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Finance and Economics Discussion Series: Data for paper 201321 ♣

Financial Stability Monitoring

Tobias Adrian, Daniel Covitz, and Nellie Liang

Chart 1: Capital Ratios of SCAP 19 Bank Holding Companies (BHC)

Date Tier 1 common ratio (%) Tier 1 ratio (%) Tier 1 leverage ratio (%)
2001Q1 8.27 7.27 6.26
2001Q2 8.42 7.43 6.3
2001Q3 8.15 7.02 6.15
2001Q4 8.31 7.11 6.12
2002Q1 8.63 7.29 6.29
2002Q2 8.65 7.32 6.28
2002Q3 8.62 7.37 6.13
2002Q4 8.34 7.12 6.02
2003Q1 8.42 7.18 5.91
2003Q2 8.55 7.3 6.1
2003Q3 8.84 7.55 6.16
2003Q4 8.7 7.45 6.15
2004Q1 8.68 7.47 6.09
2004Q2 8.48 7.24 5.88
2004Q3 8.59 7.36 6.18
2004Q4 8.72 7.52 6.2
2005Q1 8.69 7.45 6.19
2005Q2 8.75 7.44 6.26
2005Q3 8.66 7.34 6.33
2005Q4 8.58 7.28 6.2
2006Q1 8.66 7.32 6.22
2006Q2 8.63 7.3 6.15
2006Q3 8.85 7.42 6.4
2006Q4 8.79 7.37 6.38
2007Q1 8.6 7.19 6.19
2007Q2 8.45 6.98 6.01
2007Q3 8.22 6.74 5.85
2007Q4 7.74 6.01 5.49
2008Q1 8.07 5.78 5.77
2008Q2 8.58 5.85 6.2
2008Q3 8.44 5.7 6.16
2008Q4 10.05 5.03 7.54
2009Q1 10.92 5.4 7.26
2009Q2 11.37 6.59 7.54
2009Q3 11.8 7.74 7.73
2009Q4 11.31 8.29 7.38
2010Q1 11.36 8.36 7.13
2010Q2 11.86 8.81 7.34
2010Q3 12.18 9.21 7.65
2010Q4 12.24 9.39 7.59
2011Q1 12.2 9.7 7.59
2011Q2 12.31 9.95 7.49
2011Q3 12.32 10.06 7.43
2011Q4 12.56 10.38 7.58
2012Q1 12.93 10.78 7.83
2012Q2 12.74 10.88 7.68
2012Q3 12.79 11.05 7.78
Return to Chart 1

Chart 2: BHC Liability Structure 2012Q4

  Equity capital Debt maturing > 1yr Deposits Debt maturing < 1yr & CP Repo & Fed Funds Trading Liabilities Other
WFC 11.167574 5.745245 70.500883 2.380588 2.45775 1.500174 6.247786
BAC 10.718911 8.424825 50.052617 3.611357 13.21432 5.334679 8.643286
C 10.242993 8.781547 49.905077 5.03502 11.32839 6.196787 8.510184
JPM 8.684008 8.962754 50.59439 6.038384 10.18561 5.585974 9.948875
GS 8.119561 17.095668 7.457205 6.290039 19.76938 13.268213 27.999936
MS 8.929651 17.884911 10.662006 4.749283 19.548964 17.138762 21.0864231
Return to Chart 2

Chart 4: Market-based Capital Ratios for BHCs

  BAC CITI GS JPM MS WFC
Dec. 2008 4.058369731 1.865028712 4.356850248 5.293070402 2.689482962 16.27364409
Dec. 2012 6.096074757 6.241761224 6.417334367 7.302907863 5.148091471 12.86531428
Return to Chart 4

Chart 8: Margins on Italian and Spanish Sovereign Bonds

  Italy Spain
20-Mar-12 6.6 4.4
21-Mar-12 6.6 4.4
22-Mar-12 6.6 4.4
23-Mar-12 6.6 4.4
26-Mar-12 6.6 4.4
27-Mar-12 6.6 4.4
28-Mar-12 6.6 4.4
29-Mar-12 6.6 4.4
30-Mar-12 6.6 4.4
2-Apr-12 6.6 4.4
3-Apr-12 6.6 4.4
4-Apr-12 6.6 4.4
5-Apr-12 6.6 4.4
6-Apr-12 6.6 4.4
9-Apr-12 6.6 4.4
10-Apr-12 6.6 4.4
11-Apr-12 6.6 4.4
12-Apr-12 6.6 4.4
13-Apr-12 6.6 4.4
16-Apr-12 6.6 4.4
17-Apr-12 6.6 4.4
18-Apr-12 6.6 4.4
19-Apr-12 6.6 4.4
20-Apr-12 6.6 4.4
23-Apr-12 6.6 4.4
24-Apr-12 6.6 4.4
25-Apr-12 6.6 4.4
26-Apr-12 6.6 4.9
27-Apr-12 6.6 4.9
30-Apr-12 6.6 4.9
1-May-12 6.6 4.9
2-May-12 6.6 4.9
3-May-12 6.6 4.9
4-May-12 6.6 4.9
7-May-12 6.6 4.9
8-May-12 6.6 4.9
9-May-12 6.6 4.9
10-May-12 6.6 4.9
11-May-12 6.6 4.9
14-May-12 6.6 4.9
15-May-12 6.6 4.9
16-May-12 6.6 4.9
17-May-12 6.6 4.9
18-May-12 6.6 4.9
