Accessible versions
Figure 1-1. Yields on Nominal Treasury Securities
Percent, annual rate
Period | 2-Year Treasury Rate | 10-Year Treasury Rate |
---|---|---|
January 1997 | 6.01 | 6.58 |
February 1997 | 5.90 | 6.42 |
March 1997 | 6.22 | 6.69 |
April 1997 | 6.45 | 6.89 |
May 1997 | 6.28 | 6.71 |
June 1997 | 6.09 | 6.49 |
July 1997 | 5.89 | 6.22 |
August 1997 | 5.94 | 6.30 |
September 1997 | 5.88 | 6.21 |
October 1997 | 5.77 | 6.03 |
November 1997 | 5.71 | 5.88 |
December 1997 | 5.72 | 5.81 |
January 1998 | 5.36 | 5.54 |
February 1998 | 5.42 | 5.57 |
March 1998 | 5.56 | 5.65 |
April 1998 | 5.56 | 5.64 |
May 1998 | 5.59 | 5.65 |
June 1998 | 5.52 | 5.50 |
July 1998 | 5.46 | 5.46 |
August 1998 | 5.27 | 5.34 |
September 1998 | 4.67 | 4.81 |
October 1998 | 4.09 | 4.53 |
November 1998 | 4.54 | 4.83 |
December 1998 | 4.51 | 4.65 |
January 1999 | 4.62 | 4.72 |
February 1999 | 4.88 | 5.00 |
March 1999 | 5.05 | 5.23 |
April 1999 | 4.98 | 5.18 |
May 1999 | 5.25 | 5.54 |
June 1999 | 5.62 | 5.90 |
July 1999 | 5.55 | 5.79 |
August 1999 | 5.68 | 5.94 |
September 1999 | 5.66 | 5.92 |
October 1999 | 5.86 | 6.11 |
November 1999 | 5.86 | 6.03 |
December 1999 | 6.10 | 6.28 |
January 2000 | 6.44 | 6.66 |
February 2000 | 6.61 | 6.52 |
March 2000 | 6.53 | 6.26 |
April 2000 | 6.40 | 5.99 |
May 2000 | 6.81 | 6.44 |
June 2000 | 6.48 | 6.10 |
July 2000 | 6.34 | 6.05 |
August 2000 | 6.23 | 5.83 |
September 2000 | 6.08 | 5.80 |
October 2000 | 5.91 | 5.74 |
November 2000 | 5.88 | 5.72 |
December 2000 | 5.35 | 5.24 |
January 2001 | 4.76 | 5.16 |
February 2001 | 4.66 | 5.10 |
March 2001 | 4.34 | 4.89 |
April 2001 | 4.23 | 5.14 |
May 2001 | 4.26 | 5.39 |
June 2001 | 4.08 | 5.28 |
July 2001 | 4.04 | 5.24 |
August 2001 | 3.76 | 4.97 |
September 2001 | 3.12 | 4.73 |
October 2001 | 2.73 | 4.57 |
November 2001 | 2.78 | 4.65 |
December 2001 | 3.11 | 5.09 |
January 2002 | 3.03 | 5.04 |
February 2002 | 3.02 | 4.91 |
March 2002 | 3.56 | 5.28 |
April 2002 | 3.42 | 5.21 |
May 2002 | 3.26 | 5.16 |
June 2002 | 2.99 | 4.93 |
July 2002 | 2.56 | 4.65 |
August 2002 | 2.13 | 4.26 |
September 2002 | 2.00 | 3.87 |
October 2002 | 1.91 | 3.94 |
November 2002 | 1.92 | 4.05 |
December 2002 | 1.84 | 4.03 |
January 2003 | 1.74 | 4.05 |
February 2003 | 1.63 | 3.90 |
March 2003 | 1.57 | 3.81 |
April 2003 | 1.62 | 3.96 |
May 2003 | 1.42 | 3.57 |
June 2003 | 1.23 | 3.33 |
July 2003 | 1.47 | 3.98 |
August 2003 | 1.86 | 4.45 |
September 2003 | 1.71 | 4.27 |
October 2003 | 1.75 | 4.29 |
November 2003 | 1.93 | 4.30 |
December 2003 | 1.91 | 4.27 |
January 2004 | 1.76 | 4.15 |
February 2004 | 1.74 | 4.08 |
March 2004 | 1.58 | 3.83 |
April 2004 | 2.07 | 4.35 |
May 2004 | 2.53 | 4.72 |
June 2004 | 2.76 | 4.73 |
July 2004 | 2.64 | 4.50 |
August 2004 | 2.51 | 4.28 |
September 2004 | 2.53 | 4.13 |
October 2004 | 2.58 | 4.10 |
November 2004 | 2.85 | 4.19 |
December 2004 | 3.01 | 4.23 |
January 2005 | 3.22 | 4.22 |
February 2005 | 3.38 | 4.17 |
March 2005 | 3.73 | 4.50 |
April 2005 | 3.65 | 4.34 |
May 2005 | 3.64 | 4.14 |
June 2005 | 3.64 | 4.00 |
July 2005 | 3.87 | 4.18 |
August 2005 | 4.04 | 4.26 |
September 2005 | 3.95 | 4.20 |
October 2005 | 4.27 | 4.46 |
November 2005 | 4.42 | 4.54 |
December 2005 | 4.40 | 4.47 |
January 2006 | 4.40 | 4.42 |
February 2006 | 4.67 | 4.57 |
March 2006 | 4.73 | 4.72 |
April 2006 | 4.89 | 4.99 |
May 2006 | 4.97 | 5.11 |
June 2006 | 5.12 | 5.11 |
July 2006 | 5.12 | 5.09 |
August 2006 | 4.90 | 4.88 |
September 2006 | 4.77 | 4.72 |
October 2006 | 4.80 | 4.73 |
November 2006 | 4.74 | 4.60 |
December 2006 | 4.67 | 4.56 |
January 2007 | 4.88 | 4.76 |
February 2007 | 4.85 | 4.72 |
March 2007 | 4.57 | 4.56 |
April 2007 | 4.67 | 4.69 |
May 2007 | 4.77 | 4.75 |
June 2007 | 4.98 | 5.10 |
July 2007 | 4.82 | 5.00 |
August 2007 | 4.31 | 4.67 |
September 2007 | 4.01 | 4.52 |
October 2007 | 3.97 | 4.53 |
November 2007 | 3.34 | 4.15 |
December 2007 | 3.12 | 4.10 |
January 2008 | 2.48 | 3.74 |
February 2008 | 1.97 | 3.74 |
March 2008 | 1.62 | 3.51 |
April 2008 | 2.05 | 3.68 |
May 2008 | 2.45 | 3.88 |
June 2008 | 2.77 | 4.10 |
July 2008 | 2.57 | 4.01 |
August 2008 | 2.42 | 3.89 |
September 2008 | 2.08 | 3.69 |
October 2008 | 1.61 | 3.81 |
November 2008 | 1.21 | 3.53 |
December 2008 | 0.82 | 2.42 |
January 2009 | 0.81 | 2.52 |
February 2009 | 0.98 | 2.87 |
March 2009 | 0.93 | 2.82 |
April 2009 | 0.93 | 2.93 |
May 2009 | 0.93 | 3.29 |
June 2009 | 1.18 | 3.72 |
July 2009 | 1.02 | 3.56 |
August 2009 | 1.12 | 3.59 |
September 2009 | 0.96 | 3.40 |
October 2009 | 0.95 | 3.39 |
November 2009 | 0.80 | 3.40 |
December 2009 | 0.87 | 3.59 |
January 2010 | 0.93 | 3.73 |
February 2010 | 0.86 | 3.69 |
March 2010 | 0.96 | 3.73 |
April 2010 | 1.06 | 3.85 |
May 2010 | 0.83 | 3.42 |
June 2010 | 0.72 | 3.20 |
July 2010 | 0.62 | 3.01 |
August 2010 | 0.52 | 2.70 |
September 2010 | 0.48 | 2.65 |
October 2010 | 0.38 | 2.54 |
November 2010 | 0.45 | 2.76 |
December 2010 | 0.62 | 3.29 |
January 2011 | 0.61 | 3.39 |
February 2011 | 0.77 | 3.58 |
March 2011 | 0.70 | 3.41 |
April 2011 | 0.73 | 3.46 |
May 2011 | 0.56 | 3.17 |
June 2011 | 0.41 | 3.00 |
July 2011 | 0.41 | 3.00 |
August 2011 | 0.23 | 2.30 |
September 2011 | 0.21 | 1.98 |
October 2011 | 0.28 | 2.15 |
November 2011 | 0.25 | 2.01 |
December 2011 | 0.26 | 1.98 |
January 2012 | 0.24 | 1.97 |
February 2012 | 0.28 | 1.97 |
March 2012 | 0.34 | 2.17 |
April 2012 | 0.29 | 2.05 |
May 2012 | 0.29 | 1.80 |
June 2012 | 0.29 | 1.62 |
July 2012 | 0.25 | 1.53 |
August 2012 | 0.27 | 1.68 |
September 2012 | 0.26 | 1.72 |
October 2012 | 0.28 | 1.75 |
November 2012 | 0.27 | 1.65 |
December 2012 | 0.26 | 1.72 |
January 2013 | 0.27 | 1.91 |
February 2013 | 0.27 | 1.98 |
March 2013 | 0.26 | 1.96 |
April 2013 | 0.23 | 1.76 |
May 2013 | 0.25 | 1.93 |
June 2013 | 0.33 | 2.30 |
July 2013 | 0.34 | 2.58 |
August 2013 | 0.36 | 2.74 |
September 2013 | 0.40 | 2.81 |
October 2013 | 0.34 | 2.62 |
November 2013 | 0.30 | 2.72 |
December 2013 | 0.34 | 2.90 |
January 2014 | 0.39 | 2.86 |
February 2014 | 0.33 | 2.71 |
March 2014 | 0.40 | 2.72 |
April 2014 | 0.42 | 2.71 |
May 2014 | 0.39 | 2.56 |
June 2014 | 0.45 | 2.60 |
July 2014 | 0.51 | 2.54 |
August 2014 | 0.47 | 2.42 |
September 2014 | 0.57 | 2.53 |
October 2014 | 0.45 | 2.30 |
November 2014 | 0.53 | 2.33 |
December 2014 | 0.64 | 2.21 |
January 2015 | 0.55 | 1.88 |
February 2015 | 0.62 | 1.98 |
March 2015 | 0.64 | 2.04 |
April 2015 | 0.54 | 1.94 |
May 2015 | 0.61 | 2.20 |
June 2015 | 0.69 | 2.36 |
July 2015 | 0.67 | 2.32 |
August 2015 | 0.70 | 2.17 |
September 2015 | 0.71 | 2.17 |
October 2015 | 0.64 | 2.07 |
November 2015 | 0.88 | 2.26 |
December 2015 | 0.98 | 2.24 |
January 2016 | 0.90 | 2.09 |
February 2016 | 0.73 | 1.78 |
March 2016 | 0.88 | 1.89 |
April 2016 | 0.77 | 1.81 |
May 2016 | 0.82 | 1.81 |
June 2016 | 0.73 | 1.64 |
July 2016 | 0.67 | 1.50 |
August 2016 | 0.74 | 1.56 |
September 2016 | 0.77 | 1.63 |
October 2016 | 0.84 | 1.76 |
November 2016 | 0.98 | 2.14 |
December 2016 | 1.20 | 2.49 |
January 2017 | 1.21 | 2.43 |
February 2017 | 1.20 | 2.42 |
March 2017 | 1.31 | 2.48 |
April 2017 | 1.24 | 2.30 |
May 2017 | 1.30 | 2.30 |
June 2017 | 1.34 | 2.19 |
July 2017 | 1.37 | 2.32 |
August 2017 | 1.34 | 2.21 |
September 2017 | 1.38 | 2.20 |
October 2017 | 1.55 | 2.36 |
November 2017 | 1.70 | 2.35 |
December 2017 | 1.84 | 2.40 |
January 2018 | 2.03 | 2.58 |
February 2018 | 2.18 | 2.86 |
March 2018 | 2.28 | 2.84 |
April 2018 | 2.38 | 2.87 |
May 2018 | 2.51 | 2.98 |
June 2018 | 2.53 | 2.91 |
July 2018 | 2.61 | 2.89 |
August 2018 | 2.64 | 2.89 |
September 2018 | 2.77 | 3.00 |
October 2018 | 2.86 | 3.15 |
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."
Figure 1-2. Term Premium on 10-Year Nominal Treasury Securities
Period | Percentage points |
---|---|
January 1997 | 1.478 |
February 1997 | 1.506 |
March 1997 | 1.669 |
April 1997 | 1.552 |
May 1997 | 1.584 |
June 1997 | 1.482 |
July 1997 | 1.252 |
August 1997 | 1.376 |
September 1997 | 1.272 |
October 1997 | 1.094 |
November 1997 | 1.046 |
December 1997 | 0.949 |
January 1998 | 0.896 |
February 1998 | 0.959 |
March 1998 | 0.988 |
April 1998 | 1.017 |
May 1998 | 0.939 |
June 1998 | 0.874 |
July 1998 | 0.897 |
August 1998 | 0.688 |
September 1998 | 0.481 |
October 1998 | 0.623 |
November 1998 | 0.640 |
December 1998 | 0.670 |
January 1999 | 0.712 |
February 1999 | 1.042 |
March 1999 | 1.055 |
April 1999 | 1.036 |
May 1999 | 1.288 |
June 1999 | 1.278 |
July 1999 | 1.367 |
August 1999 | 1.349 |
September 1999 | 1.366 |
October 1999 | 1.341 |
November 1999 | 1.332 |
December 1999 | 1.462 |
January 2000 | 1.410 |
February 2000 | 1.315 |
March 2000 | 1.052 |
April 2000 | 1.181 |
May 2000 | 1.161 |
June 2000 | 1.005 |
July 2000 | 0.881 |
August 2000 | 0.779 |
September 2000 | 0.820 |
October 2000 | 0.718 |
November 2000 | 0.595 |
December 2000 | 0.549 |
January 2001 | 0.760 |
February 2001 | 0.743 |
March 2001 | 0.937 |
April 2001 | 1.225 |
May 2001 | 1.365 |
June 2001 | 1.379 |
July 2001 | 1.223 |
August 2001 | 1.163 |
September 2001 | 1.312 |
October 2001 | 1.222 |
November 2001 | 1.623 |
December 2001 | 1.860 |
January 2002 | 1.747 |
February 2002 | 1.737 |
March 2002 | 1.758 |
April 2002 | 1.778 |
May 2002 | 1.727 |
June 2002 | 1.634 |
July 2002 | 1.374 |
August 2002 | 1.151 |
September 2002 | 0.888 |
October 2002 | 1.137 |
November 2002 | 1.351 |
December 2002 | 1.104 |
January 2003 | 1.201 |
February 2003 | 0.985 |
March 2003 | 1.109 |
April 2003 | 1.100 |
May 2003 | 0.735 |
June 2003 | 0.902 |
July 2003 | 1.526 |
August 2003 | 1.559 |
September 2003 | 1.197 |
October 2003 | 1.419 |
November 2003 | 1.423 |
December 2003 | 1.386 |
January 2004 | 1.316 |
February 2004 | 1.200 |
March 2004 | 1.104 |
April 2004 | 1.530 |
May 2004 | 1.484 |
June 2004 | 1.438 |
July 2004 | 1.332 |
August 2004 | 1.069 |
September 2004 | 0.991 |
October 2004 | 0.901 |
November 2004 | 0.979 |
December 2004 | 0.863 |
January 2005 | 0.742 |
February 2005 | 0.822 |
March 2005 | 0.876 |
April 2005 | 0.652 |
May 2005 | 0.463 |
June 2005 | 0.433 |
July 2005 | 0.558 |
August 2005 | 0.388 |
September 2005 | 0.534 |
October 2005 | 0.598 |
November 2005 | 0.538 |
December 2005 | 0.426 |
January 2006 | 0.449 |
February 2006 | 0.452 |
March 2006 | 0.586 |
April 2006 | 0.686 |
May 2006 | 0.657 |
June 2006 | 0.621 |
July 2006 | 0.512 |
August 2006 | 0.402 |
September 2006 | 0.359 |
October 2006 | 0.290 |
November 2006 | 0.232 |
December 2006 | 0.374 |
January 2007 | 0.438 |
February 2007 | 0.274 |
March 2007 | 0.345 |
April 2007 | 0.348 |
May 2007 | 0.573 |
June 2007 | 0.638 |
July 2007 | 0.474 |
August 2007 | 0.525 |
September 2007 | 0.621 |
October 2007 | 0.530 |
November 2007 | 0.496 |
December 2007 | 0.505 |
January 2008 | 0.611 |
February 2008 | 0.679 |
March 2008 | 0.698 |
April 2008 | 0.900 |
May 2008 | 0.983 |
June 2008 | 0.903 |
July 2008 | 0.920 |
August 2008 | 0.791 |
September 2008 | 1.024 |
October 2008 | 1.427 |
November 2008 | 0.840 |
December 2008 | 0.497 |
January 2009 | 0.840 |
February 2009 | 0.881 |
March 2009 | 0.604 |
April 2009 | 0.942 |
May 2009 | 1.296 |
June 2009 | 1.230 |
July 2009 | 1.258 |
August 2009 | 1.149 |
September 2009 | 1.062 |
October 2009 | 1.144 |
November 2009 | 0.977 |
December 2009 | 1.358 |
January 2010 | 1.230 |
February 2010 | 1.183 |
March 2010 | 1.314 |
April 2010 | 1.197 |
May 2010 | 0.966 |
June 2010 | 0.739 |
July 2010 | 0.674 |
August 2010 | 0.399 |
September 2010 | 0.374 |
October 2010 | 0.410 |
November 2010 | 0.583 |
December 2010 | 0.943 |
January 2011 | 0.998 |
February 2011 | 1.011 |
March 2011 | 1.057 |
April 2011 | 0.946 |
May 2011 | 0.700 |
June 2011 | 0.814 |
July 2011 | 0.489 |
August 2011 | 0.149 |
September 2011 | 0.020 |
October 2011 | 0.092 |
November 2011 | 0.080 |
December 2011 | -0.009 |
January 2012 | -0.087 |
February 2012 | -0.016 |
March 2012 | 0.147 |
April 2012 | -0.038 |
May 2012 | -0.264 |
June 2012 | -0.239 |
July 2012 | -0.289 |
August 2012 | -0.270 |
September 2012 | -0.255 |
October 2012 | -0.186 |
November 2012 | -0.267 |
December 2012 | -0.147 |
January 2013 | 0.000 |
February 2013 | -0.102 |
March 2013 | -0.157 |
April 2013 | -0.213 |
May 2013 | 0.113 |
June 2013 | 0.394 |
July 2013 | 0.503 |
August 2013 | 0.617 |
September 2013 | 0.482 |
October 2013 | 0.455 |
November 2013 | 0.531 |
December 2013 | 0.734 |
January 2014 | 0.528 |
February 2014 | 0.515 |
March 2014 | 0.613 |
April 2014 | 0.549 |
May 2014 | 0.448 |
June 2014 | 0.489 |
July 2014 | 0.490 |
August 2014 | 0.410 |
September 2014 | 0.503 |
October 2014 | 0.398 |
November 2014 | 0.303 |
December 2014 | 0.273 |
January 2015 | -0.009 |
February 2015 | 0.206 |
March 2015 | 0.104 |
April 2015 | 0.235 |
May 2015 | 0.296 |
June 2015 | 0.385 |
July 2015 | 0.256 |
August 2015 | 0.242 |
September 2015 | 0.161 |
October 2015 | 0.217 |
November 2015 | 0.208 |
December 2015 | 0.236 |
January 2016 | -0.017 |
February 2016 | -0.120 |
March 2016 | -0.098 |
April 2016 | -0.064 |
May 2016 | -0.075 |
June 2016 | -0.304 |
July 2016 | -0.286 |
August 2016 | -0.239 |
September 2016 | -0.231 |
October 2016 | -0.107 |
November 2016 | 0.254 |
December 2016 | 0.301 |
January 2017 | 0.300 |
February 2017 | 0.262 |
March 2017 | 0.167 |
April 2017 | 0.084 |
May 2017 | -0.027 |
June 2017 | 0.019 |
July 2017 | -0.015 |
August 2017 | -0.096 |
September 2017 | 0.011 |
October 2017 | 0.007 |
November 2017 | -0.005 |
December 2017 | -0.017 |
January 2018 | 0.190 |
February 2018 | 0.178 |
March 2018 | 0.187 |
April 2018 | 0.196 |
May 2018 | 0.129 |
June 2018 | 0.097 |
July 2018 | 0.151 |
August 2018 | 0.046 |
September 2018 | 0.142 |
October 2018 | 0.151 |
Note: Term premiums are estimated from a three-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.
Figure 1-3
This is a line chart titled "Option-Implied Volatility on the 10-Year Swap Rate." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 200 basis points. The data are monthly. The variable plotted, the option-implied volatility on the 10-year swap rate, is designated by a black line. It begins in 1997 at around 100 basis points. It rises to around 150 basis points in 2001, then steadily declines from 2003 to 2007 where it reaches around 50 basis points. It gradually rises from 2007 to 2009 peak of around 175 basis points. It then drops steeply to around 100 basis points in 2010, and then gradually declines to around 65 basis points in October 2018, with a brief rise to around 100 basis points in 2013.
Note: Implied volatility on the 10-year swap rate 1 year ahead, derived from swaptions.
Source: Barclays PLC, Barclays Live.
Figure 1-4
The is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 18 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "10-year 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 17 percent before falling sharply to around 8 percent in late 2009. It remains between 6 and 8 percent from 2010 to October 2018. The second line is labeled "10-year 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 sharply declines to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to October 2018.
Note: The 10-year triple-B reflects the effective yield of the ICE BofAML 7-to-10-year triple-B U.S. Corporate Index (C4A4), and the 10-year high-yield reflects the effective yield of the ICE BofAML 7-to-10-year U.S. Cash Pay High Yield Index (J4A0).
Source: ICE Data Indices, LLC, used with permission.
Figure 1-5
This is a line chart titled "Corporate Bond Spreads to Similar Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2018. The data are monthly, and there are two variables plotted on the chart. The first line is labeled "10-year 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 16 percentage points. It begins at around 3 percentage points in 1997, rises to around 8 percentage points from 2000 to 2002, then drops sharply to around 3 percentage points in 2003. It remains around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 15 percentage points. It then falls steeply in 2009 to around 4 percentage points, goes briefly up to around 6 percentage points in 2011 and 2012, falls gradually to around 3 percentage points from 2012 to 2014, rises gradually from 2014 to 2016 to 6 percentage points, then falls to around 4 percentage points again from 2016 to October 2018. The second line is labeled "10-year 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 8 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 1.5 percentage points and goes briefly up to around 2.5 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.
Note: The 10-year triple-B reflects the effective yield of the ICE BofAML 7-to-10-year triple-B U.S. Corporate Index (C4A4), and the 10-year high-yield reflects the effective yield of the ICE BofAML 7-to-10-year U.S. Cash Pay High Yield Index (J4A0). Treasury yields from smoothed yield curve estimated from off-the-run securities.
Source: ICE Data Indices, LLC, used with permission; Department of the Treasury.
Figure 1-6. Corporate Bond Premium over Expected Losses
Period | Standard deviations from the mean |
---|---|
January 1997 | -0.50 |
February 1997 | -0.70 |
March 1997 | -0.71 |
April 1997 | -0.64 |
May 1997 | -0.68 |
June 1997 | -0.80 |
July 1997 | -0.76 |
August 1997 | -0.74 |
September 1997 | -0.83 |
October 1997 | -0.60 |
November 1997 | -0.50 |
December 1997 | -0.61 |
January 1998 | -0.53 |
February 1998 | -0.50 |
March 1998 | -0.57 |
April 1998 | -0.69 |
May 1998 | -0.62 |
June 1998 | -0.58 |
July 1998 | -0.51 |
August 1998 | 0.06 |
September 1998 | 0.03 |
October 1998 | 0.21 |
November 1998 | 0.22 |
December 1998 | 0.01 |
January 1999 | 0.01 |
February 1999 | -0.34 |
March 1999 | -0.29 |
April 1999 | -0.36 |
May 1999 | -0.35 |
June 1999 | -0.27 |
July 1999 | -0.20 |
August 1999 | -0.11 |
September 1999 | 0.08 |
October 1999 | 0.10 |
November 1999 | 0.04 |
December 1999 | -0.29 |
January 2000 | -0.02 |
February 2000 | 0.07 |
March 2000 | 0.44 |
April 2000 | 0.67 |
May 2000 | 0.96 |
June 2000 | 1.01 |
July 2000 | 1.11 |
August 2000 | 1.35 |
September 2000 | 1.48 |
October 2000 | 2.07 |
November 2000 | 2.19 |
December 2000 | 2.17 |
January 2001 | 1.56 |
February 2001 | 1.60 |
March 2001 | 1.52 |
April 2001 | 1.26 |
May 2001 | 1.01 |
June 2001 | 1.34 |
July 2001 | 0.99 |
August 2001 | 0.97 |
September 2001 | 1.63 |
October 2001 | 1.37 |
November 2001 | -0.34 |
December 2001 | 0.50 |
January 2002 | 0.72 |
February 2002 | 1.00 |
March 2002 | 0.28 |
April 2002 | 0.49 |
May 2002 | 0.64 |
June 2002 | 1.28 |
July 2002 | 2.12 |
August 2002 | 2.00 |
September 2002 | 2.22 |
October 2002 | 1.97 |
November 2002 | 1.44 |
December 2002 | 1.22 |
January 2003 | 1.17 |
February 2003 | 0.82 |
March 2003 | 0.05 |
April 2003 | -0.05 |
May 2003 | -0.95 |
June 2003 | -0.71 |
July 2003 | -1.70 |
August 2003 | -0.36 |
September 2003 | -0.94 |
October 2003 | -0.84 |
November 2003 | -0.87 |
December 2003 | -0.81 |
January 2004 | -1.12 |
February 2004 | -0.56 |
March 2004 | -0.84 |
April 2004 | -1.16 |
May 2004 | -0.58 |
June 2004 | -0.60 |
July 2004 | -0.52 |
August 2004 | -0.70 |
September 2004 | -0.89 |
October 2004 | -0.85 |
November 2004 | -1.04 |
December 2004 | -1.12 |
January 2005 | -1.10 |
February 2005 | -1.46 |
March 2005 | -1.02 |
April 2005 | -0.71 |
May 2005 | -0.57 |
June 2005 | -0.82 |
July 2005 | -0.96 |
August 2005 | -0.98 |
September 2005 | -0.82 |
October 2005 | -0.65 |
November 2005 | -0.61 |
December 2005 | -0.58 |
January 2006 | -0.67 |
February 2006 | -0.61 |
March 2006 | -0.71 |
April 2006 | -0.77 |
May 2006 | -0.61 |
June 2006 | -0.67 |
July 2006 | -0.53 |
August 2006 | -0.58 |
September 2006 | -0.69 |
October 2006 | -0.72 |
November 2006 | -0.68 |
December 2006 | -0.84 |
January 2007 | -0.92 |
February 2007 | -0.96 |
March 2007 | -0.65 |
April 2007 | -0.65 |
May 2007 | -0.98 |
June 2007 | -0.68 |
July 2007 | -0.11 |
August 2007 | 0.07 |
September 2007 | -0.04 |
October 2007 | -0.18 |
November 2007 | 0.31 |
December 2007 | 0.52 |
January 2008 | 0.86 |
February 2008 | 1.16 |
March 2008 | 1.49 |
April 2008 | 0.77 |
May 2008 | 0.82 |
June 2008 | 0.97 |
July 2008 | 1.35 |
August 2008 | 1.57 |
September 2008 | 2.35 |
October 2008 | 4.59 |
November 2008 | 3.88 |
December 2008 | 4.04 |
January 2009 | 3.55 |
February 2009 | 4.23 |
March 2009 | 3.53 |
April 2009 | 2.96 |
May 2009 | 1.71 |
June 2009 | 1.09 |
July 2009 | 0.24 |
August 2009 | -0.14 |
September 2009 | -0.12 |
October 2009 | -0.40 |
November 2009 | -0.19 |
December 2009 | -0.84 |
January 2010 | -0.40 |
February 2010 | -0.10 |
March 2010 | -0.29 |
April 2010 | -0.48 |
May 2010 | -0.35 |
June 2010 | -0.13 |
July 2010 | 0.11 |
August 2010 | -0.68 |
September 2010 | -0.19 |
October 2010 | -0.13 |
November 2010 | -0.33 |
December 2010 | -0.70 |
January 2011 | -0.05 |
February 2011 | -0.44 |
March 2011 | -0.50 |
April 2011 | -0.44 |
May 2011 | -0.27 |
June 2011 | -0.09 |
July 2011 | -0.19 |
August 2011 | -0.38 |
September 2011 | 0.35 |
October 2011 | -0.41 |
November 2011 | 0.50 |
December 2011 | 0.15 |
January 2012 | 0.00 |
February 2012 | -0.16 |
March 2012 | -0.75 |
April 2012 | -0.49 |
May 2012 | -0.46 |
June 2012 | -0.04 |
July 2012 | -0.31 |
August 2012 | -0.61 |
September 2012 | -0.49 |
October 2012 | -0.50 |
November 2012 | -0.31 |
December 2012 | -0.44 |
January 2013 | -0.30 |
February 2013 | -0.23 |
March 2013 | -0.32 |
April 2013 | -0.38 |
May 2013 | -0.92 |
June 2013 | -0.71 |
July 2013 | -0.14 |
August 2013 | -0.30 |
September 2013 | -0.33 |
October 2013 | -0.16 |
November 2013 | -0.09 |
December 2013 | -0.29 |
January 2014 | -0.56 |
February 2014 | -0.41 |
March 2014 | -0.51 |
April 2014 | -0.65 |
May 2014 | -0.68 |
June 2014 | -0.58 |
July 2014 | -0.60 |
August 2014 | -0.61 |
September 2014 | -0.46 |
October 2014 | -0.48 |
November 2014 | -0.09 |
December 2014 | -0.10 |
January 2015 | -0.36 |
February 2015 | -0.71 |
March 2015 | -0.44 |
April 2015 | -0.22 |
May 2015 | -0.15 |
June 2015 | 0.05 |
July 2015 | 0.10 |
August 2015 | 0.37 |
September 2015 | 0.53 |
October 2015 | 0.39 |
November 2015 | 0.50 |
December 2015 | 0.75 |
January 2016 | 1.04 |
February 2016 | 1.07 |
March 2016 | 0.57 |
April 2016 | 0.07 |
May 2016 | 0.07 |
June 2016 | -0.27 |
July 2016 | -0.34 |
August 2016 | -0.32 |
September 2016 | -0.41 |
October 2016 | -0.36 |
November 2016 | -1.39 |
December 2016 | -0.55 |
January 2017 | -0.47 |
February 2017 | -0.47 |
March 2017 | -0.44 |
April 2017 | -0.37 |
May 2017 | -0.46 |
June 2017 | -0.41 |
July 2017 | -0.44 |
August 2017 | -0.36 |
September 2017 | -0.64 |
October 2017 | -0.55 |
November 2017 | -0.44 |
December 2017 | -0.54 |
January 2018 | -0.83 |
February 2018 | -0.60 |
March 2018 | -0.40 |
April 2018 | -0.67 |
May 2018 | -0.54 |
June 2018 | -0.21 |
July 2018 | -0.44 |
August 2018 | -0.39 |
September 2018 | -0.51 |
October 2018 | -0.29 |
Note: Data are normalized to have a sample mean of zero and standard deviation of one.
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 data, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.
