Accessible versions

Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Date	2-year	10-year
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
November 2018	2.86	3.12
December 2018	2.68	2.83
January 2019	2.54	2.71
February 2019	2.50	2.68
March 2019	2.41	2.57
April 2019	2.36	2.53

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

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

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

Percentage points

Date	Term Premium
January 1997	1.48
February 1997	1.51
March 1997	1.67
April 1997	1.57
May 1997	1.58
June 1997	1.48
July 1997	1.19
August 1997	1.38
September 1997	1.27
October 1997	1.09
November 1997	1.05
December 1997	0.95
January 1998	0.90
February 1998	0.96
March 1998	0.99
April 1998	1.03
May 1998	0.95
June 1998	0.87
July 1998	0.90
August 1998	0.69
September 1998	0.48
October 1998	0.62
November 1998	0.64
December 1998	0.67
January 1999	0.67
February 1999	1.01
March 1999	1.05
April 1999	1.04
May 1999	1.16
June 1999	1.28
July 1999	1.37
August 1999	1.35
September 1999	1.37
October 1999	1.35
November 1999	1.33
December 1999	1.46
January 2000	1.43
February 2000	1.31
March 2000	1.05
April 2000	1.17
May 2000	1.16
June 2000	1.00
July 2000	0.91
August 2000	0.78
September 2000	0.82
October 2000	0.72
November 2000	0.60
December 2000	0.55
January 2001	0.79
February 2001	0.76
March 2001	0.94
April 2001	1.24
May 2001	1.39
June 2001	1.38
July 2001	1.20
August 2001	1.16
September 2001	1.31
October 2001	1.23
November 2001	1.62
December 2001	1.86
January 2002	1.77
February 2002	1.69
March 2002	1.74
April 2002	1.79
May 2002	1.73
June 2002	1.63
July 2002	1.41
August 2002	1.15
September 2002	0.89
October 2002	1.10
November 2002	1.35
December 2002	1.10
January 2003	1.20
February 2003	0.99
March 2003	1.11
April 2003	1.11
May 2003	0.73
June 2003	0.90
July 2003	1.52
August 2003	1.56
September 2003	1.20
October 2003	1.42
November 2003	1.42
December 2003	1.39
January 2004	1.32
February 2004	1.20
March 2004	1.10
April 2004	1.53
May 2004	1.48
June 2004	1.44
July 2004	1.33
August 2004	1.07
September 2004	0.99
October 2004	0.89
November 2004	0.98
December 2004	0.86
January 2005	0.75
February 2005	0.81
March 2005	0.88
April 2005	0.65
May 2005	0.51
June 2005	0.43
July 2005	0.54
August 2005	0.39
September 2005	0.53
October 2005	0.59
November 2005	0.54
December 2005	0.43
January 2006	0.44
February 2006	0.44
March 2006	0.59
April 2006	0.67
May 2006	0.67
June 2006	0.62
July 2006	0.52
August 2006	0.40
September 2006	0.36
October 2006	0.31
November 2006	0.23
December 2006	0.37
January 2007	0.44
February 2007	0.27
March 2007	0.35
April 2007	0.35
May 2007	0.55
June 2007	0.64
July 2007	0.48
August 2007	0.52
September 2007	0.62
October 2007	0.55
November 2007	0.50
December 2007	0.50
January 2008	0.63
February 2008	0.68
March 2008	0.70
April 2008	0.89
May 2008	0.98
June 2008	0.90
July 2008	0.93
August 2008	0.79
September 2008	1.02
October 2008	1.43
November 2008	0.84
December 2008	0.50
January 2009	0.84
February 2009	0.88
March 2009	0.60
April 2009	0.93
May 2009	1.23
June 2009	1.23
July 2009	1.26
August 2009	1.15
September 2009	1.06
October 2009	1.14
November 2009	0.98
December 2009	1.36
January 2010	1.22
February 2010	1.19
March 2010	1.31
April 2010	1.20
May 2010	0.97
June 2010	0.74
July 2010	0.67
August 2010	0.40
September 2010	0.37
October 2010	0.42
November 2010	0.58
December 2010	0.94
January 2011	0.96
February 2011	1.01
March 2011	1.06
April 2011	0.95
May 2011	0.73
June 2011	0.81
July 2011	0.53
August 2011	0.15
September 2011	0.02
October 2011	0.16
November 2011	0.08
December 2011	-0.01
January 2012	-0.09
February 2012	-0.02
March 2012	0.15
April 2012	-0.04
May 2012	-0.26
June 2012	-0.24
July 2012	-0.31
August 2012	-0.27
September 2012	-0.26
October 2012	-0.19
November 2012	-0.27
December 2012	-0.15
January 2013	0.00
February 2013	-0.10
March 2013	-0.15
April 2013	-0.20
May 2013	0.11
June 2013	0.39
July 2013	0.47
August 2013	0.62
September 2013	0.48
October 2013	0.43
November 2013	0.53
December 2013	0.73
January 2014	0.53
February 2014	0.51
March 2014	0.61
April 2014	0.57
May 2014	0.45
June 2014	0.49
July 2014	0.52
August 2014	0.41
September 2014	0.50
October 2014	0.40
November 2014	0.30
December 2014	0.27
January 2015	-0.01
February 2015	0.21
March 2015	0.10
April 2015	0.20
May 2015	0.26
June 2015	0.39
July 2015	0.26
August 2015	0.24
September 2015	0.16
October 2015	0.22
November 2015	0.21
December 2015	0.24
January 2016	-0.02
February 2016	-0.12
March 2016	-0.10
April 2016	-0.06
May 2016	-0.08
June 2016	-0.30
July 2016	-0.30
August 2016	-0.24
September 2016	-0.23
October 2016	-0.10
November 2016	0.25
December 2016	0.30
January 2017	0.29
February 2017	0.23
March 2017	0.17
April 2017	0.08
May 2017	-0.02
June 2017	0.02
July 2017	0.00
August 2017	-0.10
September 2017	0.01
October 2017	0.02
November 2017	-0.01
December 2017	-0.02
January 2018	0.17
February 2018	0.20
March 2018	0.19
April 2018	0.19
May 2018	0.10
June 2018	0.10
July 2018	0.14
August 2018	0.05
September 2018	0.14
October 2018	0.15
November 2018	0.04
December 2018	-0.17
January 2019	-0.19
February 2019	-0.15
March 2019	-0.32
April 2019	-0.22

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 sta? estimates.

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Figure 1-3. Option-Implied Volatility on the 10-YearSwap Rate

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 2020. 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 in 2009. It then drops steeply to around 100 basis points in 2010, and then gradually declines to around 55 basis points in April 2019, 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.

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Figure 1-4. Corporate Bond Yields

This is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2020. 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 April 2019, with a recent increase to 7.39 in December 2018 followed by a decline to about 6 in April. 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 2it 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 April 2019. It also had an uptick in late 2018 but has since declined to about 4 percent.

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.

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Figure 1-5. Corporate Bond Spreads to Similar-Maturity Treasury Securities

This is a line chart titled "Corporate Bond Spreads to Similar Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2020. 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. It then increases in November and December 2018 but decreases to around 3.5 percentage points in April 2019. 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. It then increases in November and December 2018 but decreases to around 1.5 percentage points in April 2019.

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.

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Figure 1-6. Corporate Bond Premium over Expected Losses

Standard deviations from the mean

Date	corporate bond premium
January 1997	-0.498
February 1997	-0.700
March 1997	-0.715
April 1997	-0.638
May 1997	-0.676
June 1997	-0.799
July 1997	-0.755
August 1997	-0.742
September 1997	-0.833
October 1997	-0.602
November 1997	-0.502
December 1997	-0.616
January 1998	-0.530
February 1998	-0.504
March 1998	-0.570
April 1998	-0.688
May 1998	-0.620
June 1998	-0.587
July 1998	-0.513
August 1998	0.054
September 1998	0.021
October 1998	0.214
November 1998	0.214
December 1998	0.008
January 1999	0.016
February 1999	-0.339
March 1999	-0.293
April 1999	-0.366
May 1999	-0.353
June 1999	-0.274
July 1999	-0.194
August 1999	-0.111
September 1999	0.082
October 1999	0.100
November 1999	0.042
December 1999	-0.292
January 2000	-0.026
February 2000	0.067
March 2000	0.431
April 2000	0.670
May 2000	0.955
June 2000	1.012
July 2000	1.108
August 2000	1.346
September 2000	1.495
October 2000	2.066
November 2000	2.184
December 2000	2.173
January 2001	1.561
February 2001	1.596
March 2001	1.515
April 2001	1.241
May 2001	1.018
June 2001	1.359
July 2001	0.989
August 2001	0.974
September 2001	1.638
October 2001	1.374
November 2001	-0.332
December 2001	0.523
January 2002	0.734
February 2002	1.031
March 2002	0.305
April 2002	0.493
May 2002	0.664
June 2002	1.365
July 2002	2.168
August 2002	2.033
September 2002	2.250
October 2002	2.005
November 2002	1.460
December 2002	1.233
January 2003	1.191
February 2003	0.839
March 2003	0.065
April 2003	-0.040
May 2003	-0.948
June 2003	-0.713
July 2003	-1.703
August 2003	-0.354
September 2003	-0.936
October 2003	-0.842
November 2003	-0.869
December 2003	-0.804
January 2004	-1.122
February 2004	-0.556
March 2004	-0.835
April 2004	-1.158
May 2004	-0.575
June 2004	-0.598
July 2004	-0.519
August 2004	-0.693
September 2004	-0.892
October 2004	-0.854
November 2004	-1.043
December 2004	-1.125
January 2005	-1.107
February 2005	-1.469
March 2005	-1.028
April 2005	-0.720
May 2005	-0.581
June 2005	-0.824
July 2005	-0.974
August 2005	-0.990
September 2005	-0.829
October 2005	-0.662
November 2005	-0.622
December 2005	-0.599
January 2006	-0.685
February 2006	-0.634
March 2006	-0.737
April 2006	-0.785
May 2006	-0.623
June 2006	-0.685
July 2006	-0.550
August 2006	-0.591
September 2006	-0.704
October 2006	-0.731
November 2006	-0.691
December 2006	-0.859
January 2007	-0.936
February 2007	-0.977
March 2007	-0.663
April 2007	-0.664
May 2007	-0.988
June 2007	-0.688
July 2007	-0.123
August 2007	0.058
September 2007	-0.050
October 2007	-0.191
November 2007	0.307
December 2007	0.514
January 2008	0.863
February 2008	1.155
March 2008	1.488
April 2008	0.771
May 2008	0.819
June 2008	0.968
July 2008	1.349
August 2008	1.575
September 2008	2.355
October 2008	4.614
November 2008	3.877
December 2008	4.085
January 2009	3.613
February 2009	4.327
March 2009	3.597
April 2009	3.007
May 2009	1.744
June 2009	1.128
July 2009	0.272
August 2009	-0.143
September 2009	-0.121
October 2009	-0.398
November 2009	-0.187
December 2009	-0.839
January 2010	-0.400
February 2010	-0.092
March 2010	-0.287
April 2010	-0.489
May 2010	-0.357
June 2010	-0.133
July 2010	0.100
August 2010	-0.696
September 2010	-0.203
October 2010	-0.150
November 2010	-0.349
December 2010	-0.720
January 2011	-0.061
February 2011	-0.454
March 2011	-0.510
April 2011	-0.460
May 2011	-0.280
June 2011	-0.083
July 2011	-0.188
August 2011	-0.387
September 2011	0.359
October 2011	-0.411
November 2011	0.506
December 2011	0.152
January 2012	0.004
February 2012	-0.154
March 2012	-0.757
April 2012	-0.492
May 2012	-0.457
June 2012	-0.039
July 2012	-0.309
August 2012	-0.613
September 2012	-0.490
October 2012	-0.504
November 2012	-0.307
December 2012	-0.444
January 2013	-0.301
February 2013	-0.232
March 2013	-0.324
April 2013	-0.377
May 2013	-0.925
June 2013	-0.711
July 2013	-0.134
August 2013	-0.298
September 2013	-0.325
October 2013	-0.159
November 2013	-0.082
December 2013	-0.285
January 2014	-0.560
February 2014	-0.411
March 2014	-0.511
April 2014	-0.649
May 2014	-0.682
June 2014	-0.575
July 2014	-0.595
August 2014	-0.602
September 2014	-0.459
October 2014	-0.474
November 2014	-0.084
December 2014	-0.095
January 2015	-0.364
February 2015	-0.708
March 2015	-0.444
April 2015	-0.226
May 2015	-0.147
June 2015	0.044
July 2015	0.097
August 2015	0.369
September 2015	0.530
October 2015	0.390
November 2015	0.498
December 2015	0.752
January 2016	1.027
February 2016	1.062
March 2016	0.560
April 2016	0.058
May 2016	0.066
June 2016	-0.284
July 2016	-0.349
August 2016	-0.334
September 2016	-0.419
October 2016	-0.373
November 2016	-1.410
December 2016	-0.563
January 2017	-0.481
February 2017	-0.472
March 2017	-0.446
April 2017	-0.381
May 2017	-0.474
June 2017	-0.418
July 2017	-0.450
August 2017	-0.367
September 2017	-0.648
October 2017	-0.562
November 2017	-0.449
December 2017	-0.551
January 2018	-0.837
February 2018	-0.612
March 2018	-0.413
April 2018	-0.694
May 2018	-0.569
June 2018	-0.228
July 2018	-0.461
August 2018	-0.421
September 2018	-0.539
October 2018	-0.272
November 2018	-0.092
December 2018	0.136
January 2019	-0.099
February 2019	0.012
March 2019	0.089

Note: Data are normalized to have a sample mean of 0 and standard deviation of 1.

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

Return to text

Figure 1-7. Spreads on Newly Issued Institutional Leveraged Loans

Percentage points

Date	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	NA
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	NA
October 2001	4.25	NA
November 2001	3.44	NA
December 2001	3.10	NA
January 2002	3.33	4.00
February 2002	2.83	4.00
March 2002	3.01	4.25
April 2002	3.00	NA
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	NA
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	NA	3.39
September 2007	NA	3.17
October 2007	2.25	3.26
November 2007	2.42	3.29
December 2007	2.50	3.50
January 2008	NA	3.64
February 2008	NA	4.04
March 2008	NA	4.06
April 2008	NA	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	NA	NA
November 2008	NA	NA
December 2008	NA	NA
January 2009	NA	NA
February 2009	NA	NA
March 2009	NA	NA
April 2009	NA	NA
May 2009	NA	NA
June 2009	NA	NA
July 2009	NA	NA
August 2009	NA	NA
September 2009	NA	NA
October 2009	NA	4.66
November 2009	3.65	4.13
December 2009	3.25	4.31
January 2010	NA	3.96
February 2010	NA	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	NA	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	NA	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
October 2018	2.27	3.53
November 2018	2.31	3.71
December 2018	NA	5.08
January 2019	3.53	4.20
February 2019	3.10	4.39
March 2019	2.58	4.03

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.

Return to text

Figure 1-8. Forward Price-to-Earnings Ratio of S&P 500 Firms

Ratio

Date	Forward price-to-earnings ratio
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	14.81
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	15.61
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	19.72
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	13.68
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	16.68
June 2018	16.84
July 2018	17.03
August 2018	16.82
September 2018	17.21
October 2018	16.49
November 2018	15.72
December 2018	14.65
January 2019	15.45
February 2019	16.34
March 2019	16.62
April 2019	17.09

Median line	15.42

Note:Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead.

Source:Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates.

Return to text

Figure 1-9. Spread of Forward Earnings-to-Price Ratio of S&P 500 Firms to 10-Year Real Treasury Yield

Percentage points

Date	Spread of forward price-to-earnings ratio
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	3.34
April 1996	3.10
May 1996	2.74
June 1996	2.81
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	2.29
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	4.82
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	5.12
November 2018	5.45
December 2018	6.20
January 2019	5.97
February 2019	5.65
March 2019	5.65
April 2019	5.48
Median	4.57

Note:Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Real Treasury yields are calculated from the 10-year CPI inflation forecast and the smoothed nominal yield curve estimated from off-the-run securities.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates; Department of the Treasury.; Survery of Professinal Forecasters.

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Figure 1-10. S&P 500 Return Volatility

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2020. The y-axis ranges from 0 to 70 percent. The data are monthly. 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 beginning October 2018 and ending in December around 25 percent. It then declines throughout 2019, ending around 13 percent in April. 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. It then spikes up in October 2018 and continues to rise until January 2019, where it peaks around 20 percent and then declines to about 10 percent in April 2019.

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.

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Figure 1-11. Commercial Real Estate Prices (Real)

This is a line chart titled “Commercial Real Estate Prices (Real)”. The x axis measures time and ranges from the years 1996 to 2020. The y axis ranges from 0 to 180, which are indexed prices, with 100 being prices in January 2001. The data is monthly. There are two variables charted on the plot. The first is the equal weighted commercial index price series, which is designated by the black line. It begins in Jan. 1997 and ranges from 80 to 165. The variable rises from around 80 in 1997 to about 155 in early 2006 where it remains until it begins to decline in November 2006. It continues to decline until January 2011 where it gradually begins to rise. It continues this gradual increase until Feb. 2019 where it ends around 160. The second variable is the value weighed commercial index price series, which is designated by the blue line. It begins in January 1996 and ranges from 70 to 145. The variable rises from around 70 to 145 in late 2006. It then declines sharply until early 2009 to around 90. It then steadily increases to around 145 in February 2019.