21-May-12 6.6 4.9
22-May-12 6.6 4.9
23-May-12 6.6 4.9
24-May-12 6.6 4.9
25-May-12 6.6 5.4
28-May-12 6.6 5.4
29-May-12 6.6 5.4
30-May-12 6.6 5.4
31-May-12 6.6 5.4
1-Jun-12 6.6 5.4
4-Jun-12 6.6 5.4
5-Jun-12 6.6 5.4
6-Jun-12 6.6 5.4
7-Jun-12 6.6 5.4
8-Jun-12 6.6 5.4
11-Jun-12 6.6 5.4
12-Jun-12 6.6 5.4
13-Jun-12 6.6 5.4
14-Jun-12 6.6 5.4
15-Jun-12 6.6 5.4
18-Jun-12 6.6 5.4
19-Jun-12 6.6 5.4
20-Jun-12 6.6 5.4
21-Jun-12 6.6 5.4
22-Jun-12 6.75 7
25-Jun-12 6.75 7
26-Jun-12 6.75 7
27-Jun-12 6.75 7
28-Jun-12 6.75 7
29-Jun-12 6.75 7
2-Jul-12 6.75 7
3-Jul-12 6.75 7
4-Jul-12 6.75 7
5-Jul-12 6.75 7
6-Jul-12 6.75 7
9-Jul-12 6.75 7
10-Jul-12 6.75 7
11-Jul-12 6.75 7
12-Jul-12 6.75 7
13-Jul-12 6.75 7
16-Jul-12 6.75 7
17-Jul-12 6.75 7
18-Jul-12 6.75 7
19-Jul-12 6.75 7
20-Jul-12 6.75 7
23-Jul-12 6.75 7
24-Jul-12 6.75 7
25-Jul-12 6.75 7
26-Jul-12 6.75 7
27-Jul-12 6.75 7
30-Jul-12 6.75 7
31-Jul-12 6.75 7
1-Aug-12 6.75 7
2-Aug-12 6.75 7
3-Aug-12 6.75 7
6-Aug-12 6.75 7
7-Aug-12 6.75 7
8-Aug-12 6.75 7
9-Aug-12 6.75 7
10-Aug-12 6.75 7
13-Aug-12 6.75 7
14-Aug-12 6.75 7
15-Aug-12 7.25 7
16-Aug-12 7.25 7
17-Aug-12 7.25 7
20-Aug-12 7.25 7
21-Aug-12 7.25 7
22-Aug-12 7.25 7
23-Aug-12 7.25 7
24-Aug-12 7.25 7
27-Aug-12 7.25 7
28-Aug-12 7.25 7
29-Aug-12 7.25 7
30-Aug-12 7.25 7
31-Aug-12 7.25 7
3-Sep-12 7.25 7
4-Sep-12 7.25 7
5-Sep-12 7.25 7
6-Sep-12 7.25 7
7-Sep-12 7.25 7
10-Sep-12 7.25 7
11-Sep-12 7.25 7
12-Sep-12 7.25 7
13-Sep-12 7.25 7
14-Sep-12 7.25 7
17-Sep-12 7.25 7
18-Sep-12 7.25 7
19-Sep-12 7.25 7
20-Sep-12 7.25 7
21-Sep-12 7.25 7
24-Sep-12 7.25 7
25-Sep-12 7.25 7
26-Sep-12 7.25 7
27-Sep-12 7.25 7
28-Sep-12 7.25 7
1-Oct-12 7.25 7
2-Oct-12 7.25 7
3-Oct-12 7.25 7
4-Oct-12 7.25 7
5-Oct-12 7.25 7
8-Oct-12 7.25 7
9-Oct-12 7.25 7
10-Oct-12 7.25 7
11-Oct-12 7.25 7
12-Oct-12 7.25 7
15-Oct-12 7.25 7
16-Oct-12 7.25 7
17-Oct-12 7.25 7
18-Oct-12 7.25 7
19-Oct-12 7.25 7
22-Oct-12 7.25 7
23-Oct-12 7.25 7
24-Oct-12 7.25 7
25-Oct-12 7.25 7
26-Oct-12 7.25 7
29-Oct-12 7.25 7
30-Oct-12 7.25 7
31-Oct-12 7.25 7
1-Nov-12 7.25 7
2-Nov-12 7.25 7
5-Nov-12 7.25 7
6-Nov-12 7.25 7
7-Nov-12 7.25 7
8-Nov-12 7.25 7
9-Nov-12 7.25 7
12-Nov-12 7.25 7
13-Nov-12 7.25 7
14-Nov-12 7.25 7
15-Nov-12 7.25 7
16-Nov-12 7.25 7
19-Nov-12 7.25 7
20-Nov-12 7.25 7
21-Nov-12 7.25 7
22-Nov-12 7.25 7
23-Nov-12 7.25 7
26-Nov-12 7.25 7
27-Nov-12 7.25 7
28-Nov-12 7.25 7
29-Nov-12 7.25 7
30-Nov-12 7.25 7
3-Dec-12 7.25 7
4-Dec-12 7.25 7
5-Dec-12 7.25 7
6-Dec-12 7.25 7
7-Dec-12 7.25 7
10-Dec-12 7.25 7
11-Dec-12 7.25 7
12-Dec-12 7.25 7
13-Dec-12 7.25 7
14-Dec-12 7.25 7
17-Dec-12 7.25 7
18-Dec-12 7.25 7
19-Dec-12 7.25 7
20-Dec-12 7.25 7
21-Dec-12 7.25 7
24-Dec-12 7.25 7
25-Dec-12 7.25 7
26-Dec-12 7.25 7
27-Dec-12 7.25 7
28-Dec-12 7.25 7
31-Dec-12 7.25 7
1-Jan-13 7.25 7
2-Jan-13 7.25 7
3-Jan-13 7.25 7
4-Jan-13 7.25 7
7-Jan-13 7.25 7
8-Jan-13 7.25 7
9-Jan-13 7.25 7
10-Jan-13 7.25 7
11-Jan-13 7.25 7
14-Jan-13 7.25 7
15-Jan-13 7.25 7
16-Jan-13 7.25 7
17-Jan-13 7.25 7
18-Jan-13 7.25 7
21-Jan-13 7.25 7
22-Jan-13 7.25 7
23-Jan-13 7.25 7
24-Jan-13 7.25 7
25-Jan-13 7.25 7
28-Jan-13 7.25 7
29-Jan-13 7.25 7
Return to Chart 8