Figure 1-7. Spreads on Newly Issued Institutional Leveraged Loans
Percentage points
Period | BB/BB- | B+/B |
---|---|---|
January 1998 | 2.64 | 2.67 |
February 1998 | 2.54 | 2.84 |
March 1998 | 2.65 | 2.89 |
April 1998 | 2.44 | 2.74 |
May 1998 | 2.32 | 2.85 |
June 1998 | 2.45 | 2.91 |
July 1998 | 2.50 | 2.81 |
August 1998 | 2.42 | 2.79 |
September 1998 | 2.89 | 2.92 |
October 1998 | 3.10 | 3.32 |
November 1998 | 3.37 | 3.66 |
December 1998 | 3.47 | 3.77 |
January 1999 | 3.05 | 3.35 |
February 1999 | 3.05 | 3.37 |
March 1999 | 2.67 | 3.45 |
April 1999 | 2.71 | 3.42 |
May 1999 | 2.78 | 3.29 |
June 1999 | 2.79 | 3.36 |
July 1999 | 2.77 | 3.34 |
August 1999 | 3.07 | 3.53 |
September 1999 | 3.20 | 3.65 |
October 1999 | 3.43 | 3.69 |
November 1999 | 3.25 | 3.73 |
December 1999 | 3.00 | 3.54 |
January 2000 | 2.92 | 3.45 |
February 2000 | 2.76 | 3.21 |
March 2000 | 3.02 | 3.52 |
April 2000 | 3.08 | 3.65 |
May 2000 | 2.92 | 3.50 |
June 2000 | 2.96 | 3.64 |
July 2000 | 3.27 | 3.87 |
August 2000 | 3.61 | 3.89 |
September 2000 | 3.61 | 3.90 |
October 2000 | 3.53 | ND |
November 2000 | 3.12 | 3.94 |
December 2000 | 3.35 | 3.63 |
January 2001 | 3.34 | 3.59 |
February 2001 | 3.31 | 3.88 |
March 2001 | 3.14 | 3.70 |
April 2001 | 3.31 | 3.83 |
May 2001 | 2.94 | 3.60 |
June 2001 | 3.16 | 3.63 |
July 2001 | 3.29 | 3.92 |
August 2001 | 3.33 | 4.00 |
September 2001 | 3.45 | ND |
October 2001 | 4.25 | ND |
November 2001 | 3.44 | ND |
December 2001 | 3.10 | ND |
January 2002 | 3.33 | 4.00 |
February 2002 | 2.83 | 4.00 |
March 2002 | 3.01 | 4.25 |
April 2002 | 3.00 | ND |
May 2002 | 2.61 | 3.88 |
June 2002 | 2.48 | 3.25 |
July 2002 | 2.82 | 3.70 |
August 2002 | 3.17 | 4.17 |
September 2002 | 3.25 | 3.81 |
October 2002 | 3.75 | ND |
November 2002 | 3.93 | 4.08 |
December 2002 | 3.71 | 4.00 |
January 2003 | 3.07 | 3.92 |
February 2003 | 3.25 | 4.15 |
March 2003 | 3.83 | 4.25 |
April 2003 | 3.18 | 4.25 |
May 2003 | 3.12 | 4.05 |
June 2003 | 2.79 | 3.20 |
July 2003 | 2.69 | 3.45 |
August 2003 | 2.75 | 3.57 |
September 2003 | 2.95 | 3.50 |
October 2003 | 2.61 | 3.32 |
November 2003 | 2.38 | 2.90 |
December 2003 | 2.48 | 2.91 |
January 2004 | 2.16 | 3.07 |
February 2004 | 2.36 | 2.94 |
March 2004 | 2.25 | 2.79 |
April 2004 | 2.38 | 2.98 |
May 2004 | 2.29 | 3.27 |
June 2004 | 2.15 | 2.93 |
July 2004 | 2.04 | 2.74 |
August 2004 | 2.23 | 3.00 |
September 2004 | 2.28 | 2.72 |
October 2004 | 2.25 | 2.71 |
November 2004 | 2.10 | 2.66 |
December 2004 | 1.96 | 2.55 |
January 2005 | 2.02 | 2.65 |
February 2005 | 2.00 | 2.55 |
March 2005 | 1.81 | 2.35 |
April 2005 | 1.69 | 2.63 |
May 2005 | 2.04 | 2.86 |
June 2005 | 1.89 | 2.68 |
July 2005 | 1.81 | 2.43 |
August 2005 | 1.78 | 2.50 |
September 2005 | 1.77 | 2.54 |
October 2005 | 1.75 | 2.69 |
November 2005 | 1.69 | 2.66 |
December 2005 | 1.85 | 2.63 |
January 2006 | 1.88 | 2.62 |
February 2006 | 1.69 | 2.53 |
March 2006 | 1.64 | 2.54 |
April 2006 | 1.61 | 2.36 |
May 2006 | 1.75 | 2.45 |
June 2006 | 1.93 | 2.77 |
July 2006 | 2.13 | 2.85 |
August 2006 | 1.94 | 3.01 |
September 2006 | 1.92 | 2.64 |
October 2006 | 2.03 | 2.74 |
November 2006 | 2.00 | 2.83 |
December 2006 | 1.88 | 2.71 |
January 2007 | 1.65 | 2.34 |
February 2007 | 1.57 | 2.14 |
March 2007 | 1.72 | 2.19 |
April 2007 | 1.73 | 2.37 |
May 2007 | 1.70 | 2.33 |
June 2007 | 1.78 | 2.44 |
July 2007 | 2.40 | 2.93 |
August 2007 | ND | 3.39 |
September 2007 | ND | 3.17 |
October 2007 | 2.25 | 3.26 |
November 2007 | 2.42 | 3.29 |
December 2007 | 2.50 | 3.50 |
January 2008 | ND | 3.64 |
February 2008 | ND | 4.04 |
March 2008 | ND | 4.06 |
April 2008 | ND | 3.92 |
May 2008 | 2.17 | 3.60 |
June 2008 | 2.42 | 3.53 |
July 2008 | 3.06 | 3.89 |
August 2008 | 3.08 | 3.88 |
September 2008 | 3.74 | 4.42 |
October 2008 | ND | ND |
November 2008 | ND | ND |
December 2008 | ND | ND |
January 2009 | ND | ND |
February 2009 | ND | ND |
March 2009 | ND | ND |
April 2009 | ND | ND |
May 2009 | ND | ND |
June 2009 | ND | ND |
July 2009 | ND | ND |
August 2009 | ND | ND |
September 2009 | ND | ND |
October 2009 | ND | 4.66 |
November 2009 | 3.65 | 4.13 |
December 2009 | 3.25 | 4.31 |
January 2010 | ND | 3.96 |
February 2010 | ND | 3.97 |
March 2010 | 3.25 | 4.00 |
April 2010 | 3.28 | 4.06 |
May 2010 | 3.39 | 4.28 |
June 2010 | 4.17 | 5.18 |
July 2010 | 4.13 | 5.48 |
August 2010 | 4.13 | 5.00 |
September 2010 | 4.11 | 4.75 |
October 2010 | 3.71 | 4.79 |
November 2010 | 3.75 | 4.62 |
December 2010 | 3.65 | 4.72 |
January 2011 | 3.36 | 4.30 |
February 2011 | 3.20 | 3.81 |
March 2011 | 3.05 | 4.30 |
April 2011 | 2.94 | 4.21 |
May 2011 | 3.08 | 4.08 |
June 2011 | 3.26 | 4.55 |
July 2011 | 3.50 | 5.14 |
August 2011 | 3.42 | 5.48 |
September 2011 | 4.25 | 5.92 |
October 2011 | 4.08 | 6.25 |
November 2011 | 3.35 | 5.16 |
December 2011 | 3.13 | 5.18 |
January 2012 | 3.21 | 5.38 |
February 2012 | 3.14 | 4.58 |
March 2012 | 3.30 | 4.44 |
April 2012 | 3.50 | 4.72 |
May 2012 | 3.85 | 5.13 |
June 2012 | 4.18 | 5.64 |
July 2012 | 3.82 | 5.29 |
August 2012 | 3.29 | 4.51 |
September 2012 | 3.16 | 4.29 |
October 2012 | 3.50 | 4.34 |
November 2012 | 3.36 | 4.71 |
December 2012 | 3.00 | 4.55 |
January 2013 | 2.73 | 3.66 |
February 2013 | 2.82 | 3.74 |
March 2013 | 2.86 | 4.00 |
April 2013 | 2.60 | 3.77 |
May 2013 | 2.56 | 3.69 |
June 2013 | 3.04 | 4.00 |
July 2013 | 3.21 | 3.96 |
August 2013 | 2.79 | 3.90 |
September 2013 | 2.86 | 3.90 |
October 2013 | 2.75 | 3.96 |
November 2013 | 2.80 | 3.67 |
December 2013 | 2.67 | 3.63 |
January 2014 | 2.48 | 3.54 |
February 2014 | 2.62 | 3.76 |
March 2014 | 2.75 | 3.59 |
April 2014 | 3.13 | 3.86 |
May 2014 | 3.44 | 4.12 |
June 2014 | 3.20 | 4.07 |
July 2014 | 2.92 | 3.78 |
August 2014 | 3.17 | 4.13 |
September 2014 | 3.42 | 4.18 |
October 2014 | 3.64 | 4.53 |
November 2014 | 3.50 | 4.64 |
December 2014 | 3.75 | 4.65 |
January 2015 | ND | 4.78 |
February 2015 | 3.42 | 4.76 |
March 2015 | 3.13 | 4.08 |
April 2015 | 3.28 | 4.00 |
May 2015 | 3.11 | 3.83 |
June 2015 | 3.06 | 4.05 |
July 2015 | 3.21 | 4.04 |
August 2015 | 3.10 | 3.89 |
September 2015 | ND | 4.42 |
October 2015 | 3.25 | 4.63 |
November 2015 | 3.39 | 4.51 |
December 2015 | 3.95 | 4.52 |
January 2016 | 3.79 | 4.58 |
February 2016 | 3.88 | 5.04 |
March 2016 | 3.63 | 5.07 |
April 2016 | 3.69 | 4.66 |
May 2016 | 3.06 | 4.28 |
June 2016 | 3.05 | 4.21 |
July 2016 | 3.16 | 4.47 |
August 2016 | 3.15 | 4.51 |
September 2016 | 2.85 | 4.10 |
October 2016 | 2.77 | 4.00 |
November 2016 | 2.89 | 4.03 |
December 2016 | 2.68 | 3.88 |
January 2017 | 2.48 | 3.67 |
February 2017 | 2.56 | 3.98 |
March 2017 | 2.43 | 3.82 |
April 2017 | 2.50 | 3.93 |
May 2017 | 2.39 | 3.52 |
June 2017 | 2.40 | 3.70 |
July 2017 | 2.49 | 4.04 |
August 2017 | 2.75 | 3.85 |
September 2017 | 2.30 | 3.68 |
October 2017 | 2.45 | 4.04 |
November 2017 | 2.44 | 3.72 |
December 2017 | 2.33 | 3.75 |
January 2018 | 2.29 | 3.38 |
February 2018 | 2.26 | 3.39 |
March 2018 | 2.10 | 3.36 |
April 2018 | 2.17 | 3.44 |
May 2018 | 2.04 | 3.47 |
June 2018 | 2.32 | 3.79 |
July 2018 | 2.58 | 3.83 |
August 2018 | 2.36 | 3.69 |
September 2018 | 2.74 | 3.86 |
Note: Breaks in the series represent periods with no issuance. Spreads are calculated against three-month LIBOR (London interbank offered rate). The spreads do not include up-front fees.
Source: S&P Global, Leveraged Commentary & Data.
Figure 1-8
This is a line chart titled "Change in Bank Lending Standards for C&I Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. 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. The variable begins around -15 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. It gradually increases from 2005 to 2008, reaching its peak of around 80 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, ending just above -20 percent in the third quarter of 2018.
Note: Banks' responses are weighted by their C&I loan market shares. Results are shown for loans to large and medium-sized firms. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009. C&I is commercial and industrial.
Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.
Figure 1-9. Forward Price-to-Earnings Ratio of S&P 500 Firms
Period | Ratio |
---|---|
January 1988 | 10.33 |
February 1988 | 10.89 |
March 1988 | 11.05 |
April 1988 | 10.98 |
May 1988 | 9.88 |
June 1988 | 10.66 |
July 1988 | 10.33 |
August 1988 | 9.78 |
September 1988 | 9.99 |
October 1988 | 10.12 |
November 1988 | 9.47 |
December 1988 | 9.81 |
January 1989 | 10.06 |
February 1989 | 10.14 |
March 1989 | 10.12 |
April 1989 | 10.43 |
May 1989 | 10.73 |
June 1989 | 10.85 |
July 1989 | 11.24 |
August 1989 | 11.56 |
September 1989 | 11.51 |
October 1989 | 11.47 |
November 1989 | 11.52 |
December 1989 | 11.88 |
January 1990 | 11.53 |
February 1990 | 11.32 |
March 1990 | 11.49 |
April 1990 | 11.65 |
May 1990 | 12.07 |
June 1990 | 12.38 |
July 1990 | 12.39 |
August 1990 | 11.50 |
September 1990 | 10.79 |
October 1990 | 10.30 |
November 1990 | 11.18 |
December 1990 | 11.66 |
January 1991 | 11.25 |
February 1991 | 13.43 |
March 1991 | 13.77 |
April 1991 | 14.45 |
May 1991 | 13.64 |
June 1991 | 13.90 |
July 1991 | 14.15 |
August 1991 | 14.40 |
September 1991 | 14.21 |
October 1991 | 14.31 |
November 1991 | 14.46 |
December 1991 | 14.01 |
January 1992 | 15.37 |
February 1992 | 15.00 |
March 1992 | 14.85 |
April 1992 | 14.81 |
May 1992 | 14.70 |
June 1992 | 14.01 |
July 1992 | 14.43 |
August 1992 | 14.45 |
September 1992 | 14.41 |
October 1992 | 14.00 |
November 1992 | 14.52 |
December 1992 | 14.70 |
January 1993 | 14.62 |
February 1993 | 14.67 |
March 1993 | 15.01 |
April 1993 | 15.04 |
May 1993 | 14.71 |
June 1993 | 14.64 |
July 1993 | 14.63 |
August 1993 | 14.76 |
September 1993 | 14.81 |
October 1993 | 14.64 |
November 1993 | 14.67 |
December 1993 | 14.48 |
January 1994 | 14.74 |
February 1994 | 14.60 |
March 1994 | 14.33 |
April 1994 | 13.46 |
May 1994 | 13.42 |
June 1994 | 13.46 |
July 1994 | 13.00 |
August 1994 | 13.20 |
September 1994 | 13.10 |
October 1994 | 12.92 |
November 1994 | 12.56 |
December 1994 | 12.09 |
January 1995 | 12.32 |
February 1995 | 12.48 |
March 1995 | 12.50 |
April 1995 | 12.66 |
May 1995 | 12.90 |
June 1995 | 13.05 |
July 1995 | 13.30 |
August 1995 | 13.36 |
September 1995 | 13.68 |
October 1995 | 13.77 |
November 1995 | 13.80 |
December 1995 | 14.32 |
January 1996 | 14.01 |
February 1996 | 15.23 |
March 1996 | 14.80 |
April 1996 | 14.79 |
May 1996 | 15.20 |
June 1996 | 14.71 |
July 1996 | 14.40 |
August 1996 | 14.92 |
September 1996 | 15.25 |
October 1996 | 15.62 |
November 1996 | 16.07 |
December 1996 | 15.85 |
January 1997 | 16.46 |
February 1997 | 17.36 |
March 1997 | 16.65 |
April 1997 | 16.02 |
May 1997 | 17.38 |
June 1997 | 18.39 |
July 1997 | 19.23 |
August 1997 | 18.68 |
September 1997 | 18.92 |
October 1997 | 19.20 |
November 1997 | 18.60 |
December 1997 | 18.87 |
January 1998 | 18.66 |
February 1998 | 20.36 |
March 1998 | 21.42 |
April 1998 | 21.90 |
May 1998 | 21.69 |
June 1998 | 21.42 |
July 1998 | 22.77 |
August 1998 | 21.16 |
September 1998 | 20.01 |
October 1998 | 19.28 |
November 1998 | 22.02 |
December 1998 | 22.30 |
January 1999 | 23.71 |
February 1999 | 23.53 |
March 1999 | 24.73 |
April 1999 | 24.96 |
May 1999 | 24.74 |
June 1999 | 24.30 |
July 1999 | 25.44 |
August 1999 | 23.91 |
September 1999 | 23.47 |
October 1999 | 22.55 |
November 1999 | 24.50 |
December 1999 | 24.42 |
January 2000 | 24.85 |
February 2000 | 24.03 |
March 2000 | 23.73 |
April 2000 | 23.91 |
May 2000 | 23.89 |
June 2000 | 24.10 |
July 2000 | 24.09 |
August 2000 | 23.86 |
September 2000 | 23.85 |
October 2000 | 21.44 |
November 2000 | 22.24 |
December 2000 | 22.10 |
January 2001 | 21.98 |
February 2001 | 22.07 |
March 2001 | 19.71 |
April 2001 | 21.41 |
May 2001 | 22.23 |
June 2001 | 21.67 |
July 2001 | 21.61 |
August 2001 | 21.17 |
September 2001 | 18.42 |
October 2001 | 20.37 |
November 2001 | 21.49 |
December 2001 | 21.57 |
January 2002 | 21.00 |
February 2002 | 20.47 |
March 2002 | 20.75 |
April 2002 | 20.17 |
May 2002 | 19.40 |
June 2002 | 18.11 |
July 2002 | 16.15 |
August 2002 | 16.60 |
September 2002 | 15.72 |
October 2002 | 15.77 |
November 2002 | 16.01 |
December 2002 | 16.12 |
January 2003 | 16.48 |
February 2003 | 15.33 |
March 2003 | 15.70 |
April 2003 | 15.67 |
May 2003 | 16.55 |
June 2003 | 17.68 |
July 2003 | 17.27 |
August 2003 | 16.94 |
September 2003 | 17.41 |
October 2003 | 17.50 |
November 2003 | 17.10 |
December 2003 | 17.43 |
January 2004 | 18.10 |
February 2004 | 18.09 |
March 2004 | 17.40 |
April 2004 | 17.10 |
May 2004 | 15.97 |
June 2004 | 16.41 |
July 2004 | 15.92 |
August 2004 | 15.51 |
September 2004 | 15.77 |
October 2004 | 15.49 |
November 2004 | 16.17 |
December 2004 | 16.32 |
January 2005 | 15.95 |
February 2005 | 16.17 |
March 2005 | 15.64 |
April 2005 | 15.30 |
May 2005 | 15.27 |
June 2005 | 15.41 |
July 2005 | 15.41 |
August 2005 | 15.14 |
September 2005 | 14.95 |
October 2005 | 14.33 |
November 2005 | 14.61 |
December 2005 | 14.98 |
January 2006 | 14.90 |
February 2006 | 14.93 |
March 2006 | 15.06 |
April 2006 | 14.99 |
May 2006 | 14.29 |
June 2006 | 13.69 |
July 2006 | 13.90 |
August 2006 | 14.13 |
September 2006 | 14.26 |
October 2006 | 14.65 |
November 2006 | 14.81 |
December 2006 | 14.83 |
January 2007 | 15.01 |
February 2007 | 15.39 |
March 2007 | 14.56 |
April 2007 | 15.31 |
May 2007 | 15.51 |
June 2007 | 15.30 |
July 2007 | 15.41 |
August 2007 | 13.87 |
September 2007 | 15.01 |
October 2007 | 15.01 |
November 2007 | 14.32 |
December 2007 | 14.20 |
January 2008 | 13.49 |
February 2008 | 13.67 |
March 2008 | 13.09 |
April 2008 | 13.80 |
May 2008 | 14.30 |
June 2008 | 13.51 |
July 2008 | 12.60 |
August 2008 | 13.29 |
September 2008 | 12.01 |
October 2008 | 9.93 |
November 2008 | 9.74 |
December 2008 | 11.87 |
January 2009 | 11.48 |
February 2009 | 12.46 |
March 2009 | 12.42 |
April 2009 | 13.51 |
May 2009 | 14.66 |
June 2009 | 14.73 |
July 2009 | 14.80 |
August 2009 | 15.20 |
September 2009 | 15.91 |
October 2009 | 15.85 |
November 2009 | 15.12 |
December 2009 | 14.89 |
January 2010 | 14.80 |
February 2010 | 13.81 |
March 2010 | 14.44 |
April 2010 | 14.83 |
May 2010 | 12.99 |
June 2010 | 12.82 |
July 2010 | 12.49 |
August 2010 | 12.10 |
September 2010 | 12.36 |
October 2010 | 12.84 |
November 2010 | 12.57 |
December 2010 | 13.03 |
January 2011 | 13.21 |
February 2011 | 13.70 |
March 2011 | 12.61 |
April 2011 | 12.97 |
May 2011 | 12.90 |
June 2011 | 12.07 |
July 2011 | 12.64 |
August 2011 | 11.28 |
September 2011 | 11.24 |
October 2011 | 11.50 |
November 2011 | 11.68 |
December 2011 | 11.40 |
January 2012 | 12.33 |
February 2012 | 12.63 |
March 2012 | 12.96 |
April 2012 | 12.66 |
May 2012 | 12.01 |
June 2012 | 11.89 |
July 2012 | 12.59 |
August 2012 | 12.92 |
September 2012 | 13.34 |
October 2012 | 13.21 |
November 2012 | 12.19 |
December 2012 | 12.86 |
January 2013 | 13.12 |
February 2013 | 13.53 |
March 2013 | 13.72 |
April 2013 | 13.59 |
May 2013 | 14.48 |
June 2013 | 14.10 |
July 2013 | 14.51 |
August 2013 | 14.58 |
September 2013 | 14.84 |
October 2013 | 14.71 |
November 2013 | 15.03 |
December 2013 | 15.20 |
January 2014 | 15.42 |
February 2014 | 15.44 |
March 2014 | 15.60 |
April 2014 | 15.49 |
May 2014 | 15.45 |
June 2014 | 15.83 |
July 2014 | 15.97 |
August 2014 | 15.55 |
September 2014 | 15.89 |
October 2014 | 14.76 |
November 2014 | 16.19 |
December 2014 | 16.11 |
January 2015 | 16.23 |
February 2015 | 17.35 |
March 2015 | 17.27 |
April 2015 | 17.29 |
May 2015 | 17.09 |
June 2015 | 16.96 |
July 2015 | 16.98 |
August 2015 | 16.75 |
September 2015 | 16.09 |
October 2015 | 16.14 |
November 2015 | 16.80 |
December 2015 | 16.69 |
January 2016 | 15.29 |
February 2016 | 15.91 |
March 2016 | 16.71 |
April 2016 | 17.09 |
May 2016 | 16.67 |
June 2016 | 16.74 |
July 2016 | 17.39 |
August 2016 | 17.52 |
September 2016 | 16.92 |
October 2016 | 16.89 |
November 2016 | 16.95 |
December 2016 | 17.33 |
January 2017 | 17.27 |
February 2017 | 17.91 |
March 2017 | 18.04 |
April 2017 | 17.54 |
May 2017 | 17.50 |
June 2017 | 17.91 |
July 2017 | 18.23 |
August 2017 | 18.09 |
September 2017 | 18.18 |
October 2017 | 18.44 |
November 2017 | 18.15 |
December 2017 | 18.64 |
January 2018 | 18.72 |
February 2018 | 17.28 |
March 2018 | 17.37 |
April 2018 | 16.92 |
May 2018 | 16.69 |
June 2018 | 16.84 |
July 2018 | 17.03 |
August 2018 | 16.83 |
September 2018 | 17.21 |
October 2018 | 16.49 |
Note: Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Median: 15.0037.
Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates.
Figure 1-10. Spread of Forward Earnings-to-Price Ratio of S&P 500 Firms to 10-Year Real Treasury Bond Yield
Period | Percentage points |
---|---|
January 1988 | 5.15 |
February 1988 | 5.08 |
March 1988 | 4.79 |
April 1988 | 4.52 |
May 1988 | 5.21 |
June 1988 | 4.67 |
July 1988 | 4.88 |
August 1988 | 5.25 |
September 1988 | 5.33 |
October 1988 | 5.33 |
November 1988 | 5.87 |
December 1988 | 5.36 |
January 1989 | 5.02 |
February 1989 | 4.87 |
March 1989 | 4.72 |
April 1989 | 4.59 |
May 1989 | 4.61 |
June 1989 | 5.06 |
July 1989 | 4.91 |
August 1989 | 4.57 |
September 1989 | 4.51 |
October 1989 | 4.77 |
November 1989 | 4.90 |
December 1989 | 4.68 |
January 1990 | 4.32 |
February 1990 | 4.21 |
March 1990 | 3.96 |
April 1990 | 3.93 |
May 1990 | 3.65 |
June 1990 | 3.70 |
July 1990 | 3.71 |
August 1990 | 4.08 |
September 1990 | 4.49 |
October 1990 | 5.06 |
November 1990 | 4.63 |
December 1990 | 4.55 |
January 1991 | 4.71 |
February 1991 | 3.50 |
March 1991 | 3.07 |
April 1991 | 2.81 |
May 1991 | 3.17 |
June 1991 | 2.84 |
July 1991 | 2.75 |
August 1991 | 2.96 |
September 1991 | 3.29 |
October 1991 | 3.32 |
November 1991 | 3.30 |
December 1991 | 3.81 |
January 1992 | 2.88 |
February 1992 | 2.80 |
March 1992 | 2.74 |
April 1992 | 3.00 |
May 1992 | 3.14 |
June 1992 | 3.59 |
July 1992 | 3.58 |
August 1992 | 3.78 |
September 1992 | 3.93 |
October 1992 | 3.84 |
November 1992 | 3.38 |
December 1992 | 3.39 |
January 1993 | 3.49 |
February 1993 | 3.80 |
March 1993 | 3.87 |
April 1993 | 4.09 |
May 1993 | 4.23 |
June 1993 | 4.41 |
July 1993 | 4.33 |
August 1993 | 4.35 |
September 1993 | 4.65 |
October 1993 | 4.77 |
November 1993 | 4.38 |
December 1993 | 4.45 |
January 1994 | 4.36 |
February 1994 | 4.18 |
March 1994 | 3.80 |
April 1994 | 3.83 |
May 1994 | 3.68 |
June 1994 | 3.74 |
July 1994 | 3.80 |
August 1994 | 3.75 |
September 1994 | 3.59 |
October 1994 | 3.44 |
November 1994 | 3.47 |
December 1994 | 3.89 |
January 1995 | 3.54 |
February 1995 | 3.76 |
March 1995 | 3.99 |
April 1995 | 4.09 |
May 1995 | 4.38 |
June 1995 | 4.72 |
July 1995 | 4.32 |
August 1995 | 4.08 |
September 1995 | 4.18 |
October 1995 | 4.12 |
November 1995 | 4.22 |
December 1995 | 4.16 |
January 1996 | 4.37 |
February 1996 | 3.65 |
March 1996 | 3.35 |
April 1996 | 3.10 |
May 1996 | 2.74 |
June 1996 | 2.82 |
July 1996 | 3.03 |
August 1996 | 3.03 |
September 1996 | 2.65 |
October 1996 | 2.80 |
November 1996 | 2.94 |
December 1996 | 2.95 |
January 1997 | 2.45 |
February 1997 | 2.28 |
March 1997 | 2.22 |
April 1997 | 2.11 |
May 1997 | 1.82 |
June 1997 | 1.70 |
July 1997 | 1.88 |
August 1997 | 1.93 |
September 1997 | 1.94 |
October 1997 | 1.68 |
November 1997 | 2.03 |
December 1997 | 2.05 |
January 1998 | 2.30 |
February 1998 | 1.78 |
March 1998 | 1.46 |
April 1998 | 1.27 |
May 1998 | 1.29 |
June 1998 | 1.50 |
July 1998 | 1.28 |
August 1998 | 1.76 |
September 1998 | 2.48 |
October 1998 | 2.86 |
November 1998 | 1.96 |
December 1998 | 2.04 |
January 1999 | 1.44 |
February 1999 | 1.20 |
March 1999 | 0.76 |
April 1999 | 1.01 |
May 1999 | 0.71 |
June 1999 | 0.43 |
July 1999 | 0.33 |
August 1999 | 0.40 |
September 1999 | 0.46 |
October 1999 | 0.43 |
November 1999 | 0.24 |
December 1999 | 0.03 |
January 2000 | -0.30 |
February 2000 | -0.04 |
March 2000 | 0.21 |
April 2000 | 0.42 |
May 2000 | 0.02 |
June 2000 | 0.32 |
July 2000 | 0.41 |
August 2000 | 0.63 |
September 2000 | 0.63 |
October 2000 | 1.21 |
November 2000 | 1.10 |
December 2000 | 1.57 |
January 2001 | 1.67 |
February 2001 | 1.68 |
March 2001 | 2.39 |
April 2001 | 1.78 |
May 2001 | 1.40 |
June 2001 | 1.61 |
July 2001 | 1.68 |
August 2001 | 1.98 |
September 2001 | 2.88 |
October 2001 | 2.60 |
November 2001 | 2.26 |
December 2001 | 1.78 |
January 2002 | 1.94 |
February 2002 | 2.15 |
March 2002 | 1.72 |
April 2002 | 1.97 |
May 2002 | 2.26 |
June 2002 | 2.86 |
July 2002 | 3.79 |
August 2002 | 3.99 |
September 2002 | 4.70 |
October 2002 | 4.54 |
November 2002 | 4.37 |
December 2002 | 4.34 |
January 2003 | 4.27 |
February 2003 | 4.88 |
March 2003 | 4.83 |
April 2003 | 4.72 |
May 2003 | 4.80 |
June 2003 | 4.65 |
July 2003 | 4.15 |
August 2003 | 3.76 |
September 2003 | 3.80 |
October 2003 | 3.77 |
November 2003 | 3.90 |
December 2003 | 3.83 |
January 2004 | 3.75 |
February 2004 | 3.81 |
March 2004 | 4.29 |
April 2004 | 3.85 |
May 2004 | 3.88 |
June 2004 | 3.71 |
July 2004 | 4.14 |
August 2004 | 4.51 |
September 2004 | 4.58 |
October 2004 | 4.72 |
November 2004 | 4.36 |
December 2004 | 4.29 |
January 2005 | 4.40 |
February 2005 | 4.39 |
March 2005 | 4.26 |
April 2005 | 4.61 |
May 2005 | 4.83 |
June 2005 | 4.92 |
July 2005 | 4.74 |
August 2005 | 4.77 |
September 2005 | 4.91 |
October 2005 | 4.92 |
November 2005 | 4.69 |
December 2005 | 4.60 |
January 2006 | 4.71 |
February 2006 | 4.54 |
March 2006 | 4.32 |
April 2006 | 4.10 |
May 2006 | 4.31 |
June 2006 | 4.62 |
July 2006 | 4.54 |
August 2006 | 4.64 |
September 2006 | 4.72 |
October 2006 | 4.53 |
November 2006 | 4.59 |
December 2006 | 4.61 |
January 2007 | 4.18 |
February 2007 | 4.05 |
March 2007 | 4.57 |
April 2007 | 4.16 |
May 2007 | 4.03 |
June 2007 | 3.76 |
July 2007 | 3.81 |
August 2007 | 4.81 |
September 2007 | 4.43 |
October 2007 | 4.43 |
November 2007 | 5.08 |
December 2007 | 5.17 |
January 2008 | 5.99 |
February 2008 | 5.87 |
March 2008 | 6.41 |
April 2008 | 5.86 |
May 2008 | 5.40 |
June 2008 | 5.60 |
July 2008 | 6.25 |
August 2008 | 5.96 |
September 2008 | 6.93 |
October 2008 | 8.31 |
November 2008 | 8.73 |
December 2008 | 7.99 |
January 2009 | 8.05 |
February 2009 | 7.04 |
March 2009 | 7.20 |
April 2009 | 6.65 |
May 2009 | 5.70 |
June 2009 | 5.24 |
July 2009 | 5.39 |
August 2009 | 5.20 |
September 2009 | 5.11 |
October 2009 | 4.94 |
November 2009 | 5.24 |
December 2009 | 5.20 |
January 2010 | 5.25 |
February 2010 | 5.78 |
March 2010 | 5.46 |
April 2010 | 5.21 |
May 2010 | 6.54 |
June 2010 | 6.85 |
July 2010 | 7.16 |
August 2010 | 7.77 |
September 2010 | 7.63 |
October 2010 | 7.35 |
November 2010 | 7.33 |
December 2010 | 6.48 |
January 2011 | 6.40 |
February 2011 | 5.96 |
March 2011 | 6.74 |
April 2011 | 6.58 |
May 2011 | 6.91 |
June 2011 | 7.61 |
July 2011 | 7.23 |
August 2011 | 8.90 |
September 2011 | 9.25 |
October 2011 | 8.98 |
November 2011 | 9.01 |
December 2011 | 9.26 |
January 2012 | 8.42 |
February 2012 | 8.23 |
March 2012 | 7.81 |
April 2012 | 8.31 |
May 2012 | 9.01 |
June 2012 | 9.28 |
July 2012 | 8.78 |
August 2012 | 8.40 |
September 2012 | 8.13 |
October 2012 | 8.14 |
November 2012 | 8.87 |
December 2012 | 8.38 |
January 2013 | 8.02 |
February 2013 | 7.71 |
March 2013 | 7.63 |
April 2013 | 7.92 |
May 2013 | 7.28 |
June 2013 | 7.07 |
July 2013 | 6.49 |
August 2013 | 6.28 |
September 2013 | 6.10 |
October 2013 | 6.45 |
November 2013 | 6.19 |
December 2013 | 5.93 |
January 2014 | 5.89 |
February 2014 | 6.03 |
March 2014 | 5.95 |
April 2014 | 5.96 |
May 2014 | 6.14 |
June 2014 | 5.94 |
July 2014 | 5.89 |
August 2014 | 6.17 |
September 2014 | 5.92 |
October 2014 | 6.63 |
November 2014 | 6.00 |
December 2014 | 6.16 |
January 2015 | 6.34 |
February 2015 | 5.83 |
March 2015 | 5.79 |
April 2015 | 5.93 |
May 2015 | 5.72 |
June 2015 | 5.60 |
July 2015 | 5.68 |
August 2015 | 5.92 |
September 2015 | 6.15 |
October 2015 | 6.24 |
November 2015 | 5.78 |
December 2015 | 5.84 |
January 2016 | 6.52 |
February 2016 | 6.57 |
March 2016 | 6.16 |
April 2016 | 6.21 |
May 2016 | 6.35 |
June 2016 | 6.50 |
July 2016 | 6.37 |
August 2016 | 6.27 |
September 2016 | 6.40 |
October 2016 | 6.35 |
November 2016 | 5.93 |
December 2016 | 5.43 |
January 2017 | 5.61 |
February 2017 | 5.42 |
March 2017 | 5.32 |
April 2017 | 5.67 |
May 2017 | 5.67 |
June 2017 | 5.67 |
July 2017 | 5.39 |
August 2017 | 5.54 |
September 2017 | 5.53 |
October 2017 | 5.25 |
November 2017 | 5.34 |
December 2017 | 5.14 |
January 2018 | 5.00 |
February 2018 | 5.15 |
March 2018 | 5.15 |
April 2018 | 5.34 |
May 2018 | 5.31 |
June 2018 | 5.31 |
July 2018 | 5.17 |
August 2018 | 5.25 |
September 2018 | 5.00 |
October 2018 | 5.11 |
Note: Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Treasury yields from smoothed yield curve estimated from off-the-run securities. Median: 4.560285.
Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates; Department of the Treasury.
Figure 1-11
This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from 0 to 70 percent. The data are monthly averages. The first line is labeled "S&P 500 volatility index (VIX)" 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 15 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 in mid-2018 to around 20 percent, before ending in October 2018 at around 20 percent. 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 gradually declines until late 2015, when it 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, when it spikes to around 15 percent before ending in October 2018 at around 10 percent.
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 LP.
Figure 1-12
This is a line chart titled "Commercial Real Estate Prices (Real)." The x-axis measures time and ranges from the years 1998 to 2018. The y-axis ranges from 60 to 200, which are indexed prices, with 100 being prices in January 2011. The data are monthly. There is one variable plotted, which is the commercial real estate prices index. It is designated by a black line and ranges from around 80-170. The curve rises from around 80 in 1998 to about 160 in 2007. It then decreases at a slightly steeper rate to around 100 in 2011. From then it increases again to reach around 170 in 2017, and ends at a similar level in August 2018.
Note: Series deflated using the consumer price index for all urban consumers less food and energy and seasonally adjusted by Board staff.
Source: CoStar Group, Inc., CoStar Commercial Repeat Sale Indices (CCRSI); Bureau of Labor Statistics consumer price index via Haver Analytics.
Figure 1-13. Capitalization Rate at Property Purchase
Period | Percent |
---|---|
January 2001 | 8.51 |
February 2001 | 8.55 |
March 2001 | 8.57 |
April 2001 | 8.58 |
May 2001 | 8.65 |
June 2001 | 8.69 |
July 2001 | 8.77 |
August 2001 | 8.85 |
September 2001 | 8.98 |
October 2001 | 9.00 |
November 2001 | 8.99 |
December 2001 | 9.02 |
January 2002 | 9.01 |
February 2002 | 9.01 |
March 2002 | 8.93 |
April 2002 | 8.90 |
May 2002 | 8.74 |
June 2002 | 8.68 |
July 2002 | 8.58 |
August 2002 | 8.51 |
September 2002 | 8.43 |
October 2002 | 8.37 |
November 2002 | 8.36 |
December 2002 | 8.37 |
January 2003 | 8.35 |
February 2003 | 8.38 |
March 2003 | 8.42 |
April 2003 | 8.47 |
May 2003 | 8.35 |
June 2003 | 8.20 |
July 2003 | 8.11 |
August 2003 | 8.01 |
September 2003 | 8.05 |
October 2003 | 8.01 |
November 2003 | 8.07 |
December 2003 | 7.95 |
January 2004 | 7.90 |
February 2004 | 7.79 |
March 2004 | 7.73 |
April 2004 | 7.71 |
May 2004 | 7.75 |
June 2004 | 7.74 |
July 2004 | 7.73 |
August 2004 | 7.67 |
September 2004 | 7.62 |
October 2004 | 7.55 |
November 2004 | 7.46 |
December 2004 | 7.29 |
January 2005 | 7.25 |
February 2005 | 7.25 |
March 2005 | 7.28 |
April 2005 | 7.25 |
May 2005 | 7.17 |
June 2005 | 7.11 |
July 2005 | 7.06 |
August 2005 | 7.01 |
September 2005 | 6.95 |
October 2005 | 6.88 |
November 2005 | 6.86 |
December 2005 | 6.82 |
January 2006 | 6.80 |
February 2006 | 6.78 |
March 2006 | 6.75 |
April 2006 | 6.75 |
May 2006 | 6.74 |
June 2006 | 6.75 |
July 2006 | 6.69 |
August 2006 | 6.67 |
September 2006 | 6.65 |
October 2006 | 6.71 |
November 2006 | 6.71 |
December 2006 | 6.69 |
January 2007 | 6.64 |
February 2007 | 6.62 |
March 2007 | 6.59 |
April 2007 | 6.57 |
May 2007 | 6.53 |
June 2007 | 6.53 |
July 2007 | 6.55 |
August 2007 | 6.57 |
September 2007 | 6.58 |
October 2007 | 6.60 |
November 2007 | 6.66 |
December 2007 | 6.70 |
January 2008 | 6.69 |
February 2008 | 6.79 |
March 2008 | 6.87 |
April 2008 | 6.98 |
May 2008 | 6.95 |
June 2008 | 6.99 |
July 2008 | 6.98 |
August 2008 | 6.99 |
September 2008 | 6.97 |
October 2008 | 6.96 |
November 2008 | 7.05 |
December 2008 | 7.16 |
January 2009 | 7.40 |
February 2009 | 7.40 |
March 2009 | 7.36 |
April 2009 | 7.20 |
May 2009 | 7.26 |
June 2009 | 7.40 |
July 2009 | 7.74 |
August 2009 | 7.82 |
September 2009 | 7.88 |
October 2009 | 7.79 |
November 2009 | 7.82 |
December 2009 | 7.87 |
January 2010 | 7.85 |
February 2010 | 7.84 |
March 2010 | 7.81 |
April 2010 | 7.90 |
May 2010 | 7.84 |
June 2010 | 7.75 |
July 2010 | 7.68 |
August 2010 | 7.75 |
September 2010 | 7.70 |
October 2010 | 7.65 |
November 2010 | 7.54 |
December 2010 | 7.52 |
January 2011 | 7.52 |
February 2011 | 7.49 |
March 2011 | 7.41 |
April 2011 | 7.43 |
May 2011 | 7.41 |
June 2011 | 7.37 |
July 2011 | 7.27 |
August 2011 | 7.21 |
September 2011 | 7.18 |
October 2011 | 7.23 |
November 2011 | 7.23 |
December 2011 | 7.25 |
January 2012 | 7.15 |
February 2012 | 7.21 |
March 2012 | 7.15 |
April 2012 | 7.18 |
May 2012 | 7.09 |
June 2012 | 7.05 |
July 2012 | 7.05 |
August 2012 | 7.08 |
September 2012 | 7.08 |
October 2012 | 7.05 |
November 2012 | 6.97 |
December 2012 | 6.96 |
January 2013 | 6.97 |
February 2013 | 7.00 |
March 2013 | 7.06 |
April 2013 | 7.02 |
May 2013 | 7.08 |
June 2013 | 7.00 |
July 2013 | 7.01 |
August 2013 | 6.91 |
September 2013 | 6.97 |
October 2013 | 7.00 |
November 2013 | 7.08 |
December 2013 | 7.00 |
January 2014 | 6.91 |
February 2014 | 6.83 |
March 2014 | 6.77 |
April 2014 | 6.78 |
May 2014 | 6.80 |
June 2014 | 6.80 |
July 2014 | 6.76 |
August 2014 | 6.72 |
September 2014 | 6.65 |
October 2014 | 6.62 |
November 2014 | 6.60 |
December 2014 | 6.59 |
January 2015 | 6.55 |
February 2015 | 6.52 |
March 2015 | 6.56 |
April 2015 | 6.54 |
May 2015 | 6.53 |
June 2015 | 6.53 |
July 2015 | 6.54 |
August 2015 | 6.51 |
September 2015 | 6.48 |
October 2015 | 6.45 |
November 2015 | 6.43 |
December 2015 | 6.42 |
January 2016 | 6.46 |
February 2016 | 6.46 |
March 2016 | 6.49 |
April 2016 | 6.37 |
May 2016 | 6.39 |
June 2016 | 6.36 |
July 2016 | 6.35 |
August 2016 | 6.33 |
September 2016 | 6.30 |
October 2016 | 6.32 |
November 2016 | 6.33 |
December 2016 | 6.45 |
January 2017 | 6.42 |
February 2017 | 6.40 |
March 2017 | 6.37 |
April 2017 | 6.38 |
May 2017 | 6.35 |
June 2017 | 6.24 |
July 2017 | 6.18 |
August 2017 | 6.19 |
September 2017 | 6.19 |
October 2017 | 6.23 |
November 2017 | 6.23 |
December 2017 | 6.26 |
January 2018 | 6.24 |
February 2018 | 6.22 |
March 2018 | 6.20 |
April 2018 | 6.21 |
May 2018 | 6.19 |
June 2018 | 6.21 |
July 2018 | 6.24 |
August 2018 | 6.24 |
September 2018 | 6.21 |
Note: The data are three-month moving averages 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.
Figure 1-14. Spread of Capitalization Rate at Property Purchase to 10-Year Treasury Yield
Period | Percentage points |
---|---|
March 2001 | 3.52 |
April 2001 | 3.54 |
May 2001 | 3.51 |
June 2001 | 3.42 |
July 2001 | 3.47 |
August 2001 | 3.69 |
September 2001 | 4.00 |
October 2001 | 4.24 |
November 2001 | 4.34 |
December 2001 | 4.25 |
January 2002 | 4.08 |
February 2002 | 4.00 |
March 2002 | 3.86 |
April 2002 | 3.77 |
May 2002 | 3.52 |
June 2002 | 3.58 |
July 2002 | 3.67 |
August 2002 | 3.90 |
September 2002 | 4.17 |
October 2002 | 4.35 |
November 2002 | 4.40 |
December 2002 | 4.36 |
January 2003 | 4.30 |
February 2003 | 4.38 |
March 2003 | 4.50 |
April 2003 | 4.58 |
May 2003 | 4.57 |
June 2003 | 4.58 |
July 2003 | 4.49 |
August 2003 | 4.09 |
September 2003 | 3.82 |
October 2003 | 3.68 |
November 2003 | 3.79 |
December 2003 | 3.67 |
January 2004 | 3.66 |
February 2004 | 3.63 |
March 2004 | 3.71 |
April 2004 | 3.62 |
May 2004 | 3.45 |
June 2004 | 3.14 |
July 2004 | 3.08 |
August 2004 | 3.17 |
September 2004 | 3.32 |
October 2004 | 3.38 |
November 2004 | 3.32 |
December 2004 | 3.12 |
January 2005 | 3.04 |
February 2005 | 3.04 |
March 2005 | 2.99 |
April 2005 | 2.91 |
May 2005 | 2.85 |
June 2005 | 2.95 |
July 2005 | 2.95 |
August 2005 | 2.86 |
September 2005 | 2.74 |
October 2005 | 2.57 |
November 2005 | 2.46 |
December 2005 | 2.33 |
January 2006 | 2.32 |
February 2006 | 2.29 |
March 2006 | 2.18 |
April 2006 | 1.99 |
May 2006 | 1.80 |
June 2006 | 1.68 |
July 2006 | 1.58 |
August 2006 | 1.65 |
September 2006 | 1.76 |
October 2006 | 1.93 |
November 2006 | 2.02 |
December 2006 | 2.06 |
January 2007 | 2.00 |
February 2007 | 1.94 |
March 2007 | 1.91 |
April 2007 | 1.92 |
May 2007 | 1.86 |
June 2007 | 1.69 |
July 2007 | 1.60 |
August 2007 | 1.65 |
September 2007 | 1.85 |
October 2007 | 2.03 |
November 2007 | 2.26 |
December 2007 | 2.44 |
January 2008 | 2.69 |
February 2008 | 2.93 |
March 2008 | 3.20 |
April 2008 | 3.34 |
May 2008 | 3.26 |
June 2008 | 3.10 |
July 2008 | 2.99 |
August 2008 | 2.99 |
September 2008 | 3.11 |
October 2008 | 3.16 |
November 2008 | 3.37 |
December 2008 | 3.90 |
January 2009 | 4.58 |
February 2009 | 4.80 |
March 2009 | 4.62 |
April 2009 | 4.32 |
May 2009 | 4.25 |
June 2009 | 4.08 |
July 2009 | 4.22 |
August 2009 | 4.20 |
September 2009 | 4.36 |
October 2009 | 4.33 |
November 2009 | 4.43 |
December 2009 | 4.41 |
January 2010 | 4.27 |
February 2010 | 4.17 |
March 2010 | 4.09 |
April 2010 | 4.15 |
May 2010 | 4.18 |
June 2010 | 4.26 |
July 2010 | 4.47 |
August 2010 | 4.78 |
September 2010 | 4.91 |
October 2010 | 5.02 |
November 2010 | 4.89 |
December 2010 | 4.65 |
January 2011 | 4.37 |
February 2011 | 4.07 |
March 2011 | 3.95 |
April 2011 | 3.95 |
May 2011 | 4.06 |
June 2011 | 4.16 |
July 2011 | 4.21 |
August 2011 | 4.44 |
September 2011 | 4.76 |
October 2011 | 5.09 |
November 2011 | 5.19 |
December 2011 | 5.20 |
January 2012 | 5.16 |
February 2012 | 5.23 |
March 2012 | 5.11 |
April 2012 | 5.12 |
May 2012 | 5.08 |
June 2012 | 5.23 |
July 2012 | 5.40 |
August 2012 | 5.47 |
September 2012 | 5.43 |
October 2012 | 5.34 |
November 2012 | 5.26 |
December 2012 | 5.26 |
January 2013 | 5.21 |
February 2013 | 5.13 |
March 2013 | 5.11 |
April 2013 | 5.12 |
May 2013 | 5.20 |
June 2013 | 5.00 |
July 2013 | 4.74 |
August 2013 | 4.37 |
September 2013 | 4.26 |
October 2013 | 4.27 |
November 2013 | 4.36 |
December 2013 | 4.25 |
January 2014 | 4.09 |
February 2014 | 4.00 |
March 2014 | 4.00 |
April 2014 | 4.06 |
May 2014 | 4.14 |
June 2014 | 4.17 |
July 2014 | 4.19 |
August 2014 | 4.20 |
September 2014 | 4.15 |
October 2014 | 4.20 |
November 2014 | 4.22 |
December 2014 | 4.31 |
January 2015 | 4.41 |
February 2015 | 4.50 |
March 2015 | 4.59 |
April 2015 | 4.55 |
May 2015 | 4.47 |
June 2015 | 4.36 |
July 2015 | 4.25 |
August 2015 | 4.23 |
September 2015 | 4.26 |
October 2015 | 4.32 |
November 2015 | 4.26 |
December 2015 | 4.23 |
January 2016 | 4.27 |
February 2016 | 4.43 |
March 2016 | 4.57 |
April 2016 | 4.54 |
May 2016 | 4.55 |
June 2016 | 4.61 |
July 2016 | 4.70 |
August 2016 | 4.77 |
September 2016 | 4.74 |
October 2016 | 4.67 |
November 2016 | 4.49 |
December 2016 | 4.32 |
January 2017 | 4.06 |
February 2017 | 3.95 |
March 2017 | 3.92 |
April 2017 | 3.98 |
May 2017 | 3.99 |
June 2017 | 3.98 |
July 2017 | 3.91 |
August 2017 | 3.95 |
September 2017 | 3.94 |
October 2017 | 3.97 |
November 2017 | 3.93 |
December 2017 | 3.89 |
January 2018 | 3.79 |
February 2018 | 3.60 |
March 2018 | 3.44 |
April 2018 | 3.35 |
May 2018 | 3.29 |
June 2018 | 3.29 |
July 2018 | 3.31 |
August 2018 | 3.35 |
September 2018 | 3.29 |
Note: The data are three-month moving averages 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.
Figure 1-15
This is a line chart titled "Change in Bank Standards for CRE Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. 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. The variable begins at 0 percent in 1997, and spikes in late 1998 to around 40 percent before dropping down to just above 0 percent in 1999. It rises to around 40 percent in 2001 before declining from 2002 to 2005, reaching around -20 percent. It gradually increases from 2005 to 2008 when it reaches its peak of around 90 percent before declining from late 2008 to 2011 to around -20 percent. It remains around -20 percent from 2011 to 2015, when it quickly rises again to around 50 percent by 2016. It falls during 2017 to around -20 percent again, and briefly rises to around 0 percent in 2018 before ending at just above -20 percent in the third quarter of 2018.
Note: Banks' responses are weighted by their CRE loan market shares. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009. CRE is commercial real estate.
Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.
Figure 1-16. Cropland Values
2015 dollars per acre
Year | Midwest index | United States |
---|---|---|
1967 | 2504.14 | ND |
1968 | 2626.67 | ND |
1969 | 2576.16 | ND |
1970 | 2464.35 | ND |
1971 | 2303.13 | ND |
1972 | 2306.87 | ND |
1973 | 2481.68 | ND |
1974 | 2996.39 | ND |
1975 | 3338.33 | ND |
1976 | 3925.10 | ND |
1977 | 4711.90 | ND |
1978 | 4920.59 | ND |
1979 | 4993.82 | ND |
1980 | 4998.48 | ND |
1981 | 4755.64 | ND |
1982 | 4333.72 | ND |
1983 | 3678.89 | ND |
1984 | 3231.65 | ND |
1985 | 2304.24 | ND |
1986 | 1829.45 | ND |
1987 | 1555.77 | ND |
1988 | 1705.18 | ND |
1989 | 1866.13 | ND |
1990 | 1874.11 | ND |
1991 | 1833.54 | ND |
1992 | 1838.50 | ND |
1993 | 1840.64 | ND |
1994 | 2231.56 | ND |
1995 | 2153.38 | ND |
1996 | 2300.47 | ND |
1997 | 2116.22 | 1992.49 |
1998 | 2237.04 | 2070.28 |
1999 | 2258.92 | 2116.56 |
2000 | 2229.23 | 2135.38 |
2001 | 2213.73 | 2148.01 |
2002 | 2247.50 | 2226.29 |
2003 | 2277.46 | 2272.09 |
2004 | 2380.93 | 2333.04 |
2005 | 2750.55 | 2656.89 |
2006 | 2966.87 | 2986.29 |
2007 | 3288.16 | 3073.01 |
2008 | 3668.94 | 3229.18 |
2009 | 3486.35 | 3133.92 |
2010 | 3672.11 | 3118.10 |
2011 | 4261.06 | 3336.70 |
2012 | 4990.17 | 3674.81 |
2013 | 5714.24 | 4119.02 |
2014 | 6166.59 | 4362.23 |
2015 | 5958.67 | 4388.84 |
2016 | 5723.30 | 4291.76 |
2017 | 5597.26 | 4201.90 |
2018 | 5511.17 | 4130.00 |
Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states. Values are given in real terms. Median of Midwest index: 2601.415.
Source: Department of Agriculture.
Figure 1-17. Cropland Price-to-Rent Ratio
Year | Midwest Index | United States |
---|---|---|
1967 | 14.13 | ND |
1968 | 14.19 | ND |
1969 | 14.18 | ND |
1970 | 13.99 | ND |
1971 | 13.50 | ND |
1972 | 13.40 | ND |
1973 | 14.17 | ND |
1974 | 14.52 | ND |
1975 | 14.60 | ND |
1976 | 16.15 | ND |
1977 | 18.02 | ND |
1978 | 19.55 | ND |
1979 | 20.57 | ND |
1980 | 21.55 | ND |
1981 | 21.25 | ND |
1982 | 19.56 | ND |
1983 | 17.42 | ND |
1984 | 15.94 | ND |
1985 | 12.99 | ND |
1986 | 11.89 | ND |
1987 | 11.71 | ND |
1988 | 12.52 | ND |
1989 | 13.29 | ND |
1990 | 13.41 | ND |
1991 | 13.50 | ND |
1992 | 13.73 | ND |
1993 | 13.88 | ND |
1994 | 17.96 | ND |
1995 | 17.34 | ND |
1996 | 18.35 | ND |
1997 | 16.65 | ND |
1998 | 17.46 | 20.15 |
1999 | 18.19 | 20.74 |
2000 | 17.83 | 20.86 |
2001 | 17.95 | 21.27 |
2002 | 18.17 | 22.21 |
2003 | 18.63 | 22.74 |
2004 | 19.45 | 22.88 |
2005 | 22.50 | 26.41 |
2006 | 24.61 | 30.06 |
2007 | 25.79 | 32.65 |
2008 | 26.32 | 32.28 |
2009 | 24.42 | 26.97 |
2010 | 25.43 | 26.47 |
2011 | 27.81 | 26.85 |
2012 | 28.46 | 26.80 |
2013 | 30.45 | 28.01 |
2014 | 32.24 | 29.08 |
2015 | 31.85 | 28.68 |
2016 | 32.63 | 30.07 |
2017 | 33.12 | 30.07 |
2018 | 33.15 | 29.93 |
Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states. Median of Midwest index: 17.9543.
Source: Department of Agriculture.
Figure 1-18. Growth of Nominal Prices of Existing Homes
Percent change, annual rate
Period | CoreLogic | Zillow |
---|---|---|
January 2011 | -2.91 | -9.52 |
February 2011 | -3.81 | -7.46 |
March 2011 | -3.91 | -6.05 |
April 2011 | -3.20 | -5.34 |
May 2011 | -1.52 | -4.61 |
June 2011 | 0.52 | -4.63 |
July 2011 | 2.05 | -5.40 |
August 2011 | 2.26 | -3.90 |
September 2011 | 1.25 | -3.92 |
October 2011 | 0.27 | -2.38 |
November 2011 | -0.17 | -1.59 |
December 2011 | 0.22 | -1.59 |
January 2012 | 1.99 | -3.17 |
February 2012 | 4.34 | -0.80 |
March 2012 | 6.92 | 0.81 |
April 2012 | 9.32 | 2.45 |
May 2012 | 10.69 | 3.27 |
June 2012 | 10.47 | 3.26 |
July 2012 | 9.15 | 3.25 |
August 2012 | 7.97 | 4.07 |
September 2012 | 7.67 | 4.88 |
October 2012 | 8.14 | 4.04 |
November 2012 | 8.84 | 4.02 |
December 2012 | 9.31 | 4.83 |
January 2013 | 9.73 | 5.63 |
February 2013 | 10.58 | 4.79 |
March 2013 | 11.35 | 7.23 |
April 2013 | 11.69 | 8.01 |
May 2013 | 11.31 | 7.14 |
June 2013 | 10.61 | 7.91 |
July 2013 | 10.19 | 9.50 |
August 2013 | 10.18 | 7.80 |
September 2013 | 9.92 | 7.75 |
October 2013 | 9.17 | 6.12 |
November 2013 | 8.35 | 5.31 |
December 2013 | 7.59 | 6.06 |
January 2014 | 6.56 | 6.03 |
February 2014 | 5.21 | 5.23 |
March 2014 | 3.71 | 5.21 |
April 2014 | 2.65 | 5.95 |
May 2014 | 2.46 | 5.16 |
June 2014 | 3.19 | 4.39 |
July 2014 | 4.45 | 5.12 |
August 2014 | 5.66 | 5.84 |
September 2014 | 6.43 | 4.33 |
October 2014 | 6.59 | 3.59 |
November 2014 | 6.30 | 4.31 |
December 2014 | 5.89 | 4.29 |
January 2015 | 5.55 | 5.00 |
February 2015 | 5.27 | 5.71 |
March 2015 | 5.01 | 4.96 |
April 2015 | 4.81 | 4.94 |
May 2015 | 4.90 | 5.64 |
June 2015 | 5.21 | 6.33 |
July 2015 | 5.52 | 6.30 |
August 2015 | 5.71 | 4.14 |
September 2015 | 5.88 | 4.83 |
October 2015 | 6.09 | 6.22 |
November 2015 | 6.21 | 6.90 |
December 2015 | 6.02 | 6.15 |
January 2016 | 5.64 | 6.12 |
February 2016 | 5.24 | 5.40 |
March 2016 | 4.85 | 6.76 |
April 2016 | 4.54 | 6.72 |
May 2016 | 4.41 | 6.68 |
June 2016 | 4.53 | 7.33 |
July 2016 | 5.04 | 6.61 |
August 2016 | 5.86 | 6.57 |
September 2016 | 6.58 | 7.21 |
October 2016 | 6.89 | 7.84 |
November 2016 | 6.73 | 7.12 |
December 2016 | 6.34 | 7.74 |
January 2017 | 5.85 | 8.36 |
February 2017 | 5.54 | 8.30 |
March 2017 | 5.49 | 6.94 |
April 2017 | 5.56 | 8.20 |
May 2017 | 5.63 | 8.79 |
June 2017 | 5.78 | 6.16 |
July 2017 | 6.03 | 5.50 |
August 2017 | 6.50 | 8.64 |
September 2017 | 6.92 | 7.31 |
October 2017 | 6.94 | 6.65 |
November 2017 | 6.69 | 7.23 |
December 2017 | 6.55 | 7.19 |
January 2018 | 6.81 | 9.63 |
February 2018 | 7.17 | 11.43 |
March 2018 | 7.04 | 9.46 |
April 2018 | 6.05 | 6.97 |
May 2018 | 4.45 | 8.12 |
June 2018 | 2.96 | 6.29 |
July 2018 | 2.45 | 5.67 |
August 2018 | 2.38 | 6.23 |
September 2018 | ND | 7.36 |
Source: CoreLogic; Zillow.