Note: Series deflated using the consumer price index 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.

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Figure 1-12. Capitalization Rate at Property Purchase

Percent

Date	Capitalization rate
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	7.24
March 2005	7.28
April 2005	7.24
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	6.79
February 2006	6.78
March 2006	6.75
April 2006	6.75
May 2006	6.74
June 2006	6.75
July 2006	6.68
August 2006	6.67
September 2006	6.65
October 2006	6.71
November 2006	6.70
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	6.99
August 2008	6.99
September 2008	6.97
October 2008	6.95
November 2008	7.04
December 2008	7.16
January 2009	7.40
February 2009	7.40
March 2009	7.38
April 2009	7.21
May 2009	7.27
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	7.88
January 2010	7.85
February 2010	7.84
March 2010	7.81
April 2010	7.90
May 2010	7.84
June 2010	7.74
July 2010	7.68
August 2010	7.75
September 2010	7.70
October 2010	7.65
November 2010	7.53
December 2010	7.51
January 2011	7.51
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	7.19
October 2011	7.23
November 2011	7.24
December 2011	7.25
January 2012	7.15
February 2012	7.20
March 2012	7.15
April 2012	7.18
May 2012	7.09
June 2012	7.05
July 2012	7.05
August 2012	7.07
September 2012	7.06
October 2012	7.05
November 2012	6.96
December 2012	6.96
January 2013	6.96
February 2013	6.99
March 2013	7.04
April 2013	6.99
May 2013	7.04
June 2013	6.96
July 2013	6.98
August 2013	6.87
September 2013	6.88
October 2013	6.91
November 2013	6.99
December 2013	6.94
January 2014	6.85
February 2014	6.78
March 2014	6.74
April 2014	6.77
May 2014	6.80
June 2014	6.77
July 2014	6.73
August 2014	6.68
September 2014	6.62
October 2014	6.60
November 2014	6.60
December 2014	6.58
January 2015	6.54
February 2015	6.51
March 2015	6.53
April 2015	6.50
May 2015	6.48
June 2015	6.47
July 2015	6.49
August 2015	6.46
September 2015	6.44
October 2015	6.41
November 2015	6.37
December 2015	6.35
January 2016	6.39
February 2016	6.39
March 2016	6.39
April 2016	6.30
May 2016	6.34
June 2016	6.34
July 2016	6.31
August 2016	6.30
September 2016	6.26
October 2016	6.28
November 2016	6.29
December 2016	6.36
January 2017	6.37
February 2017	6.36
March 2017	6.36
April 2017	6.38
May 2017	6.34
June 2017	6.24
July 2017	6.18
August 2017	6.19
September 2017	6.18
October 2017	6.23
November 2017	6.23
December 2017	6.26
January 2018	6.24
February 2018	6.22
March 2018	6.21
April 2018	6.22
May 2018	6.20
June 2018	6.21
July 2018	6.22
August 2018	6.24
September 2018	6.24
October 2018	6.25
November 2018	6.22
December 2018	6.19
January 2019	6.14
February 2019	6.13

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.

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Figure 1-13. Spread of Capitalization Rate at Property Purchase to 10-Year Treasury Yield

Percentage points

Date	Spread of capitalization rate
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	4.37
January 2003	4.30
February 2003	4.39
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	3.67
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	2.98
April 2005	2.90
May 2005	2.84
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	1.75
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	1.91
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	3.91
January 2009	4.58
February 2009	4.80
March 2009	4.64
April 2009	4.34
May 2009	4.26
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	4.42
January 2010	4.27
February 2010	4.17
March 2010	4.09
April 2010	4.15
May 2010	4.18
June 2010	4.25
July 2010	4.47
August 2010	4.78
September 2010	4.91
October 2010	5.02
November 2010	4.88
December 2010	4.65
January 2011	4.36
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	5.11
May 2012	5.08
June 2012	5.23
July 2012	5.40
August 2012	5.46
September 2012	5.42
October 2012	5.33
November 2012	5.26
December 2012	5.25
January 2013	5.20
February 2013	5.12
March 2013	5.09
April 2013	5.09
May 2013	5.16
June 2013	4.96
July 2013	4.71
August 2013	4.33
September 2013	4.17
October 2013	4.19
November 2013	4.28
December 2013	4.20
January 2014	4.02
February 2014	3.95
March 2014	3.97
April 2014	4.05
May 2014	4.13
June 2014	4.15
July 2014	4.16
August 2014	4.16
September 2014	4.13
October 2014	4.18
November 2014	4.21
December 2014	4.30
January 2015	4.40
February 2015	4.49
March 2015	4.56
April 2015	4.51
May 2015	4.42
June 2015	4.31
July 2015	4.20
August 2015	4.18
September 2015	4.22
October 2015	4.27
November 2015	4.21
December 2015	4.16
January 2016	4.19
February 2016	4.35
March 2016	4.47
April 2016	4.48
May 2016	4.50
June 2016	4.59
July 2016	4.66
August 2016	4.74
September 2016	4.69
October 2016	4.63
November 2016	4.44
December 2016	4.23
January 2017	4.02
February 2017	3.92
March 2017	3.92
April 2017	3.98
May 2017	3.98
June 2017	3.98
July 2017	3.91
August 2017	3.95
September 2017	3.94
October 2017	3.97
November 2017	3.92
December 2017	3.89
January 2018	3.79
February 2018	3.61
March 2018	3.45
April 2018	3.36
May 2018	3.30
June 2018	3.29
July 2018	3.30
August 2018	3.34
September 2018	3.31
October 2018	3.23
November 2018	3.13
December 2018	3.15
January 2019	3.25
February 2019	3.39

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.

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Figure 1-14. Change in Bank Standards for CRE Loans

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 2019. 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 declining at just above -20 percent in the third quarter of 2018. It then rises again in 2018 Q4 to end around 10 percent. There are two blue bars indicating recessions as defined by the National Bureau of Economic Research. They appear behind the line in 2001, and from 2008 to halfway through 2009.

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.

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Figure 1-15. Cropland Values

2015 dollars per acre

Date	Midwest index	United States
1967	2514	NA
1968	2637	NA
1969	2587	NA
1970	2474	NA
1971	2313	NA
1972	2316	NA
1973	2492	NA
1974	3009	NA
1975	3352	NA
1976	3941	NA
1977	4731	NA
1978	4941	NA
1979	5014	NA
1980	5019	NA
1981	4775	NA
1982	4351	NA
1983	3694	NA
1984	3245	NA
1985	2314	NA
1986	1837	NA
1987	1562	NA
1988	1712	NA
1989	1874	NA
1990	1882	NA
1991	1841	NA
1992	1846	NA
1993	1848	NA
1994	2241	NA
1995	2162	NA
1996	2310	NA
1997	2125	2001
1998	2246	2079
1999	2268	2125
2000	2238	2144
2001	2223	2157
2002	2257	2235
2003	2287	2281
2004	2391	2343
2005	2762	2668
2006	2979	2999
2007	3302	3086
2008	3684	3242
2009	3501	3147
2010	3687	3131
2011	4278	3350
2012	5011	3690
2013	5738	4136
2014	6192	4380
2015	5983	4407
2016	5747	4309
2017	5620	4219
2018	5511	4130

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.

Source:Department of Agriculture.

Return to text

Figure 1-16. Cropland Price-to-Rent Ratio

Ratio

Date	Midwest index	United States
1967	14.13	NA
1968	14.19	NA
1969	14.18	NA
1970	13.99	NA
1971	13.50	NA
1972	13.40	NA
1973	14.17	NA
1974	14.52	NA
1975	14.60	NA
1976	16.15	NA
1977	18.02	NA
1978	19.55	NA
1979	20.57	NA
1980	21.55	NA
1981	21.25	NA
1982	19.56	NA
1983	17.42	NA
1984	15.94	NA
1985	12.99	NA
1986	11.89	NA
1987	11.71	NA
1988	12.52	NA
1989	13.29	NA
1990	13.41	NA
1991	13.50	NA
1992	13.73	NA
1993	13.88	NA
1994	17.96	NA
1995	17.34	NA
1996	18.35	NA
1997	16.65	NA
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.

Source: Department of Agriculture.

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Figure 1-17. Growth of Nominal Prices of Existing Homes

Twelve-month percent change

Date	Core Logic	Zillow
January 2011	-3.60	-4.72
February 2011	-3.54	-5.45
March 2011	-4.35	-5.71
April 2011	-4.55	-5.62
May 2011	-4.43	-5.70
June 2011	-3.89	-6.07
July 2011	-3.04	-6.22
August 2011	-2.30	-6.06
September 2011	-1.60	-5.84
October 2011	-1.34	-5.50
November 2011	-1.32	-5.20
December 2011	-0.94	-4.73
January 2012	-0.32	-4.19
February 2012	0.64	-3.63
March 2012	1.97	-3.06
April 2012	2.77	-2.42
May 2012	3.45	-1.77
June 2012	3.83	-1.12
July 2012	4.18	-0.33
August 2012	4.74	0.33
September 2012	5.38	1.00
October 2012	6.07	1.54
November 2012	7.04	2.01
December 2012	7.85	2.55
January 2013	8.68	3.29
February 2013	9.32	3.77
March 2013	9.92	4.30
April 2013	9.96	4.76
May 2013	9.78	5.08
June 2013	9.39	5.47
July 2013	9.44	5.92
August 2013	9.61	6.30
September 2013	9.94	6.54
October 2013	10.16	6.78
November 2013	10.11	6.82
December 2013	9.93	6.86
January 2014	9.91	6.96
February 2014	9.89	6.93
March 2014	9.05	6.77
April 2014	8.06	6.59
May 2014	7.09	6.49
June 2014	6.36	6.20
July 2014	5.75	5.90
August 2014	5.34	5.67
September 2014	5.11	5.46
October 2014	5.16	5.18
November 2014	5.11	5.10
December 2014	5.01	4.95
January 2015	5.03	4.81
February 2015	5.13	4.85
March 2015	5.26	4.83
April 2015	5.30	4.80
May 2015	5.29	4.84
June 2015	5.25	5.00
July 2015	5.13	5.10
August 2015	5.12	5.01
September 2015	5.31	5.06
October 2015	5.39	5.22
November 2015	5.48	5.38
December 2015	5.68	5.48
January 2016	5.76	5.51
February 2016	5.69	5.55
March 2016	5.64	5.70
April 2016	5.61	5.85
May 2016	5.41	5.93
June 2016	5.17	6.07
July 2016	5.18	6.15
August 2016	5.20	6.40
September 2016	5.28	6.66
October 2016	5.42	6.85
November 2016	5.59	6.93
December 2016	5.55	7.13
January 2017	5.56	7.26
February 2017	5.76	7.39
March 2017	5.82	7.41
April 2017	5.75	7.58
May 2017	5.79	7.75
June 2017	5.93	7.65
July 2017	5.97	7.55
August 2017	6.03	7.55
September 2017	6.06	7.50
October 2017	6.12	7.35
November 2017	6.19	7.26
December 2017	6.16	7.22
January 2018	6.11	7.38
February 2018	6.38	7.65
March 2018	6.63	7.81
April 2018	6.61	7.65
May 2018	6.45	7.54
June 2018	6.15	7.65
July 2018	5.85	7.66
August 2018	5.54	7.51
September 2018	5.27	7.52
October 2018	5.10	7.67
November 2018	4.71	7.93
December 2018	4.32	7.98
January 2019	4.09	7.74
February 2019	4.04	7.20

Source: CoreLogic; Zillow.