Chart 9: Financial Sector Liabilities

  Commercial Banks Bank Holding Companies Shadow Banks
1960Q1 54.85 55.8 58.27
1960Q2 55.94 56.95 59.58
1960Q3 57.04 58.19 60.9
1960Q4 59.25 60.53 63.32
1961Q1 58.59 59.71 62.53
1961Q2 58.9 60.14 62.95
1961Q3 59.53 60.75 63.62
1961Q4 60.19 61.55 64.42
1962Q1 58.85 60.06 63.08
1962Q2 59.85 61.01 64.05
1962Q3 60.44 61.67 64.89
1962Q4 62.81 64.23 67.44
1963Q1 61.8 63 66.2
1963Q2 62.9 64.24 67.59
1963Q3 62.79 64.2 67.58
1963Q4 64.24 65.68 69.11
1964Q1 62.75 64.02 67.46
1964Q2 63.72 65.12 68.68
1964Q3 64.01 65.36 68.94
1964Q4 65.92 67.37 70.97
1965Q1 64.46 65.75 69.37
1965Q2 65.4 66.86 70.64
1965Q3 64.64 65.79 69.6
1965Q4 65.23 66.59 70.25
1966Q1 63.15 64.3 68.2
1966Q2 64.32 65.64 69.84
1966Q3 63.17 64.26 68.63
1966Q4 63.63 64.99 69.61
1967Q1 63.25 64.6 69.47
1967Q2 64.56 65.91 70.76
1967Q3 65.25 66.75 71.52
1967Q4 66.39 68.06 72.94
1968Q1 64.49 65.97 71.08
1968Q2 64.09 65.68 70.87
1968Q3 65.07 66.91 72.2
1968Q4 66.33 68.22 73.52
1969Q1 64.28 65.77 71.39
1969Q2 64.74 66.46 72.52
1969Q3 63.46 65.02 71.66
1969Q4 64.5 66.41 73.54
1970Q1 62.89 64.84 72.81
1970Q2 63.46 65.37 73.48
1970Q3 64.56 66.31 74.08
1970Q4 67.22 69.17 77.02
1971Q1 66.04 67.77 75.36
1971Q2 66.99 68.68 76.06
1971Q3 67.52 69.36 76.92
1971Q4 69.82 71.94 79.67
1972Q1 69.18 71.17 78.91
1972Q2 69.49 71.55 79.21
1972Q3 70.48 72.6 80.19
1972Q4 71.81 74.22 81.89
1973Q1 71 73.1 80.61
1973Q2 71.39 73.45 81.33
1973Q3 72.34 74.46 82.87
1973Q4 72.19 74.47 83.17
1974Q1 72.82 74.88 84.05
1974Q2 73.21 75.33 84.87
1974Q3 73.21 75.23 85.61
1974Q4 72.35 74.4 85.02
1975Q1 72.3 74.3 85.19
1975Q2 72.36 74.44 84.94
1975Q3 71.32 73.33 83.56
1975Q4 70.95 73.32 83.52
1976Q1 69.58 72.12 82.23
1976Q2 70.26 72.9 83.09
1976Q3 70.54 73.41 83.66
1976Q4 71.14 74.27 84.71
1977Q1 70.79 73.58 84.13
1977Q2 70.68 73.57 84.26
1977Q3 70.45 73.19 83.88
1977Q4 71.48 74.37 85.51
1978Q1 71.41 74.39 85.74
1978Q2 70.05 72.99 84.39
1978Q3 70.21 73.16 84.68
1978Q4 70.31 73.17 85.24
1979Q1 70.04 72.87 85.53
1979Q2 70.3 73.45 86.87
1979Q3 70.11 73.18 87.2
1979Q4 70.03 72.84 87.5
1980Q1 69.11 72.01 87.59
1980Q2 69.64 72.78 88.96
1980Q3 69.65 72.89 89.26
1980Q4 69.03 72.21 88.17
1981Q1 66.41 69.6 86.19
1981Q2 67.35 70.62 88.15
1981Q3 66.61 69.91 88.39
1981Q4 67.98 71.63 90.88
1982Q1 68.85 72.5 92.61
1982Q2 68.78 72.4 93.27
1982Q3 69.07 72.83 94.56
1982Q4 71.27 75.75 97.41
1983Q1 70.98 75 96.34
1983Q2 70.76 74.89 95.75
1983Q3 70.75 75.11 96.01
1983Q4 71.58 76.14 97.36
1984Q1 70.51 74.79 96.19
1984Q2 71 75.1 97.16
1984Q3 72.36 76.86 99.14
1984Q4 74.01 79.28 102.26
1985Q1 73.23 77.8 101.45
1985Q2 73.76 78.73 102.83
1985Q3 74.05 79.16 103.82
1985Q4 75.68 81.79 107.11
1986Q1 75.13 81.77 107.98
1986Q2 75.88 82.58 109.97
1986Q3 76.23 82.7 111.41
1986Q4 78.01 84.8 115.04
1987Q1 76.64 83.18 114.52
1987Q2 76.47 82.77 115.17
1987Q3 76.62 82.98 116.05
1987Q4 76.43 82.07 115.64
1988Q1 76.52 82.26 116.3
1988Q2 76.73 82.32 116.63
1988Q3 76.75 82.21 116.97
1988Q4 76.79 82.07 117.79
1989Q1 74.48 79.94 116.94
1989Q2 74.25 80.4 117.31
1989Q3 73.15 79.24 116.73
1989Q4 72.72 79.68 117.83
1990Q1 71.52 77.77 116.55
1990Q2 70.06 76.01 115.06
1990Q3 69.25 75.02 115.03
1990Q4 68.81 75.44 116.61
1991Q1 67.56 73.84 115.75
1991Q2 65.83 72.32 113.75
1991Q3 64.24 71.23 112.93
1991Q4 63.49 70.8 113.19
1992Q1 62.04 69.1 111.69
1992Q2 60.65 67.84 110.6
1992Q3 60.13 68.12 111.24
1992Q4 59.41 67.01 110.31
1993Q1 58.64 66.82 110.67
1993Q2 58.37 66.87 110.85
1993Q3 58.36 67.13 111.83
1993Q4 58.02 66.95 112.06
1994Q1 60.2 68.91 114.79
1994Q2 59.79 68.33 114.11
1994Q3 58.85 67.38 113.48
1994Q4 58.48 66.66 113.37
1995Q1 58.56 66.97 114.23
1995Q2 58.22 66.92 114.76
1995Q3 58.23 67.04 116.1
1995Q4 58.1 67.67 117.71
1996Q1 57.5 67.03 117.88
1996Q2 57.15 66.47 117.77
1996Q3 57.33 66.79 118.79
1996Q4 56.97 67.12 120.09
1997Q1 56.73 67.03 120.47
1997Q2 56.73 67.75 121.39
1997Q3 56.66 67.97 122.27
1997Q4 57.73 69.43 125.74
1998Q1 56.27 69.64 127.74
1998Q2 56.13 69.52 129.15
1998Q3 56.37 70.47 132
1998Q4 57.21 70.36 133.34
1999Q1 56.67 69.42 134.04
1999Q2 56.82 69.59 135.3
1999Q3 56.96 69.81 136.94
1999Q4 57.59 71.29 139.96
2000Q1 57.79 72.57 142.26
2000Q2 57.73 72.27 141.73
2000Q3 58.57 73.99 144.85
2000Q4 59.18 74.81 147.58
2001Q1 59.64 75.45 149.44
2001Q2 59.36 76.32 149.89
2001Q3 61.04 79.39 154.92
2001Q4 61.06 79.24 157.7
2002Q1 60.34 78.1 156.3
2002Q2 61.12 79.15 157.47
2002Q3 62.55 80.01 158.64
2002Q4 63.98 80.64 161.06
2003Q1 63.87 81.1 162.24
2003Q2 65 83.5 164.74
2003Q3 64.39 82.92 163.47
2003Q4 64.59 83.55 164.77
2004Q1 65.46 85.23 166.31
2004Q2 66.31 85.4 166.98
2004Q3 67.22 87.29 169.04
2004Q4 68.28 88.76 172.19
2005Q1 67.63 88.76 172.34
2005Q2 68.34 90.16 175.02
2005Q3 68.36 89.83 175.41
2005Q4 68.55 89.94 177.75
2006Q1 68.6 90.83 179.5
2006Q2 69.6 92.72 183.24
2006Q3 70.32 94.73 187.49
2006Q4 69.54 95.54 190.9
2007Q1 68.85 96.6 193.42
2007Q2 69.2 97.96 196.73
2007Q3 70.56 99.63 199.5
2007Q4 70.91 99.43 200.24
2008Q1 72.3 102.14 204.98
2008Q2 71.96 100.36 202.47
2008Q3 73.87 102.44 204.11
2008Q4 79.62 103.69 207.95
2009Q1 80.84 107.06 209.18
2009Q2 79.4 106.21 206.48
2009Q3 79.55 106.77 203.59
2009Q4 78.61 105.36 198.8
2010Q1 78.98 105.38 191.71
2010Q2 78.16 103.25 186.96
2010Q3 77.49 103.16 185.07
2010Q4 76.71 102.06 182.32
2011Q1 76.88 102.45 182.51
2011Q2 77.01 102.55 180.7
2011Q3 77.1 101.26 176.96
2011Q4 77.27 100.62 175.28
2012Q1 77.31 103.25 176.47
2012Q2 77.29 102.42 174.03
2012Q3 77.31 101.05 171.55
Return to Chart 9

Chart 11: Prime Money Market Mutual Fund (MMF) Exposures

  Europe United States Rest of World
Jan-11 889.396 593.0115 323.8585
Feb-11 914.0321 574.2333 326.3798
Mar-11 880.7541 576.9371 329.9567
Apr-11 943.2016 566.1131 341.6984
May-11 964.2858 539.1666 335.1445
Jun-11 842.658 537.328 341.6824
Jul-11 776.1148 538.653 334.6302
Aug-11 750.0541 598.8869 373.5076
Sep-11 660.0725 608.1416 395.6742
Oct-11 646.7672 625.1595 389.2816
Nov-11 604.1048 630.9791 420.9176
Dec-11 548.857 630.5563 454.0798
Jan-12 591.5881 637.3786 432.0891
Feb-12 605.1032 663.0246 448.0861
Mar-12 565.6473 650.1547 443.4863
Apr-12 585.5321 665.2711 446.7342
May-12 568.4109 661.6239 455.8338
Jun-12 499.6018 673.4055 473.2793
Jul-12 530.931 675.639 481.8286
Aug-12 531.6784 666.1789 497.0618
Sep-12 548.2694 662.8913 491.4333
Oct-12 580.0354 653.004 469.48
Nov-12 603.7942 659.0339 495.815
Dec-12 550.0771 647.6634 554.4375
Return to Chart 11