Figure 1-19. Housing Price-to-Rent Ratio
Trend at Aug. 2018 = 100
Period | Long-run trend | Price-to-rent ratio |
---|---|---|
January 1983 | 79.95 | 76.27 |
February 1983 | 79.99 | 76.09 |
March 1983 | 80.04 | 76.13 |
April 1983 | 80.08 | 76.06 |
May 1983 | 80.12 | 76.31 |
June 1983 | 80.17 | 76.35 |
July 1983 | 80.22 | 76.47 |
August 1983 | 80.27 | 76.57 |
September 1983 | 80.33 | 76.49 |
October 1983 | 80.37 | 76.65 |
November 1983 | 80.42 | 76.76 |
December 1983 | 80.46 | 76.82 |
January 1984 | 80.51 | 76.84 |
February 1984 | 80.56 | 76.89 |
March 1984 | 80.60 | 76.68 |
April 1984 | 80.66 | 76.39 |
May 1984 | 80.71 | 76.49 |
June 1984 | 80.76 | 76.39 |
July 1984 | 80.82 | 76.35 |
August 1984 | 80.88 | 76.27 |
September 1984 | 80.93 | 76.26 |
October 1984 | 80.98 | 76.16 |
November 1984 | 81.02 | 76.07 |
December 1984 | 81.06 | 75.69 |
January 1985 | 81.11 | 75.60 |
February 1985 | 81.15 | 75.40 |
March 1985 | 81.20 | 75.47 |
April 1985 | 81.24 | 75.61 |
May 1985 | 81.29 | 75.38 |
June 1985 | 81.33 | 75.43 |
July 1985 | 81.37 | 75.52 |
August 1985 | 81.41 | 75.42 |
September 1985 | 81.45 | 75.57 |
October 1985 | 81.50 | 75.46 |
November 1985 | 81.54 | 75.41 |
December 1985 | 81.58 | 75.74 |
January 1986 | 81.63 | 76.02 |
February 1986 | 81.67 | 76.54 |
March 1986 | 81.71 | 76.42 |
April 1986 | 81.75 | 75.98 |
May 1986 | 81.80 | 76.44 |
June 1986 | 81.84 | 76.82 |
July 1986 | 81.89 | 77.03 |
August 1986 | 81.94 | 77.75 |
September 1986 | 81.99 | 78.06 |
October 1986 | 82.03 | 78.30 |
November 1986 | 82.07 | 78.65 |
December 1986 | 82.12 | 79.16 |
January 1987 | 82.16 | 79.57 |
February 1987 | 82.20 | 80.09 |
March 1987 | 82.24 | 80.65 |
April 1987 | 82.30 | 81.23 |
May 1987 | 82.36 | 81.72 |
June 1987 | 82.42 | 82.48 |
July 1987 | 82.46 | 82.78 |
August 1987 | 82.51 | 82.96 |
September 1987 | 82.56 | 83.24 |
October 1987 | 82.61 | 83.64 |
November 1987 | 82.66 | 84.31 |
December 1987 | 82.72 | 84.24 |
January 1988 | 82.76 | 84.47 |
February 1988 | 82.80 | 84.71 |
March 1988 | 82.84 | 85.00 |
April 1988 | 82.89 | 85.45 |
May 1988 | 82.94 | 85.99 |
June 1988 | 82.99 | 86.62 |
July 1988 | 83.04 | 87.32 |
August 1988 | 83.09 | 87.91 |
September 1988 | 83.14 | 88.38 |
October 1988 | 83.19 | 89.06 |
November 1988 | 83.24 | 89.57 |
December 1988 | 83.29 | 90.04 |
January 1989 | 83.34 | 90.41 |
February 1989 | 83.39 | 90.74 |
March 1989 | 83.44 | 91.15 |
April 1989 | 83.49 | 91.48 |
May 1989 | 83.53 | 91.65 |
June 1989 | 83.58 | 91.55 |
July 1989 | 83.62 | 91.53 |
August 1989 | 83.67 | 91.70 |
September 1989 | 83.71 | 92.07 |
October 1989 | 83.76 | 92.02 |
November 1989 | 83.81 | 92.09 |
December 1989 | 83.85 | 92.17 |
January 1990 | 83.91 | 92.25 |
February 1990 | 83.96 | 92.39 |
March 1990 | 84.01 | 92.26 |
April 1990 | 84.06 | 92.05 |
May 1990 | 84.10 | 91.79 |
June 1990 | 84.15 | 91.34 |
July 1990 | 84.19 | 90.83 |
August 1990 | 84.24 | 90.26 |
September 1990 | 84.28 | 89.81 |
October 1990 | 84.33 | 89.31 |
November 1990 | 84.38 | 88.99 |
December 1990 | 84.42 | 88.42 |
January 1991 | 84.47 | 88.04 |
February 1991 | 84.51 | 87.57 |
March 1991 | 84.56 | 87.06 |
April 1991 | 84.60 | 86.76 |
May 1991 | 84.65 | 86.58 |
June 1991 | 84.70 | 86.61 |
July 1991 | 84.75 | 86.33 |
August 1991 | 84.80 | 86.32 |
September 1991 | 84.84 | 85.68 |
October 1991 | 84.89 | 85.55 |
November 1991 | 84.93 | 85.17 |
December 1991 | 84.97 | 84.92 |
January 1992 | 85.03 | 84.76 |
February 1992 | 85.08 | 84.67 |
March 1992 | 85.13 | 84.16 |
April 1992 | 85.17 | 84.38 |
May 1992 | 85.22 | 84.15 |
June 1992 | 85.26 | 83.83 |
July 1992 | 85.31 | 83.53 |
August 1992 | 85.35 | 83.49 |
September 1992 | 85.40 | 83.47 |
October 1992 | 85.45 | 83.03 |
November 1992 | 85.49 | 82.76 |
December 1992 | 85.54 | 82.80 |
January 1993 | 85.59 | 82.66 |
February 1993 | 85.63 | 82.61 |
March 1993 | 85.67 | 82.65 |
April 1993 | 85.71 | 82.42 |
May 1993 | 85.76 | 82.34 |
June 1993 | 85.80 | 82.27 |
July 1993 | 85.84 | 82.50 |
August 1993 | 85.89 | 82.50 |
September 1993 | 85.93 | 82.72 |
October 1993 | 85.98 | 82.78 |
November 1993 | 86.03 | 82.99 |
December 1993 | 86.08 | 82.95 |
January 1994 | 86.13 | 82.91 |
February 1994 | 86.18 | 82.65 |
March 1994 | 86.23 | 82.44 |
April 1994 | 86.28 | 82.57 |
May 1994 | 86.34 | 82.67 |
June 1994 | 86.40 | 82.83 |
July 1994 | 86.45 | 82.72 |
August 1994 | 86.50 | 82.52 |
September 1994 | 86.54 | 82.39 |
October 1994 | 86.59 | 82.41 |
November 1994 | 86.64 | 82.32 |
December 1994 | 86.69 | 82.32 |
January 1995 | 86.74 | 82.22 |
February 1995 | 86.78 | 82.21 |
March 1995 | 86.83 | 82.10 |
April 1995 | 86.87 | 82.10 |
May 1995 | 86.91 | 82.09 |
June 1995 | 86.95 | 82.16 |
July 1995 | 87.00 | 82.17 |
August 1995 | 87.04 | 82.27 |
September 1995 | 87.09 | 82.35 |
October 1995 | 87.13 | 82.31 |
November 1995 | 87.18 | 82.28 |
December 1995 | 87.23 | 82.24 |
January 1996 | 87.27 | 82.24 |
February 1996 | 87.32 | 82.28 |
March 1996 | 87.37 | 82.39 |
April 1996 | 87.42 | 82.46 |
May 1996 | 87.47 | 82.45 |
June 1996 | 87.53 | 82.37 |
July 1996 | 87.57 | 82.26 |
August 1996 | 87.62 | 82.29 |
September 1996 | 87.67 | 82.25 |
October 1996 | 87.71 | 82.20 |
November 1996 | 87.76 | 82.21 |
December 1996 | 87.80 | 82.23 |
January 1997 | 87.85 | 82.26 |
February 1997 | 87.89 | 82.29 |
March 1997 | 87.94 | 82.34 |
April 1997 | 87.99 | 82.36 |
May 1997 | 88.04 | 82.39 |
June 1997 | 88.09 | 82.48 |
July 1997 | 88.14 | 82.65 |
August 1997 | 88.18 | 82.78 |
September 1997 | 88.22 | 82.94 |
October 1997 | 88.27 | 83.18 |
November 1997 | 88.32 | 83.44 |
December 1997 | 88.36 | 83.74 |
January 1998 | 88.41 | 84.10 |
February 1998 | 88.46 | 84.46 |
March 1998 | 88.50 | 84.76 |
April 1998 | 88.55 | 85.00 |
May 1998 | 88.60 | 85.21 |
June 1998 | 88.65 | 85.38 |
July 1998 | 88.69 | 85.62 |
August 1998 | 88.74 | 85.87 |
September 1998 | 88.78 | 86.17 |
October 1998 | 88.83 | 86.55 |
November 1998 | 88.88 | 86.87 |
December 1998 | 88.92 | 87.22 |
January 1999 | 88.97 | 87.52 |
February 1999 | 89.02 | 87.84 |
March 1999 | 89.07 | 88.12 |
April 1999 | 89.12 | 88.43 |
May 1999 | 89.17 | 88.86 |
June 1999 | 89.22 | 89.33 |
July 1999 | 89.27 | 89.77 |
August 1999 | 89.32 | 90.22 |
September 1999 | 89.37 | 90.62 |
October 1999 | 89.42 | 91.10 |
November 1999 | 89.47 | 91.29 |
December 1999 | 89.51 | 91.77 |
January 2000 | 89.57 | 92.11 |
February 2000 | 89.61 | 92.72 |
March 2000 | 89.67 | 93.29 |
April 2000 | 89.71 | 93.92 |
May 2000 | 89.76 | 94.49 |
June 2000 | 89.81 | 94.99 |
July 2000 | 89.85 | 95.35 |
August 2000 | 89.90 | 95.70 |
September 2000 | 89.94 | 96.07 |
October 2000 | 89.99 | 96.40 |
November 2000 | 90.03 | 96.82 |
December 2000 | 90.07 | 97.20 |
January 2001 | 90.12 | 97.67 |
February 2001 | 90.16 | 98.07 |
March 2001 | 90.20 | 98.39 |
April 2001 | 90.25 | 98.65 |
May 2001 | 90.30 | 98.76 |
June 2001 | 90.35 | 99.01 |
July 2001 | 90.39 | 99.26 |
August 2001 | 90.44 | 99.48 |
September 2001 | 90.48 | 99.72 |
October 2001 | 90.53 | 99.92 |
November 2001 | 90.57 | 100.11 |
December 2001 | 90.62 | 100.19 |
January 2002 | 90.67 | 100.44 |
February 2002 | 90.72 | 100.69 |
March 2002 | 90.77 | 101.09 |
April 2002 | 90.81 | 101.66 |
May 2002 | 90.86 | 102.31 |
June 2002 | 90.90 | 102.91 |
July 2002 | 90.95 | 103.53 |
August 2002 | 90.99 | 104.16 |
September 2002 | 91.03 | 104.70 |
October 2002 | 91.08 | 105.14 |
November 2002 | 91.12 | 105.57 |
December 2002 | 91.17 | 106.04 |
January 2003 | 91.22 | 106.34 |
February 2003 | 91.26 | 106.81 |
March 2003 | 91.31 | 107.23 |
April 2003 | 91.35 | 107.64 |
May 2003 | 91.40 | 108.09 |
June 2003 | 91.44 | 108.73 |
July 2003 | 91.49 | 109.36 |
August 2003 | 91.55 | 110.09 |
September 2003 | 91.60 | 110.90 |
October 2003 | 91.64 | 111.84 |
November 2003 | 91.69 | 112.70 |
December 2003 | 91.74 | 113.61 |
January 2004 | 91.78 | 114.55 |
February 2004 | 91.82 | 115.44 |
March 2004 | 91.87 | 116.40 |
April 2004 | 91.92 | 117.37 |
May 2004 | 91.98 | 118.39 |
June 2004 | 92.03 | 119.40 |
July 2004 | 92.07 | 120.39 |
August 2004 | 92.12 | 121.24 |
September 2004 | 92.17 | 122.19 |
October 2004 | 92.21 | 123.20 |
November 2004 | 92.26 | 124.29 |
December 2004 | 92.31 | 125.23 |
January 2005 | 92.36 | 126.27 |
February 2005 | 92.40 | 127.39 |
March 2005 | 92.45 | 128.54 |
April 2005 | 92.50 | 129.65 |
May 2005 | 92.55 | 130.70 |
June 2005 | 92.59 | 131.68 |
July 2005 | 92.64 | 132.52 |
August 2005 | 92.69 | 133.45 |
September 2005 | 92.73 | 134.30 |
October 2005 | 92.78 | 135.05 |
November 2005 | 92.83 | 135.76 |
December 2005 | 92.88 | 136.43 |
January 2006 | 92.93 | 137.01 |
February 2006 | 92.97 | 137.24 |
March 2006 | 93.01 | 137.21 |
April 2006 | 93.06 | 136.95 |
May 2006 | 93.11 | 136.45 |
June 2006 | 93.16 | 135.81 |
July 2006 | 93.21 | 135.16 |
August 2006 | 93.25 | 134.47 |
September 2006 | 93.30 | 133.89 |
October 2006 | 93.34 | 133.42 |
November 2006 | 93.39 | 133.02 |
December 2006 | 93.43 | 132.50 |
January 2007 | 93.48 | 131.99 |
February 2007 | 93.53 | 131.20 |
March 2007 | 93.58 | 130.28 |
April 2007 | 93.63 | 129.20 |
May 2007 | 93.68 | 127.89 |
June 2007 | 93.73 | 126.51 |
July 2007 | 93.78 | 125.12 |
August 2007 | 93.83 | 123.86 |
September 2007 | 93.87 | 122.53 |
October 2007 | 93.92 | 121.07 |
November 2007 | 93.96 | 119.62 |
December 2007 | 94.01 | 118.14 |
January 2008 | 94.05 | 116.61 |
February 2008 | 94.09 | 114.97 |
March 2008 | 94.14 | 113.16 |
April 2008 | 94.19 | 111.18 |
May 2008 | 94.24 | 109.34 |
June 2008 | 94.29 | 107.38 |
July 2008 | 94.34 | 105.54 |
August 2008 | 94.39 | 103.67 |
September 2008 | 94.43 | 101.73 |
October 2008 | 94.48 | 99.65 |
November 2008 | 94.52 | 97.59 |
December 2008 | 94.56 | 95.75 |
January 2009 | 94.61 | 94.13 |
February 2009 | 94.64 | 92.95 |
March 2009 | 94.69 | 92.17 |
April 2009 | 94.73 | 91.74 |
May 2009 | 94.78 | 91.62 |
June 2009 | 94.82 | 91.72 |
July 2009 | 94.87 | 91.92 |
August 2009 | 94.92 | 92.05 |
September 2009 | 94.97 | 92.22 |
October 2009 | 95.02 | 92.47 |
November 2009 | 95.06 | 92.67 |
December 2009 | 95.11 | 92.78 |
January 2010 | 95.16 | 92.77 |
February 2010 | 95.20 | 92.77 |
March 2010 | 95.25 | 92.72 |
April 2010 | 95.30 | 92.63 |
May 2010 | 95.34 | 92.40 |
June 2010 | 95.39 | 91.88 |
July 2010 | 95.43 | 91.23 |
August 2010 | 95.48 | 90.60 |
September 2010 | 95.52 | 89.84 |
October 2010 | 95.57 | 89.39 |
November 2010 | 95.62 | 88.87 |
December 2010 | 95.67 | 88.47 |
January 2011 | 95.72 | 88.03 |
February 2011 | 95.76 | 87.55 |
March 2011 | 95.81 | 87.06 |
April 2011 | 95.85 | 86.67 |
May 2011 | 95.90 | 86.40 |
June 2011 | 95.94 | 86.28 |
July 2011 | 95.99 | 86.27 |
August 2011 | 96.03 | 86.12 |
September 2011 | 96.07 | 85.99 |
October 2011 | 96.12 | 85.72 |
November 2011 | 96.17 | 85.49 |
December 2011 | 96.21 | 85.27 |
January 2012 | 96.26 | 85.25 |
February 2012 | 96.31 | 85.38 |
March 2012 | 96.35 | 85.75 |
April 2012 | 96.40 | 86.25 |
May 2012 | 96.44 | 86.91 |
June 2012 | 96.49 | 87.58 |
July 2012 | 96.54 | 88.08 |
August 2012 | 96.58 | 88.52 |
September 2012 | 96.63 | 88.88 |
October 2012 | 96.67 | 89.15 |
November 2012 | 96.72 | 89.67 |
December 2012 | 96.76 | 90.21 |
January 2013 | 96.81 | 90.75 |
February 2013 | 96.86 | 91.34 |
March 2013 | 96.91 | 91.98 |
April 2013 | 96.96 | 92.73 |
May 2013 | 97.01 | 93.34 |
June 2013 | 97.05 | 93.97 |
July 2013 | 97.11 | 94.61 |
August 2013 | 97.16 | 95.06 |
September 2013 | 97.21 | 95.65 |
October 2013 | 97.26 | 96.19 |
November 2013 | 97.30 | 96.65 |
December 2013 | 97.35 | 96.96 |
January 2014 | 97.40 | 97.24 |
February 2014 | 97.44 | 97.47 |
March 2014 | 97.49 | 97.44 |
April 2014 | 97.54 | 97.33 |
May 2014 | 97.58 | 97.25 |
June 2014 | 97.63 | 97.22 |
July 2014 | 97.68 | 97.29 |
August 2014 | 97.72 | 97.50 |
September 2014 | 97.77 | 97.72 |
October 2014 | 97.82 | 98.01 |
November 2014 | 97.86 | 98.17 |
December 2014 | 97.91 | 98.43 |
January 2015 | 97.95 | 98.60 |
February 2015 | 97.99 | 98.70 |
March 2015 | 98.04 | 98.78 |
April 2015 | 98.09 | 98.91 |
May 2015 | 98.14 | 99.03 |
June 2015 | 98.19 | 99.12 |
July 2015 | 98.23 | 99.23 |
August 2015 | 98.28 | 99.41 |
September 2015 | 98.33 | 99.49 |
October 2015 | 98.38 | 99.70 |
November 2015 | 98.42 | 99.96 |
December 2015 | 98.47 | 100.19 |
January 2016 | 98.52 | 100.34 |
February 2016 | 98.56 | 100.45 |
March 2016 | 98.61 | 100.54 |
April 2016 | 98.65 | 100.57 |
May 2016 | 98.70 | 100.59 |
June 2016 | 98.74 | 100.63 |
July 2016 | 98.79 | 100.73 |
August 2016 | 98.84 | 100.92 |
September 2016 | 98.88 | 101.12 |
October 2016 | 98.94 | 101.32 |
November 2016 | 98.98 | 101.53 |
December 2016 | 99.04 | 101.72 |
January 2017 | 99.09 | 101.91 |
February 2017 | 99.13 | 102.05 |
March 2017 | 99.18 | 102.21 |
April 2017 | 99.23 | 102.37 |
May 2017 | 99.27 | 102.50 |
June 2017 | 99.32 | 102.64 |
July 2017 | 99.37 | 102.86 |
August 2017 | 99.42 | 103.03 |
September 2017 | 99.46 | 103.34 |
October 2017 | 99.51 | 103.62 |
November 2017 | 99.56 | 103.85 |
December 2017 | 99.60 | 104.04 |
January 2018 | 99.66 | 104.26 |
February 2018 | 99.70 | 104.62 |
March 2018 | 99.76 | 104.92 |
April 2018 | 99.80 | 105.04 |
May 2018 | 99.86 | 105.13 |
June 2018 | 99.90 | 105.14 |
July 2018 | 99.95 | 105.11 |
August 2018 | 100.00 | 105.09 |
Note: Chart shows the log of the price-to-rent ratio. Long-run trend is estimated using data from 1978 to 2001, with the last value of the trend normalized to equal 100.
Source: For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.
Figure 1-20. Selected Local Housing Price-to-Rent Ratio Indexes
Jan. 2010 = 100
Period | Los Angeles | Miami | Phoenix | 10th percent of markets | Median | 90th percent of markets |
---|---|---|---|---|---|---|
January 1990 | 105.19 | 94.60 | ND | 75.17 | 95.58 | 105.19 |
February 1990 | 105.84 | 94.35 | ND | 75.42 | 95.37 | 105.84 |
March 1990 | 105.04 | 97.25 | ND | 75.68 | 96.75 | 105.04 |
April 1990 | 105.47 | 95.52 | ND | 75.69 | 95.74 | 105.47 |
May 1990 | 105.11 | 95.50 | ND | 75.85 | 95.61 | 105.11 |
June 1990 | 104.49 | 94.38 | ND | 76.16 | 94.87 | 104.49 |
July 1990 | 103.85 | 93.04 | ND | 76.09 | 94.14 | 103.85 |
August 1990 | 103.69 | 92.91 | ND | 76.22 | 93.94 | 103.69 |
September 1990 | 102.47 | 92.04 | ND | 76.10 | 93.37 | 102.88 |
October 1990 | 101.86 | 92.31 | ND | 75.96 | 93.10 | 102.16 |
November 1990 | 100.79 | 93.22 | ND | 75.83 | 93.15 | 101.62 |
December 1990 | 100.39 | 93.29 | ND | 75.64 | 92.76 | 100.39 |
January 1991 | 99.40 | 93.61 | ND | 75.18 | 92.62 | 100.04 |
February 1991 | 98.28 | 93.13 | ND | 74.76 | 91.78 | 100.22 |
March 1991 | 97.84 | 91.62 | ND | 74.71 | 90.70 | 99.91 |
April 1991 | 96.73 | 91.42 | ND | 75.07 | 89.82 | 100.42 |
May 1991 | 97.63 | 91.24 | ND | 75.36 | 89.57 | 99.87 |
June 1991 | 97.60 | 91.75 | ND | 75.62 | 89.66 | 99.91 |
July 1991 | 97.91 | 92.61 | ND | 75.10 | 89.22 | 100.14 |
August 1991 | 97.87 | 92.62 | ND | 75.27 | 89.46 | 100.96 |
September 1991 | 97.35 | 92.38 | ND | 75.28 | 89.20 | 100.73 |
October 1991 | 96.55 | 91.58 | ND | 75.41 | 89.19 | 101.02 |
November 1991 | 96.06 | 90.16 | ND | 75.19 | 88.27 | 100.97 |
December 1991 | 95.66 | 90.40 | ND | 75.14 | 88.33 | 100.50 |
January 1992 | 95.40 | 90.72 | ND | 74.99 | 88.13 | 100.42 |
February 1992 | 94.98 | 91.08 | ND | 75.32 | 88.26 | 100.15 |
March 1992 | 94.34 | 90.20 | ND | 75.06 | 87.95 | 100.68 |
April 1992 | 93.51 | 91.01 | ND | 75.23 | 88.44 | 100.98 |
May 1992 | 92.90 | 91.46 | ND | 74.84 | 88.38 | 101.02 |
June 1992 | 92.48 | 91.08 | ND | 74.50 | 88.24 | 100.86 |
July 1992 | 92.09 | 90.53 | ND | 74.28 | 88.05 | 100.96 |
August 1992 | 91.54 | 90.98 | ND | 73.92 | 87.93 | 100.83 |
September 1992 | 91.25 | 92.73 | ND | 73.04 | 88.24 | 101.03 |
October 1992 | 90.26 | 91.58 | ND | 72.48 | 88.01 | 101.65 |
November 1992 | 89.28 | 90.76 | ND | 72.29 | 87.54 | 101.58 |
December 1992 | 88.23 | 89.95 | ND | 71.92 | 87.12 | 102.57 |
January 1993 | 87.45 | 89.30 | ND | 71.61 | 86.86 | 102.44 |
February 1993 | 87.32 | 89.47 | ND | 71.54 | 86.87 | 102.64 |
March 1993 | 87.34 | 91.57 | ND | 71.73 | 86.85 | 103.66 |
April 1993 | 86.48 | 92.14 | ND | 71.66 | 86.50 | 103.00 |
May 1993 | 85.51 | 92.66 | ND | 71.69 | 86.04 | 102.83 |
June 1993 | 84.85 | 93.17 | ND | 71.94 | 85.63 | 103.79 |
July 1993 | 84.14 | 92.33 | ND | 71.76 | 85.46 | 104.09 |
August 1993 | 83.30 | 91.25 | ND | 71.95 | 85.14 | 103.27 |
September 1993 | 83.29 | 91.75 | ND | 71.44 | 85.20 | 103.16 |
October 1993 | 83.24 | 92.25 | ND | 72.56 | 85.23 | 102.67 |
November 1993 | 82.85 | 94.19 | ND | 72.86 | 85.26 | 102.92 |
December 1993 | 82.39 | 93.74 | ND | 72.80 | 85.47 | 103.14 |
January 1994 | 81.91 | 93.39 | ND | 73.31 | 85.64 | 104.13 |
February 1994 | 81.32 | 92.85 | ND | 73.38 | 85.70 | 103.80 |
March 1994 | 80.58 | 92.08 | ND | 73.44 | 85.74 | 103.40 |
April 1994 | 80.25 | 92.07 | ND | 73.55 | 85.87 | 103.26 |
May 1994 | 80.27 | 92.08 | ND | 73.73 | 86.14 | 103.30 |
June 1994 | 80.08 | 92.36 | ND | 74.60 | 86.33 | 103.25 |
July 1994 | 79.54 | 92.70 | ND | 74.77 | 86.37 | 103.98 |
August 1994 | 79.20 | 93.33 | ND | 74.13 | 86.36 | 104.33 |
September 1994 | 78.68 | 92.85 | ND | 73.32 | 86.50 | 104.41 |
October 1994 | 78.20 | 93.04 | ND | 74.07 | 86.72 | 105.03 |
November 1994 | 78.82 | 92.91 | ND | 73.56 | 86.82 | 103.89 |
December 1994 | 79.06 | 93.17 | ND | 74.04 | 86.94 | 103.05 |
January 1995 | 79.17 | 93.15 | ND | 73.70 | 87.17 | 103.17 |
February 1995 | 78.68 | 92.74 | ND | 73.45 | 87.44 | 102.75 |
March 1995 | 78.43 | 93.00 | ND | 73.45 | 87.47 | 102.50 |
April 1995 | 78.22 | 93.10 | ND | 73.16 | 87.50 | 102.41 |
May 1995 | 78.02 | 92.88 | ND | 73.60 | 87.42 | 102.36 |
June 1995 | 77.70 | 93.04 | ND | 73.73 | 87.38 | 102.49 |
July 1995 | 77.83 | 93.40 | ND | 73.82 | 87.28 | 102.29 |
August 1995 | 77.55 | 93.22 | ND | 74.00 | 87.13 | 102.39 |
September 1995 | 77.69 | 93.42 | ND | 73.83 | 86.92 | 102.55 |
October 1995 | 77.61 | 92.94 | ND | 73.72 | 86.70 | 102.76 |
November 1995 | 77.56 | 93.26 | ND | 73.80 | 86.62 | 102.80 |
December 1995 | 77.18 | 93.27 | ND | 73.92 | 86.55 | 102.86 |
January 1996 | 77.24 | 93.48 | ND | 73.41 | 86.60 | 103.13 |
February 1996 | 77.03 | 93.48 | ND | 73.61 | 86.67 | 103.01 |
March 1996 | 76.85 | 93.44 | ND | 73.92 | 86.64 | 102.94 |
April 1996 | 76.71 | 93.27 | ND | 74.02 | 86.70 | 102.95 |
May 1996 | 76.57 | 93.30 | ND | 74.01 | 86.69 | 102.77 |
June 1996 | 76.50 | 93.40 | ND | 73.63 | 86.62 | 102.58 |
July 1996 | 76.33 | 93.54 | ND | 74.28 | 86.57 | 102.63 |
August 1996 | 76.01 | 93.29 | ND | 73.59 | 86.41 | 102.09 |
September 1996 | 76.12 | 93.10 | ND | 73.17 | 86.36 | 101.81 |
October 1996 | 76.05 | 92.97 | ND | 72.98 | 86.44 | 101.51 |
November 1996 | 76.10 | 93.04 | ND | 72.68 | 86.54 | 101.46 |
December 1996 | 76.29 | 92.97 | ND | 72.58 | 86.74 | 101.50 |
January 1997 | 76.34 | 93.15 | ND | 72.62 | 86.41 | 101.11 |
February 1997 | 76.26 | 93.57 | ND | 72.41 | 86.51 | 101.07 |
March 1997 | 76.72 | 93.91 | ND | 72.46 | 86.53 | 101.25 |
April 1997 | 76.76 | 93.67 | ND | 72.35 | 86.65 | 101.20 |
May 1997 | 76.92 | 93.60 | ND | 72.24 | 86.69 | 101.12 |
June 1997 | 77.19 | 93.30 | ND | 72.33 | 86.82 | 100.99 |
July 1997 | 77.55 | 93.06 | ND | 71.82 | 87.87 | 100.18 |
August 1997 | 77.97 | 93.28 | ND | 73.05 | 87.99 | 100.52 |
September 1997 | 78.14 | 93.55 | ND | 72.99 | 88.17 | 100.40 |
October 1997 | 78.44 | 93.90 | ND | 73.45 | 88.35 | 100.46 |
November 1997 | 78.87 | 94.05 | ND | 73.98 | 88.36 | 100.44 |
December 1997 | 79.48 | 94.37 | ND | 74.62 | 88.47 | 100.64 |
January 1998 | 80.09 | 94.56 | ND | 74.68 | 88.84 | 100.68 |
February 1998 | 80.65 | 94.33 | ND | 75.45 | 88.75 | 100.81 |
March 1998 | 81.21 | 94.15 | ND | 75.70 | 88.69 | 101.05 |
April 1998 | 81.57 | 94.30 | ND | 75.99 | 88.79 | 100.94 |
May 1998 | 82.24 | 94.53 | ND | 76.22 | 88.89 | 100.94 |
June 1998 | 82.67 | 94.91 | ND | 76.82 | 89.07 | 100.84 |
July 1998 | 83.22 | 94.97 | ND | 77.06 | 89.14 | 101.07 |
August 1998 | 83.89 | 95.19 | ND | 77.73 | 89.40 | 101.47 |
September 1998 | 84.26 | 95.55 | ND | 77.83 | 89.61 | 101.64 |
October 1998 | 84.68 | 95.42 | ND | 78.02 | 89.95 | 101.82 |
November 1998 | 85.05 | 95.83 | ND | 78.29 | 90.34 | 102.04 |
December 1998 | 85.10 | 95.49 | ND | 78.45 | 90.79 | 101.91 |
January 1999 | 85.55 | 96.27 | ND | 78.45 | 91.43 | 102.34 |
February 1999 | 85.86 | 96.07 | ND | 78.80 | 91.45 | 102.88 |
March 1999 | 86.04 | 96.25 | ND | 79.26 | 91.72 | 103.38 |
April 1999 | 86.56 | 96.81 | ND | 80.09 | 92.00 | 103.50 |
May 1999 | 87.05 | 97.04 | ND | 81.02 | 92.31 | 103.79 |
June 1999 | 87.21 | 97.24 | ND | 81.97 | 92.64 | 104.30 |
July 1999 | 87.28 | 98.04 | ND | 82.75 | 92.94 | 104.43 |
August 1999 | 87.40 | 98.39 | ND | 84.28 | 93.69 | 104.98 |
September 1999 | 87.61 | 98.95 | ND | 84.99 | 94.34 | 105.35 |
October 1999 | 88.08 | 99.37 | ND | 85.28 | 94.87 | 105.82 |
November 1999 | 88.33 | 99.60 | ND | 85.36 | 95.36 | 106.20 |
December 1999 | 88.81 | 99.83 | ND | 85.68 | 95.90 | 106.91 |
January 2000 | 89.17 | 100.33 | ND | 86.20 | 96.45 | 108.38 |
February 2000 | 89.61 | 101.12 | ND | 86.66 | 96.65 | 108.10 |
March 2000 | 90.26 | 102.04 | ND | 87.49 | 97.08 | 108.31 |
April 2000 | 90.70 | 102.45 | ND | 88.66 | 97.57 | 108.73 |
May 2000 | 91.21 | 103.07 | ND | 88.63 | 97.94 | 109.21 |
June 2000 | 91.69 | 103.11 | ND | 88.98 | 98.45 | 109.69 |
July 2000 | 91.86 | 103.57 | ND | 88.90 | 98.85 | 109.35 |
August 2000 | 92.28 | 103.97 | ND | 88.86 | 99.32 | 109.83 |
September 2000 | 92.84 | 104.30 | ND | 88.95 | 99.92 | 110.20 |
October 2000 | 93.04 | 105.10 | ND | 88.78 | 100.46 | 110.62 |
November 2000 | 93.65 | 105.68 | ND | 89.19 | 101.00 | 111.29 |
December 2000 | 94.04 | 106.96 | ND | 89.34 | 101.68 | 111.56 |
January 2001 | 94.46 | 107.32 | ND | 89.61 | 102.39 | 111.57 |
February 2001 | 95.06 | 107.84 | ND | 89.77 | 102.98 | 112.16 |
March 2001 | 95.59 | 108.44 | ND | 89.81 | 103.51 | 112.07 |
April 2001 | 95.83 | 109.36 | ND | 90.29 | 103.95 | 112.40 |
May 2001 | 95.85 | 110.21 | ND | 90.24 | 104.48 | 112.44 |
June 2001 | 95.90 | 111.25 | ND | 90.08 | 104.38 | 112.66 |
July 2001 | 95.80 | 111.91 | ND | 89.46 | 104.16 | 112.74 |
August 2001 | 96.34 | 112.81 | ND | 89.35 | 104.59 | 113.32 |
September 2001 | 96.54 | 113.55 | ND | 88.97 | 104.21 | 113.55 |
October 2001 | 97.16 | 114.49 | ND | 88.50 | 104.19 | 114.49 |
November 2001 | 97.86 | 115.12 | ND | 88.60 | 103.60 | 115.12 |
December 2001 | 97.90 | 115.61 | ND | 87.86 | 103.46 | 115.61 |
January 2002 | 98.26 | 116.35 | 107.27 | 88.17 | 102.49 | 116.35 |
February 2002 | 98.84 | 117.27 | 107.87 | 87.87 | 103.02 | 117.27 |