Return to text

Figure 1-18. Housing Price-to-Rent Ratio

Trend at Feb. 2019 =100

Date	Long-run trend	Price-to-rent ratio
January 1983	79.45	75.73
February 1983	79.49	75.54
March 1983	79.54	75.59
April 1983	79.58	75.53
May 1983	79.62	75.78
June 1983	79.66	75.83
July 1983	79.72	75.95
August 1983	79.78	76.05
September 1983	79.83	75.97
October 1983	79.88	76.14
November 1983	79.92	76.24
December 1983	79.97	76.30
January 1984	80.02	76.31
February 1984	80.06	76.36
March 1984	80.11	76.15
April 1984	80.17	75.86
May 1984	80.22	75.96
June 1984	80.28	75.87
July 1984	80.34	75.84
August 1984	80.40	75.76
September 1984	80.46	75.75
October 1984	80.50	75.64
November 1984	80.54	75.55
December 1984	80.59	75.19
January 1985	80.64	75.12
February 1985	80.68	74.93
March 1985	80.72	74.99
April 1985	80.77	75.11
May 1985	80.81	74.86
June 1985	80.85	74.90
July 1985	80.89	75.00
August 1985	80.93	74.90
September 1985	80.97	75.05
October 1985	81.01	74.96
November 1985	81.05	74.91
December 1985	81.10	75.22
January 1986	81.14	75.50
February 1986	81.18	76.01
March 1986	81.22	75.90
April 1986	81.26	75.47
May 1986	81.31	75.94
June 1986	81.35	76.32
July 1986	81.40	76.52
August 1986	81.45	77.25
September 1986	81.50	77.55
October 1986	81.54	77.79
November 1986	81.58	78.14
December 1986	81.62	78.64
January 1987	81.67	79.05
February 1987	81.71	79.57
March 1987	81.75	80.13
April 1987	81.81	80.73
May 1987	81.87	81.23
June 1987	81.93	82.00
July 1987	81.98	82.31
August 1987	82.03	82.49
September 1987	82.08	82.77
October 1987	82.13	83.15
November 1987	82.19	83.83
December 1987	82.24	83.77
January 1988	82.28	84.03
February 1988	82.32	84.29
March 1988	82.36	84.57
April 1988	82.41	85.01
May 1988	82.47	85.53
June 1988	82.52	86.16
July 1988	82.57	86.86
August 1988	82.63	87.45
September 1988	82.68	87.93
October 1988	82.73	88.60
November 1988	82.78	89.12
December 1988	82.83	89.58
January 1989	82.88	89.96
February 1989	82.93	90.30
March 1989	82.99	90.73
April 1989	83.03	91.07
May 1989	83.08	91.24
June 1989	83.12	91.16
July 1989	83.17	91.13
August 1989	83.21	91.30
September 1989	83.25	91.67
October 1989	83.30	91.63
November 1989	83.35	91.72
December 1989	83.40	91.82
January 1990	83.46	91.91
February 1990	83.51	92.05
March 1990	83.56	91.93
April 1990	83.61	91.73
May 1990	83.66	91.49
June 1990	83.70	91.05
July 1990	83.75	90.55
August 1990	83.79	90.00
September 1990	83.83	89.56
October 1990	83.88	89.06
November 1990	83.93	88.74
December 1990	83.98	88.16
January 1991	84.02	87.76
February 1991	84.06	87.28
March 1991	84.11	86.78
April 1991	84.16	86.49
May 1991	84.20	86.31
June 1991	84.25	86.34
July 1991	84.30	86.06
August 1991	84.35	86.04
September 1991	84.40	85.40
October 1991	84.44	85.28
November 1991	84.49	84.91
December 1991	84.53	84.65
January 1992	84.58	84.48
February 1992	84.63	84.38
March 1992	84.69	83.85
April 1992	84.73	84.06
May 1992	84.78	83.83
June 1992	84.83	83.52
July 1992	84.87	83.23
August 1992	84.91	83.20
September 1992	84.95	83.18
October 1992	85.01	82.74
November 1992	85.06	82.47
December 1992	85.11	82.49
January 1993	85.15	82.34
February 1993	85.19	82.29
March 1993	85.23	82.33
April 1993	85.27	82.10
May 1993	85.31	82.00
June 1993	85.35	81.92
July 1993	85.40	82.12
August 1993	85.44	82.10
September 1993	85.49	82.31
October 1993	85.54	82.36
November 1993	85.59	82.56
December 1993	85.64	82.52
January 1994	85.69	82.48
February 1994	85.74	82.23
March 1994	85.79	82.02
April 1994	85.85	82.15
May 1994	85.91	82.24
June 1994	85.97	82.39
July 1994	86.02	82.29
August 1994	86.07	82.09
September 1994	86.12	81.95
October 1994	86.18	81.97
November 1994	86.23	81.88
December 1994	86.28	81.89
January 1995	86.33	81.79
February 1995	86.37	81.77
March 1995	86.42	81.66
April 1995	86.45	81.66
May 1995	86.49	81.65
June 1995	86.53	81.72
July 1995	86.57	81.73
August 1995	86.62	81.82
September 1995	86.67	81.91
October 1995	86.71	81.87
November 1995	86.76	81.84
December 1995	86.81	81.80
January 1996	86.85	81.80
February 1996	86.90	81.84
March 1996	86.95	81.95
April 1996	87.00	82.03
May 1996	87.06	82.01
June 1996	87.12	81.94
July 1996	87.17	81.82
August 1996	87.21	81.85
September 1996	87.26	81.81
October 1996	87.30	81.76
November 1996	87.35	81.77
December 1996	87.39	81.79
January 1997	87.44	81.82
February 1997	87.49	81.85
March 1997	87.54	81.90
April 1997	87.59	81.92
May 1997	87.64	81.94
June 1997	87.69	82.04
July 1997	87.73	82.20
August 1997	87.77	82.34
September 1997	87.81	82.50
October 1997	87.86	82.73
November 1997	87.91	82.99
December 1997	87.96	83.29
January 1998	88.01	83.66
February 1998	88.05	84.01
March 1998	88.10	84.32
April 1998	88.15	84.56
May 1998	88.20	84.77
June 1998	88.25	84.94
July 1998	88.29	85.18
August 1998	88.34	85.43
September 1998	88.38	85.73
October 1998	88.43	86.11
November 1998	88.48	86.43
December 1998	88.52	86.79
January 1999	88.58	87.08
February 1999	88.62	87.40
March 1999	88.68	87.68
April 1999	88.73	87.99
May 1999	88.78	88.42
June 1999	88.83	88.88
July 1999	88.88	89.32
August 1999	88.93	89.77
September 1999	88.99	90.18
October 1999	89.04	90.66
November 1999	89.08	90.85
December 1999	89.13	91.33
January 2000	89.19	91.67
February 2000	89.24	92.27
March 2000	89.29	92.84
April 2000	89.34	93.48
May 2000	89.39	94.04
June 2000	89.43	94.55
July 2000	89.48	94.91
August 2000	89.52	95.26
September 2000	89.56	95.62
October 2000	89.61	95.95
November 2000	89.65	96.38
December 2000	89.69	96.75
January 2001	89.74	97.23
February 2001	89.78	97.63
March 2001	89.82	97.95
April 2001	89.87	98.20
May 2001	89.92	98.32
June 2001	89.97	98.57
July 2001	90.01	98.81
August 2001	90.06	99.03
September 2001	90.11	99.27
October 2001	90.15	99.46
November 2001	90.19	99.65
December 2001	90.24	99.73
January 2002	90.29	99.98
February 2002	90.34	100.22
March 2002	90.39	100.63
April 2002	90.44	101.20
May 2002	90.48	101.85
June 2002	90.53	102.45
July 2002	90.57	103.08
August 2002	90.61	103.71
September 2002	90.65	104.25
October 2002	90.70	104.69
November 2002	90.74	105.11
December 2002	90.79	105.58
January 2003	90.84	105.88
February 2003	90.88	106.34
March 2003	90.93	106.76
April 2003	90.97	107.16
May 2003	91.02	107.61
June 2003	91.06	108.26
July 2003	91.12	108.89
August 2003	91.17	109.62
September 2003	91.22	110.43
October 2003	91.27	111.36
November 2003	91.32	112.22
December 2003	91.36	113.13
January 2004	91.41	114.06
February 2004	91.45	114.94
March 2004	91.50	115.90
April 2004	91.55	116.85
May 2004	91.61	117.85
June 2004	91.66	118.83
July 2004	91.71	119.79
August 2004	91.76	120.63
September 2004	91.80	121.57
October 2004	91.85	122.57
November 2004	91.90	123.66
December 2004	91.95	124.59
January 2005	92.00	125.62
February 2005	92.04	126.74
March 2005	92.10	127.88
April 2005	92.14	128.97
May 2005	92.19	130.02
June 2005	92.24	131.00
July 2005	92.28	131.84
August 2005	92.33	132.76
September 2005	92.38	133.61
October 2005	92.43	134.34
November 2005	92.48	135.05
December 2005	92.53	135.71
January 2006	92.57	136.28
February 2006	92.62	136.50
March 2006	92.66	136.47
April 2006	92.71	136.20
May 2006	92.76	135.72
June 2006	92.81	135.08
July 2006	92.86	134.44
August 2006	92.90	133.74
September 2006	92.95	133.17
October 2006	92.99	132.70
November 2006	93.04	132.30
December 2006	93.08	131.77
January 2007	93.14	131.27
February 2007	93.18	130.49
March 2007	93.24	129.57
April 2007	93.29	128.51
May 2007	93.34	127.21
June 2007	93.39	125.84
July 2007	93.44	124.46
August 2007	93.49	123.22
September 2007	93.54	121.91
October 2007	93.58	120.48
November 2007	93.62	119.05
December 2007	93.67	117.60
January 2008	93.71	116.10
February 2008	93.75	114.49
March 2008	93.80	112.69
April 2008	93.85	110.74
May 2008	93.90	108.91
June 2008	93.95	106.96
July 2008	94.00	105.13
August 2008	94.05	103.26
September 2008	94.10	101.32
October 2008	94.14	99.25
November 2008	94.18	97.18
December 2008	94.23	95.34
January 2009	94.27	93.73
February 2009	94.30	92.54
March 2009	94.34	91.77
April 2009	94.39	91.35
May 2009	94.44	91.23
June 2009	94.48	91.34
July 2009	94.53	91.54
August 2009	94.58	91.66
September 2009	94.63	91.83
October 2009	94.68	92.09
November 2009	94.72	92.28
December 2009	94.77	92.39
January 2010	94.82	92.38
February 2010	94.87	92.38
March 2010	94.92	92.32
April 2010	94.96	92.24
May 2010	95.01	92.01
June 2010	95.05	91.48
July 2010	95.10	90.84
August 2010	95.14	90.20
September 2010	95.18	89.44
October 2010	95.23	88.99
November 2010	95.28	88.47
December 2010	95.33	88.07
January 2011	95.38	87.64
February 2011	95.43	87.16
March 2011	95.48	86.67
April 2011	95.52	86.28
May 2011	95.57	86.01
June 2011	95.61	85.89
July 2011	95.65	85.88
August 2011	95.70	85.73
September 2011	95.74	85.60
October 2011	95.79	85.33
November 2011	95.83	85.10
December 2011	95.88	84.88
January 2012	95.93	84.86
February 2012	95.97	84.99
March 2012	96.02	85.36
April 2012	96.06	85.86
May 2012	96.11	86.51
June 2012	96.16	87.18
July 2012	96.20	87.67
August 2012	96.25	88.12
September 2012	96.29	88.48
October 2012	96.34	88.76
November 2012	96.38	89.28
December 2012	96.43	89.82
January 2013	96.48	90.37
February 2013	96.53	90.95
March 2013	96.58	91.59
April 2013	96.63	92.33
May 2013	96.68	92.93
June 2013	96.73	93.55
July 2013	96.78	94.19
August 2013	96.84	94.64
September 2013	96.89	95.23
October 2013	96.94	95.77
November 2013	96.98	96.24
December 2013	97.03	96.54
January 2014	97.08	96.82
February 2014	97.12	97.05
March 2014	97.17	97.03
April 2014	97.22	96.90
May 2014	97.27	96.82
June 2014	97.31	96.78
July 2014	97.36	96.84
August 2014	97.41	97.05
September 2014	97.46	97.27
October 2014	97.50	97.58
November 2014	97.55	97.76
December 2014	97.59	98.03
January 2015	97.64	98.21
February 2015	97.68	98.29
March 2015	97.73	98.36
April 2015	97.77	98.46
May 2015	97.83	98.58
June 2015	97.87	98.69
July 2015	97.92	98.81
August 2015	97.97	98.99
September 2015	98.02	99.07
October 2015	98.07	99.27
November 2015	98.12	99.50
December 2015	98.16	99.71
January 2016	98.21	99.84
February 2016	98.25	99.93
March 2016	98.30	100.02
April 2016	98.34	100.06
May 2016	98.39	100.10
June 2016	98.44	100.16
July 2016	98.48	100.30
August 2016	98.53	100.48
September 2016	98.58	100.68
October 2016	98.63	100.85
November 2016	98.68	101.08
December 2016	98.74	101.28
January 2017	98.79	101.48
February 2017	98.83	101.59
March 2017	98.89	101.71
April 2017	98.93	101.82
May 2017	98.98	101.91
June 2017	99.02	102.05
July 2017	99.07	102.31
August 2017	99.12	102.51
September 2017	99.17	102.86
October 2017	99.22	103.17
November 2017	99.26	103.47
December 2017	99.31	103.69
January 2018	99.37	103.92
February 2018	99.42	104.23
March 2018	99.47	104.45
April 2018	99.52	104.48
May 2018	99.57	104.54
June 2018	99.62	104.53
July 2018	99.67	104.48
August 2018	99.72	104.44
September 2018	99.77	104.49
October 2018	99.82	104.56
November 2018	99.87	104.50
December 2018	99.92	104.57
January 2019	99.96	104.61
February 2019	100.00	104.73

Note:Chart shows the log of the price-to-rent ratio. Long-run trend is estimated using data from 1978 to 2001 and includes the effect of carrying costs on the expected price-rent ratio. The last value of the trend is normalized to equal 100.

Source:For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.