Chart 12: Maturities of Prime MMF European Exposures

  Overnight 1 week 30 days >30 days
Dec-10 355.1 135.87 118.98 518.82
Jan-11 396.39 104.66 116.87 547.91
Feb-11 340.63 121.16 94.68 478.21
Mar-11 364.83 113.67 117.02 376.52
Apr-11 441.85 143.92 96.56 317.73
May-11 356.04 143.56 107.2 266.66
Jun-11 362.68 153.15 126.37 233.44
Jul-11 374.54 144.41 89.89 235.83
Aug-11 322.96 135.49 105.89 181.7
Sep-11 368.95 111.97 136.29 198.26
Oct-11 391.51 129.69 90.61 219.39
Nov-11 309.56 123.96 103.76 219.51
Dec-11 367.01 121.86 98.78 223.29
Jan-12 356.45 121.03 88.23 223.19
Feb-12 290.6 114.78 68.55 212.78
Mar-12 350.76 117.42 89.33 196.78
Apr-12 353.71 97.2 56.61 230.14
May-12 294.43 116.66 80 225.39
Jun-12 342.56 119.92 82.56 232.24
Jul-12 350.64 126.33 43.4 288.74
Aug-12 278.86 94.43 75.28 276.98
Sep-12 337.93 120.86 81.84 295.65
Oct-12 331.23 127.05 83.56 292.88
Nov-12 266.8 123.55 72.54 278.98
Dec-12 343.49 115.24 71.37 293.41
Return to Chart 12

Chart 13: U.S. Securitization Issuance

  CDOs (incl. ABS CDO & CLO) RMBS CMBS ABS
2001Q1 137.92153 124.97342 76.128465 63.411345
2001Q2 145.74841 132.29354 75.882114 56.134931
2001Q3 143.7692 133.82733 74.90783 60.011136
2001Q4 170.42515 151.62308 73.153906 45.918962
2002Q1 161.01097 148.58566 61.216728 50.522135
2002Q2 183.72901 167.09671 84.453599 70.477616
2002Q3 179.46112 165.57594 61.825555 47.217494
2002Q4 209.91369 190.46003 81.226505 59.9253
2003Q1 194.91932 186.0355 70.235137 56.635646
2003Q2 233.86598 218.6408 87.108327 62.977179
2003Q3 225.39612 210.03231 72.573535 52.186285
2003Q4 257.65849 236.79071 93.387455 64.603879
2004Q1 220.97445 206.22535 71.482278 54.122856
2004Q2 306.04583 286.15136 91.238355 63.390455
2004Q3 322.19199 298.38902 82.319633 58.588654
2004Q4 333.10056 295.76553 73.025398 40.165848
2005Q1 340.35073 306.26044 87.643267 56.797857
2005Q2 436.79863 395.93601 123.417958 82.320157
2005Q3 446.52034 402.08842 98.899892 60.887168
2005Q4 509.44456 443.57894 149.497868 84.154033
2006Q1 451.92542 386.20581 111.808166 68.247871
2006Q2 513.32887 417.95522 121.782126 76.795209
2006Q3 488.09716 388.18551 120.628757 77.438688
2006Q4 537.15896 415.12938 152.219937 73.734125
2007Q1 501.00694 394.70625 133.429194 74.814622
2007Q2 522.78651 403.08821 152.902587 86.28332
2007Q3 293.37493 245.33396 134.237229 59.651046
2007Q4 176.91611 145.88262 95.526716 61.031806
2008Q1 75.04815 66.41339 54.56501 48.26772
2008Q2 96.95377 81.05796 73.319823 61.178967
2008Q3 35.56798 29.39121 26.913751 26.475752
2008Q4 34.5367 11.89889 5.208353 4.259163
2009Q1 22.83504 21.08485 15.211738 12.847155
2009Q2 73.77663 72.04623 51.712429 48.696132
2009Q3 70.55202 65.53783 54.244043 50.524941
2009Q4 50.11667 49.56676 38.985752 31.275288
2010Q1 59.48451 58.32778 43.151761 34.900564
2010Q2 56.87431 55.98847 38.610978 29.104445
2010Q3 51.39349 50.76946 43.181631 32.606957
2010Q4 59.94018 58.06171 39.127025 21.676932
2011Q1 60.62729 58.66569 48.839554 31.296724
2011Q2 68.63651 63.57172 55.389238 37.611837
2011Q3 46.19633 43.54822 41.203992 26.083527
2011Q4 51.25278 46.4612 44.637727 26.99419
2012Q1 71.51939 64.32623 60.441333 45.519444
2012Q2 93.74929 82.41038 76.996412 52.316525
2012Q3 92.31538 78.21245 75.388389 47.431458
2012Q4 101.00465 79.14791 75.986645 44.101812
Return to Chart 13