March 2002 | 99.58 | 118.34 | 108.50 | 88.42 | 103.69 | 118.34 |
April 2002 | 100.45 | 119.16 | 108.97 | 89.66 | 104.37 | 119.16 |
May 2002 | 101.65 | 119.78 | 109.27 | 91.10 | 106.24 | 119.78 |
June 2002 | 102.78 | 120.80 | 109.38 | 91.90 | 106.42 | 120.80 |
July 2002 | 104.42 | 121.64 | 109.62 | 92.86 | 106.54 | 121.64 |
August 2002 | 105.52 | 122.93 | 109.91 | 92.40 | 106.79 | 122.93 |
September 2002 | 106.58 | 123.73 | 110.10 | 92.17 | 107.24 | 123.73 |
October 2002 | 107.45 | 124.17 | 110.49 | 92.84 | 107.52 | 124.17 |
November 2002 | 108.54 | 125.75 | 110.94 | 93.18 | 107.84 | 125.75 |
December 2002 | 109.52 | 127.16 | 111.33 | 93.53 | 108.20 | 127.16 |
January 2003 | 110.36 | 129.12 | 112.28 | 94.58 | 109.09 | 129.12 |
February 2003 | 111.24 | 129.24 | 112.56 | 94.35 | 109.70 | 129.24 |
March 2003 | 112.17 | 130.67 | 113.02 | 94.39 | 110.06 | 130.67 |
April 2003 | 113.14 | 131.92 | 113.59 | 94.14 | 110.07 | 131.92 |
May 2003 | 114.12 | 133.21 | 114.10 | 94.36 | 110.28 | 133.21 |
June 2003 | 115.36 | 134.23 | 114.51 | 94.87 | 111.32 | 134.23 |
July 2003 | 116.43 | 135.49 | 115.02 | 96.27 | 111.86 | 135.49 |
August 2003 | 118.32 | 136.45 | 115.57 | 97.06 | 112.16 | 136.45 |
September 2003 | 120.13 | 137.91 | 116.37 | 98.18 | 112.68 | 137.91 |
October 2003 | 121.91 | 138.80 | 117.43 | 99.12 | 113.85 | 138.80 |
November 2003 | 123.76 | 139.96 | 118.49 | 99.72 | 114.86 | 139.96 |
December 2003 | 125.75 | 141.32 | 119.52 | 100.42 | 115.15 | 141.32 |
January 2004 | 127.45 | 142.28 | 120.74 | 101.29 | 115.87 | 142.28 |
February 2004 | 129.68 | 143.89 | 121.71 | 101.90 | 116.50 | 143.89 |
March 2004 | 132.46 | 145.81 | 122.96 | 102.35 | 117.27 | 145.81 |
April 2004 | 135.15 | 146.11 | 124.36 | 103.02 | 117.81 | 147.79 |
May 2004 | 137.38 | 147.67 | 125.96 | 103.95 | 118.50 | 150.57 |
June 2004 | 139.44 | 149.73 | 127.76 | 105.07 | 120.23 | 154.14 |
July 2004 | 140.82 | 151.11 | 129.59 | 106.64 | 121.19 | 157.19 |
August 2004 | 142.05 | 153.62 | 131.78 | 106.62 | 120.76 | 159.12 |
September 2004 | 142.99 | 154.96 | 134.42 | 107.45 | 121.13 | 160.31 |
October 2004 | 143.96 | 157.32 | 137.47 | 108.40 | 122.54 | 161.61 |
November 2004 | 145.29 | 159.00 | 140.86 | 109.78 | 123.91 | 162.36 |
December 2004 | 146.50 | 161.11 | 144.86 | 111.28 | 124.61 | 164.26 |
January 2005 | 147.95 | 163.86 | 148.70 | 113.13 | 125.12 | 165.19 |
February 2005 | 150.08 | 166.75 | 152.64 | 113.57 | 125.85 | 166.75 |
March 2005 | 152.18 | 169.16 | 158.09 | 114.08 | 127.38 | 169.16 |
April 2005 | 153.74 | 172.20 | 162.94 | 114.40 | 128.74 | 172.20 |
May 2005 | 155.67 | 175.25 | 167.79 | 114.85 | 129.77 | 175.25 |
June 2005 | 157.53 | 178.44 | 173.28 | 114.93 | 130.25 | 178.44 |
July 2005 | 158.98 | 180.35 | 178.81 | 115.36 | 130.75 | 180.35 |
August 2005 | 160.71 | 183.98 | 183.57 | 115.91 | 131.63 | 183.98 |
September 2005 | 162.72 | 186.75 | 187.70 | 116.06 | 132.33 | 186.75 |
October 2005 | 165.16 | 189.75 | 190.78 | 115.88 | 133.31 | 189.75 |
November 2005 | 166.41 | 192.73 | 193.67 | 115.84 | 133.81 | 192.73 |
December 2005 | 168.48 | 195.98 | 196.01 | 117.04 | 134.47 | 194.52 |
January 2006 | 169.96 | 198.02 | 197.59 | 117.57 | 135.73 | 193.79 |
February 2006 | 171.36 | 200.74 | 198.82 | 118.10 | 135.91 | 192.94 |
March 2006 | 171.36 | 203.82 | 200.23 | 117.77 | 136.62 | 191.96 |
April 2006 | 170.67 | 204.52 | 200.24 | 117.33 | 136.91 | 193.27 |
May 2006 | 169.99 | 205.98 | 199.79 | 116.94 | 136.60 | 190.77 |
June 2006 | 169.19 | 205.60 | 198.19 | 116.14 | 136.76 | 188.71 |
July 2006 | 168.75 | 202.35 | 196.34 | 115.18 | 134.73 | 186.13 |
August 2006 | 168.28 | 204.86 | 194.39 | 114.93 | 135.76 | 183.30 |
September 2006 | 167.61 | 205.44 | 192.16 | 114.84 | 135.56 | 181.22 |
October 2006 | 166.51 | 205.05 | 190.12 | 114.68 | 136.02 | 178.74 |
November 2006 | 165.54 | 203.41 | 188.07 | 114.60 | 136.44 | 178.12 |
December 2006 | 163.57 | 201.31 | 186.04 | 114.62 | 136.61 | 176.33 |
January 2007 | 161.42 | 199.66 | 184.29 | 114.50 | 135.88 | 176.37 |
February 2007 | 160.42 | 200.39 | 181.57 | 113.77 | 137.29 | 174.72 |
March 2007 | 156.99 | 198.00 | 179.12 | 113.16 | 136.93 | 171.29 |
April 2007 | 155.07 | 196.76 | 176.70 | 112.80 | 136.25 | 167.53 |
May 2007 | 152.62 | 192.79 | 173.76 | 112.19 | 134.92 | 162.19 |
June 2007 | 150.22 | 188.43 | 170.57 | 111.70 | 133.84 | 160.56 |
July 2007 | 147.69 | 183.72 | 167.81 | 111.53 | 132.40 | 157.85 |
August 2007 | 145.77 | 182.25 | 164.94 | 111.34 | 131.05 | 153.92 |
September 2007 | 143.46 | 178.08 | 161.52 | 110.91 | 129.42 | 150.11 |
October 2007 | 140.58 | 173.85 | 157.65 | 109.97 | 127.59 | 147.65 |
November 2007 | 136.94 | 169.79 | 153.63 | 109.17 | 125.89 | 144.36 |
December 2007 | 133.70 | 165.34 | 149.70 | 107.86 | 124.34 | 142.36 |
January 2008 | 131.27 | 160.24 | 146.13 | 107.27 | 122.19 | 137.86 |
February 2008 | 126.80 | 154.89 | 142.83 | 106.41 | 120.68 | 135.02 |
March 2008 | 123.79 | 148.49 | 138.45 | 105.99 | 118.02 | 133.60 |
April 2008 | 121.11 | 141.50 | 134.10 | 104.67 | 116.10 | 132.00 |
May 2008 | 117.84 | 135.46 | 130.63 | 104.80 | 115.23 | 130.34 |
June 2008 | 115.04 | 131.74 | 127.23 | 104.22 | 113.64 | 127.43 |
July 2008 | 111.47 | 129.07 | 123.62 | 103.34 | 111.47 | 125.21 |
August 2008 | 109.02 | 124.70 | 120.35 | 102.62 | 109.49 | 121.93 |
September 2008 | 106.32 | 120.94 | 116.89 | 101.39 | 108.12 | 119.83 |
October 2008 | 103.79 | 116.51 | 113.86 | 100.35 | 106.02 | 116.13 |
November 2008 | 101.92 | 113.52 | 111.03 | 99.69 | 104.31 | 113.52 |
December 2008 | 99.67 | 109.78 | 107.32 | 98.31 | 102.46 | 110.41 |
January 2009 | 98.71 | 108.10 | 104.27 | 97.32 | 102.44 | 108.10 |
February 2009 | 97.35 | 104.32 | 101.82 | 96.97 | 101.89 | 106.74 |
March 2009 | 96.17 | 102.07 | 99.31 | 95.87 | 100.76 | 105.11 |
April 2009 | 95.15 | 100.47 | 98.10 | 94.72 | 100.55 | 104.09 |
May 2009 | 94.40 | 98.73 | 97.71 | 94.65 | 99.72 | 103.21 |
June 2009 | 94.83 | 98.11 | 97.47 | 95.57 | 99.33 | 102.45 |
July 2009 | 96.29 | 98.13 | 97.40 | 96.29 | 99.65 | 101.63 |
August 2009 | 96.12 | 97.94 | 97.51 | 95.99 | 98.68 | 101.37 |
September 2009 | 96.67 | 98.80 | 97.26 | 96.56 | 98.80 | 101.01 |
October 2009 | 97.26 | 99.41 | 98.21 | 97.26 | 99.41 | 100.63 |
November 2009 | 98.00 | 100.25 | 99.53 | 98.00 | 100.20 | 100.81 |
December 2009 | 99.09 | 100.01 | 100.03 | 98.81 | 100.01 | 100.82 |
January 2010 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 | 100.00 |
February 2010 | 99.11 | 98.45 | 99.98 | 98.34 | 99.25 | 99.97 |
March 2010 | 99.29 | 98.54 | 100.44 | 97.98 | 99.29 | 100.32 |
April 2010 | 99.03 | 98.19 | 100.56 | 98.19 | 99.31 | 100.21 |
May 2010 | 99.51 | 97.71 | 100.31 | 97.71 | 99.29 | 100.53 |
June 2010 | 98.98 | 97.65 | 99.85 | 97.32 | 98.98 | 100.61 |
July 2010 | 99.00 | 96.03 | 99.38 | 96.03 | 98.77 | 100.90 |
August 2010 | 97.88 | 94.25 | 98.40 | 94.25 | 97.79 | 100.12 |
September 2010 | 97.59 | 91.94 | 97.24 | 93.35 | 97.10 | 99.96 |
October 2010 | 97.13 | 91.44 | 97.07 | 92.24 | 96.40 | 99.68 |
November 2010 | 96.87 | 90.37 | 96.70 | 91.50 | 96.44 | 98.89 |
December 2010 | 96.60 | 90.84 | 95.99 | 90.84 | 96.19 | 98.73 |
January 2011 | 96.39 | 90.72 | 95.92 | 90.72 | 95.24 | 98.42 |
February 2011 | 95.86 | 90.49 | 94.83 | 90.49 | 94.90 | 98.28 |
March 2011 | 95.45 | 90.43 | 93.98 | 89.98 | 93.96 | 98.13 |
April 2011 | 95.45 | 91.27 | 92.95 | 90.03 | 94.17 | 98.19 |
May 2011 | 95.12 | 92.31 | 91.86 | 89.62 | 93.62 | 98.17 |
June 2011 | 95.06 | 93.03 | 91.09 | 89.59 | 93.87 | 98.16 |
July 2011 | 95.24 | 94.82 | 90.29 | 89.45 | 93.99 | 98.15 |
August 2011 | 94.26 | 94.98 | 90.31 | 89.59 | 94.12 | 97.82 |
September 2011 | 93.81 | 95.70 | 90.72 | 89.84 | 93.81 | 97.58 |
October 2011 | 93.53 | 96.06 | 91.35 | 88.22 | 93.53 | 97.31 |
November 2011 | 93.39 | 96.48 | 92.11 | 87.95 | 93.39 | 97.43 |
December 2011 | 93.21 | 97.65 | 93.16 | 87.13 | 93.21 | 97.65 |
January 2012 | 92.94 | 98.59 | 94.11 | 86.46 | 92.97 | 97.66 |
February 2012 | 92.72 | 98.89 | 95.37 | 86.46 | 93.36 | 97.66 |
March 2012 | 92.73 | 100.01 | 97.04 | 86.72 | 93.47 | 97.81 |
April 2012 | 93.81 | 100.39 | 99.07 | 86.57 | 94.07 | 98.33 |
May 2012 | 94.57 | 101.10 | 100.86 | 86.65 | 94.57 | 98.66 |
June 2012 | 95.17 | 102.23 | 102.55 | 86.55 | 95.17 | 99.07 |
July 2012 | 95.60 | 103.33 | 104.20 | 86.80 | 95.60 | 98.91 |
August 2012 | 96.62 | 104.91 | 105.46 | 86.45 | 96.13 | 99.60 |
September 2012 | 97.40 | 104.79 | 106.47 | 86.86 | 96.59 | 99.85 |
October 2012 | 98.31 | 105.07 | 107.54 | 86.73 | 97.12 | 101.12 |
November 2012 | 99.32 | 106.53 | 108.33 | 87.35 | 97.67 | 101.57 |
December 2012 | 100.72 | 107.11 | 108.83 | 87.49 | 98.82 | 102.89 |
January 2013 | 101.94 | 108.75 | 109.99 | 87.18 | 99.00 | 103.42 |
February 2013 | 103.49 | 110.67 | 111.02 | 87.06 | 99.65 | 104.69 |
March 2013 | 105.01 | 112.32 | 111.82 | 87.75 | 100.54 | 106.60 |
April 2013 | 106.56 | 114.05 | 112.62 | 88.35 | 100.57 | 107.95 |
May 2013 | 107.54 | 114.75 | 113.48 | 89.16 | 101.09 | 109.36 |
June 2013 | 108.88 | 115.12 | 114.21 | 89.60 | 101.51 | 109.92 |
July 2013 | 110.42 | 115.93 | 115.11 | 90.28 | 102.30 | 111.10 |
August 2013 | 111.60 | 118.57 | 116.04 | 90.48 | 102.95 | 111.60 |
September 2013 | 112.33 | 117.81 | 116.59 | 90.22 | 103.71 | 112.65 |
October 2013 | 113.26 | 118.68 | 117.08 | 90.14 | 103.90 | 113.26 |
November 2013 | 113.96 | 119.09 | 117.43 | 90.11 | 104.04 | 114.16 |
December 2013 | 114.45 | 119.59 | 117.66 | 90.32 | 104.12 | 115.64 |
January 2014 | 115.31 | 119.38 | 117.87 | 91.01 | 104.30 | 116.13 |
February 2014 | 116.00 | 119.88 | 117.81 | 91.02 | 103.93 | 117.64 |
March 2014 | 116.30 | 120.41 | 117.95 | 90.84 | 103.89 | 116.78 |
April 2014 | 116.44 | 121.33 | 117.65 | 90.95 | 104.12 | 118.23 |
May 2014 | 116.72 | 121.50 | 117.56 | 90.79 | 104.14 | 118.79 |
June 2014 | 117.03 | 121.96 | 117.51 | 91.08 | 104.04 | 118.25 |
July 2014 | 117.00 | 121.34 | 117.52 | 91.06 | 104.06 | 119.40 |
August 2014 | 117.54 | 121.50 | 117.47 | 91.11 | 103.97 | 119.94 |
September 2014 | 117.98 | 121.82 | 117.51 | 90.93 | 103.71 | 119.96 |
October 2014 | 118.22 | 123.03 | 117.67 | 91.06 | 104.02 | 120.87 |
November 2014 | 118.40 | 122.04 | 117.85 | 90.95 | 104.71 | 121.45 |
December 2014 | 118.69 | 122.11 | 118.12 | 90.99 | 104.19 | 122.11 |
January 2015 | 119.40 | 122.53 | 118.50 | 90.24 | 103.73 | 122.53 |
February 2015 | 120.14 | 122.58 | 118.78 | 89.35 | 104.34 | 123.08 |
March 2015 | 119.99 | 121.34 | 118.91 | 89.81 | 105.27 | 123.87 |
April 2015 | 119.92 | 122.34 | 119.19 | 89.89 | 105.61 | 124.43 |
May 2015 | 120.22 | 123.80 | 119.33 | 90.41 | 106.20 | 124.38 |
June 2015 | 120.43 | 124.08 | 119.48 | 90.89 | 106.80 | 124.72 |
July 2015 | 120.28 | 124.10 | 119.58 | 91.32 | 106.86 | 124.19 |
August 2015 | 120.89 | 123.67 | 119.64 | 91.49 | 107.52 | 124.96 |
September 2015 | 121.40 | 124.92 | 119.75 | 91.11 | 107.22 | 125.16 |
October 2015 | 122.06 | 125.47 | 119.87 | 91.75 | 106.90 | 125.47 |
November 2015 | 122.42 | 126.19 | 120.00 | 91.46 | 106.68 | 126.19 |
December 2015 | 122.55 | 126.09 | 120.08 | 91.73 | 106.91 | 126.09 |
January 2016 | 122.60 | 125.90 | 120.07 | 92.43 | 106.75 | 125.90 |
February 2016 | 123.06 | 126.95 | 120.11 | 92.50 | 107.59 | 126.58 |
March 2016 | 123.04 | 126.82 | 120.07 | 92.32 | 106.61 | 126.82 |
April 2016 | 123.54 | 126.70 | 120.05 | 92.43 | 106.61 | 126.70 |
May 2016 | 123.65 | 126.45 | 119.96 | 92.60 | 106.91 | 126.45 |
June 2016 | 123.65 | 126.24 | 119.97 | 92.85 | 107.30 | 126.24 |
July 2016 | 122.85 | 125.39 | 119.95 | 92.90 | 107.68 | 125.39 |
August 2016 | 123.79 | 126.29 | 119.99 | 92.83 | 108.12 | 126.29 |
September 2016 | 124.14 | 126.68 | 119.95 | 93.05 | 108.46 | 126.68 |
October 2016 | 124.31 | 126.74 | 119.87 | 93.09 | 108.97 | 126.74 |
November 2016 | 124.58 | 127.10 | 119.99 | 93.56 | 109.45 | 127.10 |
December 2016 | 124.92 | 127.28 | 120.19 | 93.78 | 109.72 | 127.28 |
January 2017 | 124.78 | 127.84 | 120.48 | 93.96 | 110.34 | 127.84 |
February 2017 | 124.68 | 127.62 | 120.65 | 94.07 | 111.07 | 127.62 |
March 2017 | 124.90 | 127.47 | 120.73 | 94.25 | 111.76 | 127.47 |
April 2017 | 125.14 | 126.75 | 120.82 | 94.91 | 112.19 | 126.75 |
May 2017 | 125.44 | 126.63 | 120.88 | 94.56 | 112.30 | 126.63 |
June 2017 | 125.59 | 126.25 | 121.18 | 94.39 | 112.24 | 126.25 |
July 2017 | 125.39 | 126.89 | 121.50 | 94.11 | 112.30 | 126.89 |
August 2017 | 126.27 | 127.80 | 121.79 | 94.60 | 113.14 | 127.80 |
September 2017 | 126.68 | 127.94 | 122.13 | 95.10 | 113.50 | 127.94 |
October 2017 | 127.18 | 128.39 | 122.58 | 95.35 | 113.67 | 128.39 |
November 2017 | 127.74 | 127.89 | 122.86 | 95.43 | 114.02 | 129.53 |
December 2017 | 128.29 | 128.35 | 123.37 | 95.15 | 114.29 | 129.16 |
January 2018 | 128.57 | 128.37 | 121.44 | 94.71 | 114.49 | 129.27 |
February 2018 | 129.74 | 128.41 | 123.07 | 95.90 | 115.18 | 129.89 |
March 2018 | 129.60 | 129.13 | 123.22 | 96.67 | 115.42 | 129.60 |
April 2018 | 129.43 | 129.61 | 123.15 | 95.78 | 115.62 | 130.32 |
May 2018 | 129.33 | 129.21 | 123.75 | 95.79 | 115.64 | 130.96 |
June 2018 | 129.28 | 128.35 | 123.67 | 95.94 | 115.71 | 131.27 |
July 2018 | 130.45 | 129.62 | 123.33 | 96.25 | 116.27 | 132.12 |
August 2018 | 129.60 | 128.56 | 123.56 | 96.31 | 114.76 | 130.70 |
Note: Seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 25 metropolitan statistical areas.
Source: For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.
Figure 2-1. Private Nonfinancial-Sector Credit-to-GDP Ratio
Period | Ratio |
---|---|
1980:Q1 | 0.976 |
1980:Q2 | 0.985 |
1980:Q3 | 0.985 |
1980:Q4 | 0.970 |
1981:Q1 | 0.945 |
1981:Q2 | 0.962 |
1981:Q3 | 0.956 |
1981:Q4 | 0.971 |
1982:Q1 | 0.991 |
1982:Q2 | 0.994 |
1982:Q3 | 0.997 |
1982:Q4 | 1.001 |
1983:Q1 | 0.998 |
1983:Q2 | 0.992 |
1983:Q3 | 0.988 |
1983:Q4 | 0.990 |
1984:Q1 | 0.994 |
1984:Q2 | 1.005 |
1984:Q3 | 1.016 |
1984:Q4 | 1.036 |
1985:Q1 | 1.054 |
1985:Q2 | 1.068 |
1985:Q3 | 1.077 |
1985:Q4 | 1.103 |
1986:Q1 | 1.114 |
1986:Q2 | 1.132 |
1986:Q3 | 1.150 |
1986:Q4 | 1.172 |
1987:Q1 | 1.176 |
1987:Q2 | 1.183 |
1987:Q3 | 1.191 |
1987:Q4 | 1.180 |
1988:Q1 | 1.194 |
1988:Q2 | 1.196 |
1988:Q3 | 1.201 |
1988:Q4 | 1.202 |
1989:Q1 | 1.202 |
1989:Q2 | 1.206 |
1989:Q3 | 1.208 |
1989:Q4 | 1.220 |
1990:Q1 | 1.219 |
1990:Q2 | 1.217 |
1990:Q3 | 1.219 |
1990:Q4 | 1.232 |
1991:Q1 | 1.232 |
1991:Q2 | 1.222 |
1991:Q3 | 1.207 |
1991:Q4 | 1.201 |
1992:Q1 | 1.190 |
1992:Q2 | 1.175 |
1992:Q3 | 1.166 |
1992:Q4 | 1.154 |
1993:Q1 | 1.155 |
1993:Q2 | 1.155 |
1993:Q3 | 1.158 |
1993:Q4 | 1.153 |
1994:Q1 | 1.155 |
1994:Q2 | 1.151 |
1994:Q3 | 1.154 |
1994:Q4 | 1.156 |
1995:Q1 | 1.164 |
1995:Q2 | 1.176 |
1995:Q3 | 1.178 |
1995:Q4 | 1.182 |
1996:Q1 | 1.189 |
1996:Q2 | 1.185 |
1996:Q3 | 1.187 |
1996:Q4 | 1.182 |
1997:Q1 | 1.187 |
1997:Q2 | 1.186 |
1997:Q3 | 1.191 |
1997:Q4 | 1.197 |
1998:Q1 | 1.212 |
1998:Q2 | 1.229 |
1998:Q3 | 1.232 |
1998:Q4 | 1.238 |
1999:Q1 | 1.254 |
1999:Q2 | 1.266 |
1999:Q3 | 1.281 |
1999:Q4 | 1.280 |
2000:Q1 | 1.302 |
2000:Q2 | 1.300 |
2000:Q3 | 1.317 |
2000:Q4 | 1.324 |
2001:Q1 | 1.334 |
2001:Q2 | 1.345 |
2001:Q3 | 1.375 |
2001:Q4 | 1.382 |
2002:Q1 | 1.389 |
2002:Q2 | 1.392 |
2002:Q3 | 1.399 |
2002:Q4 | 1.414 |
2003:Q1 | 1.423 |
2003:Q2 | 1.439 |
2003:Q3 | 1.432 |
2003:Q4 | 1.429 |
2004:Q1 | 1.445 |
2004:Q2 | 1.451 |
2004:Q3 | 1.459 |
2004:Q4 | 1.470 |
2005:Q1 | 1.473 |
2005:Q2 | 1.492 |
2005:Q3 | 1.500 |
2005:Q4 | 1.515 |
2006:Q1 | 1.529 |
2006:Q2 | 1.552 |
2006:Q3 | 1.570 |
2006:Q4 | 1.588 |
2007:Q1 | 1.601 |
2007:Q2 | 1.624 |
2007:Q3 | 1.644 |
2007:Q4 | 1.659 |
2008:Q1 | 1.688 |
2008:Q2 | 1.680 |
2008:Q3 | 1.694 |
2008:Q4 | 1.704 |
2009:Q1 | 1.714 |
2009:Q2 | 1.711 |
2009:Q3 | 1.692 |
2009:Q4 | 1.650 |
2010:Q1 | 1.633 |
2010:Q2 | 1.602 |
2010:Q3 | 1.584 |
2010:Q4 | 1.558 |
2011:Q1 | 1.555 |
2011:Q2 | 1.535 |
2011:Q3 | 1.526 |
2011:Q4 | 1.510 |
2012:Q1 | 1.495 |
2012:Q2 | 1.486 |
2012:Q3 | 1.486 |
2012:Q4 | 1.489 |
2013:Q1 | 1.478 |
2013:Q2 | 1.479 |
2013:Q3 | 1.474 |
2013:Q4 | 1.462 |
2014:Q1 | 1.472 |
2014:Q2 | 1.460 |
2014:Q3 | 1.450 |
2014:Q4 | 1.454 |
2015:Q1 | 1.459 |
2015:Q2 | 1.459 |
2015:Q3 | 1.461 |
2015:Q4 | 1.468 |
2016:Q1 | 1.483 |
2016:Q2 | 1.479 |
2016:Q3 | 1.485 |
2016:Q4 | 1.481 |
2017:Q1 | 1.486 |
2017:Q2 | 1.489 |
2017:Q3 | 1.486 |
2017:Q4 | 1.484 |
2018:Q1 | 1.481 |
2018:Q2 | 1.478 |
Note: The shaded bars 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, and December 2007-June 2009. GDP is gross domestic product.
Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."
Figure 2-2. Business- and Household-Sector Credit-to-GDP Ratio
Period | Business | Household |
---|---|---|
1980:Q1 | 0.496 | 0.480 |
1980:Q2 | 0.502 | 0.483 |
1980:Q3 | 0.501 | 0.484 |
1980:Q4 | 0.494 | 0.476 |
1981:Q1 | 0.483 | 0.462 |
1981:Q2 | 0.495 | 0.466 |
1981:Q3 | 0.496 | 0.460 |
1981:Q4 | 0.506 | 0.465 |
1982:Q1 | 0.519 | 0.472 |
1982:Q2 | 0.524 | 0.470 |
1982:Q3 | 0.532 | 0.466 |
1982:Q4 | 0.531 | 0.470 |
1983:Q1 | 0.535 | 0.463 |
1983:Q2 | 0.530 | 0.462 |
1983:Q3 | 0.527 | 0.461 |
1983:Q4 | 0.526 | 0.464 |
1984:Q1 | 0.530 | 0.464 |
1984:Q2 | 0.538 | 0.466 |
1984:Q3 | 0.547 | 0.469 |
1984:Q4 | 0.559 | 0.477 |
1985:Q1 | 0.562 | 0.491 |
1985:Q2 | 0.569 | 0.499 |
1985:Q3 | 0.570 | 0.507 |
1985:Q4 | 0.579 | 0.524 |
1986:Q1 | 0.585 | 0.529 |
1986:Q2 | 0.596 | 0.536 |
1986:Q3 | 0.604 | 0.546 |
1986:Q4 | 0.615 | 0.557 |
1987:Q1 | 0.620 | 0.556 |
1987:Q2 | 0.620 | 0.563 |
1987:Q3 | 0.623 | 0.568 |
1987:Q4 | 0.621 | 0.560 |
1988:Q1 | 0.627 | 0.567 |
1988:Q2 | 0.628 | 0.568 |
1988:Q3 | 0.629 | 0.572 |
1988:Q4 | 0.631 | 0.571 |
1989:Q1 | 0.630 | 0.571 |
1989:Q2 | 0.632 | 0.574 |
1989:Q3 | 0.629 | 0.578 |
1989:Q4 | 0.634 | 0.586 |
1990:Q1 | 0.630 | 0.589 |
1990:Q2 | 0.626 | 0.591 |
1990:Q3 | 0.625 | 0.594 |
1990:Q4 | 0.629 | 0.604 |
1991:Q1 | 0.622 | 0.610 |
1991:Q2 | 0.613 | 0.610 |
1991:Q3 | 0.600 | 0.607 |
1991:Q4 | 0.589 | 0.612 |
1992:Q1 | 0.580 | 0.610 |
1992:Q2 | 0.569 | 0.606 |
1992:Q3 | 0.561 | 0.605 |
1992:Q4 | 0.551 | 0.603 |
1993:Q1 | 0.549 | 0.605 |
1993:Q2 | 0.548 | 0.607 |
1993:Q3 | 0.547 | 0.611 |
1993:Q4 | 0.543 | 0.610 |
1994:Q1 | 0.543 | 0.611 |
1994:Q2 | 0.540 | 0.611 |
1994:Q3 | 0.541 | 0.614 |
1994:Q4 | 0.539 | 0.617 |
1995:Q1 | 0.543 | 0.621 |
1995:Q2 | 0.549 | 0.627 |
1995:Q3 | 0.548 | 0.631 |
1995:Q4 | 0.549 | 0.633 |
1996:Q1 | 0.548 | 0.640 |
1996:Q2 | 0.546 | 0.639 |
1996:Q3 | 0.547 | 0.639 |
1996:Q4 | 0.544 | 0.639 |
1997:Q1 | 0.546 | 0.641 |
1997:Q2 | 0.546 | 0.639 |
1997:Q3 | 0.551 | 0.640 |
1997:Q4 | 0.555 | 0.641 |
1998:Q1 | 0.565 | 0.646 |
1998:Q2 | 0.576 | 0.653 |
1998:Q3 | 0.580 | 0.652 |
1998:Q4 | 0.584 | 0.654 |
1999:Q1 | 0.594 | 0.660 |
1999:Q2 | 0.598 | 0.668 |
1999:Q3 | 0.610 | 0.671 |
1999:Q4 | 0.609 | 0.671 |
2000:Q1 | 0.619 | 0.683 |
2000:Q2 | 0.621 | 0.679 |
2000:Q3 | 0.627 | 0.690 |
2000:Q4 | 0.630 | 0.694 |
2001:Q1 | 0.633 | 0.702 |
2001:Q2 | 0.635 | 0.710 |
2001:Q3 | 0.642 | 0.733 |
2001:Q4 | 0.645 | 0.738 |
2002:Q1 | 0.642 | 0.746 |
2002:Q2 | 0.639 | 0.753 |
2002:Q3 | 0.636 | 0.764 |
2002:Q4 | 0.635 | 0.779 |
2003:Q1 | 0.631 | 0.792 |
2003:Q2 | 0.625 | 0.814 |
2003:Q3 | 0.615 | 0.817 |
2003:Q4 | 0.604 | 0.825 |
2004:Q1 | 0.609 | 0.835 |
2004:Q2 | 0.604 | 0.847 |
2004:Q3 | 0.605 | 0.854 |
2004:Q4 | 0.603 | 0.867 |
2005:Q1 | 0.603 | 0.870 |
2005:Q2 | 0.607 | 0.885 |
2005:Q3 | 0.607 | 0.893 |
2005:Q4 | 0.612 | 0.903 |
2006:Q1 | 0.616 | 0.914 |
2006:Q2 | 0.624 | 0.929 |
2006:Q3 | 0.628 | 0.942 |
2006:Q4 | 0.640 | 0.949 |
2007:Q1 | 0.649 | 0.952 |
2007:Q2 | 0.662 | 0.962 |
2007:Q3 | 0.677 | 0.967 |
2007:Q4 | 0.688 | 0.971 |
2008:Q1 | 0.704 | 0.984 |
2008:Q2 | 0.710 | 0.970 |
2008:Q3 | 0.718 | 0.977 |
2008:Q4 | 0.733 | 0.972 |
2009:Q1 | 0.736 | 0.978 |
2009:Q2 | 0.732 | 0.979 |
2009:Q3 | 0.719 | 0.973 |
2009:Q4 | 0.694 | 0.956 |
2010:Q1 | 0.688 | 0.944 |
2010:Q2 | 0.674 | 0.928 |
2010:Q3 | 0.670 | 0.914 |
2010:Q4 | 0.657 | 0.901 |
2011:Q1 | 0.656 | 0.899 |
2011:Q2 | 0.652 | 0.884 |
2011:Q3 | 0.653 | 0.873 |
2011:Q4 | 0.650 | 0.860 |
2012:Q1 | 0.646 | 0.849 |
2012:Q2 | 0.646 | 0.840 |
2012:Q3 | 0.652 | 0.834 |
2012:Q4 | 0.658 | 0.831 |
2013:Q1 | 0.656 | 0.822 |
2013:Q2 | 0.661 | 0.819 |
2013:Q3 | 0.663 | 0.811 |
2013:Q4 | 0.659 | 0.804 |
2014:Q1 | 0.668 | 0.804 |
2014:Q2 | 0.664 | 0.796 |
2014:Q3 | 0.664 | 0.786 |
2014:Q4 | 0.671 | 0.784 |
2015:Q1 | 0.679 | 0.781 |
2015:Q2 | 0.683 | 0.776 |
2015:Q3 | 0.688 | 0.773 |
2015:Q4 | 0.696 | 0.772 |
2016:Q1 | 0.709 | 0.774 |
2016:Q2 | 0.708 | 0.771 |
2016:Q3 | 0.713 | 0.772 |
2016:Q4 | 0.712 | 0.770 |
2017:Q1 | 0.717 | 0.769 |
2017:Q2 | 0.720 | 0.768 |
2017:Q3 | 0.721 | 0.764 |
2017:Q4 | 0.720 | 0.764 |
2018:Q1 | 0.718 | 0.762 |
2018:Q2 | 0.725 | 0.754 |
Note: The shaded bars 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, and December 2007-June 2009. GDP is gross domestic product.
Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."
Figure 2-3. Growth of Real Aggregate Debt of the Business Sector
Period | Percent change, annual rate |
---|---|
1997:Q1 | 4.36 |
1997:Q2 | 6.58 |
1997:Q3 | 9.20 |
1997:Q4 | 6.82 |
1998:Q1 | 11.43 |
1998:Q2 | 11.93 |
1998:Q3 | 8.84 |
1998:Q4 | 10.43 |
1999:Q1 | 11.04 |
1999:Q2 | 6.52 |
1999:Q3 | 11.17 |
1999:Q4 | 6.49 |
2000:Q1 | 9.58 |
2000:Q2 | 9.15 |
2000:Q3 | 4.26 |
2000:Q4 | 5.53 |
2001:Q1 | 2.00 |
2001:Q2 | 4.79 |
2001:Q3 | 3.80 |
2001:Q4 | 3.08 |
2002:Q1 | 3.50 |
2002:Q2 | -0.09 |
2002:Q3 | 0.66 |
2002:Q4 | 1.01 |
2003:Q1 | 0.07 |
2003:Q2 | 0.08 |
2003:Q3 | 1.81 |
2003:Q4 | -2.09 |
2004:Q1 | 3.23 |
2004:Q2 | 0.67 |
2004:Q3 | 4.18 |
2004:Q4 | 2.40 |
2005:Q1 | 4.18 |
2005:Q2 | 4.28 |
2005:Q3 | 2.89 |
2005:Q4 | 6.06 |
2006:Q1 | 8.12 |
2006:Q2 | 6.41 |
2006:Q3 | 4.53 |
2006:Q4 | 11.86 |
2007:Q1 | 7.58 |
2007:Q2 | 10.50 |
2007:Q3 | 11.47 |
2007:Q4 | 10.24 |
2008:Q1 | 7.23 |
2008:Q2 | 5.74 |
2008:Q3 | 2.49 |
2008:Q4 | 0.09 |
2009:Q1 | -3.75 |
2009:Q2 | -1.14 |
2009:Q3 | -5.34 |
2009:Q4 | -5.41 |
2010:Q1 | -3.26 |
2010:Q2 | -4.66 |
2010:Q3 | 1.59 |
2010:Q4 | -2.13 |
2011:Q1 | -0.99 |
2011:Q2 | 0.27 |
2011:Q3 | 0.78 |
2011:Q4 | 1.95 |
2012:Q1 | 1.84 |
2012:Q2 | 1.66 |
2012:Q3 | 4.39 |
2012:Q4 | 4.97 |
2013:Q1 | 2.96 |
2013:Q2 | 3.44 |
2013:Q3 | 4.43 |
2013:Q4 | 0.94 |
2014:Q1 | 4.96 |
2014:Q2 | 2.95 |
2014:Q3 | 4.48 |
2014:Q4 | 6.48 |
2015:Q1 | 8.42 |
2015:Q2 | 6.20 |
2015:Q3 | 3.99 |
2015:Q4 | 6.07 |
2016:Q1 | 9.39 |
2016:Q2 | 1.10 |
2016:Q3 | 4.67 |
2016:Q4 | 1.53 |
2017:Q1 | 3.94 |
2017:Q2 | 4.97 |
2017:Q3 | 3.18 |
2017:Q4 | 1.53 |
2018:Q1 | 1.45 |
2018:Q2 | 1.13 |
Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for nonfinancial business-sector output.
Source: Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."