Return to text

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

Jan. 2010 = 100

Date	90th percentile price	10th percentile price	Median	Phoenix	Miami	Los Angeles
January 1990	105.22	75.20	95.51		94.51	105.22
February 1990	105.89	75.45	95.31		94.30	105.89
March 1990	105.05	75.70	96.74		97.30	105.05
April 1990	105.51	75.71	95.65		95.41	105.51
May 1990	105.15	75.86	95.54		95.42	105.15
June 1990	104.53	76.16	94.81		94.32	104.53
July 1990	103.90	76.11	94.07		92.98	103.90
August 1990	103.73	76.23	93.86		92.82	103.73
September 1990	102.90	76.10	93.29		91.95	102.51
October 1990	102.18	75.95	93.15		92.22	101.89
November 1990	101.65	75.82	93.19		93.10	100.82
December 1990	100.44	75.64	92.83		93.24	100.44
January 1991	100.05	75.27	92.67		93.54	99.44
February 1991	100.24	74.79	91.81		93.09	98.32
March 1991	99.95	74.76	90.79		91.65	97.86
April 1991	100.46	75.12	89.89		91.37	96.77
May 1991	99.90	75.44	89.65		91.20	97.67
June 1991	99.94	75.66	89.73		91.74	97.63
July 1991	100.16	75.05	89.34		92.56	97.95
August 1991	100.98	75.30	89.52		92.53	97.91
September 1991	100.74	75.32	89.30		92.33	97.39
October 1991	101.04	75.47	89.25		91.53	96.59
November 1991	100.99	75.24	88.33		90.09	96.10
December 1991	100.53	75.18	88.41		90.37	95.70
January 1992	100.45	75.07	88.15		90.59	95.44
February 1992	100.16	75.36	88.30		91.00	95.02
March 1992	100.68	75.10	87.93		90.21	94.35
April 1992	100.98	75.27	88.37		90.95	93.55
May 1992	101.03	74.86	88.36		91.37	92.94
June 1992	100.87	74.51	88.19		91.04	92.52
July 1992	100.97	74.26	87.99		90.47	92.12
August 1992	100.85	73.88	87.87		90.89	91.58
September 1992	101.05	73.01	88.18		92.66	91.29
October 1992	101.67	72.49	87.99		91.51	90.31
November 1992	101.61	72.27	87.52		90.64	89.32
December 1992	102.60	71.92	87.10		89.85	88.27
January 1993	102.46	71.63	86.84		89.17	87.48
February 1993	102.65	71.54	86.85		89.37	87.35
March 1993	103.68	71.78	86.83		91.56	87.35
April 1993	103.02	71.79	86.50		92.04	86.52
May 1993	102.84	71.81	86.03		92.63	85.54
June 1993	103.81	72.07	85.62		93.17	84.88
July 1993	104.10	71.95	85.45		92.29	84.18
August 1993	103.30	72.07	85.13		91.19	83.34
September 1993	103.19	71.56	85.18		91.71	83.31
October 1993	102.69	72.68	85.22		92.20	83.27
November 1993	102.94	72.96	85.26		94.10	82.89
December 1993	103.16	72.91	85.46		93.68	82.43
January 1994	104.16	73.45	85.61		93.29	81.94
February 1994	103.82	73.50	85.68		92.82	81.36
March 1994	103.42	73.54	85.72		92.05	80.59
April 1994	103.29	73.66	85.84		92.00	80.28
May 1994	103.32	73.88	86.12		92.00	80.31
June 1994	103.27	74.74	86.32		92.30	80.13
July 1994	104.00	74.80	86.36		92.61	79.58
August 1994	104.34	74.25	86.35		93.23	79.24
September 1994	104.42	73.41	86.49		92.78	78.71
October 1994	105.05	74.18	86.71		93.00	78.24
November 1994	103.89	73.67	86.81		92.85	78.85
December 1994	103.06	74.16	86.92		93.13	79.11
January 1995	103.18	73.79	87.15		93.03	79.20
February 1995	102.76	73.53	87.41		92.65	78.72
March 1995	102.50	73.53	87.45		92.92	78.46
April 1995	102.40	73.24	87.48		93.04	78.26
May 1995	102.37	73.68	87.40		92.83	78.04
June 1995	102.50	73.75	87.37		93.01	77.73
July 1995	102.28	73.85	87.28		93.34	77.86
August 1995	102.39	74.03	87.15		93.12	77.59
September 1995	102.56	73.92	86.94		93.31	77.73
October 1995	102.79	73.84	86.73		92.84	77.64
November 1995	102.83	73.94	86.64		93.18	77.59
December 1995	102.89	74.04	86.56		93.21	77.21
January 1996	103.13	73.53	86.62		93.41	77.27
February 1996	103.02	73.69	86.67		93.42	77.06
March 1996	102.95	73.95	86.67		93.41	76.87
April 1996	102.96	74.04	86.73		93.26	76.74
May 1996	102.78	74.11	86.72		93.28	76.60
June 1996	102.61	73.75	86.65		93.36	76.53
July 1996	102.66	74.31	86.60		93.51	76.36
August 1996	102.12	73.58	86.42		93.23	76.05
September 1996	101.83	73.18	86.37		93.08	76.15
October 1996	101.53	72.99	86.46		92.91	76.07
November 1996	101.49	72.68	86.55		92.96	76.12
December 1996	101.53	72.59	86.75		92.90	76.32
January 1997	101.13	72.62	86.42		93.08	76.35
February 1997	101.10	72.41	86.51		93.49	76.28
March 1997	101.26	72.49	86.55		93.81	76.74
April 1997	101.22	72.37	86.67		93.61	76.79
May 1997	101.13	72.23	86.72		93.49	76.95
June 1997	101.01	72.33	86.85		93.22	77.22
July 1997	100.21	71.86	87.90		93.01	77.58
August 1997	100.52	73.05	88.01		93.23	78.00
September 1997	100.40	72.97	88.19		93.48	78.16
October 1997	100.47	73.43	88.38		93.84	78.47
November 1997	100.44	73.95	88.39		93.98	78.90
December 1997	100.65	74.60	88.49		94.26	79.51
January 1998	100.70	74.63	88.86		94.47	80.12
February 1998	100.83	75.39	88.76		94.24	80.68
March 1998	101.04	75.65	88.73		94.06	81.24
April 1998	100.96	75.97	88.82		94.21	81.59
May 1998	100.95	76.23	88.92		94.46	82.26
June 1998	100.86	76.82	89.10		94.82	82.69
July 1998	101.08	77.03	89.17		94.89	83.25
August 1998	101.48	77.71	89.43		95.09	83.92
September 1998	101.65	77.82	89.63		95.47	84.28
October 1998	101.82	78.01	89.98		95.35	84.70
November 1998	102.04	78.26	90.37		95.75	85.07
December 1998	101.91	78.43	90.82		95.41	85.12
January 1999	102.28	78.45	91.45		96.20	85.57
February 1999	102.82	78.80	91.48		96.00	85.88
March 1999	103.33	79.24	91.74		96.18	86.06
April 1999	103.42	80.04	92.03		96.73	86.59
May 1999	103.72	80.96	92.33		96.97	87.08
June 1999	104.25	81.90	92.67		97.15	87.23
July 1999	104.37	82.75	92.97		97.97	87.30
August 1999	104.93	84.24	93.73		98.33	87.42
September 1999	105.37	85.11	94.38		98.88	87.63
October 1999	105.82	85.41	94.90		99.28	88.10
November 1999	106.20	85.50	95.39		99.50	88.35
December 1999	106.92	85.81	95.93		99.73	88.84
January 2000	108.39	86.33	96.40		100.23	89.19
February 2000	108.10	86.78	96.60		101.04	89.63
March 2000	108.30	87.62	97.05		101.94	90.28
April 2000	108.74	88.72	97.52		102.35	90.72
May 2000	109.17	88.61	97.92		102.97	91.24
June 2000	109.63	88.95	98.49		103.00	91.72
July 2000	109.36	88.87	98.88		103.49	91.88
August 2000	109.77	88.85	99.35		103.88	92.30
September 2000	110.20	88.92	99.95		104.18	92.86
October 2000	110.62	88.77	100.51		104.99	93.07
November 2000	111.28	89.18	101.06		105.60	93.68
December 2000	111.57	89.32	101.73		106.84	94.06
January 2001	111.56	89.58	102.43		107.23	94.49
February 2001	112.17	89.73	103.03		107.76	95.08
March 2001	112.08	89.79	103.55		108.33	95.61
April 2001	112.41	90.34	103.90		109.25	95.84
May 2001	112.43	90.28	104.43		110.11	95.86
June 2001	112.67	90.12	104.31		111.15	95.91
July 2001	112.72	89.45	104.07		111.80	95.82
August 2001	113.31	89.32	104.40		112.69	96.36
September 2001	113.44	88.92	104.06		113.44	96.56
October 2001	114.39	88.44	103.93		114.39	97.18
November 2001	115.01	88.54	103.40		115.01	97.88
December 2001	115.49	87.78	103.31		115.49	97.92
January 2002	116.24	88.11	102.61	107.22	116.24	98.27
February 2002	117.16	87.81	103.13	107.82	117.16	98.86
March 2002	118.22	88.37	103.83	108.45	118.22	99.60
April 2002	119.04	89.64	104.51	108.92	119.04	100.47
May 2002	119.66	91.14	106.31	109.22	119.66	101.66
June 2002	120.66	91.93	106.46	109.33	120.66	102.80
July 2002	121.50	92.90	106.65	109.57	121.50	104.44
August 2002	122.81	92.44	106.82	109.85	122.81	105.54
September 2002	123.60	92.21	107.27	110.05	123.60	106.60
October 2002	124.08	92.88	107.52	110.45	124.08	107.47
November 2002	125.62	93.21	107.87	110.88	125.62	108.56
December 2002	127.03	93.55	108.30	111.28	127.03	109.54
January 2003	129.01	94.61	109.20	112.22	129.01	110.37
February 2003	129.16	94.38	109.82	112.51	129.16	111.24
March 2003	130.57	94.37	110.21	112.97	130.57	112.17
April 2003	131.79	94.08	110.21	113.53	131.79	113.15
May 2003	133.08	94.29	110.42	114.04	133.08	114.14
June 2003	134.10	94.83	111.32	114.45	134.10	115.37
July 2003	135.32	96.25	111.95	114.96	135.32	116.44
August 2003	136.31	97.02	112.23	115.52	136.31	118.33
September 2003	137.79	98.21	112.73	116.30	137.79	120.15
October 2003	138.67	99.14	113.90	117.36	138.67	121.92
November 2003	139.81	99.75	115.01	118.43	139.81	123.76
December 2003	141.15	100.45	115.22	119.45	141.15	125.75
January 2004	142.09	101.33	115.94	120.67	142.09	127.44
February 2004	143.73	101.95	116.56	121.64	143.73	129.66
March 2004	145.62	102.37	117.35	122.88	145.62	132.46
April 2004	147.70	103.05	117.90	124.29	145.96	135.15
May 2004	150.49	103.97	118.60	125.89	147.53	137.40
June 2004	154.07	105.10	120.34	127.68	149.63	139.44
July 2004	157.13	106.68	121.27	129.49	150.90	140.83
August 2004	159.08	106.66	120.82	131.68	153.46	142.06
September 2004	160.26	107.49	121.18	134.32	154.78	142.98
October 2004	161.56	108.45	122.59	137.36	157.12	143.96
November 2004	162.30	109.81	123.92	140.76	158.81	145.30
December 2004	164.19	111.29	124.63	144.75	160.90	146.48
January 2005	165.13	112.04	125.06	148.58	163.67	147.91
February 2005	166.58	111.71	125.77	152.50	166.58	150.05
March 2005	168.95	111.91	127.33	157.92	168.95	152.16
April 2005	172.01	112.20	128.69	162.78	172.01	153.73
May 2005	175.05	112.52	129.65	167.62	175.05	155.64
June 2005	178.38	112.49	130.16	173.12	178.38	157.50
July 2005	180.10	113.02	130.66	178.62	180.10	158.95
August 2005	183.80	113.58	131.54	183.43	183.80	160.66
September 2005	186.55	113.59	132.24	187.53	186.55	162.67
October 2005	189.51	113.49	133.22	190.61	189.51	165.13
November 2005	192.47	114.56	133.73	193.49	192.47	166.37
December 2005	194.69	114.46	134.38	195.86	195.71	168.45
January 2006	193.89	114.80	135.63	197.46	197.75	169.92
February 2006	193.09	115.43	135.82	198.70	200.55	171.32
March 2006	192.10	115.93	136.54	200.11	203.53	171.30
April 2006	193.34	116.30	136.84	200.08	204.30	170.61
May 2006	190.89	116.13	136.51	199.62	205.75	169.95
June 2006	188.85	115.81	136.66	198.00	205.65	169.15
July 2006	186.34	115.15	134.61	196.17	202.00	168.74
August 2006	183.51	114.96	135.64	194.24	204.54	168.23
September 2006	181.36	114.85	135.58	192.02	205.13	167.56
October 2006	178.80	114.70	136.03	189.98	204.78	166.45
November 2006	178.12	114.62	136.47	187.92	203.18	165.47
December 2006	176.57	114.64	136.63	185.85	201.00	163.50
January 2007	176.44	114.50	135.91	184.06	199.33	161.35
February 2007	174.82	113.80	137.31	181.38	200.14	160.37
March 2007	171.45	113.19	136.97	178.98	197.73	156.95
April 2007	167.76	112.83	136.20	176.62	196.60	155.03
May 2007	162.42	112.33	134.91	173.66	192.52	152.55
June 2007	160.74	111.84	133.85	170.48	188.49	150.16
July 2007	158.05	111.61	132.45	167.73	183.31	147.67
August 2007	154.10	111.38	131.09	164.89	181.88	145.72
September 2007	150.40	110.91	129.49	161.45	177.72	143.43
October 2007	147.89	110.09	127.64	157.58	173.61	140.55
November 2007	144.51	109.33	125.94	153.54	169.56	136.91
December 2007	142.44	108.00	124.33	149.62	165.11	133.67
January 2008	137.95	107.42	122.11	146.10	160.09	131.26
February 2008	135.14	106.52	120.56	142.78	154.76	126.83
March 2008	133.69	106.12	117.91	138.42	148.27	123.80
April 2008	132.11	104.98	116.09	134.09	141.34	121.10
May 2008	130.50	104.85	115.28	130.62	135.24	117.84
June 2008	127.49	104.29	113.53	127.22	131.80	115.05
July 2008	125.31	103.41	111.54	123.61	128.92	111.54
August 2008	122.03	102.74	109.48	120.33	124.65	109.05
September 2008	119.97	101.50	108.18	116.89	120.88	106.32
October 2008	116.22	100.38	106.08	113.87	116.40	103.78
November 2008	113.44	99.73	104.40	111.05	113.44	101.93
December 2008	110.42	98.40	102.46	107.38	109.81	99.68
January 2009	108.14	97.44	102.42	104.32	108.10	98.72
February 2009	106.78	97.07	101.91	101.86	104.25	97.36
March 2009	105.22	95.93	100.75	99.33	102.02	96.17
April 2009	104.11	94.71	100.50	98.10	100.47	95.15
May 2009	103.17	94.65	99.94	97.73	98.81	94.40
June 2009	102.41	95.56	99.38	97.50	98.30	94.85
July 2009	101.64	96.30	99.65	97.43	98.09	96.30
August 2009	101.39	96.08	98.70	97.53	97.92	96.13
September 2009	101.04	96.56	98.79	97.29	98.79	96.68
October 2009	100.62	97.28	99.39	98.23	99.37	97.28
November 2009	100.72	98.00	100.18	99.51	100.18	98.00
December 2009	100.78	98.92	99.94	100.04	99.94	99.10
January 2010	100.00	100.00	100.00	100.00	100.00	100.00
February 2010	99.98	98.36	99.27	99.98	98.38	99.11
March 2010	100.34	98.17	99.29	100.45	98.50	99.29
April 2010	100.20	98.15	99.28	100.57	98.15	99.06
May 2010	100.53	97.63	99.27	100.31	97.63	99.54
June 2010	100.62	97.35	98.97	99.82	97.73	98.97
July 2010	100.85	95.99	98.71	99.36	95.99	99.00
August 2010	100.13	94.26	97.88	98.37	94.26	97.88
September 2010	99.95	93.55	97.16	97.24	91.95	97.60
October 2010	99.68	92.52	96.41	97.07	91.43	97.13
November 2010	98.87	91.60	96.34	96.66	90.35	96.88
December 2010	98.73	90.84	96.20	95.95	90.84	96.60
January 2011	98.41	90.69	95.35	95.93	90.69	96.38
February 2011	98.30	90.49	94.95	94.81	90.49	95.86
March 2011	98.12	89.93	94.10	93.95	90.36	95.44
April 2011	98.20	89.97	94.25	92.92	91.31	95.44
May 2011	98.18	89.61	93.63	91.85	92.31	95.10
June 2011	98.15	89.57	93.85	91.10	93.11	95.05
July 2011	98.14	89.36	94.04	90.29	94.63	95.22
August 2011	97.83	89.54	94.10	90.35	94.91	94.23
September 2011	97.60	89.77	93.72	90.74	95.61	93.81
October 2011	97.32	88.20	93.54	91.36	96.05	93.54
November 2011	97.43	87.88	93.39	92.13	96.42	93.39
December 2011	97.58	87.07	93.19	93.20	97.58	93.19
January 2012	97.56	86.44	92.93	94.12	98.57	92.93
February 2012	97.51	86.43	93.30	95.38	98.91	92.73
March 2012	97.70	86.66	93.43	97.06	100.04	92.74
April 2012	98.23	86.49	94.02	99.07	100.27	93.77
May 2012	98.62	86.54	94.57	100.87	100.95	94.57
June 2012	99.02	86.45	95.06	102.58	102.22	95.16
July 2012	98.81	86.98	95.62	104.20	103.29	95.62
August 2012	99.51	86.42	96.17	105.45	105.02	96.61
September 2012	99.70	86.87	96.52	106.46	104.80	97.38
October 2012	101.10	86.66	97.01	107.51	105.08	98.30
November 2012	101.55	87.31	97.59	108.33	106.66	99.32
December 2012	102.89	87.40	98.82	108.84	107.22	100.75
January 2013	103.53	87.18	99.00	110.03	108.72	101.97
February 2013	104.64	87.05	99.65	111.02	110.64	103.48
March 2013	106.54	87.70	100.46	111.85	112.23	104.99
April 2013	108.04	88.34	100.56	112.63	114.02	106.56
May 2013	109.29	89.15	101.15	113.48	114.79	107.54
June 2013	109.85	89.58	101.53	114.21	115.14	108.87
July 2013	111.02	90.26	102.27	115.14	116.02	110.50
August 2013	111.58	90.49	103.06	116.08	118.77	111.58
September 2013	112.57	90.26	103.66	116.64	117.84	112.30
October 2013	113.23	90.23	103.90	117.12	118.59	113.23
November 2013	114.04	90.11	104.01	117.44	118.97	113.92
December 2013	115.51	90.20	104.18	117.68	119.47	114.42
January 2014	115.83	90.95	104.35	117.88	119.24	115.26
February 2014	117.29	90.95	104.00	117.83	119.56	115.91
March 2014	116.81	90.85	103.79	117.92	120.13	116.21
April 2014	118.13	90.90	104.07	117.64	121.14	116.37
May 2014	118.12	90.75	104.12	117.57	121.38	116.66
June 2014	117.83	91.05	104.02	117.49	121.77	116.98
July 2014	118.23	90.99	104.09	117.48	121.19	117.08
August 2014	118.67	91.02	104.07	117.46	121.37	117.48
September 2014	118.66	90.86	103.66	117.50	121.68	117.91
October 2014	119.74	91.24	104.06	117.66	122.93	118.15
November 2014	120.27	91.11	104.65	117.85	121.97	118.29
December 2014	121.25	91.11	104.17	118.08	122.20	118.60
January 2015	121.55	90.19	103.75	118.45	122.46	119.20
February 2015	122.53	89.40	104.32	118.72	122.53	120.01
March 2015	122.61	89.84	105.31	118.88	121.41	119.87
April 2015	123.23	89.91	105.68	119.16	122.22	119.80
May 2015	123.69	90.36	106.29	119.31	123.69	120.05
June 2015	123.86	90.91	106.79	119.48	123.86	120.31
July 2015	124.11	91.32	106.63	119.59	124.11	120.45
August 2015	123.92	91.65	107.29	119.61	123.74	120.73
September 2015	124.83	91.42	107.06	119.70	124.83	121.22
October 2015	125.27	91.91	106.75	119.82	125.27	121.88
November 2015	125.87	91.68	106.64	119.93	125.87	122.29
December 2015	125.67	91.94	106.74	120.03	125.67	122.48
January 2016	125.53	92.38	106.52	120.03	125.53	122.37
February 2016	125.51	92.44	107.33	120.06	126.67	122.88
March 2016	126.57	92.35	106.32	119.97	126.57	122.85
April 2016	126.40	92.46	106.61	119.99	126.40	123.34
May 2016	126.25	92.61	106.94	119.92	126.25	123.54
June 2016	125.84	92.83	107.30	119.94	125.84	123.57
July 2016	125.17	93.01	107.69	119.97	125.17	123.11
August 2016	125.96	92.83	108.13	120.02	125.96	123.62
September 2016	126.40	93.02	108.30	119.97	126.40	123.96
October 2016	126.49	93.08	109.00	119.78	126.49	124.11
November 2016	126.66	93.59	109.54	119.78	126.66	124.43
December 2016	126.80	93.82	109.81	120.02	126.80	124.83
January 2017	127.36	94.05	110.30	120.31	127.36	124.52
February 2017	127.35	94.16	111.07	120.56	127.35	124.45
March 2017	127.19	94.28	111.81	120.66	127.19	124.73
April 2017	126.52	94.92	112.15	120.83	126.52	125.00
May 2017	126.37	94.44	112.14	120.94	126.37	125.30
June 2017	125.81	94.28	112.06	121.27	125.81	125.52
July 2017	126.94	94.16	112.67	121.63	126.94	125.75
August 2017	127.57	94.47	112.97	121.90	127.57	126.06
September 2017	127.65	94.97	113.33	122.27	127.65	126.47
October 2017	128.11	95.27	113.47	122.55	128.11	127.00
November 2017	129.01	95.41	113.88	122.75	127.38	127.60
December 2017	129.00	95.32	114.48	123.26	127.69	128.22
January 2018	129.04	94.99	114.56	121.37	127.78	128.19
February 2018	129.96	96.19	115.41	123.08	128.30	129.51
March 2018	129.36	96.70	115.30	123.11	129.19	129.33
April 2018	130.31	95.85	115.36	123.18	129.67	129.18
May 2018	130.79	95.84	115.53	123.85	129.13	129.06
June 2018	130.89	95.93	115.63	123.78	128.00	128.97
July 2018	130.96	95.65	115.05	122.47	128.75	128.90
August 2018	130.08	96.21	114.74	123.79	128.63	129.08
September 2018	130.80	96.38	114.69	123.79	128.59	128.80
October 2018	130.57	95.77	115.51	124.23	128.52	128.39
November 2018	129.16	95.49	115.28	124.51	129.16	127.79
December 2018	129.09	95.24	115.35	124.71	129.09	127.35
January 2019	128.64	95.02	115.88	124.69	128.64	127.77
February 2019	127.06	95.04	114.31	124.62	127.06	126.56

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

Source:For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.

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

Ratio

Period	Private Nonfinancial-Sector Credit-to-GDP Ratio
1980:Q1	0.976
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	1.230
1998:Q3	1.234
1998:Q4	1.239
1999:Q1	1.255
1999:Q2	1.267
1999:Q3	1.282
1999:Q4	1.281
2000:Q1	1.303
2000:Q2	1.301
2000:Q3	1.318
2000:Q4	1.325
2001:Q1	1.336
2001:Q2	1.347
2001:Q3	1.376
2001:Q4	1.383
2002:Q1	1.390
2002:Q2	1.393
2002:Q3	1.401
2002:Q4	1.415
2003:Q1	1.424
2003:Q2	1.440
2003:Q3	1.433
2003:Q4	1.430
2004:Q1	1.446
2004:Q2	1.452
2004:Q3	1.460
2004:Q4	1.471
2005:Q1	1.474
2005:Q2	1.493
2005:Q3	1.501
2005:Q4	1.516
2006:Q1	1.530
2006:Q2	1.553
2006:Q3	1.571
2006:Q4	1.589
2007:Q1	1.601
2007:Q2	1.624
2007:Q3	1.643
2007:Q4	1.659
2008:Q1	1.687
2008:Q2	1.679
2008:Q3	1.693
2008:Q4	1.703
2009:Q1	1.713
2009:Q2	1.710
2009:Q3	1.690
2009:Q4	1.649
2010:Q1	1.631
2010:Q2	1.600
2010:Q3	1.582
2010:Q4	1.559
2011:Q1	1.556
2011:Q2	1.536
2011:Q3	1.526
2011:Q4	1.511
2012:Q1	1.496
2012:Q2	1.487
2012:Q3	1.487
2012:Q4	1.490
2013:Q1	1.478
2013:Q2	1.480
2013:Q3	1.474
2013:Q4	1.463
2014:Q1	1.473
2014:Q2	1.461
2014:Q3	1.450
2014:Q4	1.455
2015:Q1	1.460
2015:Q2	1.460
2015:Q3	1.461
2015:Q4	1.468
2016:Q1	1.484
2016:Q2	1.480
2016:Q3	1.486
2016:Q4	1.480
2017:Q1	1.486
2017:Q2	1.490
2017:Q3	1.488
2017:Q4	1.490
2018:Q1	1.486
2018:Q2	1.486
2018:Q3	1.482
2018:Q4	1.478

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."