Chart 14: Ten-Year Nominal Yields and Term Premium Estimates

  Estimate 1 Estimate 2 Estimate 3
Jan-97 1.57 1.94 ND
Feb-97 1.48 1.87 ND
Mar-97 1.65 1.99 ND
Apr-97 1.76 1.98 ND
May-97 1.64 1.9 ND
Jun-97 1.54 1.8 ND
Jul-97 1.35 1.72 ND
Aug-97 1.4 1.81 ND
Sep-97 1.37 1.72 ND
Oct-97 1.25 1.61 ND
Nov-97 1.09 1.49 ND
Dec-97 1.01 1.43 ND
Jan-98 0.87 1.4 0.69
Feb-98 0.91 1.42 0.69
Mar-98 0.99 1.4 0.62
Apr-98 0.97 1.32 0.65
May-98 0.97 1.34 0.65
Jun-98 0.88 1.31 0.46
Jul-98 0.86 1.21 0.42
Aug-98 0.77 1.17 0.38
Sep-98 0.48 0.93 0.15
Oct-98 0.48 0.94 0.7
Nov-98 0.59 1.07 0.6
Dec-98 0.49 0.94 0.33
Jan-99 0.6 0.9 0.51
Feb-99 0.79 1.07 0.72
Mar-99 0.97 1.25 0.96
Apr-99 0.92 1.13 0.96
May-99 1.13 1.43 1.16
Jun-99 1.34 1.6 1.28
Jul-99 1.33 1.53 1.27
Aug-99 1.38 1.71 1.32
Sep-99 1.36 1.67 1.35
Oct-99 1.49 1.76 1.41
Nov-99 1.29 1.59 1.23
Dec-99 1.38 1.68 1.29
Jan-00 1.6 1.88 1.29
Feb-00 1.5 1.77 1.06
Mar-00 1.3 1.58 0.89
Apr-00 1.12 1.4 0.77
May-00 1.34 1.63 0.88
Jun-00 1.11 1.4 0.75
Jul-00 1.02 1.45 0.71
Aug-00 0.86 1.38 0.53
Sep-00 0.86 1.49 0.67
Oct-00 0.74 1.51 0.56
Nov-00 0.7 1.5 0.43
Dec-00 0.47 1.25 0.3
Jan-01 0.66 1.59 0.88
Feb-01 0.73 1.62 0.94
Mar-01 0.72 1.58 1.04
Apr-01 1.02 1.8 1.37
May-01 1.27 1.94 1.53
Jun-01 1.27 1.95 1.57
Jul-01 1.22 1.93 1.55
Aug-01 1.11 1.95 1.55
Sep-01 1.13 2.11 1.92
Oct-01 1.16 2.14 2.06
Nov-01 1.33 2.16 2.21
Dec-01 1.76 2.38 2.64
Jan-02 1.71 2.39 2.66
Feb-02 1.6 2.31 2.56
Mar-02 1.84 2.28 2.54
Apr-02 1.78 2.23 2.7
May-02 1.71 2.2 2.86
Jun-02 1.52 2.11 2.89
Jul-02 1.32 2.25 2.94
Aug-02 1.02 2.14 2.89
Sep-02 0.7 1.73 2.54
Oct-02 0.76 1.84 2.69
Nov-02 0.94 1.84 2.75
Dec-02 0.94 1.97 2.77
Jan-03 0.95 2.1 2.76
Feb-03 0.84 2.03 2.64
Mar-03 0.76 1.87 2.54
Apr-03 0.87 2.05 2.56
May-03 0.54 1.68 2.27
Jun-03 0.39 1.44 2.18
Jul-03 0.89 2.11 2.63
Aug-03 1.28 2.35 2.71
Sep-03 1.13 2.34 2.66
Oct-03 1.13 2.23 2.55
Nov-03 1.15 2.04 2.38
Dec-03 1.14 2.05 2.34
Jan-04 1.03 2.03 2.3
Feb-04 0.98 1.97 2.22
Mar-04 0.76 1.76 2.09
Apr-04 1.17 1.93 2.26
May-04 1.43 2.02 2.31
Jun-04 1.35 1.87 2.13
Jul-04 1.13 1.68 1.98
Aug-04 0.93 1.58 1.85
Sep-04 0.74 1.35 1.62
Oct-04 0.68 1.28 1.54
Nov-04 0.67 1.15 1.38
Dec-04 0.63 1.02 1.27
Jan-05 0.59 0.88 1.01
Feb-05 0.51 0.7 0.75
Mar-05 0.71 0.88 0.93
Apr-05 0.56 0.71 0.82
May-05 0.39 0.46 0.48
Jun-05 0.28 0.35 0.22
Jul-05 0.33 0.42 0.26
Aug-05 0.33 0.45 0.25
Sep-05 0.27 0.51 0.29
Oct-05 0.39 0.61 0.38
Nov-05 0.42 0.77 0.43
Dec-05 0.34 0.58 0.27
Jan-06 0.25 0.65 0.14
Feb-06 0.32 0.67 0.1
Mar-06 0.41 0.81 0.3
Apr-06 0.53 0.94 0.56
May-06 0.58 1.01 0.64
Jun-06 0.53 0.89 0.49
Jul-06 0.48 0.93 0.43
Aug-06 0.35 0.88 0.32
Sep-06 0.27 0.85 0.2
Oct-06 0.26 0.82 0.15
Nov-06 0.15 0.71 -0.03
Dec-06 0.15 0.75 -0.04
Jan-07 0.28 0.78 0.04
Feb-07 0.25 0.76 0.02
Mar-07 0.14 0.8 0.02
Apr-07 0.24 0.87 0.13
May-07 0.3 0.79 0.06
Jun-07 0.6 1.04 0.4
Jul-07 0.5 1.18 0.44
Aug-07 0.4 1.1 0.45
Sep-07 0.36 1.06 0.49
Oct-07 0.39 1.18 0.55
Nov-07 0.29 1.19 0.62
Dec-07 0.31 1.32 0.84
Jan-08 0.16 1.45 0.99
Feb-08 0.39 1.72 1.35
Mar-08 0.35 1.4 1.34
Apr-08 0.5 1.23 0.96
May-08 0.63 1.32 0.87
Jun-08 0.73 1.42 0.9
Jul-08 0.68 1.35 0.89
Aug-08 0.56 1.27 0.88
Sep-08 0.52 1.34 0.96
Oct-08 0.87 2.43 2.87
Nov-08 0.79 2.49 4.1
Dec-08 0.14 1.28 1.34
Jan-09 0.21 1.21 1.12
Feb-09 0.41 1.45 1.41
Mar-09 0.33 1.21 1.11
Apr-09 0.36 1.18 1.04
May-09 0.65 1.65 1.61
Jun-09 1.06 2.19 1.94
Jul-09 0.91 2.07 1.86
Aug-09 0.96 2.05 1.68
Sep-09 0.82 1.97 1.58
Oct-09 0.78 1.81 1.44
Nov-09 0.76 1.93 1.7
Dec-09 0.85 2.08 1.91
Jan-10 0.97 2.21 1.97
Feb-10 0.91 2.2 2.05
Mar-10 0.91 2.12 1.92
Apr-10 1 2.24 1.88
May-10 0.7 1.96 1.65
Jun-10 0.55 1.79 1.46
Jul-10 0.34 1.51 1.33
Aug-10 0.06 1.05 0.94
Sep-10 0.03 1.04 0.86
Oct-10 -0.13 0.8 0.85
Nov-10 -0.01 0.85 1.02
Dec-10 0.51 1.79 1.71
Jan-11 0.57 1.92 1.9
Feb-11 0.76 2.07 1.83
Mar-11 0.64 1.94 1.7
Apr-11 0.7 1.97 1.68
May-11 0.44 1.63 1.53
Jun-11 0.24 1.34 1.49
Jul-11 0.23 1.3 1.55
Aug-11 -0.29 0.5 0.55
Sep-11 -0.48 0.18 -0.15
Oct-11 -0.32 0.43 0
Nov-11 -0.46 0.21 -0.15
Dec-11 -0.49 0.15 -0.3
Jan-12 -0.52 0.1 -0.35
Feb-12 -0.56 0 -0.41
Mar-12 -0.39 0.23 -0.18
Apr-12 -0.5 0.08 -0.27
May-12 -0.67 -0.19 -0.78
Jun-12 -0.77 -0.37 -1.33
Jul-12 -0.85 -0.48 -1.47
Aug-12 -0.74 -0.28 -1.06
Sep-12 -0.75 -0.31 -0.89
Oct-12 -0.73 -0.3 -0.91
Nov-12 -0.79 -0.37 -1.04
Return to Chart 14