Figure 2-4. Net Issuance of Risky Business Debt
Billions of dollars
Period | Total | Institutional leveraged loans | High-yield and unrated bonds |
---|---|---|---|
2005:Q1 | 6.34 | 13.32 | -6.99 |
2005:Q2 | 8.07 | 13.65 | -5.58 |
2005:Q3 | 7.25 | 13.89 | -6.64 |
2005:Q4 | 9.24 | 13.82 | -4.59 |
2006:Q1 | 10.39 | 17.99 | -7.60 |
2006:Q2 | 21.10 | 23.80 | -2.70 |
2006:Q3 | 24.65 | 26.44 | -1.79 |
2006:Q4 | 42.69 | 37.87 | 4.83 |
2007:Q1 | 48.17 | 41.24 | 6.93 |
2007:Q2 | 55.90 | 44.79 | 11.11 |
2007:Q3 | 55.97 | 46.75 | 9.21 |
2007:Q4 | 39.76 | 39.19 | 0.57 |
2008:Q1 | 25.64 | 29.57 | -3.94 |
2008:Q2 | 12.79 | 22.55 | -9.76 |
2008:Q3 | 11.57 | 17.77 | -6.20 |
2008:Q4 | -2.95 | 9.96 | -12.90 |
2009:Q1 | -5.71 | 6.45 | -12.16 |
2009:Q2 | -15.10 | -3.99 | -11.11 |
2009:Q3 | -24.17 | -8.95 | -15.22 |
2009:Q4 | -27.20 | -16.40 | -10.81 |
2010:Q1 | -22.48 | -17.91 | -4.58 |
2010:Q2 | -20.90 | -16.45 | -4.45 |
2010:Q3 | -5.59 | -10.20 | 4.61 |
2010:Q4 | 3.87 | -7.78 | 11.65 |
2011:Q1 | 5.99 | -4.44 | 10.43 |
2011:Q2 | 16.57 | 4.36 | 12.22 |
2011:Q3 | 4.84 | 0.04 | 4.80 |
2011:Q4 | 7.23 | 4.85 | 2.38 |
2012:Q1 | 13.03 | 4.35 | 8.67 |
2012:Q2 | 4.47 | 2.59 | 1.88 |
2012:Q3 | 13.65 | 2.88 | 10.77 |
2012:Q4 | 24.92 | 8.39 | 16.53 |
2013:Q1 | 29.55 | 12.83 | 16.71 |
2013:Q2 | 38.84 | 16.05 | 22.79 |
2013:Q3 | 51.95 | 28.43 | 23.51 |
2013:Q4 | 55.29 | 32.83 | 22.46 |
2014:Q1 | 57.72 | 37.36 | 20.35 |
2014:Q2 | 61.64 | 40.94 | 20.70 |
2014:Q3 | 61.83 | 41.76 | 20.07 |
2014:Q4 | 53.76 | 37.42 | 16.35 |
2015:Q1 | 55.05 | 31.67 | 23.38 |
2015:Q2 | 41.14 | 19.49 | 21.65 |
2015:Q3 | 24.24 | 9.53 | 14.71 |
2015:Q4 | 19.58 | 10.18 | 9.40 |
2016:Q1 | 8.76 | 10.84 | -2.08 |
2016:Q2 | 11.04 | 12.87 | -1.83 |
2016:Q3 | 4.04 | 7.50 | -3.46 |
2016:Q4 | -2.82 | 2.10 | -4.92 |
2017:Q1 | -5.22 | -1.23 | -3.98 |
2017:Q2 | 1.81 | 9.77 | -7.96 |
2017:Q3 | 10.69 | 16.25 | -5.55 |
2017:Q4 | 17.13 | 18.65 | -1.52 |
2018:Q1 | 24.76 | 28.30 | -3.54 |
2018:Q2 | 25.33 | 29.76 | -4.43 |
2018:Q3 | 30.97 | 37.78 | -6.80 |
Note: Total net issuance of risky debt is the sum of the net issuance of speculative-grade and unrated bonds and leveraged loans. The data are four-quarter moving averages.
Source: Mergent, Fixed Investment Securities Database (FISD); S&P Global, Leveraged Commentary & Data.
Figure 2-5. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio
Percent
Period | Debt multiples ≤ 4x | Debt multiples 4x-4.99x | Debt multiples 5x-5.99x | Debt multiples ≥ 6x |
---|---|---|---|---|
2001 | 61.1 | 26.2 | 10.1 | 2.7 |
2002 | 54.6 | 27.3 | 12.2 | 5.9 |
2003 | 52.6 | 29.3 | 11.5 | 6.7 |
2004 | 45.0 | 28.6 | 17.6 | 8.8 |
2005 | 41.8 | 25.1 | 25.1 | 8.0 |
2006 | 36.4 | 26.3 | 21.1 | 16.3 |
2007 | 31.2 | 23.7 | 17.5 | 27.7 |
2008 | 63.1 | 14.2 | 12.1 | 10.7 |
2009 | 53.1 | 17.7 | 11.5 | 17.7 |
2010 | 53.7 | 22.6 | 17.9 | 5.8 |
2011 | 43.8 | 22.6 | 19.2 | 14.4 |
2012 | 35.9 | 26.6 | 21.8 | 15.8 |
2013 | 31.5 | 29.0 | 23.1 | 16.4 |
2014 | 28.7 | 22.6 | 21.5 | 27.2 |
2015 | 29.9 | 24.8 | 26.5 | 18.9 |
2016 | 22.0 | 32.3 | 24.7 | 21.0 |
2017 | 22.4 | 28.2 | 27.7 | 21.7 |
2018:Q1 | 23.0 | 23.0 | 29.0 | 25.2 |
2018:Q2 | 26.2 | 24.0 | 24.0 | 25.7 |
2018:Q3 | 13.4 | 20.6 | 32.0 | 34.0 |
Note: The data for 2018 are quarterly. Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 billion and exclude existing tranches of add-ons and amendments and restatements with no new money.
Source: S&P Global, Leveraged Commentary & Data.
Figure 2-6. Default Rates of Leveraged Loans
Period | Percent |
---|---|
December 1998 | 1.51 |
January 1999 | 1.40 |
February 1999 | 0.62 |
March 1999 | 0.96 |
April 1999 | 0.91 |
May 1999 | 1.08 |
June 1999 | 1.51 |
July 1999 | 1.47 |
August 1999 | 2.59 |
September 1999 | 2.84 |
October 1999 | 2.80 |
November 1999 | 4.23 |
December 1999 | 4.17 |
January 2000 | 5.32 |
February 2000 | 5.64 |
March 2000 | 5.79 |
April 2000 | 7.39 |
May 2000 | 7.13 |
June 2000 | 7.50 |
July 2000 | 7.39 |
August 2000 | 6.66 |
September 2000 | 6.60 |
October 2000 | 6.74 |
November 2000 | 5.80 |
December 2000 | 6.57 |
January 2001 | 5.89 |
February 2001 | 5.65 |
March 2001 | 5.48 |
April 2001 | 4.78 |
May 2001 | 6.42 |
June 2001 | 6.28 |
July 2001 | 6.82 |
August 2001 | 6.80 |
September 2001 | 6.50 |
October 2001 | 6.72 |
November 2001 | 6.50 |
December 2001 | 6.30 |
January 2002 | 7.25 |
February 2002 | 7.25 |
March 2002 | 6.85 |
April 2002 | 6.95 |
May 2002 | 5.69 |
June 2002 | 7.41 |
July 2002 | 6.84 |
August 2002 | 6.78 |
September 2002 | 6.41 |
October 2002 | 6.59 |
November 2002 | 6.53 |
December 2002 | 6.01 |
January 2003 | 5.13 |
February 2003 | 5.01 |
March 2003 | 5.47 |
April 2003 | 5.26 |
May 2003 | 5.35 |
June 2003 | 2.62 |
July 2003 | 2.64 |
August 2003 | 2.67 |
September 2003 | 2.91 |
October 2003 | 2.30 |
November 2003 | 2.28 |
December 2003 | 2.25 |
January 2004 | 1.89 |
February 2004 | 1.61 |
March 2004 | 1.11 |
April 2004 | 0.94 |
May 2004 | 0.68 |
June 2004 | 0.94 |
July 2004 | 0.91 |
August 2004 | 0.88 |
September 2004 | 1.01 |
October 2004 | 1.02 |
November 2004 | 1.02 |
December 2004 | 1.01 |
January 2005 | 1.03 |
February 2005 | 1.37 |
March 2005 | 1.26 |
April 2005 | 1.48 |
May 2005 | 1.54 |
June 2005 | 1.29 |
July 2005 | 1.46 |
August 2005 | 1.43 |
September 2005 | 1.65 |
October 2005 | 2.56 |
November 2005 | 2.29 |
December 2005 | 3.02 |
January 2006 | 2.96 |
February 2006 | 2.89 |
March 2006 | 2.79 |
April 2006 | 2.47 |
May 2006 | 2.30 |
June 2006 | 2.28 |
July 2006 | 2.08 |
August 2006 | 2.08 |
September 2006 | 1.56 |
October 2006 | 0.99 |
November 2006 | 1.07 |
December 2006 | 0.48 |
January 2007 | 0.45 |
February 2007 | 0.24 |
March 2007 | 0.23 |
April 2007 | 0.22 |
May 2007 | 0.16 |
June 2007 | 0.15 |
July 2007 | 0.21 |
August 2007 | 0.21 |
September 2007 | 0.42 |
October 2007 | 0.33 |
November 2007 | 0.25 |
December 2007 | 0.24 |
January 2008 | 0.72 |
February 2008 | 0.94 |
March 2008 | 1.07 |
April 2008 | 1.30 |
May 2008 | 1.73 |
June 2008 | 1.70 |
July 2008 | 1.90 |
August 2008 | 2.03 |
September 2008 | 1.91 |
October 2008 | 1.97 |
November 2008 | 1.94 |
December 2008 | 3.75 |
January 2009 | 4.95 |
February 2009 | 5.25 |
March 2009 | 8.02 |
April 2009 | 8.03 |
May 2009 | 8.66 |
June 2009 | 9.15 |
July 2009 | 9.57 |
August 2009 | 9.68 |
September 2009 | 9.75 |
October 2009 | 10.71 |
November 2009 | 10.81 |
December 2009 | 9.61 |
January 2010 | 8.82 |
February 2010 | 8.59 |
March 2010 | 5.82 |
April 2010 | 5.65 |
May 2010 | 4.64 |
June 2010 | 4.02 |
July 2010 | 3.47 |
August 2010 | 3.57 |
September 2010 | 3.55 |
October 2010 | 2.28 |
November 2010 | 2.25 |
December 2010 | 1.87 |
January 2011 | 1.46 |
February 2011 | 1.27 |
March 2011 | 1.11 |
April 2011 | 0.95 |
May 2011 | 0.91 |
June 2011 | 0.91 |
July 2011 | 0.77 |
August 2011 | 0.33 |
September 2011 | 0.32 |
October 2011 | 0.32 |
November 2011 | 0.17 |
December 2011 | 0.17 |
January 2012 | 0.21 |
February 2012 | 0.21 |
March 2012 | 0.21 |
April 2012 | 0.56 |
May 2012 | 1.05 |
June 2012 | 1.04 |
July 2012 | 1.04 |
August 2012 | 1.07 |
September 2012 | 1.00 |
October 2012 | 1.06 |
November 2012 | 1.28 |
December 2012 | 1.27 |
January 2013 | 1.42 |
February 2013 | 1.40 |
March 2013 | 2.21 |
April 2013 | 1.91 |
May 2013 | 1.40 |
June 2013 | 1.37 |
July 2013 | 2.02 |
August 2013 | 2.16 |
September 2013 | 2.41 |
October 2013 | 2.31 |
November 2013 | 2.08 |
December 2013 | 2.11 |
January 2014 | 1.88 |
February 2014 | 1.86 |
March 2014 | 1.21 |
April 2014 | 4.64 |
May 2014 | 4.60 |
June 2014 | 4.41 |
July 2014 | 3.89 |
August 2014 | 3.61 |
September 2014 | 3.34 |
October 2014 | 3.28 |
November 2014 | 3.33 |
December 2014 | 3.24 |
January 2015 | 3.99 |
February 2015 | 3.92 |
March 2015 | 3.79 |
April 2015 | 1.26 |
May 2015 | 1.26 |
June 2015 | 1.24 |
July 2015 | 1.10 |
August 2015 | 1.30 |
September 2015 | 1.27 |
October 2015 | 1.27 |
November 2015 | 1.42 |
December 2015 | 1.50 |
January 2016 | 1.29 |
February 2016 | 1.41 |
March 2016 | 1.75 |
April 2016 | 1.69 |
May 2016 | 1.96 |
June 2016 | 1.97 |
July 2016 | 2.17 |
August 2016 | 1.98 |
September 2016 | 1.95 |
October 2016 | 1.95 |
November 2016 | 1.66 |
December 2016 | 1.58 |
January 2017 | 1.56 |
February 2017 | 1.41 |
March 2017 | 1.49 |
April 2017 | 1.43 |
May 2017 | 1.42 |
June 2017 | 1.54 |
July 2017 | 1.36 |
August 2017 | 1.36 |
September 2017 | 1.53 |
October 2017 | 1.51 |
November 2017 | 1.95 |
December 2017 | 2.05 |
January 2018 | 1.95 |
February 2018 | 2.00 |
March 2018 | 2.42 |
April 2018 | 2.37 |
May 2018 | 2.12 |
June 2018 | 1.98 |
July 2018 | 1.99 |
August 2018 | 1.99 |
September 2018 | 1.81 |
October 2018 | 1.92 |
Note: 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 indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001 and December 2007-June 2009.
Source: S&P Global, Leveraged Commentary & Data.
Figure 2-7. Gross Balance Sheet Leverage of Public Nonfinancial Corporations
Percent
Period | All firms | Risky firms |
---|---|---|
2000:Q1 | 30.64 | 37.97 |
2000:Q2 | 29.85 | 37.32 |
2000:Q3 | 29.30 | 36.27 |
2000:Q4 | 29.52 | 36.82 |
2001:Q1 | 29.53 | 38.24 |
2001:Q2 | 29.66 | 39.03 |
2001:Q3 | 29.65 | 38.18 |
2001:Q4 | 30.32 | 39.25 |
2002:Q1 | 30.94 | 39.51 |
2002:Q2 | 30.02 | 37.98 |
2002:Q3 | 29.81 | 37.86 |
2002:Q4 | 29.57 | 37.93 |
2003:Q1 | 29.24 | 37.79 |
2003:Q2 | 28.42 | 37.68 |
2003:Q3 | 28.05 | 36.73 |
2003:Q4 | 27.08 | 36.52 |
2004:Q1 | 26.55 | 35.35 |
2004:Q2 | 25.94 | 34.86 |
2004:Q3 | 25.63 | 35.02 |
2004:Q4 | 25.41 | 34.22 |
2005:Q1 | 25.16 | 34.17 |
2005:Q2 | 25.02 | 32.65 |
2005:Q3 | 24.28 | 31.48 |
2005:Q4 | 24.35 | 32.21 |
2006:Q1 | 24.82 | 33.08 |
2006:Q2 | 24.66 | 32.82 |
2006:Q3 | 24.63 | 33.06 |
2006:Q4 | 24.91 | 34.52 |
2007:Q1 | 25.19 | 35.12 |
2007:Q2 | 25.45 | 34.74 |
2007:Q3 | 25.86 | 35.52 |
2007:Q4 | 26.16 | 35.84 |
2008:Q1 | 26.41 | 36.49 |
2008:Q2 | 26.53 | 36.23 |
2008:Q3 | 27.56 | 38.45 |
2008:Q4 | 29.15 | 40.50 |
2009:Q1 | 29.37 | 40.72 |
2009:Q2 | 28.35 | 38.84 |
2009:Q3 | 27.38 | 36.94 |
2009:Q4 | 27.13 | 37.63 |
2010:Q1 | 26.73 | 36.54 |
2010:Q2 | 26.60 | 36.53 |
2010:Q3 | 26.57 | 36.66 |
2010:Q4 | 26.33 | 36.20 |
2011:Q1 | 26.12 | 36.08 |
2011:Q2 | 26.19 | 36.14 |
2011:Q3 | 26.51 | 36.07 |
2011:Q4 | 26.40 | 35.48 |
2012:Q1 | 26.34 | 35.92 |
2012:Q2 | 26.90 | 36.75 |
2012:Q3 | 27.03 | 36.96 |
2012:Q4 | 27.33 | 37.86 |
2013:Q1 | 27.28 | 37.60 |
2013:Q2 | 27.72 | 38.28 |
2013:Q3 | 27.98 | 38.25 |
2013:Q4 | 28.19 | 38.71 |
2014:Q1 | 28.82 | 39.28 |
2014:Q2 | 28.61 | 38.18 |
2014:Q3 | 28.75 | 38.08 |
2014:Q4 | 29.30 | 38.99 |
2015:Q1 | 30.17 | 39.63 |
2015:Q2 | 30.70 | 39.73 |
2015:Q3 | 31.23 | 41.02 |
2015:Q4 | 32.16 | 40.55 |
2016:Q1 | 32.77 | 42.18 |
2016:Q2 | 32.96 | 41.78 |
2016:Q3 | 33.04 | 41.62 |
2016:Q4 | 33.00 | 40.98 |
2017:Q1 | 33.22 | 40.79 |
2017:Q2 | 33.61 | 41.72 |
2017:Q3 | 33.42 | 41.90 |
2017:Q4 | 33.26 | 41.16 |
2018:Q1 | 33.34 | 40.80 |
2018:Q2 | 33.27 | 41.16 |
Note: Gross leverage is the ratio of the book value of total debt to the book value of total assets. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.
Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.
Figure 2-8. Interest Expense Ratio for Public Nonfinancial Corporations
Percent
Period | All firms | Risky firms |
---|---|---|
2000:Q1 | 16.18 | 29.08 |
2000:Q2 | 15.60 | 27.02 |
2000:Q3 | 15.85 | 27.25 |
2000:Q4 | 15.97 | 28.18 |
2001:Q1 | 17.42 | 31.77 |
2001:Q2 | 17.03 | 31.44 |
2001:Q3 | 16.81 | 30.94 |
2001:Q4 | 16.00 | 28.70 |
2002:Q1 | 17.13 | 32.20 |
2002:Q2 | 15.60 | 29.59 |
2002:Q3 | 15.68 | 29.06 |
2002:Q4 | 15.17 | 27.76 |
2003:Q1 | 15.32 | 29.54 |
2003:Q2 | 15.23 | 29.44 |
2003:Q3 | 14.60 | 26.47 |
2003:Q4 | 13.96 | 24.96 |
2004:Q1 | 13.46 | 25.03 |
2004:Q2 | 12.48 | 22.58 |
2004:Q3 | 12.59 | 21.64 |
2004:Q4 | 11.95 | 20.21 |
2005:Q1 | 12.17 | 21.82 |
2005:Q2 | 11.72 | 20.76 |
2005:Q3 | 11.82 | 22.05 |
2005:Q4 | 10.95 | 19.32 |
2006:Q1 | 12.22 | 22.24 |
2006:Q2 | 11.79 | 21.19 |
2006:Q3 | 11.51 | 21.52 |
2006:Q4 | 12.22 | 22.44 |
2007:Q1 | 12.52 | 23.97 |
2007:Q2 | 11.74 | 20.79 |
2007:Q3 | 12.52 | 22.56 |
2007:Q4 | 12.41 | 23.36 |
2008:Q1 | 12.33 | 24.61 |
2008:Q2 | 11.07 | 21.47 |
2008:Q3 | 10.78 | 19.59 |
2008:Q4 | 14.43 | 27.95 |
2009:Q1 | 14.09 | 26.52 |
2009:Q2 | 13.81 | 25.18 |
2009:Q3 | 13.35 | 25.50 |
2009:Q4 | 12.19 | 22.82 |
2010:Q1 | 12.14 | 23.52 |
2010:Q2 | 11.82 | 22.44 |
2010:Q3 | 11.62 | 22.67 |
2010:Q4 | 11.26 | 21.35 |
2011:Q1 | 10.84 | 22.23 |
2011:Q2 | 10.45 | 21.39 |
2011:Q3 | 10.20 | 19.99 |
2011:Q4 | 10.75 | 20.14 |
2012:Q1 | 10.75 | 21.75 |
2012:Q2 | 10.55 | 20.73 |
2012:Q3 | 10.55 | 20.80 |
2012:Q4 | 11.05 | 21.80 |
2013:Q1 | 11.15 | 22.41 |
2013:Q2 | 10.82 | 19.89 |
2013:Q3 | 10.56 | 19.79 |
2013:Q4 | 10.48 | 20.90 |
2014:Q1 | 10.99 | 22.30 |
2014:Q2 | 10.46 | 19.51 |
2014:Q3 | 10.22 | 18.37 |
2014:Q4 | 10.98 | 19.15 |
2015:Q1 | 11.13 | 21.41 |
2015:Q2 | 10.75 | 19.57 |
2015:Q3 | 10.60 | 18.93 |
2015:Q4 | 11.20 | 18.51 |
2016:Q1 | 12.56 | 22.88 |
2016:Q2 | 12.29 | 21.30 |
2016:Q3 | 11.98 | 20.79 |
2016:Q4 | 11.39 | 19.88 |
2017:Q1 | 12.28 | 21.72 |
2017:Q2 | 12.12 | 19.75 |
2017:Q3 | 11.60 | 19.43 |
2017:Q4 | 11.51 | 18.76 |
2018:Q1 | 11.84 | 19.79 |
2018:Q2 | 11.14 | 18.29 |
Note: Series calculated as the ratio of total interest expenses to earnings before interest, depreciation, and taxes. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.
Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.
Figure 2-9
This is a line chart titled "Total Household Loan Balances." The x-axis measures time and ranges from the years 1999 to 2018 (Q2). The y-axis measures billions of dollars (real) and ranges from 1000 to 9800. The data are quarterly. There are 3 variables plotted. The first line is labeled "Prime" and is designated by a black line. It ranges from about 3400 to 9000 billion dollars. This variable rises from around 3400 to 9000 billion dollars from 1999 to 2008 and then declines to 7400 billion dollars in 2014. After 2014, this variable rises slowly until it reaches around 9000 billion again in 2018. The second variable is labeled "Near prime" and is designated by a blue line. It ranges from around 2600 to around 3800 billion dollars. The variable has a slight increase to around 3800 billion dollars from 2002 to 2008 but otherwise is stable at a little more than 2600 billion dollars for most of the time period. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from 1000 to around 3000 billion dollars. There is a slight increase from a little more than 1000 billion dollars in 1999 to around 1800 in 2007, and there is a steeper increase to around 3000 billion dollars between 2007 and 2010. The variable then decreases and remains at around 1800 billion dollars from 2014 through 2018.
Note: Near prime are those with an Equifax Risk Score 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 2018 dollars using the consumer price index.
Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.
Figure 2-10
This is a bar graph titled "Estimate of New Mortgage Volume to Households." The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 1400, in billions of dollars (real). There are 3 variables plotted. The first variable is labeled "Subprime" and is designated by the orange bars. It ranges from around 100 to around 300 billion dollars. It starts at a little more than 200 billion dollars in 2000 and very gradually increases to around 300 billion dollars between 2001 to 2007. Then it decreases more quickly to around 100 billion dollars in 2010, and remains fairly unchanged until 2018. The second variable is labeled "Near prime" and is designated by the blue bars. It ranges from 200 to around 800 billion dollars. The variable starts at around 500 billion dollars in 2000 and falls to 400 the next year before increasing quickly. It peaks at a little more than 800 billion dollars in 2006 before steeply falling to around 200 billion dollars by 2012. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2018. The third variable is labeled "Prime" and is designated by the black bars. It ranges from around 500 to 1200 billion dollars. The variable starts at around 600 billion dollars in 2000 and falls to 500 billion dollars the next year before steeply increasing to 1000 billion dollars in 2002. The variable peaks at around 1200 billion dollars in 2004 and then decreases to around 500 billion dollars in 2012. It increased to around 800 billion dollars in 2014 and has remained at that level up to 2018, except for a decrease to 600 billion dollars in 2015.
Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores were measured a year ago. The data are converted to constant 2018 dollars using the consumer price index.
Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.
Figure 2-11. Transition Rates into Mortgage Delinquency
Percent of previously current loans
Period | FHA/VA | Nonprime | Prime |
---|---|---|---|
January 2000 | 3.19 | 4.16 | 1.11 |
February 2000 | 3.02 | 3.87 | 1.03 |
March 2000 | 2.94 | 3.75 | 0.99 |
April 2000 | 3.02 | 3.65 | 1.01 |
May 2000 | 3.04 | 3.62 | 1.03 |
June 2000 | 3.05 | 3.68 | 1.04 |
July 2000 | 2.95 | 3.71 | 1.02 |
August 2000 | 2.99 | 3.82 | 1.02 |
September 2000 | 3.03 | 3.91 | 1.05 |
October 2000 | 3.03 | 3.96 | 1.04 |
November 2000 | 3.05 | 3.90 | 1.04 |
December 2000 | 3.19 | 4.06 | 1.09 |
January 2001 | 3.14 | 4.08 | 1.08 |
February 2001 | 3.20 | 4.34 | 1.11 |
March 2001 | 3.11 | 4.44 | 1.09 |
April 2001 | 3.23 | 4.90 | 1.12 |
May 2001 | 3.24 | 4.98 | 1.13 |
June 2001 | 3.29 | 4.96 | 1.14 |
July 2001 | 3.27 | 4.69 | 1.14 |
August 2001 | 3.15 | 4.65 | 1.10 |
September 2001 | 3.29 | 4.79 | 1.18 |
October 2001 | 3.26 | 4.80 | 1.17 |
November 2001 | 3.31 | 4.81 | 1.17 |
December 2001 | 3.22 | 4.77 | 1.11 |
January 2002 | 3.25 | 4.80 | 1.10 |
February 2002 | 3.30 | 4.82 | 1.11 |
March 2002 | 3.38 | 4.73 | 1.12 |
April 2002 | 3.33 | 4.60 | 1.10 |
May 2002 | 3.29 | 4.68 | 1.07 |
June 2002 | 3.32 | 4.98 | 1.05 |
July 2002 | 3.34 | 5.00 | 1.04 |
August 2002 | 3.40 | 4.94 | 1.06 |
September 2002 | 3.29 | 4.62 | 1.04 |
October 2002 | 3.34 | 4.64 | 1.06 |
November 2002 | 3.42 | 4.72 | 1.10 |
December 2002 | 3.41 | 4.79 | 1.10 |
January 2003 | 3.37 | 4.82 | 1.09 |
February 2003 | 3.33 | 4.82 | 1.07 |
March 2003 | 3.46 | 4.83 | 1.11 |
April 2003 | 3.61 | 4.88 | 1.15 |
May 2003 | 3.66 | 4.78 | 1.18 |
June 2003 | 3.61 | 4.77 | 1.15 |
July 2003 | 3.49 | 4.63 | 1.12 |
August 2003 | 3.51 | 4.68 | 1.11 |
September 2003 | 3.34 | 4.48 | 1.06 |
October 2003 | 3.27 | 4.42 | 1.00 |
November 2003 | 3.46 | 4.36 | 1.02 |
December 2003 | 3.48 | 4.31 | 0.99 |
January 2004 | 3.63 | 4.33 | 1.01 |
February 2004 | 3.40 | 4.22 | 0.92 |
March 2004 | 3.38 | 4.22 | 0.92 |
April 2004 | 3.23 | 4.09 | 0.88 |
May 2004 | 3.40 | 4.15 | 0.93 |
June 2004 | 3.41 | 4.05 | 0.93 |
July 2004 | 3.40 | 3.99 | 0.92 |
August 2004 | 3.19 | 3.84 | 0.86 |
September 2004 | 3.25 | 3.80 | 0.86 |
October 2004 | 3.46 | 3.88 | 0.93 |
November 2004 | 3.38 | 3.71 | 0.90 |
December 2004 | 3.29 | 3.61 | 0.89 |
January 2005 | 3.18 | 3.49 | 0.86 |
February 2005 | 3.18 | 3.49 | 0.87 |
March 2005 | 3.22 | 3.51 | 0.89 |
April 2005 | 3.18 | 3.45 | 0.87 |
May 2005 | 3.24 | 3.48 | 0.87 |
June 2005 | 3.27 | 3.47 | 0.86 |
July 2005 | 3.39 | 3.57 | 0.90 |
August 2005 | 3.29 | 3.47 | 0.87 |
September 2005 | 3.31 | 3.52 | 0.90 |
October 2005 | 3.29 | 3.51 | 0.89 |
November 2005 | 3.38 | 3.60 | 0.93 |
December 2005 | 3.31 | 3.53 | 0.90 |
January 2006 | 3.15 | 3.41 | 0.86 |
February 2006 | 3.07 | 3.39 | 0.84 |
March 2006 | 3.03 | 3.32 | 0.81 |
April 2006 | 3.31 | 3.54 | 0.88 |
May 2006 | 3.28 | 3.52 | 0.87 |
June 2006 | 3.29 | 3.61 | 0.89 |
July 2006 | 3.07 | 3.51 | 0.86 |
August 2006 | 3.08 | 3.54 | 0.88 |
September 2006 | 3.10 | 3.64 | 0.92 |
October 2006 | 3.03 | 3.60 | 0.91 |
November 2006 | 3.06 | 3.64 | 0.92 |
December 2006 | 3.17 | 3.76 | 0.97 |
January 2007 | 3.07 | 3.76 | 0.97 |
February 2007 | 3.06 | 3.86 | 1.00 |
March 2007 | 2.93 | 3.85 | 1.00 |
April 2007 | 3.06 | 4.07 | 1.06 |
May 2007 | 3.05 | 4.15 | 1.07 |
June 2007 | 3.08 | 4.32 | 1.09 |
July 2007 | 3.03 | 4.32 | 1.09 |
August 2007 | 2.88 | 4.29 | 1.06 |
September 2007 | 3.01 | 4.50 | 1.12 |
October 2007 | 2.97 | 4.54 | 1.11 |
November 2007 | 3.04 | 4.71 | 1.15 |
December 2007 | 2.95 | 4.60 | 1.12 |
January 2008 | 3.00 | 4.77 | 1.15 |
February 2008 | 2.84 | 4.78 | 1.12 |
March 2008 | 2.81 | 5.01 | 1.14 |
April 2008 | 2.76 | 5.11 | 1.15 |
May 2008 | 2.78 | 5.16 | 1.18 |
June 2008 | 2.65 | 5.03 | 1.14 |
July 2008 | 2.58 | 5.02 | 1.13 |
August 2008 | 2.77 | 5.34 | 1.22 |
September 2008 | 2.75 | 5.37 | 1.22 |
October 2008 | 2.76 | 5.53 | 1.27 |
November 2008 | 2.91 | 5.85 | 1.35 |
December 2008 | 2.85 | 5.97 | 1.36 |
January 2009 | 2.84 | 6.06 | 1.37 |
February 2009 | 2.53 | 5.83 | 1.25 |
March 2009 | 2.59 | 5.96 | 1.30 |
April 2009 | 2.59 | 5.80 | 1.29 |
May 2009 | 2.66 | 5.72 | 1.34 |
June 2009 | 2.58 | 5.50 | 1.30 |
July 2009 | 2.49 | 5.43 | 1.29 |
August 2009 | 2.44 | 5.35 | 1.28 |
September 2009 | 2.43 | 5.35 | 1.28 |
October 2009 | 2.41 | 5.29 | 1.28 |
November 2009 | 2.36 | 5.18 | 1.27 |
December 2009 | 2.29 | 5.02 | 1.24 |
January 2010 | 2.38 | 5.19 | 1.27 |
February 2010 | 2.33 | 5.15 | 1.26 |
March 2010 | 2.28 | 5.14 | 1.23 |
April 2010 | 2.12 | 4.81 | 1.15 |
May 2010 | 2.16 | 4.82 | 1.14 |
June 2010 | 2.17 | 4.72 | 1.13 |
July 2010 | 2.21 | 4.69 | 1.14 |
August 2010 | 2.10 | 4.49 | 1.09 |
September 2010 | 2.10 | 4.48 | 1.09 |
October 2010 | 2.17 | 4.68 | 1.14 |
November 2010 | 2.12 | 4.62 | 1.11 |
December 2010 | 2.07 | 4.51 | 1.08 |
January 2011 | 1.95 | 4.31 | 1.01 |
February 2011 | 2.03 | 4.33 | 1.03 |
March 2011 | 1.97 | 4.30 | 1.01 |
April 2011 | 1.99 | 4.33 | 1.02 |
May 2011 | 1.93 | 4.29 | 1.01 |
June 2011 | 2.03 | 4.38 | 1.04 |
July 2011 | 2.09 | 4.50 | 1.08 |
August 2011 | 2.07 | 4.42 | 1.07 |
September 2011 | 2.01 | 4.38 | 1.04 |
October 2011 | 1.94 | 4.18 | 0.99 |
November 2011 | 1.97 | 4.18 | 0.99 |
December 2011 | 1.98 | 4.17 | 0.99 |
January 2012 | 1.87 | 3.80 | 0.95 |
February 2012 | 1.79 | 3.41 | 0.93 |
March 2012 | 1.79 | 3.20 | 0.95 |
April 2012 | 1.82 | 3.33 | 0.96 |
May 2012 | 1.85 | 3.47 | 0.98 |
June 2012 | 1.83 | 3.45 | 0.97 |
July 2012 | 1.79 | 3.35 | 0.96 |
August 2012 | 1.73 | 3.32 | 0.94 |
September 2012 | 1.91 | 3.68 | 1.02 |
October 2012 | 1.87 | 3.55 | 0.99 |
November 2012 | 1.88 | 3.47 | 1.00 |
December 2012 | 1.72 | 3.03 | 0.92 |
January 2013 | 1.77 | 3.13 | 0.92 |
February 2013 | 1.82 | 3.25 | 0.93 |
March 2013 | 1.87 | 3.44 | 0.95 |
April 2013 | 1.81 | 3.31 | 0.92 |
May 2013 | 1.75 | 3.22 | 0.89 |
June 2013 | 1.80 | 3.23 | 0.90 |
July 2013 | 1.83 | 3.33 | 0.92 |
August 2013 | 1.88 | 3.31 | 0.94 |
September 2013 | 1.73 | 3.09 | 0.86 |
October 2013 | 1.76 | 3.16 | 0.85 |
November 2013 | 1.76 | 3.25 | 0.84 |
December 2013 | 1.75 | 3.29 | 0.84 |
January 2014 | 1.70 | 3.26 | 0.82 |
February 2014 | 1.62 | 3.20 | 0.80 |
March 2014 | 1.60 | 3.13 | 0.78 |
April 2014 | 1.64 | 3.13 | 0.79 |
May 2014 | 1.69 | 3.19 | 0.80 |
June 2014 | 1.70 | 3.23 | 0.79 |
July 2014 | 1.71 | 3.20 | 0.79 |
August 2014 | 1.80 | 3.25 | 0.85 |
September 2014 | 1.77 | 3.14 | 0.83 |
October 2014 | 1.70 | 3.11 | 0.80 |
November 2014 | 1.76 | 3.18 | 0.79 |
December 2014 | 1.72 | 3.13 | 0.78 |
January 2015 | 1.80 | 3.17 | 0.81 |
February 2015 | 1.63 | 2.90 | 0.74 |
March 2015 | 1.66 | 2.95 | 0.75 |
April 2015 | 1.62 | 2.88 | 0.73 |
May 2015 | 1.73 | 3.14 | 0.77 |
June 2015 | 1.73 | 3.13 | 0.77 |
July 2015 | 1.71 | 3.13 | 0.76 |
August 2015 | 1.64 | 2.96 | 0.74 |
September 2015 | 1.69 | 3.03 | 0.76 |
October 2015 | 1.74 | 3.00 | 0.77 |
November 2015 | 1.71 | 2.97 | 0.76 |
December 2015 | 1.66 | 2.90 | 0.73 |
January 2016 | 1.85 | 3.17 | 0.81 |
February 2016 | 1.72 | 2.95 | 0.76 |
March 2016 | 1.77 | 3.04 | 0.78 |
April 2016 | 1.63 | 2.86 | 0.71 |
May 2016 | 1.77 | 3.12 | 0.77 |
June 2016 | 1.76 | 3.07 | 0.77 |
July 2016 | 1.84 | 3.24 | 0.80 |
August 2016 | 1.78 | 3.13 | 0.78 |
September 2016 | 1.75 | 3.13 | 0.77 |
October 2016 | 1.64 | 2.93 | 0.72 |
November 2016 | 1.67 | 3.00 | 0.73 |
December 2016 | 1.70 | 3.07 | 0.74 |
January 2017 | 1.69 | 3.04 | 0.74 |
February 2017 | 1.70 | 3.11 | 0.74 |
March 2017 | 1.65 | 3.00 | 0.72 |
April 2017 | 1.85 | 3.31 | 0.79 |
May 2017 | 1.80 | 3.17 | 0.78 |
June 2017 | 1.80 | 3.16 | 0.78 |
July 2017 | 1.63 | 2.89 | 0.71 |
August 2017 | 1.68 | 2.93 | 0.74 |
September 2017 | 1.95 | 3.24 | 0.83 |
October 2017 | 1.99 | 3.26 | 0.85 |
November 2017 | 1.97 | 3.22 | 0.84 |
December 2017 | 1.85 | 2.99 | 0.80 |
January 2018 | 1.75 | 2.89 | 0.76 |
February 2018 | 1.75 | 2.88 | 0.76 |
March 2018 | 1.65 | 2.78 | 0.73 |
April 2018 | 1.65 | 2.74 | 0.73 |
May 2018 | 1.64 | ND | 0.72 |
June 2018 | 1.67 | ND | 0.72 |
July 2018 | 1.67 | ND | 0.73 |
August 2018 | 1.64 | ND | 0.72 |
Note: Percent of previously current mortgages that transition from being current to being at least 30 days delinquent each month. The data are three-month moving averages. FHA is Federal Housing Administration; VA is U.S. Department of Veterans Affairs. Prime and nonprime are defined among conventional loans.