Return to text

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

Ratio

Period	Household	Business
1980:Q1	0.480	0.496
1980:Q2	0.483	0.502
1980:Q3	0.484	0.501
1980:Q4	0.476	0.494
1981:Q1	0.462	0.483
1981:Q2	0.466	0.495
1981:Q3	0.460	0.496
1981:Q4	0.465	0.506
1982:Q1	0.472	0.519
1982:Q2	0.470	0.524
1982:Q3	0.466	0.532
1982:Q4	0.470	0.531
1983:Q1	0.463	0.535
1983:Q2	0.462	0.530
1983:Q3	0.461	0.527
1983:Q4	0.464	0.526
1984:Q1	0.464	0.530
1984:Q2	0.466	0.538
1984:Q3	0.469	0.547
1984:Q4	0.477	0.559
1985:Q1	0.491	0.562
1985:Q2	0.499	0.569
1985:Q3	0.507	0.570
1985:Q4	0.524	0.579
1986:Q1	0.529	0.585
1986:Q2	0.536	0.596
1986:Q3	0.546	0.604
1986:Q4	0.557	0.615
1987:Q1	0.556	0.620
1987:Q2	0.563	0.620
1987:Q3	0.568	0.623
1987:Q4	0.560	0.621
1988:Q1	0.567	0.627
1988:Q2	0.568	0.628
1988:Q3	0.572	0.629
1988:Q4	0.571	0.631
1989:Q1	0.571	0.630
1989:Q2	0.574	0.632
1989:Q3	0.578	0.629
1989:Q4	0.586	0.634
1990:Q1	0.589	0.630
1990:Q2	0.591	0.626
1990:Q3	0.594	0.625
1990:Q4	0.604	0.629
1991:Q1	0.610	0.622
1991:Q2	0.610	0.613
1991:Q3	0.607	0.600
1991:Q4	0.612	0.589
1992:Q1	0.610	0.580
1992:Q2	0.606	0.569
1992:Q3	0.605	0.561
1992:Q4	0.603	0.551
1993:Q1	0.605	0.549
1993:Q2	0.607	0.548
1993:Q3	0.611	0.547
1993:Q4	0.610	0.543
1994:Q1	0.611	0.543
1994:Q2	0.611	0.540
1994:Q3	0.614	0.541
1994:Q4	0.617	0.539
1995:Q1	0.621	0.543
1995:Q2	0.627	0.549
1995:Q3	0.631	0.548
1995:Q4	0.633	0.549
1996:Q1	0.640	0.548
1996:Q2	0.639	0.546
1996:Q3	0.639	0.547
1996:Q4	0.639	0.544
1997:Q1	0.641	0.546
1997:Q2	0.639	0.546
1997:Q3	0.640	0.551
1997:Q4	0.641	0.555
1998:Q1	0.646	0.565
1998:Q2	0.653	0.577
1998:Q3	0.652	0.582
1998:Q4	0.654	0.585
1999:Q1	0.660	0.595
1999:Q2	0.668	0.600
1999:Q3	0.671	0.611
1999:Q4	0.671	0.610
2000:Q1	0.683	0.620
2000:Q2	0.679	0.622
2000:Q3	0.690	0.628
2000:Q4	0.694	0.631
2001:Q1	0.702	0.634
2001:Q2	0.710	0.636
2001:Q3	0.733	0.643
2001:Q4	0.738	0.646
2002:Q1	0.746	0.643
2002:Q2	0.753	0.640
2002:Q3	0.764	0.637
2002:Q4	0.779	0.636
2003:Q1	0.792	0.632
2003:Q2	0.814	0.626
2003:Q3	0.817	0.616
2003:Q4	0.825	0.605
2004:Q1	0.836	0.610
2004:Q2	0.847	0.605
2004:Q3	0.854	0.606
2004:Q4	0.867	0.604
2005:Q1	0.870	0.604
2005:Q2	0.885	0.608
2005:Q3	0.893	0.608
2005:Q4	0.903	0.613
2006:Q1	0.913	0.616
2006:Q2	0.928	0.625
2006:Q3	0.942	0.629
2006:Q4	0.949	0.640
2007:Q1	0.951	0.650
2007:Q2	0.961	0.663
2007:Q3	0.966	0.677
2007:Q4	0.970	0.689
2008:Q1	0.983	0.704
2008:Q2	0.968	0.711
2008:Q3	0.974	0.719
2008:Q4	0.969	0.734
2009:Q1	0.976	0.737
2009:Q2	0.977	0.733
2009:Q3	0.970	0.720
2009:Q4	0.954	0.695
2010:Q1	0.942	0.689
2010:Q2	0.926	0.674
2010:Q3	0.911	0.671
2010:Q4	0.901	0.657
2011:Q1	0.899	0.657
2011:Q2	0.884	0.652
2011:Q3	0.873	0.654
2011:Q4	0.860	0.651
2012:Q1	0.849	0.647
2012:Q2	0.840	0.647
2012:Q3	0.834	0.653
2012:Q4	0.831	0.659
2013:Q1	0.822	0.657
2013:Q2	0.819	0.661
2013:Q3	0.811	0.663
2013:Q4	0.804	0.659
2014:Q1	0.804	0.669
2014:Q2	0.796	0.665
2014:Q3	0.786	0.664
2014:Q4	0.784	0.671
2015:Q1	0.781	0.679
2015:Q2	0.776	0.684
2015:Q3	0.773	0.688
2015:Q4	0.772	0.696
2016:Q1	0.774	0.710
2016:Q2	0.771	0.709
2016:Q3	0.773	0.713
2016:Q4	0.770	0.710
2017:Q1	0.769	0.717
2017:Q2	0.769	0.721
2017:Q3	0.764	0.724
2017:Q4	0.764	0.726
2018:Q1	0.762	0.724
2018:Q2	0.754	0.733
2018:Q3	0.751	0.731
2018:Q4	0.749	0.731

Figure 2.2 header columns "Business and Household" were swapped on October 16, 2019 to reflect the numbers in the associated graph.

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."

Return to text

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

Percent change, annual rate

Period	Growth of Real Aggregate Debt of the Business Sector
1997:Q1	4.36
1997:Q2	6.58
1997:Q3	9.20
1997:Q4	6.82
1998:Q1	11.43
1998:Q2	12.93
1998:Q3	8.82
1998:Q4	10.41
1999:Q1	11.01
1999:Q2	6.51
1999:Q3	11.14
1999:Q4	6.47
2000:Q1	9.56
2000:Q2	9.13
2000:Q3	4.24
2000:Q4	5.52
2001:Q1	1.99
2001:Q2	4.78
2001:Q3	3.79
2001:Q4	3.07
2002:Q1	3.50
2002:Q2	-0.09
2002:Q3	0.66
2002:Q4	1.00
2003:Q1	0.07
2003:Q2	0.08
2003:Q3	1.81
2003:Q4	-2.08
2004:Q1	3.18
2004:Q2	0.66
2004:Q3	4.15
2004:Q4	2.41
2005:Q1	4.17
2005:Q2	4.27
2005:Q3	2.88
2005:Q4	6.04
2006:Q1	7.90
2006:Q2	6.39
2006:Q3	4.52
2006:Q4	11.85
2007:Q1	7.56
2007:Q2	10.48
2007:Q3	11.45
2007:Q4	10.23
2008:Q1	7.22
2008:Q2	5.73
2008:Q3	2.46
2008:Q4	0.07
2009:Q1	-3.74
2009:Q2	-1.10
2009:Q3	-5.30
2009:Q4	-5.40
2010:Q1	-4.13
2010:Q2	-4.70
2010:Q3	1.59
2010:Q4	-2.03
2011:Q1	-1.00
2011:Q2	0.26
2011:Q3	0.76
2011:Q4	1.95
2012:Q1	1.84
2012:Q2	1.65
2012:Q3	4.38
2012:Q4	4.97
2013:Q1	2.96
2013:Q2	3.42
2013:Q3	4.42
2013:Q4	0.94
2014:Q1	4.95
2014:Q2	2.95
2014:Q3	4.48
2014:Q4	6.47
2015:Q1	8.39
2015:Q2	6.17
2015:Q3	3.94
2015:Q4	6.06
2016:Q1	9.44
2016:Q2	1.29
2016:Q3	4.55
2016:Q4	-0.04
2017:Q1	4.61
2017:Q2	5.82
2017:Q3	4.14
2017:Q4	0.72
2018:Q1	1.38
2018:Q2	-0.05
2018:Q3	2.56
2018:Q4	2.06

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."

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Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period	Total	High-yield and unrated bonds	Institutional leveraged loans
2005:Q1	6.33	-6.99	13.32
2005:Q2	8.07	-5.58	13.65
2005:Q3	7.25	-6.64	13.89
2005:Q4	9.24	-4.59	13.82
2006:Q1	10.39	-7.60	17.99
2006:Q2	21.10	-2.70	23.80
2006:Q3	24.65	-1.79	26.44
2006:Q4	42.69	4.83	37.87
2007:Q1	48.17	6.93	41.25
2007:Q2	55.90	11.11	44.79
2007:Q3	55.97	9.21	46.75
2007:Q4	39.76	0.57	39.19
2008:Q1	25.64	-3.94	29.58
2008:Q2	12.79	-9.76	22.55
2008:Q3	11.57	-6.20	17.77
2008:Q4	-2.95	-12.90	9.96
2009:Q1	-5.71	-12.16	6.45
2009:Q2	-15.10	-11.11	-3.99
2009:Q3	-24.18	-15.22	-8.95
2009:Q4	-27.20	-10.81	-16.40
2010:Q1	-22.48	-4.58	-17.90
2010:Q2	-20.90	-4.45	-16.45
2010:Q3	-5.59	4.61	-10.20
2010:Q4	3.87	11.65	-7.78
2011:Q1	5.98	10.43	-4.44
2011:Q2	16.57	12.22	4.35
2011:Q3	4.84	4.80	0.04
2011:Q4	7.23	2.38	4.85
2012:Q1	13.03	8.67	4.35
2012:Q2	4.48	1.88	2.60
2012:Q3	13.65	10.77	2.88
2012:Q4	24.92	16.53	8.39
2013:Q1	29.55	16.71	12.83
2013:Q2	38.84	22.79	16.05
2013:Q3	52.27	23.84	28.43
2013:Q4	55.86	23.03	32.83
2014:Q1	58.28	20.92	37.36
2014:Q2	62.32	21.38	40.94
2014:Q3	62.21	20.46	41.75
2014:Q4	53.91	16.49	37.42
2015:Q1	55.20	23.53	31.67
2015:Q2	41.17	21.69	19.49
2015:Q3	24.24	14.71	9.53
2015:Q4	19.67	9.49	10.18
2016:Q1	9.03	-1.81	10.84
2016:Q2	11.20	-1.67	12.87
2016:Q3	4.15	-3.35	7.50
2016:Q4	-2.81	-4.91	2.10
2017:Q1	-4.89	-3.65	-1.23
2017:Q2	2.45	-7.32	9.77
2017:Q3	11.26	-4.99	16.25
2017:Q4	17.38	-1.27	18.65
2018:Q1	24.54	-3.75	28.30
2018:Q2	26.21	-3.55	29.76
2018:Q3	31.82	-5.96	37.78
2018:Q4	42.27	-5.70	47.97
2019:Q1	43.66	-4.14	47.80

Note Total net issuance of risky debt is the sum of the net issuance of speculative-grade and unrated bonds as well as leveraged loans. The data are four-quarter moving averages.

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

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Figure A. Corporate Debt, by Type of Debt and Holder

Billions of dollars

	Corporate bonds	Bank C&I loans	Leveraged loans
CLOs	0	0	709
Foreign investors, pension funds, and other	3008	0	60
Mutual funds	1076	0	224
Ics	1177	0	65
Banks	236	1192	89

Note: Data are taken from 2018:Q4. Corporate bonds are nonfinancial corporate bonds. C&I is commercial and industrial. CLO is collateralized loan obligation. The amount outstanding of leveraged loans shows institutional leveraged loans and generally excludes credit lines and the share of term loans primarily held by banks. Other includes the household sector; nonfinancial corporate and noncorporate business; federal, state, and local governments; federal, state, and local government retirement funds; money market funds; closed-end funds; exchange-traded funds; government-sponsored enterprises (GSEs); agency- and GSE-backed mortgage pools; asset-backed securities issuers; hedge funds; finance companies; real estate investment trusts; broker-dealers; holding companies; and funding corporations.

Source: For leveraged loans, S&P Global Market Intelligence, Leveraged Commentary & Data; for all other items, Federal Reserve Board, Statistical Release Z.1, \"Financial Accounts of the United States.\"

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Figure 2-5. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio

Percent

Period	Debt multiples less than or equal to 4x	Debt multiples 4x-4.99x	Debt multiples 5x-5.99x	Debt multiples greater than or equal to 6x
2001	61.10	26.20	10.10	2.70
2002	54.60	27.30	12.20	5.90
2003	52.60	29.30	11.50	6.70
2004	45.00	28.60	17.60	8.80
2005	41.80	25.10	25.10	8.00
2006	36.40	26.30	21.10	16.30
2007	31.20	23.70	17.50	27.70
2008	63.10	14.20	12.10	10.70
2009	53.10	17.70	11.50	17.70
2010	53.70	22.60	17.90	5.80
2011	43.80	22.60	19.20	14.40
2012	35.90	26.60	21.80	15.80
2013	31.50	29.00	23.10	16.40
2014	28.70	22.60	21.50	27.20
2015	29.90	24.80	26.50	18.90
2016	21.90	32.60	24.40	21.00
2017	22.70	27.60	27.60	22.00
2018	19.50	24.10	26.80	29.70
2019:Q1	18.90	18.90	20.30	41.90

Note The data for 2019 are quarterly. Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 million and exclude existing tranches of add-ons and amendments as well as restatements with no new money.

Source S&P Global, Leveraged Commentary & Data.

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Figure 2-6. Default Rates of Leveraged Loans

Percent

Period	Default Rate of Leveraged Loans
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
November 2018	1.61
December 2018	1.63
January 2019	1.42
February 2019	1.62
March 2019	0.93

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.

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Figure 2-7. Gross Balance Sheet Leverage of Public Nonfinancial Corporations

Percent

Period	All Firms	Risky Firms
2000:Q1	30.64	37.96
2000:Q2	29.84	37.31
2000:Q3	29.29	36.27
2000:Q4	29.52	36.82
2001:Q1	29.52	38.23
2001:Q2	29.65	39.03
2001:Q3	29.64	38.18
2001:Q4	30.32	39.25
2002:Q1	30.93	39.50
2002:Q2	30.01	37.98
2002:Q3	29.81	37.86
2002:Q4	29.57	37.93
2003:Q1	29.24	37.78
2003:Q2	28.42	37.68
2003:Q3	28.04	36.72
2003:Q4	27.07	36.52
2004:Q1	26.54	35.35
2004:Q2	25.93	34.86
2004:Q3	25.62	35.02
2004:Q4	25.39	34.22
2005:Q1	25.15	34.17
2005:Q2	25.01	32.67
2005:Q3	24.27	31.49
2005:Q4	24.34	32.22
2006:Q1	24.81	33.09
2006:Q2	24.65	32.83
2006:Q3	24.63	33.07
2006:Q4	24.91	34.54
2007:Q1	25.18	35.13
2007:Q2	25.44	34.75
2007:Q3	25.85	35.53
2007:Q4	26.16	35.85
2008:Q1	26.40	36.51
2008:Q2	26.52	36.26
2008:Q3	27.56	38.47
2008:Q4	29.14	40.49
2009:Q1	29.36	40.71
2009:Q2	28.34	38.84
2009:Q3	27.37	36.95
2009:Q4	27.12	37.63
2010:Q1	26.71	36.55
2010:Q2	26.59	36.53
2010:Q3	26.56	36.66
2010:Q4	26.33	36.24
2011:Q1	26.12	36.13
2011:Q2	26.18	36.18
2011:Q3	26.50	36.09
2011:Q4	26.39	35.51
2012:Q1	26.34	35.97
2012:Q2	26.90	36.80
2012:Q3	27.03	37.00
2012:Q4	27.33	37.91
2013:Q1	27.24	37.61
2013:Q2	27.67	38.29
2013:Q3	27.93	38.25
2013:Q4	28.14	38.71
2014:Q1	28.77	39.28
2014:Q2	28.55	38.18
2014:Q3	28.71	38.08
2014:Q4	29.26	38.99
2015:Q1	30.12	39.62
2015:Q2	30.66	39.73
2015:Q3	31.19	41.01
2015:Q4	32.13	40.54
2016:Q1	32.74	42.17
2016:Q2	32.94	41.78
2016:Q3	33.02	41.61
2016:Q4	32.95	40.73
2017:Q1	33.20	40.77
2017:Q2	33.57	41.70
2017:Q3	33.40	41.88
2017:Q4	33.20	40.91
2018:Q1	33.33	40.82
2018:Q2	33.25	40.94
2018:Q3	32.94	40.23
2018:Q4	32.89	40.37

Note Gross leverage is the ratio of the book value of total debt to the book value of total assets. Risky firms are firms with positive debt that are either rated as speculative grade by S&P or unrated.