Chart 15: Near- and Far-Term BB Forward Credit Spreads

  Near-term Far-term
Jan-89 1.49 3.16
Feb-89 1.65 3.24
Mar-89 1.48 3.34
Apr-89 1.62 3.41
May-89 1.92 3.19
Jun-89 2.08 3.69
Jul-89 2.85 3.32
Aug-89 2.62 3.46
Sep-89 2.43 3.46
Oct-89 2.85 3.42
Nov-89 2.67 3.82
Dec-89 2.75 3.85
Jan-90 2.75 3.32
Feb-90 2.1 3.26
Mar-90 1.9 3.27
Apr-90 1.84 3.06
May-90 2.05 2.5
Jun-90 1.92 3
Jul-90 2.06 2.65
Aug-90 2.38 2.65
Sep-90 2.48 2.35
Oct-90 3.22 2.9
Nov-90 3.35 3.13
Dec-90 3.26 3.52
Jan-91 3.4 3.85
Feb-91 3.36 3.41
Mar-91 2.89 2.95
Apr-91 2.66 3.08
May-91 2.65 2.95
Jun-91 2.49 2.83
Jul-91 2.68 2.74
Aug-91 3.01 2.59
Sep-91 1.15 2.62
Oct-91 2.96 2.43
Nov-91 2.69 2.07
Dec-91 3.62 1.97
Jan-92 3.64 2.37
Feb-92 3.22 2.23
Mar-92 3.83 2.11
Apr-92 3.32 2.23
May-92 3.37 1.92
Jun-92 3.48 1.9
Jul-92 3.79 1.35
Aug-92 6.02 1
Sep-92 5.61 0.93
Oct-92 5.35 1.19
Nov-92 4.3 1.58
Dec-92 3.16 2.06
Jan-93 3.22 1.9
Feb-93 3.63 2.14
Mar-93 3.78 2.41
Apr-93 3.75 2.24
May-93 3.78 2.08
Jun-93 3.17 2.15
Jul-93 2.93 2.47
Aug-93 2.92 2.55
Sep-93 3.07 2.88
Oct-93 3.14 2.47
Nov-93 2.96 2.38
Dec-93 2.84 2.36
Jan-94 2.68 1.95
Feb-94 2.58 2.08
Mar-94 2.41 2.33
Apr-94 1.96 2.25
May-94 2.3 2.51
Jun-94 2.56 2.55
Jul-94 2.27 2.31
Aug-94 2.16 2.46
Sep-94 1.68 2.52
Oct-94 1.82 2.33
Nov-94 1.81 2.55
Dec-94 1.73 2.94
Jan-95 1.52 2.81
Feb-95 1.45 2.58
Mar-95 1.83 2.53
Apr-95 1.9 2.3
May-95 1.9 2.28
Jun-95 2.46 2.44
Jul-95 2.25 2.43
Aug-95 2.16 2.12
Sep-95 2.47 2.2
Oct-95 2.57 2.49
Nov-95 2.76 2.39
Dec-95 2.87 2.36
Jan-96 2.86 2.37
Feb-96 3.03 2.36
Mar-96 2.49 2.1
Apr-96 2.27 2.13
May-96 2.19 2.07
Jun-96 1.86 1.93
Jul-96 2.04 2.08
Aug-96 2.34 2.42
Sep-96 1.91 1.97
Oct-96 2.12 1.98
Nov-96 2.35 2.03
Dec-96 2.36 2.09
Jan-97 2.07 1.82
Feb-97 1.83 1.69
Mar-97 1.6 1.64
Apr-97 1.68 1.55
May-97 1.63 1.53
Jun-97 1.62 1.46
Jul-97 1.7 1.53
Aug-97 1.62 1.5
Sep-97 1.63 1.46
Oct-97 1.68 1.56
Nov-97 1.79 1.69
Dec-97 1.83 1.76
Jan-98 2.08 1.68
Feb-98 2.01 1.63
Mar-98 1.98 1.73
Apr-98 1.91 1.69
May-98 1.89 1.91
Jun-98 1.97 2.37
Jul-98 2.05 2.28
Aug-98 2.36 2.51
Sep-98 3.24 2.81
Oct-98 3.57 2.96
Nov-98 3.23 3.01
Dec-98 3.24 2.77
Jan-99 3.26 2.57
Feb-99 3.15 2.34
Mar-99 3.06 2.29
Apr-99 2.95 2.26
May-99 2.79 2.29
Jun-99 2.77 2.26
Jul-99 3.1 2.17
Aug-99 3.09 2.18
Sep-99 3.4 2.02
Oct-99 3.13 2.09
Nov-99 3.41 2.21
Dec-99 2.87 2.02
Jan-00 2.98 2.25
Feb-00 2.98 2.79
Mar-00 3.26 3.15
Apr-00 3.67 3.41
May-00 3.11 3.45
Jun-00 4 3.58
Jul-00 3.68 3.58
Aug-00 3.85 3.5
Sep-00 3.74 3.3
Oct-00 3.9 3.36
Nov-00 3.98 3.52
Dec-00 4.17 3.6
Jan-01 4.55 3.23
Feb-01 4.2 2.98
Mar-01 4.75 2.98
Apr-01 4.65 2.62
May-01 3.99 2.68
Jun-01 4.65 2.61
Jul-01 4.06 3.04
Aug-01 4.04 3.05
Sep-01 5.46 2.94
Oct-01 6.22 3.41
Nov-01 5.29 3.06
Dec-01 4.58 2.97
Jan-02 4.54 2.95
Feb-02 4.27 3.31
Mar-02 3.63 2.99
Apr-02 3.72 2.66
May-02 3.88 2.57
Jun-02 4.86 3.35
Jul-02 5.54 4.08
Aug-02 6.39 4.2
Sep-02 6.44 4.21
Oct-02 6.95 4.38
Nov-02 5.86 4.3
Dec-02 5.41 4.45
Jan-03 5.16 3.84
Feb-03 3.86 3.54
Mar-03 5.38 3.52
Apr-03 4.71 2.94
May-03 4.75 2.88
Jun-03 3.45 2.76
Jul-03 2.52 2.11
Aug-03 3.12 2.06
Sep-03 3.36 2.02
Oct-03 3.36 1.97
Nov-03 3 2.07
Dec-03 2.72 1.98
Jan-04 2.51 1.95
Feb-04 2.69 1.98
Mar-04 2.61 2.17
Apr-04 2.16 1.89
May-04 2.45 1.98
Jun-04 1.77 2.08
Jul-04 1.57 2.06
Aug-04 1.94 2.12
Sep-04 2.1 2.14
Oct-04 2.15 2.13
Nov-04 1.6 1.92
Dec-04 1.36 1.79
Jan-05 1.25 1.92
Feb-05 0.99 1.88
Mar-05 1.09 1.79
Apr-05 2.21 2.2
May-05 2.63 3.08
Jun-05 2.32 3.2
Jul-05 1.97 3.08
Aug-05 2.01 3
Sep-05 2.78 2.73
Oct-05 2.67 2.89
Nov-05 2.9 2.49
Dec-05 1.76 2.5
Jan-06 1.68 2.48
Feb-06 2.17 2.5
Mar-06 2.89 2.31
Apr-06 2.27 2.09
May-06 2.38 2.22
Jun-06 2.46 2.51
Jul-06 3.13 2.56
Aug-06 3.13 2.46
Sep-06 3.14 2.53
Oct-06 2.13 2.71
Nov-06 1.53 2.72
Dec-06 1.47 2.68
Jan-07 1.74 2.76
Feb-07 1.72 2.66
Mar-07 2.03 2.75
Apr-07 1.94 2.6
May-07 1.77 2.48
Jun-07 1.76 2.38
Jul-07 2.66 2.65
Aug-07 3.47 2.74
Sep-07 3.85 2.53
Oct-07 3.52 2.49
Nov-07 4.31 2.56
Dec-07 5.58 2.38
Jan-08 6.26 2.59
Feb-08 7.19 2.28
Mar-08 6.5 2.53
Apr-08 6.63 2.54
May-08 5.45 2.62
Jun-08 6.02 2.82
Jul-08 7.02 2.91
Aug-08 6.67 2.92
Sep-08 6.9 3.41
Oct-08 9.82 4.97
Nov-08 11.92 5.92
Dec-08 15.14 8.09
Jan-09 11.94 7.27
Feb-09 10.09 6.08
Mar-09 11.38 7.42
Apr-09 9.13 6.77
May-09 8.47 5.74
Jun-09 7.61 4.9
Jul-09 7.36 4.51
Aug-09 6.26 4.26
Sep-09 6.06 4.3
Oct-09 5.63 3.8
Nov-09 5.8 3.67
Dec-09 5.5 3.28
Jan-10 5.1 2.68
Feb-10 5.5 2.92
Mar-10 4.88 2.73
Apr-10 4.92 2.27
May-10 5.74 2.91
Jun-10 5.91 3.37
Jul-10 5.56 3.35
Aug-10 5.41 3.46
Sep-10 5.19 3.31
Oct-10 5.2 2.58
Nov-10 5.19 2.18
Dec-10 5.06 2.16
Jan-11 4.72 1.95
Feb-11 4.2 1.91
Mar-11 3.88 1.93
Apr-11 4.02 1.86
May-11 4.29 1.72
Jun-11 4.78 1.64
Jul-11 4.93 1.45
Aug-11 6.02 2.43
Sep-11 6.38 3.22
Oct-11 6.26 3.24
Nov-11 5.94 3.2
Dec-11 5.78 3.23
Jan-12 5.31 2.91
Feb-12 4.98 2.75
Mar-12 4.72 2.67
Apr-12 4.93 2.9
May-12 5.11 3.25
Jun-12 5.56 3.67
Jul-12 4.88 3.75
Aug-12 4.52 3.42
Sep-12 4.21 3.2
Oct-12 3.95 3.17
Nov-12 4.02 3.32
Dec-12 3.81 2.98
Return to Chart 15