Source: For prime and FHA/VA, Black Knight McDash Data; for nonprime, CoreLogic.
Figure 2-12
This is a line chart titled "Estimates of Housing Leverage." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 70 to 150, which measures indexed ratios of outstanding mortgage debt to home values (with 100 being the ratio in 1991:Q1). The data are quarterly. There are two variables plotted. 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 130. The variable has a hill shape, starting at 100 in 1999 and increasing to a little less than 130 in 2008 before decreasing to 100 again in 2018. The second line is labeled "Relative to market value" and is designated by the blue line. The variable also starts at 100 in 1999 but declines to reach 80 in 2006. It then rises sharply to around 125-130 in the years 2009-2012 before decreasing to around 90 by 2018.
Note: This measure is estimated as an index of the ratio of the average outstanding mortgage loan balance for owner-occupied homes with a mortgage to (1) current home values using the CoreLogic 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: FRBNY Consumer Credit Panel/Equifax; CoreLogic; Bureau of Labor Statistics.
Figure 2-13. Estimate of Mortgages with Negative Equity
CoreLogic
Period | Percent |
---|---|
January 2011 | 25.28 |
February 2011 | 25.14 |
March 2011 | 24.99 |
April 2011 | 24.93 |
May 2011 | 24.87 |
June 2011 | 24.81 |
July 2011 | 24.65 |
August 2011 | 24.50 |
September 2011 | 24.36 |
October 2011 | 24.65 |
November 2011 | 24.93 |
December 2011 | 25.23 |
January 2012 | 24.69 |
February 2012 | 24.20 |
March 2012 | 23.67 |
April 2012 | 23.21 |
May 2012 | 22.74 |
June 2012 | 22.28 |
July 2012 | 22.17 |
August 2012 | 22.06 |
September 2012 | 21.96 |
October 2012 | 21.84 |
November 2012 | 21.72 |
December 2012 | 21.60 |
January 2013 | 21.11 |
February 2013 | 20.67 |
March 2013 | 20.18 |
April 2013 | 18.43 |
May 2013 | 16.62 |
June 2013 | 14.87 |
July 2013 | 14.35 |
August 2013 | 13.83 |
September 2013 | 13.33 |
October 2013 | 13.37 |
November 2013 | 13.41 |
December 2013 | 13.45 |
January 2014 | 13.25 |
February 2014 | 13.07 |
March 2014 | 12.88 |
April 2014 | 12.23 |
May 2014 | 11.56 |
June 2014 | 10.92 |
July 2014 | 10.74 |
August 2014 | 10.56 |
September 2014 | 10.39 |
October 2014 | 10.49 |
November 2014 | 10.59 |
December 2014 | 10.69 |
January 2015 | 10.54 |
February 2015 | 10.41 |
March 2015 | 10.27 |
April 2015 | 9.81 |
May 2015 | 9.34 |
June 2015 | 8.88 |
July 2015 | 8.70 |
August 2015 | 8.53 |
September 2015 | 8.36 |
October 2015 | 8.36 |
November 2015 | 8.36 |
December 2015 | 8.36 |
January 2016 | 8.28 |
February 2016 | 8.20 |
March 2016 | 8.12 |
April 2016 | 7.77 |
May 2016 | 7.41 |
June 2016 | 7.06 |
July 2016 | 6.82 |
August 2016 | 6.58 |
September 2016 | 6.34 |
October 2016 | 6.32 |
November 2016 | 6.29 |
December 2016 | 6.26 |
January 2017 | 6.19 |
February 2017 | 6.12 |
March 2017 | 6.05 |
April 2017 | 5.85 |
May 2017 | 5.65 |
June 2017 | 5.45 |
July 2017 | 5.28 |
August 2017 | 5.12 |
September 2017 | 4.96 |
October 2017 | 4.94 |
November 2017 | 4.92 |
December 2017 | 4.91 |
January 2018 | 4.84 |
February 2018 | 4.78 |
March 2018 | 4.71 |
April 2018 | 4.56 |
May 2018 | 4.41 |
June 2018 | 4.27 |
Note: Estimated share of mortgages with negative equity according to CoreLogic. The data are monthly.
Source: CoreLogic.
Zillow
Period | Percent |
---|---|
2011:Q1 | 30.58 |
2011:Q2 | 30.04 |
2011:Q3 | 30.58 |
2011:Q4 | 31.12 |
2012:Q1 | 31.41 |
2012:Q2 | 30.93 |
2012:Q3 | 28.24 |
2012:Q4 | 27.46 |
2013:Q1 | 25.45 |
2013:Q2 | 23.77 |
2013:Q3 | 20.95 |
2013:Q4 | 19.39 |
2014:Q1 | 18.83 |
2014:Q2 | 17.89 |
2014:Q3 | 16.95 |
2014:Q4 | 16.89 |
2015:Q1 | 15.41 |
2015:Q2 | 14.43 |
2015:Q3 | 13.43 |
2015:Q4 | 13.09 |
2016:Q1 | 12.72 |
2016:Q2 | 12.11 |
2016:Q3 | 10.86 |
2016:Q4 | 10.55 |
2017:Q1 | 10.37 |
2017:Q2 | ND |
2017:Q3 | ND |
2017:Q4 | 9.14 |
Note: Estimated share of mortgages with negative equity according to Zillow. The data are quarterly and, for 2017, are available only for the first and fourth quarters.
Source: Zillow.
Figure 2-14
This is a line chart titled "Consumer Credit Balances." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 200 to 1800, in the units billions of dollars (real). The data are quarterly. There are 3 variables plotted on the chart. The first line is labeled "Auto loans" and is designated by a black line. It ranges from around 500 to 1200 billion dollars. It starts around 500 in 1999 and increases to around 1000 billion dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but begin increasing again afterwards. The curve ends at about 1200 billion dollars in 2018. The second variable is labeled "Credit cards" and is represented by a blue line. It ranges from around 700 to 1000 billion dollars. Starting at around 700 billion dollars in 1999, credit cards balances increase to a little under 1000 billion and remain fairly steady for several years with a peak at a little above 1000 billion in 2009. Balances began to decrease after 2009 to around 700 billion dollars in 2013, and have made a very small increase to around 800 by 2018. The third variable is labeled "Student loans" and is represented by an orange line. The variable starts at around 400 billion dollars in 2005. There are two small, brief dips in 2008 and 2012, but otherwise balances steadily increase to about 1400 billion dollars by 2018.
Note: The data are converted to constant 2018 dollars using the consumer price index.
Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.
Figure 2-15
This is a line chart labeled "Auto Loan Balances." The x-axis ranges from the years 1999 to 2018 (Q2), and the y-axis ranges from 150 to 600 billion dollars (real). The data are quarterly. 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 600 billion dollars. Auto loans to borrowers with prime credit scores started at around 175 billion dollars in 1999 and continued to increase to around 400 billion in 2006. There is a slight decline from 2006 until balances were close to 350 billion in 2010 and 2011. From 2011 onwards, the balances labeled "Prime" have only been increasing, reaching almost 600 billion dollars at the end of the time period. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 200 to 350 billion dollars. Starting at 200 billion in 1999, balances of those with near prime credit increases to almost 350 billion dollars in 2005 to 2006. Near prime balances decrease to around 250 billion dollars in 2010 to 2011 before increasing again. The level has been fairly stable around 350 billion since 2016. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 150 to 300 billion dollars. It starts at around 150 billion dollars in 1999 and increases with fluctuations until reaching a peak at around 300 billion dollars in 2008. It decreases to around 200 billion in 2012 before beginning to increase to around 300 billion in 2018.
Note: Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2018 dollars using the consumer price index.
Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.
Figure 2-16
This is a line chart titled "Auto Loan Delinquency Rates." The x-axis ranges from the years 2000 to 2018 (Q2). The y-axis ranges from 0 to 16 percent, measuring delinquency rates on auto loans. The data are quarterly. There are 3 variables plotted on the chart. The first variable is labeled "Prime" and is denoted by the black line. It is fairly stable at around 0 and has the shape of a horizontal line. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 2 to 3 percent. The variable is mostly flat at 2 percent except for a small one-percent increase between 2009 and 2011. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 9 to 14 percent. This line starts around 10 percent in 2001 and increases slightly until 2004. It decreases to around 9 percent in 2006 before quickly increasing. The rates peak at around 14 percent in 2010. They fall to 10 percent again by 2013 before increasing to reach almost 12 percent at the end of the period.
Note: Delinquency is at least 30 days past due, excluding severe derogatory loans. The data are four-quarter moving averages. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Credit scores are lagged four quarters.
Source: FRBNY Consumer Credit Panel/Equifax.
Figure 3-1
This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x-axis measures time and ranges from years 1985 to 2018 (Q2). The y-axis ranges from 0 to 12 percent, measuring percent of total assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5% in 1985:Q1 to 10% in 2013:Q1. It has remained near 10% through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from 4 to 9 percent. This variable started at about 5% in 1985:Q1, fell to 4% in 1987:Q1, increased to 6% in 1993:Q4, remained near 6% through 2003:Q1, decreased to about 5% in 2008:Q4, and increased to 8% in 2012:Q1 where it has remained through 2018:Q2.
Note: Bank equity is total equity capital net of preferred equity and intangible assets, and assets are total assets. The data are seasonally adjusted by Board staff. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets. The shaded bars 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 Financial Institutions Examination Council, Call Report Form FFIEC 031, Consolidated Reports of Condition and Income for a Bank with Domestic and Foreign Offices.
Figure 3-2
This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x-axis measures time and ranges from years 2001 to 2018 (Q2). The y-axis ranges from 0 to 14 percent, measuring percent of risk-weighted assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 8 to just over 12 percent. This variable decreases slightly over 2001 to 2008 from 10 to 8 percent, increases rapidly from 8 percent in 2009 to 12 percent in 2012, and remains near 12 percent through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from about 5 to 12 percent. This variable increases slowly from about 6 percent in 2001 to nearly 8 percent in 2006, decreases sharply to 5 percent in 2008, increases rapidly to just below 12 percent by the end of 2013, and remains near that level through 2018:Q2.
Note: The data are seasonally adjusted by Board staff. Sample includes banks as of 2018:Q2. Before 2014:Q1, the numerator of the common equity Tier 1 ratio is Tier 1 common capital for advanced-approaches bank holding companies (BHCs) (before 2015:Q1, for non-advanced-approaches BHCs). Afterward, the numerator is common equity Tier 1 capital. Large BHCs are those with greater than $50 billion in total assets. The denominator is risk-weighted assets. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009.
Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.
Figure 3-3. Borrower Leverage for Bank C&I Loans
Debt as percent of assets
Quarter | Nonpublicly traded firms | Publicly traded firms |
---|---|---|
2013:Q1 | 31.77 | 25.39 |
2013:Q2 | 32.09 | 25.95 |
2013:Q3 | 30.74 | 26.33 |
2013:Q4 | 31.51 | 26.13 |
2014:Q1 | 31.61 | 26.52 |
2014:Q2 | 31.89 | 26.69 |
2014:Q3 | 32.33 | 27.04 |
2014:Q4 | 31.89 | 26.94 |
2015:Q1 | 32.72 | 28.06 |
2015:Q2 | 32.84 | 28.23 |
2015:Q3 | 32.97 | 28.29 |
2015:Q4 | 33.34 | 28.50 |
2016:Q1 | 33.17 | 29.37 |
2016:Q2 | 33.74 | 30.08 |
2016:Q3 | 33.31 | 29.83 |
2016:Q4 | 33.26 | 29.58 |
2017:Q1 | 33.53 | 30.08 |
2017:Q2 | 33.68 | 30.16 |
2017:Q3 | 33.89 | 30.51 |
2017:Q4 | 33.78 | 30.42 |
2018:Q1 | 33.80 | 30.42 |
2018:Q2 | 33.31 | 30.56 |
Note: Weighted median leverage of firms (excluding financials) that borrow using commercial and industrial (C&I) 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.
Figure 3-4. Leverage of Broker-Dealers
Period | Ratio of assets to equity |
---|---|
1995:Q1 | 24.39 |
1995:Q2 | 25.53 |
1995:Q3 | 25.53 |
1995:Q4 | 26.53 |
1996:Q1 | 26.50 |
1996:Q2 | 26.88 |
1996:Q3 | 26.73 |
1996:Q4 | 27.50 |
1997:Q1 | 27.09 |
1997:Q2 | 27.41 |
1997:Q3 | 27.42 |
1997:Q4 | 26.54 |
1998:Q1 | 27.54 |
1998:Q2 | 27.06 |
1998:Q3 | 28.08 |
1998:Q4 | 24.61 |
1999:Q1 | 23.50 |
1999:Q2 | 21.82 |
1999:Q3 | 21.79 |
1999:Q4 | 21.83 |
2000:Q1 | 21.55 |
2000:Q2 | 21.45 |
2000:Q3 | 21.69 |
2000:Q4 | 22.42 |
2001:Q1 | 22.33 |
2001:Q2 | 23.59 |
2001:Q3 | 24.93 |
2001:Q4 | 24.47 |
2002:Q1 | 24.10 |
2002:Q2 | 24.69 |
2002:Q3 | 25.23 |
2002:Q4 | 23.97 |
2003:Q1 | 23.70 |
2003:Q2 | 24.68 |
2003:Q3 | 23.50 |
2003:Q4 | 24.00 |
2004:Q1 | 25.22 |
2004:Q2 | 25.94 |
2004:Q3 | 27.09 |
2004:Q4 | 27.09 |
2005:Q1 | 28.29 |
2005:Q2 | 29.22 |
2005:Q3 | 29.94 |
2005:Q4 | 28.69 |
2006:Q1 | 28.44 |
2006:Q2 | 29.11 |
2006:Q3 | 30.57 |
2006:Q4 | 31.18 |
2007:Q1 | 32.35 |
2007:Q2 | 32.99 |
2007:Q3 | 33.63 |
2007:Q4 | 34.64 |
2008:Q1 | 36.48 |
2008:Q2 | 32.90 |
2008:Q3 | 34.67 |
2008:Q4 | 26.74 |
2009:Q1 | 24.01 |
2009:Q2 | 20.79 |
2009:Q3 | 20.44 |
2009:Q4 | 19.13 |
2010:Q1 | 19.69 |
2010:Q2 | 19.32 |
2010:Q3 | 19.39 |
2010:Q4 | 18.65 |
2011:Q1 | 18.71 |
2011:Q2 | 18.82 |
2011:Q3 | 19.39 |
2011:Q4 | 19.97 |
2012:Q1 | 19.42 |
2012:Q2 | 19.48 |
2012:Q3 | 18.86 |
2012:Q4 | 18.96 |
2013:Q1 | 17.89 |
2013:Q2 | 17.63 |
2013:Q3 | 17.31 |
2013:Q4 | 16.76 |
2014:Q1 | 16.50 |
2014:Q2 | 16.48 |
2014:Q3 | 16.09 |
2014:Q4 | 15.51 |
2015:Q1 | 15.41 |
2015:Q2 | 15.22 |
2015:Q3 | 14.89 |
2015:Q4 | 14.43 |
2016:Q1 | 14.29 |
2016:Q2 | 14.48 |
2016:Q3 | 14.42 |
2016:Q4 | 14.41 |
2017:Q1 | 14.35 |
2017:Q2 | 14.87 |
2017:Q3 | 13.93 |
2017:Q4 | 14.70 |
2018:Q1 | 14.36 |
2018:Q2 | 15.13 |
Note: Leverage is calculated by dividing financial assets by equity.
Source: Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."
Figure 3-5. Leverage of Insurance Companies
Ratio of assets to equity
Period | Life | Property and casualty |
---|---|---|
2000:Q1 | 8.69 | 5.48 |
2000:Q2 | 8.46 | 5.38 |
2000:Q3 | 8.40 | 5.30 |
2000:Q4 | 8.90 | 5.73 |
2001:Q1 | 8.27 | 5.37 |
2001:Q2 | 8.74 | 5.47 |
2001:Q3 | 9.35 | 6.18 |
2001:Q4 | 9.85 | 6.33 |
2002:Q1 | 9.48 | 6.20 |
2002:Q2 | 9.67 | 6.29 |
2002:Q3 | 9.95 | 6.37 |
2002:Q4 | 10.53 | 6.62 |
2003:Q1 | 10.95 | 6.75 |
2003:Q2 | 10.96 | 6.67 |
2003:Q3 | 10.15 | 6.69 |
2003:Q4 | 10.31 | 6.65 |
2004:Q1 | 11.11 | 7.01 |
2004:Q2 | 12.21 | 6.71 |
2004:Q3 | 12.22 | 6.76 |
2004:Q4 | 12.35 | 7.07 |
2005:Q1 | 11.99 | 6.76 |
2005:Q2 | 11.40 | 6.55 |
2005:Q3 | 11.30 | 6.61 |
2005:Q4 | 11.35 | 6.69 |
2006:Q1 | 9.75 | 6.45 |
2006:Q2 | 9.63 | 6.35 |
2006:Q3 | 9.56 | 6.32 |
2006:Q4 | 9.49 | 6.26 |
2007:Q1 | 9.60 | 6.30 |
2007:Q2 | 9.47 | 6.29 |
2007:Q3 | 9.58 | 6.29 |
2007:Q4 | 9.39 | 6.06 |
2008:Q1 | 10.25 | 6.50 |
2008:Q2 | 10.19 | 6.42 |
2008:Q3 | 10.23 | 6.44 |
2008:Q4 | 10.36 | 5.95 |
2009:Q1 | 10.41 | 5.93 |
2009:Q2 | 9.53 | 5.59 |
2009:Q3 | 9.47 | 5.58 |
2009:Q4 | 8.59 | 5.20 |
2010:Q1 | 8.88 | 5.19 |
2010:Q2 | 9.06 | 5.12 |
2010:Q3 | 9.30 | 5.20 |
2010:Q4 | 8.48 | 4.47 |
2011:Q1 | 9.39 | 4.61 |
2011:Q2 | 9.13 | 4.56 |
2011:Q3 | 9.24 | 4.41 |
2011:Q4 | 8.75 | 4.14 |
2012:Q1 | 8.71 | 4.13 |
2012:Q2 | 8.75 | 4.10 |
2012:Q3 | 9.04 | 4.15 |
2012:Q4 | 9.21 | 4.16 |
2013:Q1 | 9.05 | 4.08 |
2013:Q2 | 8.72 | 3.95 |
2013:Q3 | 8.51 | 3.90 |
2013:Q4 | 8.35 | 3.87 |
2014:Q1 | 8.38 | 3.85 |
2014:Q2 | 8.20 | 3.67 |
2014:Q3 | 8.20 | 3.63 |
2014:Q4 | 8.24 | 3.57 |
2015:Q1 | 8.34 | 3.54 |
2015:Q2 | 8.06 | 3.50 |
2015:Q3 | 8.30 | 3.46 |
2015:Q4 | 8.83 | 3.45 |
2016:Q1 | 9.18 | 3.55 |
2016:Q2 | 9.54 | 3.56 |
2016:Q3 | 9.66 | 3.55 |
2016:Q4 | 10.06 | 3.78 |
2017:Q1 | 9.73 | 3.58 |
2017:Q2 | 9.84 | 3.59 |
2017:Q3 | 9.46 | 3.64 |
2017:Q4 | 10.31 | 3.72 |
2018:Q1 | 10.23 | 3.27 |
2018:Q2 | 9.39 | 2.93 |
Note: The data extend through 2018:Q2. Ratio is calculated as (total assets - separate account assets)/(total capital - accumulated other comprehensive income).
Source: Source: S&P Global, Inc., S&P Market Intelligence.
Figure 3-6. Gross Leverage of Hedge Funds
Ratio
Period | Mean | Median |
---|---|---|
October 2013 | 5.4 | 2.3 |
November 2013 | 5.6 | 2.3 |
December 2013 | 5.3 | 2.3 |
January 2014 | 5.1 | 2.3 |
February 2014 | 5.2 | 2.3 |
March 2014 | 5.1 | 2.3 |
April 2014 | 5.1 | 2.2 |
May 2014 | 5.2 | 2.3 |
June 2014 | 5.1 | 2.3 |
July 2014 | 5.6 | 2.3 |
August 2014 | 5.8 | 2.3 |
September 2014 | 5.7 | 2.3 |
October 2014 | 5.2 | 2.2 |
November 2014 | 5.1 | 2.3 |
December 2014 | 4.8 | 2.3 |
January 2015 | 5.1 | 2.2 |
February 2015 | 5.3 | 2.3 |
March 2015 | 5.1 | 2.3 |
April 2015 | 5.4 | 2.4 |
May 2015 | 5.5 | 2.4 |
June 2015 | 4.9 | 2.3 |
July 2015 | 5.7 | 2.4 |
August 2015 | 5.8 | 2.4 |
September 2015 | 5.7 | 2.2 |
October 2015 | 5.7 | 2.5 |
November 2015 | 6.0 | 2.4 |
December 2015 | 4.9 | 2.3 |
January 2016 | 5.4 | 2.4 |
February 2016 | 5.8 | 2.3 |
March 2016 | 5.8 | 2.3 |
April 2016 | 5.8 | 2.3 |
May 2016 | 5.9 | 2.4 |
June 2016 | 5.6 | 2.3 |
July 2016 | 5.8 | 2.3 |
August 2016 | 6.0 | 2.3 |
September 2016 | 5.6 | 2.3 |
October 2016 | 6.1 | 2.4 |
November 2016 | 6.3 | 2.3 |
December 2016 | 5.7 | 2.3 |
January 2017 | 6.2 | 2.4 |
February 2017 | 6.3 | 2.4 |
March 2017 | 6.2 | 2.4 |
April 2017 | 5.9 | 2.4 |
May 2017 | 6.3 | 2.4 |
June 2017 | 5.7 | 2.3 |
July 2017 | 6.7 | 2.3 |
August 2017 | 7.2 | 2.4 |
September 2017 | 6.9 | 2.3 |
October 2017 | 6.7 | 2.3 |
November 2017 | 7.1 | 2.3 |
December 2017 | 6.5 | 2.3 |
Note: Leverage is computed as the ratio of hedge funds' gross notional exposure to net asset value, including derivative notional exposure and short positions. Data are reported on a three-quarter lag.
Source: Federal Reserve Board staff calculations based on Securities and Exchange Commission, Form PF, Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors.
Figure 3-7. Change in the Use of Financial Leverage
Net percentage
Period | Hedge funds | Trading REITs | Insurance companies | Mutual funds |
---|---|---|---|---|
2011:Q4 | -55.00 | 0.00 | 0.00 | 0.00 |
2012:Q1 | -20.00 | 15.00 | 5.00 | 5.00 |
2012:Q2 | -22.73 | 4.55 | 4.76 | 0.00 |
2012:Q3 | -4.55 | 5.88 | -4.76 | 0.00 |
2012:Q4 | 9.09 | 16.67 | 0.00 | 4.76 |
2013:Q1 | 27.27 | 5.56 | 4.76 | 0.00 |
2013:Q2 | 22.73 | 0.00 | 0.00 | 4.76 |
2013:Q3 | -18.18 | -33.33 | -4.55 | 4.76 |
2013:Q4 | -9.09 | -33.33 | 0.00 | 5.00 |
2014:Q1 | 0.00 | -38.89 | 0.00 | 5.00 |
2014:Q2 | 4.55 | -5.56 | -4.55 | 5.00 |
2014:Q3 | 22.73 | 11.76 | -4.55 | 0.00 |
2014:Q4 | 0.00 | 0.00 | 0.00 | 4.76 |
2015:Q1 | 14.29 | -5.88 | 0.00 | 10.00 |
2015:Q2 | 0.00 | 11.76 | 0.00 | 5.00 |
2015:Q3 | -5.00 | 0.00 | 5.00 | 5.00 |
2015:Q4 | 9.52 | 5.88 | 4.76 | 0.00 |
2016:Q1 | -4.76 | 5.88 | 5.00 | 0.00 |
2016:Q2 | -15.00 | 6.25 | 0.00 | 0.00 |
2016:Q3 | 4.35 | 5.26 | 0.00 | 4.55 |
2016:Q4 | 17.39 | -5.26 | 0.00 | 4.76 |
2017:Q1 | 0.00 | 0.00 | 0.00 | 0.00 |
2017:Q2 | 4.35 | 0.00 | 0.00 | 0.00 |
2017:Q3 | 17.39 | 5.26 | 0.00 | 4.55 |
2017:Q4 | 0.00 | -15.00 | 0.00 | 4.76 |
2018:Q1 | 0.00 | 5.00 | 0.00 | 0.00 |
2018:Q2 | 0.00 | 5.00 | 0.00 | 5.00 |
2018:Q3 | 4.35 | 5.26 | 0.00 | 0.00 |
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.
Figure 3-8
This is a stacked bar chart with six categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2018. The y-axis is in billions of dollars (real) and ranges from 0 to 2800. Data are annual. CDOs (including ABS, CDO, CLO), represented in dark blue, begin at about 80 in 2001, peak at about 480 in 2006, decrease to about 60 by 2008 and then 5 in 2011, and generally increase to end at about 140 in 2018. Auto loan/lease ABS, represented in yellow, begins at about 115 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 80 by 2012, and increases to around 105 by 2018. Esoteric ABS, represented in red, begins near 50 in 2001, increases to about 80 by 2006, and decreases to 10 in 2008. From 2009, it increases to end at about 100 in 2018. Private-label RMBS, represented in light blue, begins at about 260 in 2001, peaks at about 1200 in 2006, decreases to about zero by 2009, and increases slightly from 2009 to 2018, ending at about 25. Non-agency CMBS, represented in black, begins at about 95 in 2001, peaks at about 280 in 2007, drops to about zero from 2008 through 2009, and increases to end at about 70 in 2018. Other, represented in light gray, begins at about 240 in 2001, peaks at about 450 in 2007, decreases from 2008 to 2011, ending around 80. It stays in that range and ends at about 80 in 2018. All six categories together begin at about 800 in 2001 and peak near 2500 in 2006. The total then drops to about 300 in 2008, and ends at about 600 in 2018.
Note: The data from the first three quarters of 2018 are annualized to create the 2018 bar. Esoteric asset-backed securities (ABS) are backed by unsecured personal loans, mobile phones, reperforming residential mortgages, aircraft and shipping container leases, marketplace lending, and franchise payments. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; CLO is collateralized loan obligation; RMBS is residential mortgage-backed securities. The "Other" category consists of subprime mortgages, real estate mortgage investment conduit (Re-REMIC) RMBS, Re-REMIC CMBS, and ABS backed by credit card debt, student loans, equipment, and floorplans. The data are converted to 2018 dollars using the consumer price index. Key identifies bar segments in order from bottom to top.
Source: Harrison Scott Publications, Asset-Backed Alert (ABAIert.com) and Commercial Mortgage Alert (CMAIert.com); Bureau of Labor Statistics, consumer price index via Haver Analytics.
Figure 3-9. Large Bank Lending to Nonbank Financial Firms: Committed Amounts
Billions of dollars
Quarter | Consumer lenders | Real estate lenders | Other lenders | Broker-dealers | Insurance | Open-end investment funds | Financial planning and pension funds | Other financial vehicles |
---|---|---|---|---|---|---|---|---|
2013:Q1 | 58.62 | 23.54 | 33.62 | 66.48 | 86.56 | 70.34 | 31.65 | 193.09 |
2013:Q2 | 60.20 | 27.10 | 33.15 | 66.32 | 87.81 | 71.02 | 32.52 | 202.59 |
2013:Q3 | 59.22 | 30.41 | 35.30 | 68.83 | 89.13 | 74.21 | 35.25 | 206.45 |
2013:Q4 | 64.01 | 24.79 | 33.97 | 68.67 | 88.10 | 77.54 | 37.24 | 212.31 |
2014:Q1 | 64.16 | 23.96 | 33.97 | 76.84 | 90.67 | 81.00 | 37.58 | 216.46 |
2014:Q2 | 64.81 | 26.18 | 35.98 | 76.15 | 95.07 | 89.07 | 39.66 | 233.08 |
2014:Q3 | 63.49 | 27.52 | 39.38 | 73.19 | 88.83 | 92.56 | 43.24 | 229.31 |
2014:Q4 | 69.58 | 29.74 | 39.81 | 82.09 | 88.07 | 91.29 | 34.66 | 232.05 |
2015:Q1 | 66.17 | 34.08 | 40.78 | 90.14 | 89.93 | 92.76 | 35.83 | 226.46 |
2015:Q2 | 74.89 | 34.68 | 36.84 | 106.02 | 91.50 | 89.48 | 30.83 | 250.49 |
2015:Q3 | 75.55 | 32.65 | 37.95 | 106.47 | 110.42 | 95.82 | 29.11 | 265.70 |
2015:Q4 | 74.73 | 42.58 | 35.89 | 97.04 | 112.71 | 96.83 | 28.50 | 290.89 |
2016:Q1 | 74.06 | 39.99 | 34.97 | 89.97 | 111.98 | 107.03 | 34.06 | 292.37 |
2016:Q2 | 68.24 | 45.95 | 32.04 | 96.38 | 100.15 | 115.19 | 35.16 | 304.56 |
2016:Q3 | 82.55 | 47.17 | 32.54 | 101.87 | 103.20 | 118.23 | 34.54 | 317.09 |
2016:Q4 | 80.82 | 45.84 | 33.18 | 97.47 | 118.73 | 115.73 | 38.64 | 318.95 |
2017:Q1 | 82.74 | 40.96 | 30.60 | 93.90 | 116.49 | 114.17 | 37.14 | 327.85 |
2017:Q2 | 84.67 | 45.36 | 29.94 | 103.08 | 102.62 | 110.45 | 36.24 | 346.35 |
2017:Q3 | 86.83 | 51.13 | 30.82 | 100.62 | 105.62 | 111.16 | 39.11 | 356.06 |
2017:Q4 | 89.24 | 48.16 | 35.52 | 99.95 | 112.42 | 112.82 | 45.82 | 374.95 |
2018:Q1 | 89.36 | 42.94 | 36.87 | 106.67 | 143.01 | 113.76 | 50.26 | 391.24 |
2018:Q2 | 87.73 | 48.68 | 34.66 | 97.56 | 125.06 | 116.01 | 51.83 | 404.86 |
Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 25 bank holding companies that have filed Form FR Y-14Q in every quarter since 2012:Q3. Nonbank financial firms are identified based on reported NAICS (North American Industry Classification System) codes, excluding other domestic and foreign banks, monetary authorities, and credit unions. Broker-dealers also include commodity contracts dealing and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds, real estate investment trusts, special purpose vehicles, and other vehicles.
