Accessible Version

Accessible Version

 

Figure 1
Term Loan Originations by Probability of Default (PD)

$ billions
  PD < 1% 1% < PD < 5% 5% < PD < 10% PD > 10%
2010 38 39 3 10
2011 63 59 9 31
2012 75 49 13 15
2013 172 136 32 48

Note. Only loans with PDs available are shown. Estimates are based on Aramonte, Lee, and Stebunovs (2014) using Shared National Credit Program data.


 

Figure 2
Syndicated Loan Originations in U.S. Market by Type of Holder

Percent of originations
  Banks and Bank
Holding Companies 		Investment Funds Investment Banks Finance Companies Other
2010 42 30 12 9 8
2011 48 29 10 8 5
2012 41 35 12 6 6
2013 32 42 13 8 4

Note. Estimates are based on Aramonte, Lee, and Stebunovs (2014) using Shared National Credit Program data. Types of lenders identified by primary activity of parent organization.


 

Figure 3
Credit Risk Proxy by Type of Lender

Average probability of default (percent)
  Banks and Bank
Holding Companies 		Investment Funds Investment Banks Finance Companies
2010 1.60 3.14 3.14 1.96
2011 1.17 4.20 4.32 4.41
2012 1.00 4.44 4.64 3.54
2013 1.06 4.89 5.18 4.92

Note. Estimates are based on Aramonte, Lee, and Stebunovs (2014) using Shared National Credit Program data.


 

Figure 4
U.S. Holdings of Foreign Debt Securities

$ billion**
  Emerging Market Economy Advanced Foreign Economy Other
2003 136 841 96
2004 154 928 144
2005 148 952 160
2006 151 1248 264
2007 168 1435 363
2008 143 1128 272
2009 195 1479 308
2010 253 1574 290
2011 294 1731 314
2012 403 1912 322

Source: Treasury International Capital Data.

** All values are as of year-end.  Return to table


 

Figure 5
U.S. Holdings of Foreign Government Bonds

$ billion** (except as noted)
  Advanced Foreign Economy Emerging Market Economy Emerging Market Economy
(Share)
2003 186 58 0.23
2004 173 66 0.26
2005 148 68 0.30
2006 196 68 0.25
2007 271 68 0.21
2008 209 67 0.24
2009 217 100 0.27
2010 238 140 0.32
2011 324 170 0.31
2012 391 230 0.33

Source: Bertaut and Tabova (2014); Estimates are based on Treasury International Capital Data.

** All values are as of year-end.  Return to table


 

Figure 6
Government Bond Portfolio

  Yearly returns (%) High credit quality* (%)
Actual Fixed weight** Actual Fixed weight**
2009 8.6 8.6 70.1 70.1
2010 7.7 7.7 65.8 68.9
2011 8.5 8.3 58.7 62.5
2012 10.1 9.2 57.1 61.6

Source: Bertaut and Tabova (2014).

* AA- or higher.  Return to table

** at average 2008-09 shares.  Return to table


 

Figure 7
High-Grade* Share in U.S. Holdings of Foreign Financial Bonds

Share
  Actual Counterfactual
high-grade share,
assuming constant
2008-09 risk portfolio
2005 0.38 0.38
2006 0.35 0.35
2007 0.39 0.39
2008 0.45 0.45
2009 0.45 0.45
2010 0.50 0.31
2011 0.49 0.20
2012 0.43 0.30

Source: Bertaut and Tabova (2014); Bertaut, Tabova, and Wong (2014).

* AA- or higher.  Return to text


 

Figure 8
Financial Bond Portfolio

  Yearly returns (%) High credit quality* (%)
Actual Fixed weight** Actual Fixed weight**
2009 20.9 20.9 44.5 44.5
2010 7.2 9.5 49.5 30.9
2011 2.5 0.7 48.9 20.1
2012 11.7 15.1 43.3 29.5

Source: Bertaut and Tabova (2014); Bertaut, Tabova, and Wong (2014).

* AA- or higher.  Return to table

** at average 2008-09 shares.  Return to table


 

Last Update: November 14, 2014