 then generally increases to about 10 in 2011:Q1. It generally decreases ending at about 8. Portugal begins at about 0 and generally increases to about 2 in 2009:Q2. It generally decreases to about 0.5 in 2009:Q3 then fluctuates but generally increases ending at about 4. Spain begins at about 0 and generally increases to about 1 in 2009:Q1. It generally decreases to about 0.5 in 2009:Q4. It generally increases ending at about 2.5. Ireland begins at about 0 and generally increases to about 3 in 2009:Q1. It generally decreases to about 1 in 2010:Q2 then generally increases to about 7 in 2010:Q4 then generally decreases ending at about 5.
Note: Spread over German bunds.
Source: Bloomberg.
Figure: Nominal 10-Year Government Bond Yields
Line chart, 2008 to 2011. Unit is percent. Data are daily. The end of the timeline is labeled January 18. There are three series, "Germany," "United Kingdom," and "Japan." Germany begins at about 4 and generally decreases to about 3.75 in 2008:Q2. It generally increases to about 5 in 2008:Q3 then generally decreases to about 3 in 2008:Q4. It generally increases to about 4 in 2009:Q2 then generally decreases to about 2 at 2010:Q3. It generally increases ending at about 3. United Kingdom begins at about 4.5 then generally increases to about 5.25 in 2008:Q2. It fluctuates but generally decreases to about 3 in 2009:Q1. It fluctuates but generally increases to about 4.25 in 2010:Q1. It generally decreases to about 3 in 2010:Q3 then generally increases ending at about 3.75. Japan begins at about 1.5 and generally increases to about 2 at 2008:Q2. It generally decreases to about 1 in 2010:Q4 then generally increases ending at about 1.25.
Source: Bloomberg.
Figure: Stock Price Indexes
Line chart, 2008 to 2011. Unit is an index, January 1, 2008 = 100. Data are daily. The end of the timeline is labeled January 18. There are four series, "DJ Euro," "Topix," "FTSE," and "MSCI Emerging Markets." DJ Euro begins at about 90 and generally decreases to about 80 in 2008:Q2. It generally increases to about 90 in 2008:Q2. It generally decreases to about 40 in 2009:Q1. It fluctuates but generally increases ending at about 70. Topix begins at about 100 and decreases to about 80 in 2008:Q2. It generally increases to about 100 in 2008:Q3 then generally decreases to about 40 in 2009:Q1. It fluctuates but generally increases to about 70 in 2010:Q1 then generally decreases to about 55 in 2010:Q4. It generally increases ending at about 60. FTSE begins at about 100 and generally decreases to about 80 in 2008:Q2. It generally increases to about 100 in 2008:Q3 then generally decreases to about 60 in 2009:Q1. It generally increases to about 95 in 2010:Q1 then generally decreases to about 80 in 2010:Q2. It generally increases ending at about 95. MSCI emerging markets begins at about 100 and generally decreases to about 80 in 2008:Q2. It generally increases to about 100 in 2008:Q2 then generally decreases to about 40 in 2008:Q4. It fluctuates but generally increases ending at about 95.
Source: Bloomberg.
Figure: Foreign Net Purchases of U.S. Treasury Securities
Bar chart, 2007 to 2010. There are two series, "Official" and "Private." Approximate values are: 2007: Official: 100, Private: 75; 2008: Official: 550, Private: 150; 2009: Official: 550, Private: 25; 2010:H1: Official: 200, Private: 400; 2010:Q3: Official: 750, Private: 250; October 2010: Official: 850, Private: -250; November 2010: Official: 250, Private: 200.
Source: Treasury International Capital Data adjusted for staff.