Chart 16: Gross Junk Issuance and Share of Deep Issuance

  Gross Junk Issuance Deep Junk Share
1990Q1 5.97 36.46
1990Q2 3.2 39.93
1990Q3 1.82 44.26
1990Q4 0.44 34.71
1991Q1 0.62 25.34
1991Q2 1.43 17.69
1991Q3 1.72 11.09
1991Q4 3.04 12.28
1992Q1 4.67 13.11
1992Q2 6.13 17.29
1992Q3 7.79 16.92
1992Q4 8.57 22.08
1993Q1 10.78 25.42
1993Q2 11.79 29.75
1993Q3 13.28 33.27
1993Q4 14.86 37.53
1994Q1 13.99 43.23
1994Q2 12.38 47.09
1994Q3 9.69 46.7
1994Q4 6.92 47.96
1995Q1 4.91 42.52
1995Q2 5.58 39.19
1995Q3 6.34 48.85
1995Q4 7.5 48.84
1996Q1 9.96 53.86
1996Q2 11.72 53.74
1996Q3 12.37 46.58
1996Q4 13.72 45.23
1997Q1 14.45 44.17
1997Q2 15.98 46.37
1997Q3 20.23 46.7
1997Q4 22.85 48.5
1998Q1 27.12 51.29
1998Q2 31.44 52.15
1998Q3 28.36 51.1
1998Q4 27.4 47.76
1999Q1 25.26 40.07
1999Q2 21.44 37.62
1999Q3 21.91 37.6
1999Q4 20.58 45.19
2000Q1 18.07 54.79
2000Q2 13.74 55.42
2000Q3 13.68 52.44
2000Q4 11.56 39.43
2001Q1 14.87 29.23
2001Q2 21.81 23.17
2001Q3 20.49 20.17
2001Q4 23.87 23.11
2002Q1 21 23.65
2002Q2 17.82 24.85
2002Q3 16.63 25.2
2002Q4 15.28 25.69
2003Q1 16.64 28.57
2003Q2 21.62 30.68
2003Q3 28.82 35.57
2003Q4 32.71 39.61
2004Q1 36.75 43.49
2004Q2 32.97 50.31
2004Q3 30.34 51
2004Q4 31.86 51.87
2005Q1 27.7 53.77
2005Q2 24.69 48.6
2005Q3 24.19 48.76
2005Q4 20.37 47.38
2006Q1 21.24 46.01
2006Q2 24.56 46.76
2006Q3 23.21 47.67
2006Q4 30.2 47.1
2007Q1 32.83 45.59
2007Q2 36.92 51.01
2007Q3 34.18 51.12
2007Q4 29.29 59.44
2008Q1 21.72 65.41
2008Q2 15.83 56.44
2008Q3 15.72 62.91
2008Q4 8.63 47.6
2009Q1 9.33 34.64
2009Q2 13.79 33.74
2009Q3 21.16 23.04
2009Q4 30.96 31.25
2010Q1 41.36 36.97
2010Q2 39.91 42.99
2010Q3 45.97 42.93
2010Q4 52.23 44.9
2011Q1 52.66 46.77
2011Q2 58.76 45.7
2011Q3 48.28 53.47
2011Q4 38.4 49.28
2012Q1 40.15 45.67
2012Q2 34.04 44.46
2012Q3 47.46 37.56
2012Q4 58.8 40.74
Return to Chart 16

Chart 17: House Price Overvaluation Measures

  S&P/Case-Shiller National FHFA CoreLogic
1979Q1 4.24 3.93 1.36
1979Q2 6 5.42 4.79
1979Q3 5.64 4.84 5.27
1979Q4 5.81 5.29 5.66
1980Q1 6.2 6.43 5.95
1980Q2 6.26 6.15 5.47
1980Q3 5.75 5.34 6.74
1980Q4 4.12 4.2 6.36
1981Q1 2.87 3.1 6.49
1981Q2 3.71 4.46 5.64
1981Q3 4.12 5.05 3.96
1981Q4 1.67 3.04 3.31
1982Q1 2.16 3.66 1.44
1982Q2 1.75 2.85 0.15
1982Q3 -1.52 -0.2 -1.85
1982Q4 -3.1 -3 -3.18
1983Q1 -2.75 -2.81 -4.29
1983Q2 -3.05 -3.36 -3.86
1983Q3 -3.06 -3.22 -3.86
1983Q4 -3.85 -4.44 -3.9
1984Q1 -3.43 -3.95 -3.93
1984Q2 -3.16 -3.04 -4.23
1984Q3 -3.1 -2.64 -4.59
1984Q4 -4 -3.46 -5.42
1985Q1 -4.12 -3.62 -5.47
1985Q2 -4.38 -3.95 -5.69
1985Q3 -4.92 -4.66 -6.1
1985Q4 -5.88 -5.54 -5.97
1986Q1 -5.41 -5.31 -4.97
1986Q2 -5.18 -5.16 -4.86
1986Q3 -4.86 -4.48 -3.92
1986Q4 -4.83 -4.4 -3.5
1987Q1 -3.2 -3.72 -0.71
1987Q2 -1.01 -1.17 1.05
1987Q3 -0.22 -0.95 1.94
1987Q4 1.3 -0.42 2.4
1988Q1 0.91 -0.44 2.87
1988Q2 3.21 1.61 4.52
1988Q3 4.11 1.75 5.96
1988Q4 5.09 1.96 7.08
1989Q1 6.48 2.81 8.53
1989Q2 7.02 3.11 9.06
1989Q3 6.76 3.75 8.39
1989Q4 6.6 3.46 8.42
1990Q1 6.89 3.72 8.37
1990Q2 5.68 2.57 7.19
1990Q3 3.31 1.06 5.25
1990Q4 1.5 -0.48 3.48
1991Q1 -0.42 -0.72 1.61
1991Q2 -0.81 -1.59 1.61
1991Q3 -1.09 -2.25 0.42
1991Q4 -1.76 -2.47 -0.8
1992Q1 -2.09 -1.46 -1.29
1992Q2 -2.39 -2.22 -1.91
1992Q3 -3.25 -2.34 -2.62
1992Q4 -3.96 -2.24 -3.31
1993Q1 -4.67 -3.28 -3.67
1993Q2 -5.68 -3.6 -3.76
1993Q3 -5.56 -3.59 -3.59
1993Q4 -5.37 -3.24 -3.15
1994Q1 -4.76 -2.75 -4.06
1994Q2 -3.77 -1.27 -4.33
1994Q3 -4.19 -1.25 -4.88
1994Q4 -4.12 -1.04 -5.18
1995Q1 -4.58 -1.2 -5.89
1995Q2 -5.08 -2.26 -5.8
1995Q3 -5.06 -2.13 -5.6
1995Q4 -5.31 -2.38 -5.76
1996Q1 -5.51 -2.31 -5.81
1996Q2 -5.05 -1.48 -5.87
1996Q3 -5.14 -1.63 -6.39
1996Q4 -5.82 -2.24 -6.59
1997Q1 -5.26 -2.28 -6.75
1997Q2 -4.93 -1.86 -6.56
1997Q3 -5.29 -2.66 -6.14
1997Q4 -4.59 -2.31 -5.44
1998Q1 -3.9 -2 -3.99
1998Q2 -2.77 -1.28 -3.7
1998Q3 -2.06 -1.26 -2.95
1998Q4 -1.38 -0.7 -1.97
1999Q1 0.02 0.35 -1.55
1999Q2 1.15 1.25 -0.34
1999Q3 2.92 2.59 0.75
1999Q4 4.11 3.15 1.85
2000Q1 5.59 4.13 3.27
2000Q2 7.49 5.13 5.13
2000Q3 8.43 5.31 6.23
2000Q4 9.22 5.38 7.18
2001Q1 9.69 5.52 8.66
2001Q2 10.69 6.1 8.96
2001Q3 11.59 6.29 9.71
2001Q4 11.5 6.25 10.21
2002Q1 12.73 7.03 11.02
2002Q2 14.54 7.99 12.88
2002Q3 16.32 8.61 14.64
2002Q4 17.94 9.52 15.48
2003Q1 19.07 10.24 16.77
2003Q2 20.24 10.89 18.15
2003Q3 22.66 12.67 20.37
2003Q4 25.33 14.14 22.69
2004Q1 27.83 15.33 26.23
2004Q2 31.08 17.63 29.42
2004Q3 33.36 19.05 31.73
2004Q4 36.02 20.59 34.35
2005Q1 39.58 22.19 39.15
2005Q2 42.25 23.92 41.74
2005Q3 44.55 25.71 43.98
2005Q4 46.78 27.36 45.15
2006Q1 47.9 28.07 46.7
2006Q2 46.62 28.18 44.36
2006Q3 43.68 27.19 42.4
2006Q4 42.37 26.15 41.35
2007Q1 41.99 25.67 38.66
2007Q2 38.53 24.73 34.95
2007Q3 34.79 22.75 31.03
2007Q4 29.59 19.62 26.58
2008Q1 23.86 16.02 21.58
2008Q2 18.43 12.87 16.18
2008Q3 12.62 9.8 10.92
2008Q4 5.56 5.37 4.43
2009Q1 -0.24 3.61 -1.02
2009Q2 -1.16 1.77 -1.23
2009Q3 0.71 1.54 -0.55
2009Q4 1.74 1.31 -0.01
2010Q1 2.04 0.25 0.24
2010Q2 2.21 -0.41 -0.47
2010Q3 -1.15 -2.67 -3.32
2010Q4 -2.67 -4.2 -4.76
2011Q1 -3.98 -6.91 -6.89
2011Q2 -5.15 -8.25 -7.85
2011Q3 -6.77 -8.88 -8.77
2011Q4 -9.22 -10.02 -10.57
2012Q1 -8.47 -9.98 -8.96
Return to Chart 17