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

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Figure 2-8. Interest Expense Ratio for Public Nonfinancial Corporations

Percent

Period	All Firms	Risky Firms
2000:Q1	16.18	29.07
2000:Q2	15.59	27.02
2000:Q3	15.84	27.25
2000:Q4	15.97	28.17
2001:Q1	17.42	31.77
2001:Q2	17.03	31.44
2001:Q3	16.81	30.94
2001:Q4	15.99	28.70
2002:Q1	17.13	32.19
2002:Q2	15.60	29.59
2002:Q3	15.69	29.06
2002:Q4	15.17	27.75
2003:Q1	15.32	29.53
2003:Q2	15.24	29.43
2003:Q3	14.61	26.46
2003:Q4	13.96	24.96
2004:Q1	13.47	25.03
2004:Q2	12.48	22.58
2004:Q3	12.60	21.64
2004:Q4	11.96	20.21
2005:Q1	12.18	21.82
2005:Q2	11.73	20.76
2005:Q3	11.83	22.07
2005:Q4	10.96	19.32
2006:Q1	12.23	22.26
2006:Q2	11.79	21.18
2006:Q3	11.51	21.50
2006:Q4	12.23	22.43
2007:Q1	12.52	23.95
2007:Q2	11.75	20.77
2007:Q3	12.52	22.54
2007:Q4	12.42	23.35
2008:Q1	12.33	24.58
2008:Q2	11.08	21.44
2008:Q3	10.79	19.60
2008:Q4	14.45	27.95
2009:Q1	14.11	26.53
2009:Q2	13.83	25.18
2009:Q3	13.36	25.47
2009:Q4	12.20	22.80
2010:Q1	12.15	23.52
2010:Q2	11.83	22.44
2010:Q3	11.62	22.64
2010:Q4	11.28	21.38
2011:Q1	10.86	22.22
2011:Q2	10.47	21.49
2011:Q3	10.21	19.99
2011:Q4	10.76	20.13
2012:Q1	10.78	21.89
2012:Q2	10.57	20.75
2012:Q3	10.56	20.79
2012:Q4	11.06	21.78
2013:Q1	11.18	22.39
2013:Q2	10.81	19.90
2013:Q3	10.55	19.78
2013:Q4	10.47	20.88
2014:Q1	10.97	22.27
2014:Q2	10.44	19.49
2014:Q3	10.21	18.38
2014:Q4	10.97	19.18
2015:Q1	11.13	21.41
2015:Q2	10.73	19.57
2015:Q3	10.58	18.95
2015:Q4	11.21	18.52
2016:Q1	12.58	22.86
2016:Q2	12.31	21.31
2016:Q3	11.97	20.81
2016:Q4	11.39	19.93
2017:Q1	12.27	21.74
2017:Q2	11.99	19.67
2017:Q3	11.70	19.54
2017:Q4	11.48	18.78
2018:Q1	11.86	19.82
2018:Q2	11.13	18.16
2018:Q3	10.65	17.84
2018:Q4	10.90	17.67

Note Series calculated as the ratio of total interest expenses to earnings before interest, depreciation, and taxes. Risky firms are firms with positive debt that are either rated as speculative grade by S&P or unrated.

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

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Figure 2-9. Total Household Loan Balances

This is a line chart titled “Total Household Loan Balances”. The x-axis measures time and ranges from the years 1999 to 2018 (Q4). The y-axis measures billions of dollars (real) and ranges from 0 to 9800. The data is quarterly. There are 3 variables charted on the plot. The first line is labeled 'Prime'; is designated by a black line; and ranges from about 3400 to 9000 billions of dollars. This variable rises from around 3400 to 9000 billions of dollars from 1999 to 2008 and then declines to 7400 billions of 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 billions of dollars. The variable has a slight increase to around 3800 billions of dollars from 2002 to 2008 but is otherwise is stable at a little more than 2600 billions of dollars for most of the time period. The third variable is labeled 'Subprime'; is designated by the orange line; and ranges from 1000 to around 3000 billions of dollars. There is a slight increase from a little more than 1000 billions of dollars in 1999 to around 1800 in 2007, and there is a steeper increase to around 3000 billions of dollars between 2007 and 2010. The variable then decreases and remains at around 1800 billions of dollars from 2014 to the end of the time period.

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.

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Figure 2-10. Estimate of New Mortgage Volume to Households

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 charted on the plot. The first variable is labeled 'Subprime' and is designated by the orange bar. It ranges from around 100 to around 400 billions of dollars. It starts at a little more than 200 billions of dollars in 2000 and very slightly increases to around 400 billions of dollars between 2001 and 2006. Then it decreases more quickly to around 100 billions of dollars in 2009, and remains fairly unchanged until 2018. The second variable is labeled 'Near prime'; is designated by the blue bars; and ranges from 200 to around 900 billions of dollars. The variable starts at around 500 billions of dollars in 2000 and increases quickly, peaking at around 900 billion dollars in 2006 before steeply falling to around 300 billion dollars by 2009. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2018. The third variable is labeled 'Prime'; is designated by the black bars; and ranges from around 600 to 1300 billions of dollars. The variable starts at around 600 billions of dollars in 2000 and steeply increases to a peak of around 1300 billions of dollars in 2003. The variable remains between 1100 and 1200 billion dollars from 2004 to 2007 before falling sharply to 600 billion dollars in 2009. The variable then builds back up to 800 billion in 2013. It then drops back to 700 billion in 2014 before climbing close to 900 billion in 2017 and around 800 billion in 2018.

Note: Year-over-year change in balances for the fourth 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.

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Figure 2-11. Transition Rates into Mortgage Delinquency

Percent of previously current loans

Period	Prime	Nonprime	FHA/VA
January 2000	1.11	4.16	3.19
February 2000	1.03	3.87	3.02
March 2000	0.99	3.75	2.94
April 2000	1.01	3.65	3.02
May 2000	1.03	3.62	3.04
June 2000	1.04	3.68	3.05
July 2000	1.02	3.71	2.95
August 2000	1.02	3.82	2.99
September 2000	1.05	3.91	3.03
October 2000	1.04	3.96	3.03
November 2000	1.04	3.90	3.05
December 2000	1.09	4.06	3.19
January 2001	1.08	4.08	3.14
February 2001	1.11	4.34	3.20
March 2001	1.09	4.44	3.11
April 2001	1.12	4.90	3.23
May 2001	1.13	4.98	3.24
June 2001	1.14	4.96	3.29
July 2001	1.14	4.69	3.27
August 2001	1.10	4.65	3.15
September 2001	1.18	4.79	3.29
October 2001	1.17	4.80	3.26
November 2001	1.17	4.81	3.31
December 2001	1.11	4.77	3.22
January 2002	1.10	4.80	3.25
February 2002	1.11	4.82	3.30
March 2002	1.12	4.73	3.38
April 2002	1.10	4.60	3.33
May 2002	1.07	4.68	3.29
June 2002	1.05	4.98	3.32
July 2002	1.04	5.00	3.34
August 2002	1.06	4.94	3.40
September 2002	1.04	4.62	3.29
October 2002	1.06	4.64	3.34
November 2002	1.10	4.72	3.42
December 2002	1.10	4.79	3.41
January 2003	1.09	4.82	3.37
February 2003	1.07	4.82	3.33
March 2003	1.11	4.83	3.46
April 2003	1.15	4.88	3.61
May 2003	1.18	4.78	3.66
June 2003	1.15	4.77	3.61
July 2003	1.12	4.63	3.49
August 2003	1.11	4.68	3.51
September 2003	1.06	4.48	3.34
October 2003	1.00	4.42	3.27
November 2003	1.02	4.36	3.46
December 2003	0.99	4.31	3.48
January 2004	1.01	4.33	3.63
February 2004	0.92	4.22	3.40
March 2004	0.92	4.22	3.38
April 2004	0.88	4.09	3.23
May 2004	0.93	4.15	3.40
June 2004	0.93	4.05	3.41
July 2004	0.92	3.99	3.40
August 2004	0.86	3.84	3.19
September 2004	0.86	3.80	3.25
October 2004	0.93	3.88	3.46
November 2004	0.90	3.71	3.38
December 2004	0.89	3.61	3.29
January 2005	0.86	3.49	3.18
February 2005	0.87	3.49	3.18
March 2005	0.89	3.51	3.22
April 2005	0.87	3.45	3.18
May 2005	0.87	3.48	3.24
June 2005	0.86	3.47	3.27
July 2005	0.90	3.57	3.39
August 2005	0.87	3.47	3.29
September 2005	0.90	3.52	3.31
October 2005	0.89	3.51	3.29
November 2005	0.93	3.60	3.38
December 2005	0.90	3.53	3.31
January 2006	0.86	3.41	3.15
February 2006	0.84	3.39	3.07
March 2006	0.81	3.32	3.03
April 2006	0.88	3.54	3.32
May 2006	0.87	3.52	3.28
June 2006	0.89	3.61	3.29
July 2006	0.86	3.51	3.07
August 2006	0.88	3.54	3.08
September 2006	0.92	3.64	3.10
October 2006	0.91	3.60	3.03
November 2006	0.92	3.64	3.06
December 2006	0.97	3.76	3.17
January 2007	0.97	3.76	3.07
February 2007	1.00	3.86	3.06
March 2007	1.00	3.85	2.93
April 2007	1.06	4.07	3.06
May 2007	1.07	4.15	3.05
June 2007	1.09	4.32	3.08
July 2007	1.09	4.32	3.03
August 2007	1.06	4.29	2.88
September 2007	1.12	4.50	3.01
October 2007	1.11	4.54	2.97
November 2007	1.15	4.71	3.04
December 2007	1.12	4.60	2.95
January 2008	1.15	4.77	3.00
February 2008	1.12	4.78	2.84
March 2008	1.14	5.01	2.81
April 2008	1.15	5.11	2.76
May 2008	1.18	5.16	2.78
June 2008	1.14	5.03	2.65
July 2008	1.13	5.02	2.58
August 2008	1.22	5.34	2.77
September 2008	1.22	5.37	2.75
October 2008	1.27	5.53	2.76
November 2008	1.35	5.85	2.91
December 2008	1.36	5.97	2.85
January 2009	1.37	6.06	2.84
February 2009	1.25	5.83	2.53
March 2009	1.30	5.96	2.59
April 2009	1.29	5.80	2.59
May 2009	1.34	5.72	2.66
June 2009	1.30	5.50	2.58
July 2009	1.29	5.43	2.49
August 2009	1.28	5.35	2.44
September 2009	1.28	5.35	2.43
October 2009	1.28	5.29	2.41
November 2009	1.27	5.18	2.36
December 2009	1.24	5.02	2.29
January 2010	1.27	5.19	2.38
February 2010	1.26	5.15	2.33
March 2010	1.23	5.14	2.28
April 2010	1.15	4.81	2.12
May 2010	1.14	4.82	2.16
June 2010	1.13	4.72	2.17
July 2010	1.14	4.69	2.21
August 2010	1.09	4.49	2.10
September 2010	1.09	4.48	2.10
October 2010	1.14	4.68	2.17
November 2010	1.11	4.62	2.12
December 2010	1.08	4.51	2.06
January 2011	1.01	4.31	1.95
February 2011	1.03	4.33	2.03
March 2011	1.01	4.30	1.97
April 2011	1.02	4.33	1.99
May 2011	1.01	4.29	1.93
June 2011	1.04	4.38	2.03
July 2011	1.08	4.50	2.09
August 2011	1.07	4.42	2.07
September 2011	1.04	4.38	2.01
October 2011	0.99	4.18	1.94
November 2011	0.99	4.18	1.97
December 2011	0.99	4.17	1.98
January 2012	0.95	3.80	1.87
February 2012	0.93	3.41	1.79
March 2012	0.95	3.20	1.79
April 2012	0.96	3.33	1.82
May 2012	0.98	3.47	1.85
June 2012	0.97	3.45	1.83
July 2012	0.96	3.35	1.79
August 2012	0.94	3.32	1.73
September 2012	1.02	3.68	1.91
October 2012	0.99	3.55	1.87
November 2012	1.00	3.47	1.88
December 2012	0.92	3.03	1.72
January 2013	0.92	3.13	1.77
February 2013	0.93	3.25	1.82
March 2013	0.95	3.44	1.88
April 2013	0.92	3.31	1.81
May 2013	0.89	3.22	1.75
June 2013	0.90	3.24	1.80
July 2013	0.92	3.33	1.83
August 2013	0.94	3.31	1.88
September 2013	0.86	3.09	1.73
October 2013	0.85	3.16	1.75
November 2013	0.84	3.25	1.76
December 2013	0.84	3.29	1.75
January 2014	0.82	3.26	1.70
February 2014	0.79	3.20	1.62
March 2014	0.78	3.13	1.60
April 2014	0.79	3.13	1.64
May 2014	0.80	3.20	1.69
June 2014	0.80	3.24	1.70
July 2014	0.79	3.21	1.71
August 2014	0.85	3.25	1.81
September 2014	0.82	3.12	1.76
October 2014	0.80	3.09	1.69
November 2014	0.79	3.16	1.75
December 2014	0.78	3.13	1.72
January 2015	0.81	3.17	1.80
February 2015	0.74	2.90	1.63
March 2015	0.75	2.96	1.67
April 2015	0.74	2.89	1.63
May 2015	0.77	3.15	1.73
June 2015	0.77	3.14	1.73
July 2015	0.77	3.15	1.72
August 2015	0.75	2.98	1.65
September 2015	0.75	3.00	1.67
October 2015	0.76	2.97	1.73
November 2015	0.75	2.94	1.70
December 2015	0.73	2.91	1.67
January 2016	0.82	3.18	1.85
February 2016	0.76	2.95	1.73
March 2016	0.78	3.05	1.78
April 2016	0.72	2.87	1.64
May 2016	0.77	3.14	1.79
June 2016	0.77	3.09	1.78
July 2016	0.81	3.26	1.85
August 2016	0.78	3.16	1.79
September 2016	0.76	3.08	1.72
October 2016	0.71	2.88	1.62
November 2016	0.72	2.95	1.65
December 2016	0.75	3.09	1.72
January 2017	0.74	3.05	1.70
February 2017	0.74	3.12	1.71
March 2017	0.73	3.02	1.66
April 2017	0.80	3.33	1.87
May 2017	0.78	3.19	1.82
June 2017	0.78	3.18	1.82
July 2017	0.72	2.91	1.64
August 2017	0.74	2.98	1.70
September 2017	0.81	3.16	1.89
October 2017	0.83	3.17	1.93
November 2017	0.83	3.13	1.92
December 2017	0.81	3.02	1.87
January 2018	0.76	2.92	1.76
February 2018	0.77	2.88	1.76
March 2018	0.73	2.80	1.67
April 2018	0.74	2.75	1.67
May 2018	0.72	2.75	1.65
June 2018	0.73	2.84	1.69
July 2018	0.73	2.87	1.69
August 2018	0.72	2.80	1.66
September 2018	0.74	2.73	1.76
October 2018	0.71	2.63	1.71
November 2018	0.70	2.53	1.71

Note Percent of previously current mortgages that transition from being current mortgages that transition from bein 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.

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Figure 2-12. Estimates of Housing Leverage

This is a line chart titled "Estimates of Housing Leverage". The x-axis ranges from the years 1999 to 2018. 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 is quarterly, ending in Q4 of 2018. There are two variables charted on the plot. The first line is labeled 'Relative to model-implied values' and is designated by the black line. It ranges from 100 to a little less than 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 at the end of the time period.

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.

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Figure 2-13. Estimate of Mortgages with Negative Equity

Percent

Date	Corelogic	Zillow
January 2011	25.28
February 2011	25.14
March 2011	24.99	30.58
April 2011	24.93
May 2011	24.87
June 2011	24.81	30.04
July 2011	24.65
August 2011	24.50
September 2011	24.36	30.58
October 2011	24.65
November 2011	24.93
December 2011	25.23	31.12
January 2012	24.69
February 2012	24.20
March 2012	23.67	31.41
April 2012	23.21
May 2012	22.74
June 2012	22.28	30.93
July 2012	22.17
August 2012	22.06
September 2012	21.96	28.24
October 2012	21.84
November 2012	21.72
December 2012	21.60	27.46
January 2013	21.11
February 2013	20.67
March 2013	20.18	25.45
April 2013	18.43
May 2013	16.62
June 2013	14.87	23.77
July 2013	14.35
August 2013	13.83
September 2013	13.33	20.95
October 2013	13.37
November 2013	13.41
December 2013	13.45	19.39
January 2014	13.25
February 2014	13.07
March 2014	12.88	18.83
April 2014	12.23
May 2014	11.56
June 2014	10.92	17.89
July 2014	10.74
August 2014	10.56
September 2014	10.39	16.95
October 2014	10.49
November 2014	10.59
December 2014	10.69	16.89
January 2015	10.54
February 2015	10.41
March 2015	10.27	15.41
April 2015	9.81
May 2015	9.34
June 2015	8.88	14.43
July 2015	8.70
August 2015	8.53
September 2015	8.36	13.43
October 2015	8.36
November 2015	8.36
December 2015	8.36	13.09
January 2016	8.28
February 2016	8.20
March 2016	8.12	12.72
April 2016	7.77
May 2016	7.41
June 2016	7.06	12.11
July 2016	6.82
August 2016	6.58
September 2016	6.34	10.86
October 2016	6.32
November 2016	6.29
December 2016	6.26	10.55
January 2017	6.19
February 2017	6.12
March 2017	6.05	10.37
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	9.14
January 2018	4.84
February 2018	4.78
March 2018	4.71
April 2018	4.57
May 2018	4.42
June 2018	4.28
July 2018	4.23
August 2018	4.18
September 2018	4.13
October 2018	4.14
November 2018	4.14
12/31/2018	4.15

Note Estimated share of mortgages with negative equity according to CoreLogic and Zillow. For CoreLogic, the data are monthly. For Zillow, the data are quarterly and, for 2017, are available only for the first and fourth quarters.