[Box:] Debt Subject to Limit
Figure: Debt Subject to Limit
Line chart, October to July 2011. Unit is trillions of dollars. Data are daily. The Statutory Debt Limit is marked at $14.294 trillion. The series begins at about 13.6 and generally increases meeting the debt ceiling in April where the Treasury invokes toolkit (note: assumes $178 billion available in the Treasury toolkit). It remains about constant until the toolkit is drained in late June. It generally increases to about 14.35 and remains about constant to the end of the timeline.
| Total | 178 |
| Government Securities Investment Fund (G Fund) | 125 |
| Civil Service Retirement and Disability Fund (CSRDF) | 28 |
| Exchange Stabilization Fund (ESF) | 20 |
| Federal Financing Bank (FFB) | 5 |
Commercial Banking and Money
Figure: Bank Credit
Line chart, 2007 to 2010. Unit is an index, January 2008 = 100. Data are monthly average. The end of the timeline is labeled December. There are two series, "Securities" and "Total Loans." Securities begins at about 95 and fluctuates but generally increases ending at about 115. Total loans begins at about 90 and generally increases to about 105 in November 2008. It generally decreases ending at about 85.
Note: The data have been adjusted to remove the estimated effects of marking certain securities to market (FAS 115); the initial consolidations of assets under FIN 46, FAS 166, and FAS 167; and nonbank structure activity of $5 billion or more.
Source: Federal Reserve Board.
Figure: Changes in Standards and Demand for Bank Loans
Line chart, 1990 to 2011. Unit is net percent. Data are quarterly. The end of the timeline is marked January. There are two series, "Standards" and "Demand." Standards begins at about 25 and generally decreases to -25 in 1993. It fluctuates but generally increases to about 50 in 2000 then generally decreases to -25 in 2006. It generally increases to about 90 in 2008 then generally decreases ending at about 15. Demand begins at about -25 and generally increases to about 35 in 1994. It generally decreases to about -10 in 1994 then fluctuates but generally increases to about 45 in 1997. It generally decreases to about -50 in 2000 then generally increases to about 25 in 2005. It generally decreases to about -60 in 2008 then generally increases ending at about 0.
Note: A composite index of changes in standards or loan demand that represents the net percentage of loans on respondent's balance sheets that were in categories for which banks reported tighter lending standards or stronger loan demand over the past 3 months.
Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices.
Figure: Changes in Spreads on C&I Loans
Line chart, 1990 to 2011. Unit is net percent. Data are quarterly. The end of the timeline is labeled January. There are two series, "Large/middle-market firms" and "Small firms." Large/middle-market firms begins at about 12 and generally increases to about 60 in 1991. It generally decreases to about -60 in 1993 then fluctuates but generally increases to about 50 in 2002. It generally decreases to about -75 in 2005 then generally increases to about 100 in 2008. It generally decreases ending at about -50. Small firms begins at about 10 and generally increases to about 40 in 1991. It fluctuates but generally decreases to about -40 in 1997 then fluctuates but generally increases to about 50 in 2002. It generally decreases to about -50 in 2005 then generally increases to about 100 in 2008. It generally decreases ending at about -25.
Note: Net percent of respondents that widened spreads over the past three months.
Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices.
Figure: Expected Year-Ahead Changes in Credit Quality
Line chart, 2006 to 2011. Unit is net percent. Data are annual. There are five series, "Credit cards," "Other consumer loans," "Residential mortgages," "CRE loans," and "C&I loans." Credit cards begins at about -40 and generally decreases to about -100 in mid-2009. It generally increases ending at about 75. Other consumer loans begins at about 30 and decreases to about -75 in mid-2009. It generally increases to about 60 in early 2010 then remains about constant to the end of the timeline. Residential mortgages begins at about 12 and generally decreases to about -100 in mid-2009. It generally increases ending at about 55. CRE Loans begins at about -25 and generally decreases to about -75 and generally increases ending at about 100. C&I Loans begins at about -25 and generally decreases to about -85. It generally increases ending at about 100.
Note. Results shown are the net fraction of banks reporting that credit quality is expected to improve and are weighted at the bank level by outstanding loans in each category.
Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices.
| M2 | Liquid deposits |
Small time deposits |
RMMF | Curr. | |
|---|---|---|---|---|---|
| 2008 | 8.5 | 6.9 | 12.3 | 13.6 | 5.8 |
| 2009 | |||||
| H1 | 8.0 | 17.1 | -6.4 | -15.0 | 11.0 |
| H2 | 2.0 | 15.7 | -25.8 | -31.4 | 2.7 |
| 2010 | |||||
| H1 | 1.3 | 9.6 | -22.4 | -22.9 | 4.5 |
| Q3 | 4.5 | 10.6 | -21.3 | -7.5 | 5.9 |
| Oct. | 5.5 | 12.7 | -27.8 | -13.2 | 8.9 |
| Nov. | 5.1 | 12.3 | -27.8 | -16.1 | 8.6 |
| Dec. (p) | 4.2 | 10.7 | -24.5 | -13.7 | 3.8 |
RMMF Retail money market mutual funds. Return to table
p Preliminary. Return to table
Source: Federal Reserve Board.