Source: Federal Reserve Board, Form FR Y-14Q, Capital Assessments and Stress Testing.
Figure 4-1
This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2018:Q2. The y-axis represents liquid assets as a percent of total assets, and ranges from 0 to 24 percent. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Large BHCs," is designated by a solid black line and ranges from about 3 to 22 percent. This variable rises from about 4.5% in 2001:Q1, remains near that level until mid-2004, decreases to about 3 by mid-2008, increases to nearly 12 by late 2012, increases to about 22 by late 2014, and ends at about 18 in 2018:Q2. The second line, labeled "Other BHCs," is designated by a solid blue line and ranges from about 2 to 12 percent. This variable begins at about 8% in 2001:Q1, decreases to about 2 by 2007:Q4, remains near that level through mid-2008, increases to about 12 by 2011, and decreases to end at about 8 in 2018:Q2.
Note: Liquid assets are excess reserves plus estimates of securities that qualify as high-quality liquid assets. Haircuts and Level 2 asset caps are incorporated into the estimate. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets.
Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies; Federal Reserve Board, Form FR 2900, Report of Transaction Accounts, Other Deposits and Vault Cash.
Figure 4-2
This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2019. The y-axis represents short-term wholesale funding as a percent of assets, and ranges from 10 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 25 percent in 2000:Q1, declines steadily to about 23 percent in 2003:Q1, increases to about 33 percent in 2007:Q1 and remains there until 2008:Q1. It then steadily declines to about 15 percent in 2015:Q1 and remains near that level through 2018: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 indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009.
Source: : Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.
Figure 4-3. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution
Percent of GDP
Period | Uninsured deposits | Repurchase agreements | Domestic money market funds | Commercial paper | Securities lending | Other |
---|---|---|---|---|---|---|
2002:Q1 | 11.22 | 19.01 | 20.83 | 13.04 | 3.67 | 4.79 |
2002:Q2 | 11.47 | 20.56 | 20.11 | 12.33 | 3.96 | 5.30 |
2002:Q3 | 12.37 | 20.94 | 19.63 | 12.15 | 2.75 | 5.45 |
2002:Q4 | 12.87 | 20.67 | 20.46 | 12.38 | 2.66 | 5.75 |
2003:Q1 | 13.18 | 20.99 | 19.66 | 12.11 | 3.24 | 5.92 |
2003:Q2 | 14.02 | 22.35 | 19.07 | 11.70 | 3.69 | 5.96 |
2003:Q3 | 13.51 | 21.63 | 18.07 | 11.16 | 4.51 | 5.65 |
2003:Q4 | 13.54 | 21.68 | 17.33 | 10.95 | 4.64 | 5.53 |
2004:Q1 | 14.04 | 23.21 | 16.72 | 11.12 | 4.50 | 5.63 |
2004:Q2 | 14.42 | 23.50 | 16.04 | 10.74 | 5.41 | 5.63 |
2004:Q3 | 14.67 | 25.33 | 15.38 | 10.61 | 4.79 | 5.84 |
2004:Q4 | 15.15 | 24.23 | 15.19 | 11.14 | 5.43 | 5.69 |
2005:Q1 | 15.05 | 25.40 | 14.61 | 11.25 | 6.02 | 5.74 |
2005:Q2 | 15.17 | 26.78 | 14.36 | 11.58 | 6.65 | 5.71 |
2005:Q3 | 15.28 | 27.66 | 14.47 | 11.85 | 6.12 | 5.69 |
2005:Q4 | 15.77 | 26.56 | 15.20 | 12.30 | 5.60 | 5.69 |
2006:Q1 | 15.49 | 28.20 | 14.95 | 12.48 | 5.61 | 5.71 |
2006:Q2 | 15.77 | 28.49 | 15.23 | 12.83 | 6.26 | 5.78 |
2006:Q3 | 15.47 | 30.69 | 15.83 | 13.45 | 7.03 | 6.24 |
2006:Q4 | 16.26 | 29.69 | 16.66 | 13.95 | 7.60 | 6.59 |
2007:Q1 | 15.40 | 32.30 | 17.02 | 14.10 | 8.57 | 6.93 |
2007:Q2 | 15.27 | 32.47 | 17.48 | 14.67 | 8.74 | 7.14 |
2007:Q3 | 15.24 | 32.26 | 19.48 | 12.78 | 7.55 | 7.40 |
2007:Q4 | 16.10 | 30.56 | 21.02 | 12.18 | 7.76 | 7.90 |
2008:Q1 | 16.13 | 32.95 | 23.48 | 12.18 | 6.36 | 8.43 |
2008:Q2 | 15.57 | 30.00 | 22.81 | 11.81 | 12.09 | 8.92 |
2008:Q3 | 16.45 | 30.09 | 23.06 | 10.48 | 6.82 | 8.49 |
2008:Q4 | 12.23 | 21.83 | 26.32 | 10.98 | 6.55 | 8.39 |
2009:Q1 | 12.16 | 22.12 | 26.50 | 9.89 | 5.41 | 8.17 |
2009:Q2 | 12.15 | 21.96 | 25.45 | 8.91 | 6.14 | 8.06 |
2009:Q3 | 8.19 | 22.50 | 23.75 | 8.11 | 6.00 | 7.65 |
2009:Q4 | 8.68 | 20.35 | 22.67 | 7.78 | 5.81 | 6.76 |
2010:Q1 | 12.25 | 22.68 | 20.27 | 7.34 | 5.68 | 6.60 |
2010:Q2 | 12.28 | 22.91 | 18.85 | 6.89 | 5.63 | 6.25 |
2010:Q3 | 13.72 | 22.81 | 18.55 | 6.97 | 5.24 | 6.38 |
2010:Q4 | 9.58 | 22.43 | 18.39 | 6.94 | 5.12 | 6.22 |
2011:Q1 | 9.65 | 23.26 | 17.84 | 7.40 | 5.07 | 5.92 |
2011:Q2 | 10.14 | 23.36 | 17.33 | 6.98 | 5.22 | 5.50 |
2011:Q3 | 10.41 | 23.98 | 16.86 | 6.44 | 4.61 | 5.21 |
2011:Q4 | 10.49 | 23.66 | 17.03 | 6.14 | 4.17 | 5.22 |
2012:Q1 | 10.57 | 23.70 | 16.12 | 6.21 | 4.18 | 5.24 |
2012:Q2 | 10.64 | 24.03 | 15.56 | 5.96 | 4.21 | 5.21 |
2012:Q3 | 10.52 | 24.06 | 15.69 | 5.89 | 4.06 | 5.13 |
2012:Q4 | 11.95 | 24.17 | 16.46 | 5.82 | 3.61 | 5.10 |
2013:Q1 | 20.16 | 22.97 | 15.65 | 6.04 | 3.72 | 5.08 |
2013:Q2 | 20.16 | 21.99 | 15.53 | 5.95 | 3.92 | 4.84 |
2013:Q3 | 20.93 | 21.15 | 15.90 | 5.80 | 4.11 | 4.57 |
2013:Q4 | 21.53 | 19.11 | 15.91 | 5.57 | 3.82 | 5.90 |
2014:Q1 | 21.58 | 19.32 | 15.38 | 5.80 | 4.30 | 6.02 |
2014:Q2 | 22.01 | 18.57 | 14.69 | 5.77 | 4.27 | 6.00 |
2014:Q3 | 22.19 | 18.02 | 14.69 | 5.62 | 4.22 | 5.89 |
2014:Q4 | 22.72 | 17.46 | 15.27 | 5.22 | 3.95 | 5.60 |
2015:Q1 | 22.82 | 17.69 | 14.72 | 5.30 | 3.95 | 5.52 |
2015:Q2 | 22.57 | 16.92 | 14.35 | 5.37 | 3.75 | 5.27 |
2015:Q3 | 22.51 | 17.22 | 14.55 | 5.41 | 3.62 | 5.23 |
2015:Q4 | 22.94 | 16.18 | 15.01 | 5.13 | 3.54 | 5.37 |
2016:Q1 | 23.11 | 16.44 | 14.99 | 5.55 | 3.60 | 5.18 |
2016:Q2 | 23.23 | 17.12 | 14.44 | 5.45 | 3.50 | 5.25 |
2016:Q3 | 23.81 | 17.05 | 14.21 | 4.85 | 3.33 | 5.22 |
2016:Q4 | 23.94 | 16.11 | 14.37 | 4.66 | 3.07 | 5.30 |
2017:Q1 | 23.73 | 16.32 | 13.90 | 4.89 | 3.20 | 5.34 |
2017:Q2 | 23.53 | 16.75 | 13.60 | 4.78 | 3.40 | 5.25 |
2017:Q3 | 23.59 | 16.22 | 14.03 | 5.02 | 3.42 | 5.29 |
2017:Q4 | 23.84 | 16.32 | 14.36 | 4.87 | 3.31 | 5.28 |
2018:Q1 | 23.49 | 15.83 | 13.94 | 5.23 | 3.33 | 5.28 |
2018:Q2 | 22.79 | 15.63 | 13.82 | 5.15 | 3.35 | 5.11 |
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, 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.
Source: Securities and Exchange Commission, Private Funds Statistics; iMoneyNet, Inc., Offshore Money Fund Analyzer; Bloomberg Finance LP; Securities Industry and Financial Markets Association: U.S. Municipal VRDO Update; Risk Management Association, Securities Lending Report; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation: Commercial Paper data; Federal Reserve Board staff calculations based on Investment Company Institute data; Federal Reserve Board, Statistical Release H.6, "Money Stock and Debt Measures" (M3 monetary aggregate); Federal Financial Institutions Examination Council, Consolidated Reports of Condition and Income (Call Report); Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States"; Moody's Analytics, Inc., CreditView, ABCP Program Index; Bureau of Economic Analysis, gross domestic product via Haver Analytics.
Figure 4-4
This is an overlapping area chart titled "Domestic Money Market Fund Assets." The x-axis measures time and ranges from the years 2000 to 2019. The y-axis is in billions of dollars (real) and ranges from 0 to 5,250 in 750 billion dollar increments. The data are monthly. There are shaded areas in this chart. The bottom area, represented in dark blue, is institutional prime fund assets. The institutional prime curve begins at about 650 in early 2000, increases to about 1200 by late 2002, decreases to about 650 by mid-2005, increases to about 1,500 by the end of 2008, and then drops sharply in September 2008 to 1,000. It then increases to 1,400 and remains in the range of 1,000 to 1,400 until the end of 2015. It then begins to sharply decrease to about 130 at the end of 2016. It then steadily increases until September 2018 where it ends around 220. The area above the institutional prime region is light blue and represents retail prime fund assets. The curve begins at about 1,700 in early 2000, increases to about 2250 by early 2002, decreases to about 1700 by mid-2005, increases to about 2350 by late 2008, then sharply decreases to 1900 in September 2008. It then increases back to about 2300 in early 2009, and then decreases steadily to about 1550 in 2012. It remains around this level until late 2015. It then steadily decreases throughout 2016 and then drops sharply in late 2016 to about 400. It then increases until September 2018 where it ends around 615. The third shaded region from the bottom is red and represents tax-exempt fund assets. The curve begins at about 2000 in early 2000, increases to about 2500 by late 2002, decreases to about 1950 by mid-2005, increases to about 3000 by mid-2008, dips to about 2500 by late 2008, increases to about 2900 by early 2009, decreases to about 1900 by 2012. It remains near this level through the end of 2015. Then it begins to decrease steadily to around 1000. In September 2016, it drops sharply to around 675 and continues to decrease until late 2017 to about 580. It then increases the remainder of the time and ends in September 2018 at about 630.
The top shaded area represents government-only fund assets. This line begins at about 2500 in early 2000, increases to about 3300 by early 2002, decreases to about 2400 by mid-2005, increases to about 4500 by early 2009, decreases to about 2900 by early 2011, remains near that level until end of 2018, and increases to end at about 2900 in September 2018.
Note: The data are converted to constant 2018 dollars using the consumer price index. Key identifies regions in order from top to bottom.
Source: Federal Reserve Board staff calculations based on Investment Company Institute data; Bureau of Labor Statistics, consumer price index via Haver Analytics.
Figure 4-5. Corporate Bond Mutual Fund and Loan Mutual Fund Assets
Billions of dollars (real)
Date | Investment-grade corporate bond mutual funds | High-yield corporate bond mutual funds | Bank loan mutual funds |
---|---|---|---|
Jan-00 | 360.04 | 147.39 | 28.55 |
Feb-00 | 357.32 | 145.57 | 28.45 |
Mar-00 | 355.94 | 138.86 | 28.37 |
Apr-00 | 353.83 | 135.48 | 28.59 |
May-00 | 351.01 | 130.56 | 28.49 |
Jun-00 | 359.58 | 135.25 | 28.52 |
Jul-00 | 358.23 | 132.07 | 28.60 |
Aug-00 | 364.10 | 129.33 | 29.06 |
Sep-00 | 363.65 | 127.82 | 29.73 |
Oct-00 | 365.93 | 118.99 | 29.03 |
Nov-00 | 370.92 | 109.95 | 28.53 |
Dec-00 | 375.51 | 110.74 | 27.42 |
Jan-01 | 381.85 | 121.76 | 27.86 |
Feb-01 | 389.00 | 123.53 | 24.04 |
Mar-01 | 396.95 | 120.36 | 26.73 |
Apr-01 | 398.02 | 116.92 | 26.57 |
May-01 | 400.77 | 119.36 | 23.13 |
Jun-01 | 405.08 | 113.88 | 22.68 |
Jul-01 | 424.54 | 115.70 | 25.81 |
Aug-01 | 442.96 | 116.73 | 25.61 |
Sep-01 | 446.69 | 105.82 | 21.53 |
Oct-01 | 468.68 | 108.73 | 23.25 |
Nov-01 | 467.06 | 114.00 | 22.36 |
Dec-01 | 473.75 | 114.28 | 22.18 |
Jan-02 | 483.12 | 116.55 | 21.67 |
Feb-02 | 493.30 | 113.37 | 21.13 |
Mar-02 | 491.38 | 120.72 | 20.72 |
Apr-02 | 501.27 | 118.39 | 20.32 |
May-02 | 510.01 | 118.69 | 19.88 |
Jun-02 | 520.63 | 111.01 | 19.19 |
Jul-02 | 537.98 | 103.34 | 18.50 |
Aug-02 | 548.67 | 105.44 | 17.49 |
Sep-02 | 564.28 | 101.08 | 16.66 |
Oct-02 | 576.39 | 104.76 | 15.72 |
Nov-02 | 578.39 | 113.98 | 15.27 |
Dec-02 | 593.47 | 117.01 | 14.98 |
Jan-03 | 605.03 | 121.21 | 14.82 |
Feb-03 | 618.02 | 124.81 | 14.48 |
Mar-03 | 625.95 | 135.11 | 14.19 |
Apr-03 | 638.51 | 149.56 | 14.43 |
May-03 | 655.14 | 152.89 | 14.44 |
Jun-03 | 658.75 | 160.62 | 14.16 |
Jul-03 | 635.17 | 156.20 | 14.66 |
Aug-03 | 626.49 | 157.45 | 15.21 |
Sep-03 | 641.37 | 160.70 | 15.67 |
Oct-03 | 636.86 | 167.01 | 16.36 |
Nov-03 | 638.97 | 170.58 | 16.85 |
Dec-03 | 642.75 | 173.29 | 17.29 |
Jan-04 | 644.26 | 178.23 | 17.93 |
Feb-04 | 648.81 | 173.07 | 18.31 |
Mar-04 | 654.64 | 169.52 | 18.76 |
Apr-04 | 641.20 | 166.04 | 19.55 |
May-04 | 628.12 | 155.55 | 20.92 |
Jun-04 | 624.92 | 156.82 | 22.09 |
Jul-04 | 630.81 | 158.66 | 23.39 |
Aug-04 | 643.07 | 162.28 | 24.42 |
Sep-04 | 645.82 | 164.80 | 25.12 |
Oct-04 | 648.75 | 167.57 | 25.66 |
Nov-04 | 645.53 | 170.05 | 26.29 |
Dec-04 | 652.02 | 171.66 | 26.64 |
Jan-05 | 657.28 | 167.99 | 27.59 |
Feb-05 | 650.14 | 169.51 | 27.93 |
Mar-05 | 642.95 | 157.80 | 28.81 |
Apr-05 | 647.73 | 151.98 | 29.23 |
May-05 | 657.21 | 153.35 | 29.15 |
Jun-05 | 663.62 | 155.58 | 29.02 |
Jul-05 | 660.27 | 157.64 | 29.21 |
Aug-05 | 667.81 | 156.18 | 28.86 |
Sep-05 | 659.08 | 150.19 | 28.74 |
Oct-05 | 655.57 | 146.80 | 29.47 |
Nov-05 | 663.96 | 148.74 | 29.66 |
Dec-05 | 671.87 | 149.98 | 30.01 |
Jan-06 | 674.02 | 150.43 | 30.41 |
Feb-06 | 679.81 | 151.67 | 30.82 |
Mar-06 | 673.75 | 150.75 | 31.85 |
Apr-06 | 672.16 | 149.99 | 32.35 |
May-06 | 664.91 | 147.65 | 33.43 |
Jun-06 | 662.35 | 144.59 | 34.41 |
Jul-06 | 670.74 | 145.81 | 35.26 |
Aug-06 | 681.43 | 148.04 | 35.84 |
Sep-06 | 695.97 | 150.71 | 36.47 |
Oct-06 | 709.44 | 154.84 | 37.48 |
Nov-06 | 724.12 | 158.30 | 37.83 |
Dec-06 | 727.66 | 160.07 | 38.23 |
Jan-07 | 734.94 | 162.25 | 39.38 |
Feb-07 | 747.94 | 164.10 | 39.97 |
Mar-07 | 753.66 | 163.52 | 40.77 |
Apr-07 | 755.01 | 164.85 | 41.77 |
May-07 | 754.10 | 166.73 | 42.79 |
Jun-07 | 760.62 | 161.04 | 44.21 |
Jul-07 | 771.44 | 153.15 | 41.01 |
Aug-07 | 779.03 | 153.75 | 37.99 |
Sep-07 | 790.57 | 157.98 | 37.92 |
Oct-07 | 804.00 | 159.58 | 37.88 |
Nov-07 | 810.66 | 152.85 | 34.92 |
Dec-07 | 813.62 | 152.64 | 33.25 |
Jan-08 | 832.60 | 147.49 | 31.26 |
Feb-08 | 833.79 | 144.55 | 27.48 |
Mar-08 | 821.97 | 141.83 | 26.55 |
Apr-08 | 821.07 | 149.70 | 27.26 |
May-08 | 816.41 | 150.25 | 27.02 |
Jun-08 | 803.56 | 144.18 | 26.93 |
Jul-08 | 793.47 | 140.54 | 26.55 |
Aug-08 | 802.19 | 141.52 | 26.11 |
Sep-08 | 775.35 | 130.09 | 23.76 |
Oct-08 | 733.00 | 108.17 | 19.80 |
Nov-08 | 742.31 | 101.04 | 17.88 |
Dec-08 | 771.02 | 109.54 | 16.97 |
Jan-09 | 778.33 | 117.08 | 18.56 |
Feb-09 | 777.93 | 114.26 | 19.16 |
Mar-09 | 802.01 | 118.76 | 19.17 |
Apr-09 | 827.78 | 133.66 | 21.14 |
May-09 | 863.04 | 144.46 | 22.62 |
Jun-09 | 883.36 | 148.04 | 23.95 |
Jul-09 | 925.85 | 159.56 | 25.37 |
Aug-09 | 964.13 | 162.70 | 25.76 |
Sep-09 | 1007.71 | 172.55 | 26.43 |
Oct-09 | 1041.41 | 175.93 | 26.69 |
Nov-09 | 1073.08 | 179.18 | 26.45 |
Dec-09 | 1076.97 | 186.05 | 27.73 |
Jan-10 | 1107.26 | 189.16 | 29.29 |
Feb-10 | 1125.31 | 187.05 | 30.35 |
Mar-10 | 1144.27 | 196.04 | 32.61 |
Apr-10 | 1168.50 | 202.41 | 35.38 |
May-10 | 1177.32 | 187.54 | 34.73 |
Jun-10 | 1203.46 | 190.33 | 35.33 |
Jul-10 | 1231.89 | 199.74 | 36.42 |
Aug-10 | 1262.41 | 200.80 | 37.09 |
Sep-10 | 1279.67 | 210.33 | 39.07 |
Oct-10 | 1293.53 | 216.69 | 41.19 |
Nov-10 | 1281.77 | 213.13 | 43.45 |
Dec-10 | 1252.10 | 219.07 | 48.25 |
Jan-11 | 1244.77 | 227.69 | 54.99 |
Feb-11 | 1243.52 | 232.53 | 60.49 |
Mar-11 | 1236.77 | 231.56 | 65.29 |
Apr-11 | 1250.94 | 235.30 | 68.38 |
May-11 | 1263.41 | 236.06 | 71.97 |
Jun-11 | 1267.02 | 226.31 | 73.22 |
Jul-11 | 1284.27 | 230.07 | 73.60 |
Aug-11 | 1282.02 | 213.09 | 62.37 |
Sep-11 | 1279.26 | 206.64 | 60.82 |
Oct-11 | 1300.17 | 228.78 | 63.16 |
Nov-11 | 1302.16 | 222.43 | 62.27 |
Dec-11 | 1326.52 | 231.49 | 61.47 |
Jan-12 | 1354.54 | 244.83 | 62.56 |
Feb-12 | 1372.00 | 255.19 | 62.36 |
Mar-12 | 1377.91 | 257.06 | 62.92 |
Apr-12 | 1402.58 | 260.50 | 64.59 |
May-12 | 1418.10 | 255.05 | 64.28 |
Jun-12 | 1432.07 | 261.27 | 64.68 |
Jul-12 | 1468.36 | 271.63 | 66.19 |
Aug-12 | 1482.79 | 277.38 | 67.58 |
Sep-12 | 1502.54 | 281.86 | 69.89 |
Oct-12 | 1526.49 | 285.62 | 72.47 |
Nov-12 | 1552.40 | 285.17 | 75.06 |
Dec-12 | 1566.06 | 289.25 | 77.72 |
Jan-13 | 1571.51 | 294.64 | 82.61 |
Feb-13 | 1571.71 | 292.92 | 87.83 |
Mar-13 | 1577.07 | 296.77 | 94.60 |
Apr-13 | 1601.66 | 303.13 | 100.33 |
May-13 | 1565.64 | 300.05 | 104.96 |
Jun-13 | 1502.33 | 277.82 | 110.65 |
Jul-13 | 1492.98 | 288.15 | 120.73 |
Aug-13 | 1464.86 | 282.37 | 128.41 |
Sep-13 | 1467.77 | 288.77 | 134.47 |
Oct-13 | 1474.11 | 299.49 | 138.92 |
Nov-13 | 1466.53 | 302.48 | 143.49 |
Dec-13 | 1451.51 | 303.43 | 147.94 |
Jan-14 | 1459.74 | 304.35 | 152.02 |
Feb-14 | 1464.74 | 311.14 | 153.95 |
Mar-14 | 1459.45 | 311.38 | 155.18 |
Apr-14 | 1469.59 | 312.98 | 153.39 |
May-14 | 1481.56 | 316.32 | 151.66 |
Jun-14 | 1487.58 | 317.44 | 148.73 |
Jul-14 | 1495.81 | 305.12 | 146.47 |
Aug-14 | 1517.36 | 303.90 | 142.76 |
Sep-14 | 1499.79 | 289.52 | 137.90 |
Oct-14 | 1506.70 | 294.15 | 133.11 |
Nov-14 | 1531.66 | 297.34 | 132.43 |
Dec-14 | 1541.49 | 283.62 | 124.12 |
Jan-15 | 1583.66 | 287.70 | 120.78 |
Feb-15 | 1576.13 | 298.64 | 121.27 |
Mar-15 | 1576.92 | 292.81 | 119.73 |
Apr-15 | 1569.09 | 295.75 | 120.34 |
May-15 | 1566.40 | 295.73 | 120.40 |
Jun-15 | 1563.74 | 285.89 | 117.82 |
Jul-15 | 1567.86 | 280.38 | 117.53 |
Aug-15 | 1554.96 | 272.67 | 113.91 |
Sep-15 | 1554.44 | 263.94 | 111.32 |
Oct-15 | 1563.62 | 274.43 | 109.87 |
Nov-15 | 1565.62 | 266.17 | 106.99 |
Dec-15 | 1560.58 | 249.62 | 99.53 |
Jan-16 | 1568.43 | 241.48 | 95.62 |
Feb-16 | 1578.25 | 243.76 | 92.28 |
Mar-16 | 1608.28 | 259.24 | 93.47 |
Apr-16 | 1628.82 | 268.01 | 94.41 |
May-16 | 1635.76 | 267.84 | 94.70 |
Jun-16 | 1664.39 | 265.69 | 93.53 |
Jul-16 | 1695.20 | 275.58 | 95.60 |
Aug-16 | 1708.43 | 282.19 | 96.56 |
Sep-16 | 1718.43 | 282.87 | 98.38 |
Oct-16 | 1714.84 | 281.01 | 100.69 |
Nov-16 | 1682.55 | 273.81 | 103.67 |
Dec-16 | 1685.34 | 282.60 | 110.86 |
Jan-17 | 1687.99 | 285.38 | 114.65 |
Feb-17 | 1709.11 | 287.22 | 118.90 |
Mar-17 | 1732.10 | 278.69 | 122.37 |
Apr-17 | 1744.17 | 279.68 | 124.24 |
May-17 | 1770.78 | 280.71 | 125.93 |
Jun-17 | 1783.69 | 278.43 | 125.95 |
Jul-17 | 1808.02 | 279.57 | 126.69 |
Aug-17 | 1829.94 | 275.07 | 125.36 |
Sep-17 | 1829.96 | 275.96 | 124.95 |
Oct-17 | 1851.08 | 275.84 | 125.30 |
Nov-17 | 1863.56 | 269.35 | 123.04 |
Dec-17 | 1885.85 | 269.19 | 122.34 |
Jan-18 | 1885.23 | 267.49 | 123.58 |
Feb-18 | 1868.16 | 253.54 | 124.12 |
Mar-18 | 1877.57 | 248.81 | 126.51 |
Apr-18 | 1860.94 | 249.66 | 128.76 |
May-18 | 1869.43 | 247.32 | 131.31 |
Jun-18 | 1869.33 | 246.05 | 133.61 |
Jul-18 | 1877.91 | 247.42 | 135.62 |
Aug-18 | 1894.68 | 248.17 | 137.51 |
Sep-18 | 1896.63 | 249.73 | 139.12 |
Note: The data are converted to constant 2018 dollars using the consumer price index.
Source: Morningstar, Inc., Morningstar Direct; Bureau of Labor Statistics, consumer price index via Haver Analytics.
Figure 4-6. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type
Billions of dollars (real)
Quarter | Funding-agreement-backed securities | FHLB advances | Securities lending | Repurchase agreements |
---|---|---|---|---|
2006:Q1 | 191.72 | 12.70 | ND | ND |
2006:Q2 | 188.94 | 12.91 | ND | ND |
2006:Q3 | 188.32 | 13.57 | ND | ND |
2006:Q4 | 192.85 | 15.07 | ND | ND |
2007:Q1 | 193.89 | 16.41 | ND | ND |
2007:Q2 | 194.87 | 19.86 | ND | ND |
2007:Q3 | 197.71 | 27.20 | ND | ND |
2007:Q4 | 195.16 | 31.04 | ND | ND |
2008:Q1 | 197.16 | 34.13 | ND | ND |
2008:Q2 | 198.83 | 34.93 | ND | ND |
2008:Q3 | 180.37 | 44.29 | ND | ND |
2008:Q4 | 171.83 | 58.75 | ND | ND |
2009:Q1 | 153.25 | 59.22 | ND | ND |
2009:Q2 | 139.93 | 55.80 | ND | ND |
2009:Q3 | 127.59 | 52.28 | ND | ND |
2009:Q4 | 116.96 | 52.91 | ND | ND |
2010:Q1 | 114.45 | 52.07 | ND | ND |
2010:Q2 | 106.16 | 50.47 | ND | ND |
2010:Q3 | 103.76 | 50.39 | ND | ND |
2010:Q4 | 101.53 | 49.86 | ND | ND |
2011:Q1 | 94.87 | 49.95 | 53.10 | 6.95 |
2011:Q2 | 89.78 | 49.06 | 52.39 | 7.65 |
2011:Q3 | 84.04 | 49.05 | 50.39 | 7.70 |
2011:Q4 | 83.78 | 49.48 | 47.93 | 7.99 |
2012:Q1 | 80.87 | 50.46 | 47.00 | 9.11 |
2012:Q2 | 82.45 | 53.81 | 53.99 | 11.74 |
2012:Q3 | 83.50 | 53.44 | 61.47 | 12.48 |
2012:Q4 | 80.04 | 51.98 | 60.10 | 12.42 |
2013:Q1 | 79.44 | 52.64 | 59.52 | 14.65 |
2013:Q2 | 71.00 | 53.61 | 60.53 | 14.60 |
2013:Q3 | 67.38 | 52.49 | 55.88 | 14.06 |
2013:Q4 | 65.56 | 53.35 | 61.52 | 12.56 |
2014:Q1 | 61.11 | 53.16 | 62.81 | 14.80 |
2014:Q2 | 64.43 | 53.37 | 64.95 | 14.83 |
2014:Q3 | 69.72 | 53.75 | 68.08 | 16.33 |
2014:Q4 | 73.68 | 54.49 | 58.93 | 12.48 |
2015:Q1 | 74.71 | 57.06 | 59.26 | 11.99 |
2015:Q2 | 72.22 | 58.10 | 54.94 | 11.60 |
2015:Q3 | 68.76 | 59.03 | 54.43 | 11.63 |
2015:Q4 | 73.82 | 59.93 | 53.59 | 9.23 |
2016:Q1 | 72.23 | 62.97 | 55.76 | 11.25 |
2016:Q2 | 73.42 | 66.25 | 57.62 | 12.67 |
2016:Q3 | 74.36 | 68.87 | 58.79 | 13.49 |
2016:Q4 | 78.37 | 69.44 | 50.90 | 10.23 |
2017:Q1 | 80.01 | 71.76 | 52.75 | 13.49 |
2017:Q2 | 83.58 | 71.54 | 52.55 | 13.68 |
2017:Q3 | 89.77 | 71.36 | 53.51 | 14.96 |
2017:Q4 | 88.66 | 73.45 | 50.77 | 12.72 |
2018:Q1 | 89.37 | 77.83 | 53.36 | 12.50 |
2018:Q2 | 90.33 | 77.57 | 46.54 | 14.34 |
Note: The data are converted to constant 2018 dollars using the consumer price index and extend through 2018:Q2. FHLB is Federal Home Loan Bank.
Source: Bureau of Labor Statistics, consumer price index via Haver Analytics and Federal Reserve Board staff estimates based on data from Bloomberg Finance LP; Moody's Analytics, Inc., CreditView, ABCP Program Index; Securities and Exchange Commission, Form 10-Q and 10-K; National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via the S&P Global Market Intelligence Platform.