Source CoreLogic; Zillow.

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Figure 2-14. Consumer Credit Balances

This is a line chart titled "Consumer Credit Balances". The x-axis ranges from the years 1999 to 2018 (Q4). The y-axis ranges from 200 to 1800, in the units billions of dollars (real). The data is quarterly. There are 3 variables plotted on the chart. The first line is labeled 'Auto loans'; is designated by a black line; and ranges from around 500 to 1200 billions of dollars. It starts around at around 500 in 1999 and increases to around 1000 billions of dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but began increasing again afterwards; the line ends at about 1200 billions of dollars in 2018. The second variable is labeled 'Credit cards' and is represented by a blue line. It ranges from around 500 to 1000 billions of dollars. Starting at around 700 billions of 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 billions of 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 billions of dollars in 2005. There are two small, brief dips in 2008 and 2012 but otherwise balances steadily increase to about 1400 billions of 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.

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Figure 2-15. Auto Loan Balances

This is a line chart labeled "Auto Loan Balances". The x-axis ranges from the years 1999 to 2018, and the y-axis ranges from 150 to 600 billions of dollars (real). The data is quarterly, ending in Q4 of 2018. 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 billions of dollars. Auto loans to borrowers with prime credit scores started at around 175 billions of dollars in 1999 and continued to increase to around 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 billions of dollars at the end of the time period. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 200 to 350 billions of dollars. Starting at 200 billion in 1999, balances to those with near prime credit increases to almost 350 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'; is designated by an orange line; and ranges from around 150 to 300 billions of 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.

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Figure 2-16. Auto Loan Delinquency Rates

This is a line chart titled "Auto Loan Delinquency Rates". The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 16 percent, measuring delinquency rates on auto loans. The data is quarterly, ending in Q4 of 2018. There are 3 variables charted on the plot. 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'; is represented by a blue line; and ranges from around 2 to 3 percent. The variable is mostly flat at 2 percent except for a small one percentage point 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 time 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.

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Figure 2-17. Credit Card Balances

This is a line chart labeled "Credit Card Balances". The x-axis ranges from the years 1999 to 2018, and the y-axis ranges from 50 to 450 billions of dollars (real). The data is quarterly, ending in Q4 of 2018. There are 3 variables plotted on the chart. The first variable is labeled 'Prime' and is designated by a black line. It ranges from around 200 to 450 billions of dollars. Auto loans to borrowers with prime credit scores started at around 200 billions of dollars in 1999 and continued to increase to around 450 billion in 2009. There is a slight decline from 2009 until balances were close to 350 billion in 2011 and 2012. From 2012 onwards, the balances labeled 'Prime' have been increasing with fluctuations, reaching almost 450 billions of dollars at the end of the time period. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 250 to 400 billions of dollars. Starting at 350 billion in 1999, balances to those with near prime credit increases to almost 400 billion dollars in 2002 to 2003. Near prime balances decrease to around 350 billion dollars in 2005 and remains mostly flat until 2008 before decreasing to around 250 billion dollars in 2011. The level has risen slowly since then, nearing 300 billion in 2018. The third variable is labeled 'Subprime'; is designated by an orange line; and ranges from around 100 to 250 billions of dollars. It starts at around 200 billion dollars in 1999 and increases until reaching a peak at around 250 billion dollars in 2002. It decreases to around 200 billion in 2005 before beginning to increase with fluctuations to around 250 billion in 2008. It decreases to around 100 billion dollars in 2013 before slowly climbing again, reaching close to 150 billion dollars 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.

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Figure 2-18. Credit Card Delinquency Rates

This is a line chart titled "Credit Card Delinquency Rates". The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 30 percent, measuring delinquency rates on credit cards. The data is quarterly, ending in Q4 of 2018. There are 3 variables charted on the plot. The first variable is labeled 'Prime' and is denoted by the black line. It ranges from around 1 to 3 percent. The variable is mostly flat at 1 percent except for a small two percentage point increase between 2009 and 2011. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 4 to 8 percent. The variable is mostly flat at 4 percent except for a small four percentage point increase between 2009 and 2011. The third variable is labeled 'Subprime' and is designated by an orange line. It ranges from around 10 to 23 percent. This line starts around 15 percent in 2001 and increases to 20 percent in 2003. It decreases to around 15 percent in 2005 before quickly increasing. The rates peak at around 25 percent in 2010. It falls to 10 percent by 2016 before increasing to reach almost 15 percent in 2017 and leveling off.

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.

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Figure 3-1. Ratio of Tangible Bank Equity to Assets

This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x-axis measures time and ranges from years 1985 to 2018. The y-axis ranges from 0 to 12 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid red line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5 percent in 1985 to 10 percent in 2013. It has remained near 10 percent through 2018. 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 percent in 1985, fell to 4 percent in 1987, increased to 6 percent in 1993, remained near 6 percent through 2003, decreased to about 5 percent in 2008, and increased to 8 percent in 2012 where it has remained through 2018.

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.

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Figure 3-2. Common Equity Tier 1 Ratio of Banks

This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x-axis measures time and ranges from years 2001 to 2018. The y-axis ranges from 0 to 14 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid red 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 has remained near 12 percent through 2018. 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 through the end of 2013 where it has remained through 2018.

Note: The data are seasonally adjusted by Board staff. Sample includes banks as of 2018:Q4. 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.

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Figure 3-3. Change in Bank Lending Standards for C&I Loans

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 fourth 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.

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Figure 3-4. Borrower Leverage for Bank C&I Loans

This is a line chart titled "Borrower Leverage for Bank C&I Loans." The x-axis measures time and ranges from years 2013 to 2018. The y-axis ranges from 24 to 36 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Nonpublicly traded firms', is designated by a solid blue line and ranges from about 30 to 34 percent. This variable begins at 32 percent, quickly decreases to about 30 percent in 2013, rises slowly to 34 percent in 2018, and decreases to just above 33 percent in 2018:Q4. The second line, labeled 'Publicly traded firms', is designated by a solid black line and ranges from about 25 to 31 percent. This variable begins at about 25.5, increases steadily to 31 percent in 2016:Q2, decreases to 30 percent in 2016:Q4, and rises slowly to about 31 percent in 2018 before dropping close to 30 percent in 2018:Q4.

Note: Weighted median leverage of nonfinancial firms 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.

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Figure 3-5. Leverage of Broker-Dealers

Ratio of assets to equity

Period	Leverage of Broker-Dealers
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	15.12
2018:Q3	15.03
2018:Q4	15.81

Note Leverage is calculated by dividing financial assets by equity.

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

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Figure 3-6. Leverage of Insurance Companies

Ratio of assets to equity

Period	Life	Property and casualty
2000:Q1	8.63	5.49
2000:Q2	8.45	5.40
2000:Q3	8.39	5.33
2000:Q4	8.96	5.75
2001:Q1	8.36	5.40
2001:Q2	8.83	5.50
2001:Q3	9.45	6.22
2001:Q4	10.03	6.37
2002:Q1	9.63	6.24
2002:Q2	9.83	6.32
2002:Q3	10.14	6.41
2002:Q4	10.79	6.66
2003:Q1	11.04	6.79
2003:Q2	11.16	6.71
2003:Q3	11.00	6.72
2003:Q4	10.93	6.68
2004:Q1	11.29	7.05
2004:Q2	11.37	6.74
2004:Q3	11.48	6.79
2004:Q4	11.68	6.80
2005:Q1	11.30	6.79
2005:Q2	10.67	6.58
2005:Q3	10.78	6.63
2005:Q4	10.87	6.45
2006:Q1	10.11	6.47
2006:Q2	10.00	6.38
2006:Q3	9.94	6.35
2006:Q4	9.87	6.28
2007:Q1	9.97	6.33
2007:Q2	9.83	6.32
2007:Q3	9.96	6.32
2007:Q4	9.74	6.09
2008:Q1	10.84	6.54
2008:Q2	10.72	6.45
2008:Q3	10.64	6.47
2008:Q4	10.77	5.99
2009:Q1	10.79	5.96
2009:Q2	9.97	5.62
2009:Q3	9.97	5.61
2009:Q4	8.92	5.23
2010:Q1	9.24	5.21
2010:Q2	9.45	5.14
2010:Q3	9.73	5.22
2010:Q4	8.63	4.49
2011:Q1	9.55	4.63
2011:Q2	9.36	4.58
2011:Q3	9.47	4.42
2011:Q4	8.83	4.15
2012:Q1	8.78	4.14
2012:Q2	8.81	4.14
2012:Q3	9.17	4.18
2012:Q4	9.43	4.20
2013:Q1	9.25	4.12
2013:Q2	8.89	3.99
2013:Q3	8.67	3.93
2013:Q4	8.53	3.92
2014:Q1	8.57	3.89
2014:Q2	8.44	3.71
2014:Q3	8.40	3.66
2014:Q4	8.44	3.62
2015:Q1	8.53	3.58
2015:Q2	8.24	3.55
2015:Q3	8.48	3.49
2015:Q4	9.12	3.50
2016:Q1	9.30	3.59
2016:Q2	9.73	3.61
2016:Q3	9.83	3.59
2016:Q4	9.70	3.83
2017:Q1	9.80	3.62
2017:Q2	9.87	3.63
2017:Q3	9.52	3.68
2017:Q4	9.65	3.77
2018:Q1	9.66	3.31
2018:Q2	9.68	2.96
2018:Q3	9.66	2.93
2018:Q4	9.87	3.03

Note: The data extend through 2018:Q4. Ratio is calculated as (total assets - separate account assets)/(total capital - accumulated other comprehensive income).

Source: S&p Global, Inc., S&P Market Intelligence.

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Figure 3-7. 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	5.4	2.3
August 2016	5.7	2.3
September 2016	5.4	2.3
October 2016	6.0	2.4
November 2016	6.1	2.4
December 2016	5.5	2.3
January 2017	6.0	2.4
February 2017	6.2	2.4
March 2017	6.0	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	7.1	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
January 2018	7.8	2.4
February 2018	7.7	2.4
March 2018	7.4	2.3
April 2018	8.2	2.3
May 2018	8.3	2.4
June 2018	8.0	2.3

Note Leverage is computed as the ratio of hedge funds' gross notional exposure (including derivative notional exposures and the nominal value of all long and short positions) to net asset value. 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.

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Figure 3-8. 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
2018:Q4	0.00	0.00	0.00	0.00
2019:Q1	-8.70	-4.76	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.

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

This is a stacked bar chart with five categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2019. 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 100 in 2001, peak at about 500 in 2006, decrease to about 50 by 2008 and then zero in 2011, and generally increase to end at about 150 in 2019. Auto loan/lease ABS, represented in yellow, begins at about 100 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 100 by 2012, and increases to around 120 by 2019. Non-agency CMBS, represented in orange, begins at about 100 in 2001, peaks at about 300 in 2007, drops to about zero from 2008 through 2011, and increases to end at about 70 in 2019. Private-label RMBS, represented in dark gray, begins at about 350 in 2001, peaks at about 1400 in 2005, decreases to about zero by 2008, and slowly increases to about 100 in 2019. Other, represented in light gray, begins at about 200 in 2001, peaks at about 275 in 2007, drops to about 150 in 2008, and remains near that level to end at about 100 in 2019. All five categories together begin at about 800 in 2001 and peak near 2400 in 2006. The total then drops to about 400 in 2008, and ends at about 500 in 2019.

Note: The data from the first quarter of 2019 are annualized to create the 2019 bar. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; RMBS is residential-mortgage-backed securities; CLO is collateralized loan obligation. The "Other" category consists of other asset-backed securities (ABS) backed by credit card debt, student loans, equipment, floor plans, and miscellaneous receivables; re-securitized real estate mortgage investment conduit (Re-REMIC) RMBS; and Re-REMIC CMBS. The data are converted to constant 2019 dollars using the consumer price index.

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.

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

This is a stacked line chart titled "Large Bank Lending to Nonbank Financial Firms: Committed Amounts." The x-axis measures time and ranges from years 2013 to 2018. The y-axis measures billions of dollars and ranges from 0 to 1800. The data are quarterly. There are 10 variables charted on the plot, which sum up to represent total committed amounts extended to nonbank financials by large banks. The overall trend has been steadily increasing from about 600 billion in 2013 to about 1.3 trillion in 2018:Q4. The first variable, 'financial transactions processing', is designated by blue shading. This variable increases from 12 billion in 2013 to 25 billion in 2018. The second variable, 'Private equity, BDCs, and credit funds', is designated by red shading. This variable increases from 5 billion in 2013 to 60 billion in 2018. The third variable, 'Broker-dealers', is designated by light blue shading. This variable increases steadily from 66 billion in 2013:Q1 to 106 billion in 2015:Q3, and remains near 100 billion through 2018:Q4. The fourth variable, 'Insurance', is designated by purple shading. This variable remains constant through 2015:Q2 at about 90 billion, increases sharply in 2015:Q3 to 110 billion, decreases to 100 billion in 2016:Q2, increases to 119 billion in 2016:Q4, falls to 103 billion in 2017:Q2, and increases through 2018:Q1 to 143 billion before falling to 115 billion in 2018:Q4. The fifth variable, 'REITs', is designated by dark pink shading. Increases steadily from 60 billion in 2013:Q1 to 130 billion in 2018:Q3 before dropping to 115 billion in 2018:Q4. The sixth variable, 'Open-end investment funds', is designated by green shading. This variable increases steadily from 70 billion in 2013:Q1 to 123 billion in 2018:Q4. The seventh variable, 'Special purpose entities, CLOs, and ABS', is designated by light gray shading. Increases steadily from 60 billion in 2013:Q1 to 140 billion in 2018:Q4. The eighth variable, 'Other financial vehicles', is designated by dark gray shading. This variable increased from 130 billion in 2013:Q1 to 215 billion 2018:Q4. The ninth variable, 'Real estate lenders and lessors', is designated by beige shading. This variable has increased steadily from 95 billion in 2013:Q1 to nearly 200 billion in 2018:Q4. The tenth variable, 'Consumer lenders, other lenders, and lessors', is designated by dark blue shading. This variable increased slightly from near 130 billion in 2013:Q1 to 160 billion in 2015:Q4, before falling to 150 billion in 2016:Q2, and increases to 180 billion in 2017:Q4 where it has remained through 2018:Q4.

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 26 bank holding companies that have filed Form FR Y-14Q in every quarter since 2013:Q1. Nonbank financial firms are identified based on reported North American Industry Classification System (NAICS) codes. In addition to NAICS codes, a name-matching algorithm is applied to identify specific entities such as real estate investment trusts (REITs), special purpose entities, collateralized loan obligations (CLOs), and asset backed securities (ABS). REITs incorporate both mortgage (trading) REITs and equity REITs. Broker-dealers also include commodity contracts dealers and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds and financial planning and pension funds.

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

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Figure 4-1. Liquid Assets Held by Banks

This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2018. 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 charted on the plot. The first line, labeled 'Large BHCs', is designated by a solid black line and ranges from 4 to about 22 percent. This variable rises from about 4.5 percent in 2001:Q1, remains near that level until mid-2004, decreases to about25 by 2008:Q2, increases to nearly 18 by 2014:Q1, and remains near that level through 2018:Q4. 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 7 percent in 2001:Q1, decreases to about 2 by 2006:Q3, remains near that level through 2008:Q4, increases to about 12 by 2010:Q3, and remains near that level through 2013:Q1. It then decreases to about 9 percent in 2016:Q2 and has remained near that through 2018:Q4.

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.

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Figure 4-2. Short-Term Wholesale Funding of Banks

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2018. 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:Q4.

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.

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Figure 4-3. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution *

Percent of GDP

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

*On September 7, 2022, the data in Chart 4-3 were updated on the accessible version to fix a coding error.

Note The black striped area denotes the period from 2008:Q4 to 2012:Q4 when insured deposits increased because of the Transaction Account Guarantee Program. Other consists of variable-rate demand obligations, 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.

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Figure 4-4. Domestic Money Market Fund Assets

This is an overlapping area chart titled "Domestic Money Market Fund Assets." The x-axis measures time and ranges from the years 2000 to 2020. 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 February 2019 where it ends around 250. 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 February 2019 where it ends around 630. 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 drop 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 February 2019 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 3100 in April 2019.

Note: The data are converted to constant 2019 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.