Figure: Interest Rates on Selected Components of M2
Line chart, 2008 to 2010. Unit is percent. Data are monthly. The end of the timeline is labeled December (preliminary). There are three series, "Retail money market mutual funds," "6-month small time deposits," and "Liquid deposits." Retail money market mutual funds begins at about 3.5 and generally decreases to about 0.2 in February 2009. It remains about constant to the end of the timeline. 6-month small time deposits begins at about 3 and generally decreases ending at about 0.25. Liquid deposits begins at about 2.25 and generally decreases ending at about 0.5.
Note: Interest rates on small time deposits and liquid deposits reflect the deposit-weighted average interest rate paid at banks and thrifts for each component.
Source: Federal Reserve Board.
Appendix: Senior Loan Officer Opinion Survey on Bank Lending Practices
Measures of Supply and Demand for Commercial and Industrial Loans, by Size of Firm Seeking Loan
Figure: Net Percentage of Domestic Respondents Tightening Standards for Commercial and Industrial Loans
Line chart, 1990 to 2011. Unit is percent. The October survey is marked at the end of 2010. There are two series, "Loans to large and medium-sized firms" and "Loans to small firms." Loans to large and medium-sized firms begins at about 60 and generally decrease to about -20 in 1993:Q3. It generally increases to about 60 in 2001:Q1 then generally decreases to about -20 in 2004:Q1. It generally increases to about 80 in 2008:Q4 then generally decreases ending at -10. Loans to small firms begins at about 50 and generally decreases to -10 in 1993:Q2. It generally increases to about 45 in 2000:Q4 then generally decreases to about -20 in 2005:Q2. It generally increases to about 80 in 2009:Q1 then generally decreases ending at about 0.
Figure: Net Percentage of Domestic Respondents Increasing Spreads of Loan Rates over Banks' Costs of Funds
Line chart, 1990 to 2011. Unit is percent. The October survey is marked at the end of 2010. There are two series, "Loans to large and medium-sized firms" and "Loans to small firms." Loans to large and medium-sized firms begins at about 10 and generally increases to about 60 in 1991:Q2. It generally decreases to about -60 in 1994:Q2 then fluctuates but generally increases 60 in 2002:Q2. It generally decreases to about -70 in 2005:Q2 then generally increases to about 100 in 2009:Q1. It generally decreases ending at about -50. Loans to small firms begins at about 5 and generally increases to about 40 in 1991:Q1. It fluctuates but generally decreases to about -40 n 1997:Q4. It generally increases to about 40 in 2002:Q1 then generally decreases to about -60 in 2005:Q2. It generally increases to about 95 in 2008:Q4. It generally decreases ending at about -20.
Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Commercial and Industrial Loans
Line chart, 1990 to 2011. Unit is percent. The October survey is marked at the end of 2010. There are two series, "Loans to large and medium-sized firms" and "Loans to small firms." Loans to large and medium-sized firms begins at about -30 and generally increases to about 40 in 1994:Q2. It fluctuates but generally decreases to about -75 in 2001:Q4. It generally increases to about 40 in 2005:Q1 then generally decreases to about -60 in 2009:Q1. It generally increases ending at about 30. Loans to small firms begins at about -25 and fluctuates but generally increases to about 40 in 1994:Q2. It generally decreases to about -50 in 2002:Q4 then generally increases t about 40 in 2004:Q1. It generally decreases -60 in 2009:Q2 then generally increases ending at about 10.
Measures of Supply and Demand for Commercial Real Estate Loans
Figure: Net Percentage of Domestic Respondents Tightening Standards for Commercial Real Estate Loans
Line chart, 1991 to 2011. Unit is percent. The October Survey is marked at the end of 2010. The series begins at about 70 and generally decreases to about -5 in 1994:Q2. It generally increases to about 10 in 1996:Q1 then generally decreases to about -10 in 1997:Q3. It generally increases to about 45 in 1991:Q1 then generally decreases to about 10 in 1999:Q2. It generally increases to about 55 in 2002:Q3 then generally decreases to about -20 in 2005:Q1. It generally increases to about 90 in 2009:Q1 then generally decreases ending at about 0.
Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Commercial Real Estate Loans
Line chart, 1991 to 2011. Unit is percent. The October Survey is marked at the end of 2010. The series begins at about 15 in 1995:Q1 then generally increases to about 25 in 1995:Q4. It generally decreases to about 0 in 1996:Q1 then generally increases to about 45 in 1998:Q3. It fluctuates but generally decreases to -55 in 2001:Q4. It generally increases to about 20 in 2005:Q4. It generally decreases to about -60 in 2009:Q2 then generally increases ending at about 18.
Measures of Supply and Demand for Residential Mortgage Loans
Figure: Net Percentage of Domestic Respondents Tightening Standards for Residential Mortgage Loans
Line chart, 1990 to 2006. Unit is percent. There is one series, "All residential." The series begins at about 10 and generally increases to about 35 in 1995:Q1. It generally decreases to about -19 in 1992:Q4. It fluctuates but generally increases to about 15 in 2002:Q4. It fluctuates but generally decreases to about -10 in 2006:Q3. It generally increases ending at about 18.
There is a second panel showing 2007 to 2011. Unit is percent. There are three series, "Prime," "Nontraditional," and "Subprime." Prime begins at about18 and generally increases to about 75 in 2008:Q3. It generally decreases to about -4 in 2010:Q3 then generally increases to about 10 in 2010:Q4. It generally decreases ending at about 0. Nontraditional begins at about 40 and generally increases to about 90 in 2008:Q4. It generally decreases to about 5 in 2010:Q1. It generally increases to about 18. Subprime begins at about 58 and generally increases to about 100 in 2008:Q4. It generally decreases to about -5 then generally increases to about 15. It generally decreases ending at about 0.
Note: For data starting in 2007:Q2, changes in standards from prime, nontraditional, and subprime mortgage loans are reported separately. Series are not reported when the number of respondents is three of fewer.
Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Residential Mortgage Loans
Line chart, 1990 to 2006. Unit is percent. There is one series, "All residential." The series begins at about -50 and generally decreases to about-60 in 1991:Q2. It generally increases to about 60 in 1991:Q4 then generally decreases to about 5 in 1992:Q2. It fluctuates but generally increases to about 45 in 1993:Q4 then generally decreases to about -80 in 1995:Q1. It generally increases to about 55 in 1996:Q1 then fluctuates but generally decreases to about -20 in 1996:Q3. It fluctuates but generally increases to about 60 in 1998:Q3 then generally decreases to about -60 in 2000:Q1. It generally increases to about 45 in 2001:Q3then generally decreases to about 0 in 2001:Q4. It fluctuates but generally increases to about 50 in 2003:Q4 then generally decreases to about -40 in 2004:Q1. It generally increases to about 20 in 2005:Q3 then generally decreases to about -60 in 2006:Q4. It generally increases ending at about -40.
There is a second panel showing 2007 to 2011. Unit is percent. There are three series, "Prime," "Nontraditional," and "Subprime." Prime begins at about -20 and generally increases to about -10 in 2007:Q4. It generally decreases to about -60 in 2008:Q1 then generally increases to about -20 in 2008:Q2. It generally decreases to about -55 in 2008:Q4 then generally increases to about 40 in 2009:Q2. It generally decreases to about -15 in 2010:Q2 then generally increases to about 15 in 2010:Q3. It generally decreases ending at about -25. Nontraditional begins at about -20 and generally decreases to about -70 in 2008:Q1. It generally increases to about -30 in 2008: Q2 then generally decreases to about -80 in 2008:Q4. It generally increases to about -5 in 2010:Q1 then generally decreases to about -40 in 2010:Q2. It generally increases to about 0 in 2010:Q3 then generally decreases ending at about -15. Subprime begins at about -20 and generally decreases to about -70 in 2008:Q1. It generally increases to about -25 in 2008:Q3 then generally decreases to about -100 in 208:Q4. It generally increases ending at about -50 in 2009:Q1.