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

Billions of dollars (real)

Date	Corporate bond amount
2000:Q1	412
2000:Q2	402
2000:Q3	394
2000:Q4	368
2001:Q1	377
2001:Q2	382
2001:Q3	382
2001:Q4	379
2002:Q1	397
2002:Q2	401
2002:Q3	388
2002:Q4	397
2003:Q1	400
2003:Q2	441
2003:Q3	442
2003:Q4	450
2004:Q1	480
2004:Q2	421
2004:Q3	424
2004:Q4	434
2005:Q1	416
2005:Q2	419
2005:Q3	402
2005:Q4	394
2006:Q1	408
2006:Q2	399
2006:Q3	412
2006:Q4	437
2007:Q1	443
2007:Q2	436
2007:Q3	449
2007:Q4	446
2008:Q1	439
2008:Q2	469
2008:Q3	420
2008:Q4	392
2009:Q1	416
2009:Q2	495
2009:Q3	572
2009:Q4	661
2010:Q1	738
2010:Q2	745
2010:Q3	842
2010:Q4	877
2011:Q1	919
2011:Q2	925
2011:Q3	891
2011:Q4	899
2012:Q1	964
2012:Q2	977
2012:Q3	1055
2012:Q4	1091
2013:Q1	1141
2013:Q2	1115
2013:Q3	1160
2013:Q4	1208
2014:Q1	1244
2014:Q2	1286
2014:Q3	1273
2014:Q4	1277
2015:Q1	1322
2015:Q2	1334
2015:Q3	1311
2015:Q4	1277
2016:Q1	1309
2016:Q2	1349
2016:Q3	1394
2016:Q4	1365
2017:Q1	1407
2017:Q2	1422
2017:Q3	1438
2017:Q4	1437
2018:Q1	1448
2018:Q2	1443
2018:Q3	1458
2018:Q4	1376

Note The data are converted to constant 2018 dollars using the consumer price index.

Source Bureau of Labor Statistics, consumer price index via Haver Analytics, and Federal Reserve Board staff calculations based on Federal Reserve Board Statistical Release Z.1, "Financial Accounts of the United States."

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

Billions of dollars (real)

Date	High-yield corporate bond mututal funds	Bank loan mutual funds
January 2000	148.42	28.74
February 2000	146.59	28.65
March 2000	139.83	28.57
April 2000	136.43	28.79
May 2000	131.48	28.69
June 2000	136.19	28.72
July 2000	132.99	28.80
August 2000	130.23	29.26
September 2000	128.72	29.94
October 2000	119.82	29.23
November 2000	110.71	28.73
December 2000	111.51	27.61
January 2001	122.61	28.05
February 2001	124.39	24.21
March 2001	121.21	26.92
April 2001	117.74	26.76
May 2001	120.19	23.29
June 2001	114.67	22.84
July 2001	116.51	25.99
August 2001	117.54	25.79
September 2001	106.56	21.68
October 2001	109.49	23.42
November 2001	114.79	22.51
December 2001	115.07	22.33
January 2002	117.36	21.82
February 2002	114.16	21.28
March 2002	121.57	20.86
April 2002	119.22	20.46
May 2002	119.52	20.02
June 2002	111.78	19.33
July 2002	104.06	18.62
August 2002	106.18	17.61
September 2002	101.79	16.77
October 2002	105.49	15.83
November 2002	114.78	15.38
December 2002	117.83	15.09
January 2003	122.06	14.92
February 2003	125.68	14.58
March 2003	136.05	14.29
April 2003	150.61	14.53
May 2003	153.96	14.54
June 2003	161.75	14.26
July 2003	157.29	14.76
August 2003	158.55	15.32
September 2003	161.83	15.77
October 2003	168.18	16.48
November 2003	171.77	16.97
December 2003	174.50	17.41
January 2004	179.47	18.05
February 2004	174.28	18.43
March 2004	170.70	18.89
April 2004	167.20	19.69
May 2004	156.64	21.07
June 2004	157.92	22.25
July 2004	159.77	23.56
August 2004	163.42	24.59
September 2004	165.95	25.29
October 2004	168.74	25.84
November 2004	171.23	26.47
December 2004	172.86	26.83
January 2005	169.17	27.78
February 2005	170.70	28.12
March 2005	158.91	29.01
April 2005	153.04	29.44
May 2005	154.43	29.35
June 2005	156.66	29.22
July 2005	158.74	29.41
August 2005	157.27	29.07
September 2005	151.24	28.94
October 2005	147.82	29.67
November 2005	149.77	29.87
December 2005	151.03	30.22
January 2006	151.48	30.62
February 2006	152.73	31.04
March 2006	151.81	32.07
April 2006	151.04	32.58
May 2006	148.69	33.66
June 2006	145.60	34.65
July 2006	146.83	35.51
August 2006	149.07	36.09
September 2006	151.76	36.73
October 2006	155.92	37.74
November 2006	159.41	38.09
December 2006	161.19	38.50
January 2007	163.38	39.66
February 2007	165.24	40.25
March 2007	164.66	41.06
April 2007	166.00	42.06
May 2007	167.89	43.09
June 2007	162.16	44.52
July 2007	154.22	41.30
August 2007	154.82	38.25
September 2007	159.08	38.19
October 2007	160.70	38.15
November 2007	153.91	35.17
December 2007	153.71	33.48
January 2008	148.52	31.48
February 2008	145.56	27.67
March 2008	142.82	26.74
April 2008	150.74	27.45
May 2008	151.30	27.21
June 2008	145.18	27.11
July 2008	141.52	26.73
August 2008	142.51	26.29
September 2008	131.00	23.92
October 2008	108.93	19.93
November 2008	101.75	18.01
December 2008	110.31	17.09
January 2009	117.90	18.69
February 2009	115.06	19.30
March 2009	119.59	19.30
April 2009	134.60	21.28
May 2009	145.46	22.78
June 2009	149.07	24.12
July 2009	160.67	25.55
August 2009	163.83	25.94
September 2009	173.75	26.61
October 2009	177.16	26.87
November 2009	180.43	26.64
December 2009	187.35	27.93
January 2010	190.48	29.50
February 2010	188.35	30.56
March 2010	197.40	32.84
April 2010	203.83	35.63
May 2010	188.85	34.98
June 2010	191.65	35.57
July 2010	201.14	36.67
August 2010	202.20	37.35
September 2010	211.80	39.34
October 2010	218.21	41.48
November 2010	214.62	43.75
December 2010	220.60	48.59
January 2011	229.28	55.37
February 2011	234.16	60.91
March 2011	233.17	65.74
April 2011	236.94	68.86
May 2011	237.71	72.47
June 2011	227.89	73.73
July 2011	231.68	74.11
August 2011	214.58	62.80
September 2011	208.08	61.24
October 2011	230.38	63.60
November 2011	223.98	62.70
December 2011	233.11	61.90
January 2012	246.54	62.99
February 2012	256.97	62.79
March 2012	258.86	63.36
April 2012	262.32	65.04
May 2012	256.83	64.73
June 2012	263.10	65.13
July 2012	273.53	66.65
August 2012	279.32	68.05
September 2012	283.83	70.38
October 2012	287.62	72.97
November 2012	287.16	75.59
December 2012	291.27	78.27
January 2013	296.69	83.19
February 2013	294.97	88.44
March 2013	298.84	95.26
April 2013	305.25	101.03
May 2013	302.15	105.69
June 2013	279.76	111.42
July 2013	290.16	121.58
August 2013	284.34	129.30
September 2013	290.79	135.41
October 2013	301.58	139.89
November 2013	304.59	144.49
December 2013	305.55	148.98
January 2014	306.48	153.08
February 2014	313.31	155.02
March 2014	313.56	156.27
April 2014	315.17	154.46
May 2014	318.53	152.72
June 2014	319.66	149.77
July 2014	307.25	147.49
August 2014	306.02	143.76
September 2014	291.54	138.87
October 2014	296.20	134.04
November 2014	299.42	133.35
December 2014	285.60	124.98
January 2015	289.71	121.63
February 2015	300.72	122.12
March 2015	294.85	120.57
April 2015	297.82	121.18
May 2015	297.80	121.24
June 2015	287.89	118.64
July 2015	282.34	118.35
August 2015	274.57	114.70
September 2015	265.79	112.10
October 2015	276.35	110.64
November 2015	268.03	107.74
December 2015	251.23	100.23
January 2016	243.03	96.29
February 2016	247.21	92.93
March 2016	262.89	94.12
April 2016	272.26	95.07
May 2016	272.12	95.36
June 2016	269.97	94.19
July 2016	280.02	96.26
August 2016	286.74	97.24
September 2016	287.45	99.06
October 2016	285.63	101.40
November 2016	278.41	104.40
December 2016	287.88	111.63
January 2017	290.69	115.45
February 2017	292.60	119.73
March 2017	284.06	123.23
April 2017	285.16	125.11
May 2017	286.24	126.81
June 2017	283.96	126.83
July 2017	285.17	127.57
August 2017	280.69	126.24
September 2017	281.49	125.82
October 2017	281.45	126.18
November 2017	274.95	123.90
December 2017	274.64	123.20
January 2018	273.04	124.37
February 2018	258.99	124.91
March 2018	254.28	127.32
April 2018	255.15	129.59
May 2018	252.69	132.15
June 2018	251.38	134.47
July 2018	252.81	136.49
August 2018	253.59	138.40
September 2018	255.18	140.02
October 2018	245.52	140.37
November 2018	240.79	134.87
December 2018	229.20	118.29
January 2019	241.33	116.46
February 2019	247.37	114.28
March 2019	244.76	110.55

Note The data are converted to constant 2019 dollars using the consumer price index.

Source Morningstar, Inc., Morningstar Direct; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 4-7. Mutual Fund Net Flows

This is a stacked bar chart titled “Mutual Fund Net Flows”. The x-axis ranges from January 2017 to February 2019, with labels for February, June, and October of each year. The y-axis is in billions of dollars and ranges from -20 to 16. The data are monthly. Bank loan mutual funds are represented in red. It begins around 4 percent and decrease until August 2017 to about -0.4 percent. It then increases to about -0.2 percent in September 2017, decreases until November 2017 to about -2 percent, and then increases until May 2018 where it reaches about 2.5 percent. It then decreases again until July 2018 to about 1 percent, increases slightly in August, and then begins to decline slightly in September and October. It November 2018, it decreases dramatically to -4.5 percent and again in December to -12 percent. It then increases in 2019 and ends about -3 percent in February 2019.

Note: Monthly data are from Investment Company Institute (ICI) through February 2019.

Source: ICI.

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Figure 4-8. Bid-Ask Spread in Secondary Market for Syndicated Loans

This is a line chart titled “Bid-Ask Spread in Secondary Market for Syndicated Loans.” The x-axis ranges from 2013 to 2020. The y-axis is in percentage points and ranges from 0.5 to 1.5. The data is daily. The data is shown in a blue line. It begins around 0.9 percent, declines slightly until mid-2014, increases sharply to around 1.1 and then immediately drops back to around 0.85 percent. It then steadily declines again to about 0.8, increases sharply to 0.95, declines to around 0.8 again. It then steadily increases until early 2015, where it peaks around 1.1 percent. It then declines to about 0.8 in mid-2015. It then increases again until early 2016 where it reaches about 1.3 percent. It then declines through the rest of 2016 and 2017 until it reaches around 0.7 percent in late 2018. It then sharply rises to around 1.25 in early 2019 and then declines until April 18, 2019 where it ends a bit below 1 percent.

Source: Refinitiv (formerly Thomson Reuters), LPC LoanConnector.

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Figure 4-9. Bid-Ask Spread for Corporate Bonds

This is a line chart titled “Bid-Ask Spread for Corporate Bonds.” The x-axis ranges from 2006 to 2020. The y-axis is the percent and ranges from 0 to 5. The data is a daily, 5 day moving average. There are two lines on this chart. The first is red and is the speculative-grade bid-ask spread. It begins around 1.5 percent and declines to around 1 percent in the beginning of 200. It stays near this level throughout 2006 before increasing until late 2008 and early 2009, where it peaks around 3.8 percent. It then declines throughout the beginning 2009 to about 2 percent, and then increases again 3 percent in early 2009, and declines again to about 1.5 percent in June 2009. It again increases to about 2.25 percent in late 2009, and decreases soon after to about 0.7 percent. It remains around that level though the end of 2016. It has a slight increase in the beginning of 2016 to around 1 percent but then decreases back to around 0.5 and remains close to that through April 2019. The second line is black and is the investment-grade bid-ask spread. It begins around 0.6 percent and increases slowly until late 2008 where it peaks around 2 percent. It then declines to about 1.5 percent at the beginning of 2009, increases to 1.8 percent, and quickly declines again to about percent by the end of 2009. It steadily decreases through the remainder of the series and ends around 0.25 percent in April 2019.

Note: All measures are computed for nondefaulted bonds on the secondary market. Excluded 144a bonds. Bid-ask spread is the difference between trade size weighted-average dealer bid prices and ask prices scaled by the mid price and is seasonally adjusted.

Source: Financial Industry Regulatory Authority.

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Figure 4-10. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type (left)

Billions of dollars (real)

Date	Funding-agreement backed securities	FHLB advances(billlions)
2006:Q1	189.10	10.32
2006:Q2	186.35	10.51
2006:Q3	185.74	11.21
2006:Q4	190.21	12.50
2007:Q1	191.23	13.60
2007:Q2	192.21	16.94
2007:Q3	195.01	23.48
2007:Q4	192.48	27.05
2008:Q1	194.46	30.60
2008:Q2	196.10	31.58
2008:Q3	177.90	40.09
2008:Q4	169.45	57.03
2009:Q1	151.15	57.50
2009:Q2	138.01	54.15
2009:Q3	125.84	50.68
2009:Q4	115.36	51.31
2010:Q1	112.88	50.56
2010:Q2	104.71	48.99
2010:Q3	102.34	48.92
2010:Q4	100.14	48.40
2011:Q1	93.57	49.06
2011:Q2	88.55	48.19
2011:Q3	82.89	48.19
2011:Q4	82.63	48.62
2012:Q1	79.76	49.54
2012:Q2	81.32	52.86
2012:Q3	82.35	52.49
2012:Q4	78.94	51.06
2013:Q1	78.35	51.73
2013:Q2	70.02	52.70
2013:Q3	66.46	51.59
2013:Q4	64.67	52.44
2014:Q1	60.27	51.50
2014:Q2	63.55	51.74
2014:Q3	68.76	52.20
2014:Q4	72.67	53.10
2015:Q1	73.68	55.65
2015:Q2	71.23	56.70
2015:Q3	67.82	57.96
2015:Q4	72.81	58.91
2016:Q1	71.25	61.91
2016:Q2	72.41	65.14
2016:Q3	73.34	67.75
2016:Q4	77.30	68.31
2017:Q1	78.92	70.23
2017:Q2	82.43	70.01
2017:Q3	88.55	69.92
2017:Q4	87.45	72.04
2018:Q1	88.15	76.71
2018:Q2	88.74	76.15
2018:Q3	89.75	74.68
2018:Q4	87.51	77.10

Note The data are converted to constant 2018 dollars using the consumer price index and extend through 2018:Q4. FHLB is Federal Home Loan Bank.

Source Bureau of Labor Statistics, consumer price index via Haver Analytics; 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\nthe S&P Global Market Intelligence Platform.

Figure 4-10. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type (Right)

Billions of dollars (real)

Date	Securities lending	Repurchase agreements
2011:Q1	52.37	6.86
2011:Q2	51.68	7.55
2011:Q3	49.70	7.60
2011:Q4	47.27	7.88
2012:Q1	46.36	8.99
2012:Q2	53.25	11.58
2012:Q3	60.63	12.31
2012:Q4	59.28	12.25
2013:Q1	58.71	14.45
2013:Q2	59.70	14.40
2013:Q3	55.11	13.86
2013:Q4	60.68	12.39
2014:Q1	61.95	14.60
2014:Q2	64.06	14.63
2014:Q3	67.15	16.11
2014:Q4	58.12	12.31
2015:Q1	58.45	11.82
2015:Q2	54.18	11.45
2015:Q3	53.69	11.47
2015:Q4	52.86	9.10
2016:Q1	54.99	11.09
2016:Q2	56.84	12.50
2016:Q3	57.98	13.31
2016:Q4	50.20	10.09
2017:Q1	52.02	13.30
2017:Q2	51.84	13.49
2017:Q3	52.77	14.76
2017:Q4	50.08	12.55
2018:Q1	52.63	12.32
2018:Q2	45.90	14.32
2018:Q3	46.61	13.13
2018:Q4	42.22	12.94

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Figure B. Potential Shocks Cited in Market Outreach

Share of contacts citing shock (Percent of total)

Shock	Percent of Contacts
Trade frictions	75.00
Fed policy risks	54.17
China sharp slowdown	45.83
Brexit	41.67
U.S. corporate stress	37.50
EU slowdown	37.50
U.S. slowdown	25.00
Benchmark rate reform	20.83
ETF market structure	20.83
Europe politics	20.83
Geopolitical tensions	16.67
U.S. fiscal	16.67
Italy	16.67
EM risks	12.50

Note Reflects outreach to 24 contacts (banks, investment firms, and official sector institutions) in 2019:Q1. Reponses were to the following question: "Over the next 12-18 months, which shocks, if realized, do you think would have the greatest negative impact on the functioning of the U.S. financial system?" Each respondent provided at least three shocks.

Source Federal Reserve Bank of New York.

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Financial Stability Report - May 2019