Note: For data starting in 2007:Q2, changes in demand for prime, nontraditional, and subprime mortgage loans are reported separately. Series are not reported when the number of respondents is three or fewer.
Measures of Supply and Demand for Consumer Loans
Figure: Net Percentage of Domestic Respondents Tightening Standards for Consumer Loans
Line chart, 1990 to 2011. Unit is percent. The October survey is marked by a vertical line in 2010:Q4. 0 on the scale is marked by a horizontal line. There are two series, "Credit card loans" and "Other consumer loans." Credit card loans begins at about 20 in 1996:Q1 then generally increases to about 50 in 1996:Q2. It generally decreases to about 0 in 2000:Q4 then generally increases to about 20 in 2002:Q1. It generally decreases to about -10 in 2005:Q2 then generally increases to about 70 in 2008:Q1. It generally decreases ending at about -10. Other consumer loans begins at about 20 in 1996:Q1 then generally decreases to about 10 in 1996:Q2. It generally increases to about 20 in 1996:Q3 then generally decreases to about 0 in 1999:Q1. It generally increases to about 20 in 2002:Q1 then generally decreases to about -10 in 2005:Q2. It generally increases to about 80 in 2008:Q1 then generally decreases to about -20 in 2010:Q3. It generally increases ending at about -5.
Figure: Net Percentage of Domestic Respondents Reporting Increased Willingness to Make Consumer Installment Loans
Line chart, 1990 to 2011. Unit is percent. The October survey is marked by a vertical line in 2010:Q4. 0 on the scale is marked by a horizontal line. The series begins at about 10 and generally decreases to about -15 in 1991:Q1. It generally increases to about 25 in 1994:Q2 then generally decreases to about -5 in 1996:Q1. It generally increases to about 10 in 1999:Q1 then generally decreases to about -10 in 2001:Q4. It fluctuates but generally increases to about 20 in 2005:Q3 then generally decreases to about -60 in 2008:Q4. It generally increases ending at about 20.
Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Consumer Loans
Line chart, 1990 to 2011. Unit is percent. The October survey is marked by a vertical line in 2010:Q4. 0 on the scale is marked by a horizontal line. The series begins at about -35 in 1991:Q4 then generally increases to about 20 in 1992:Q2. It generally decreases to about 0 in 1993:Q1 then generally increases to about 40 in 1994: Q3. It generally decreases to about -5 in 1995:Q2 then generally increases to about 20 in 1995:Q3. It fluctuates but generally decreases to about -20 in 1997:Q1 then generally increases to about 10 in 1998:Q1. It generally decreases to about 019 in 1998:Q4 then generally increases to about 20 in 1999:Q2. It generally decreases to about -40 in 2001:Q1 then fluctuates but generally increases to about 40 in 2003:Q3. It fluctuates but generally decreases to about -60 in 2008:Q4 then generally increases ending at about 5.
Special Questions
Figure: Factors affecting Recent Growth in Banks' Closed-End Residential Real Estate Loan Holdings
Bar chart, 0 to 100. Unit is percent citing factor as somewhat or very important. Approximate data are: Originated more nonconforming loans, 40; Securitization costlier, 15; Desire to increase share of these loans in total assets, 50; Desire to grow balance sheet with these loans, 75; Capacity constraints in securitization, 20; Repurchases from securitization pools, 10; Decrease in demand from government-sponsored enterprises, 5; Fewer charge-offs/paydowns, 20.
Figure: Outlook for Asset Quality in 2011
Bar chart. Unit is net percent expecting improvement. Approximate data are: Business lending: Commercial and Industrial (large firms), 85; Commercial and Industrial (small firms), 75; Commercial real estate, 55; Household lending: Prime residential real estate, 45; nontraditional residential real estate, 20; Home equity lines of credit, 35; credit card, 55; Other consumer, 50.
† Note: Data values for figures are rounded and may not sum to totals. Return to text