Chart 18: Loan Standards Weighted by Value of Outstanding Loans

  Residential mortgages
1996Q1 -0.5
1996Q2 1.13
1996Q3 3.26
1996Q4 16.41
1997Q1 4.35
1997Q2 -2.41
1997Q3 -1.8
1997Q4 7.15
1998Q1 3.31
1998Q2 -14.43
1998Q3 2.25
1998Q4 -1.34
1999Q1 0.89
1999Q2 -2.36
1999Q3 -2.71
1999Q4 -1.29
2000Q1 1
2000Q2 -5.15
2000Q3 -0.16
2000Q4 -1.08
2001Q1 -0.35
2001Q2 2.14
2001Q3 1.21
2001Q4 10.26
2002Q1 0.16
2002Q2 0.47
2002Q3 0.35
2002Q4 6.74
2003Q1 11.54
2003Q2 4.88
2003Q3 0.36
2003Q4 -2.54
2004Q1 -3.15
2004Q2 -1.13
2004Q3 -14.64
2004Q4 -4.31
2005Q1 -4.32
2005Q2 -10.44
2005Q3 -7.04
2005Q4 -20.91
2006Q1 -7.77
2006Q2 -18.33
2006Q3 -38.73
2006Q4 -5.24
2007Q1 22.11
2007Q2 16.98
2007Q3 26.09
2007Q4 77.8
2008Q1 80.68
2008Q2 90.82
2008Q3 89.95
2008Q4 89.75
2009Q1 62
2009Q2 51.14
2009Q3 43.29
2009Q4 41.55
2010Q1 -10.5
2010Q2 -15.34
2010Q3 -17.89
2010Q4 -1.37
2011Q1 -2.43
2011Q2 -15.79
2011Q3 -15.95
2011Q4 1.03
2012Q1 -2.17
2012Q2 2.63
2012Q3 -3.06
2012Q4 -1.1
2013Q1 -11.51
Return to Chart 18

Chart 19: Private Nonfinancial Sector Credit-to-GDP Ratio

  Trend Ratio
1980Q1 1 0.98
1980Q2 1 0.99
1980Q3 1 0.99
1980Q4 1.01 0.97
1981Q1 1.01 0.95
1981Q2 1.01 0.97
1981Q3 1.02 0.96
1981Q4 1.02 0.98
1982Q1 1.03 1.01
1982Q2 1.03 1.01
1982Q3 1.03 1.02
1982Q4 1.04 1.02
1983Q1 1.04 1.02
1983Q2 1.05 1.01
1983Q3 1.05 1.01
1983Q4 1.05 1.01
1984Q1 1.06 1.01
1984Q2 1.06 1.02
1984Q3 1.07 1.03
1984Q4 1.07 1.05
1985Q1 1.07 1.07
1985Q2 1.08 1.08
1985Q3 1.08 1.09
1985Q4 1.09 1.12
1986Q1 1.09 1.13
1986Q2 1.1 1.15
1986Q3 1.1 1.16
1986Q4 1.1 1.18
1987Q1 1.11 1.19
1987Q2 1.11 1.2
1987Q3 1.12 1.2
1987Q4 1.12 1.2
1988Q1 1.12 1.21
1988Q2 1.13 1.22
1988Q3 1.13 1.23
1988Q4 1.14 1.23
1989Q1 1.14 1.22
1989Q2 1.15 1.23
1989Q3 1.15 1.23
1989Q4 1.15 1.24
1990Q1 1.16 1.23
1990Q2 1.16 1.23
1990Q3 1.17 1.24
1990Q4 1.17 1.25
1991Q1 1.18 1.25
1991Q2 1.18 1.24
1991Q3 1.18 1.22
1991Q4 1.19 1.22
1992Q1 1.19 1.2
1992Q2 1.2 1.19
1992Q3 1.2 1.18
1992Q4 1.21 1.17
1993Q1 1.21 1.17
1993Q2 1.22 1.17
1993Q3 1.22 1.17
1993Q4 1.23 1.17
1994Q1 1.23 1.17
1994Q2 1.24 1.16
1994Q3 1.24 1.17
1994Q4 1.25 1.17
1995Q1 1.25 1.18
1995Q2 1.26 1.19
1995Q3 1.26 1.2
1995Q4 1.27 1.2
1996Q1 1.27 1.21
1996Q2 1.28 1.2
1996Q3 1.28 1.21
1996Q4 1.29 1.2
1997Q1 1.29 1.2
1997Q2 1.3 1.2
1997Q3 1.31 1.21
1997Q4 1.31 1.22
1998Q1 1.32 1.23
1998Q2 1.32 1.25
1998Q3 1.33 1.25
1998Q4 1.34 1.26
1999Q1 1.34 1.27
1999Q2 1.35 1.28
1999Q3 1.36 1.29
1999Q4 1.36 1.29
2000Q1 1.37 1.31
2000Q2 1.38 1.31
2000Q3 1.38 1.32
2000Q4 1.39 1.34
2001Q1 1.4 1.36
2001Q2 1.4 1.37
2001Q3 1.41 1.39
2001Q4 1.42 1.41
2002Q1 1.42 1.42
2002Q2 1.43 1.42
2002Q3 1.44 1.43
2002Q4 1.45 1.45
2003Q1 1.45 1.46
2003Q2 1.46 1.47
2003Q3 1.47 1.47
2003Q4 1.48 1.47
2004Q1 1.48 1.48
2004Q2 1.49 1.49
2004Q3 1.5 1.49
2004Q4 1.5 1.51
2005Q1 1.51 1.52
2005Q2 1.52 1.54
2005Q3 1.53 1.55
2005Q4 1.53 1.57
2006Q1 1.54 1.58
2006Q2 1.55 1.6
2006Q3 1.56 1.62
2006Q4 1.56 1.64
2007Q1 1.57 1.66
2007Q2 1.58 1.67
2007Q3 1.59 1.7
2007Q4 1.59 1.72
2008Q1 1.6 1.74
2008Q2 1.61 1.74
2008Q3 1.62 1.75
2008Q4 1.62 1.79
2009Q1 1.63 1.8
2009Q2 1.64 1.8
2009Q3 1.64 1.78
2009Q4 1.65 1.74
2010Q1 1.66 1.72
2010Q2 1.67 1.7
2010Q3 1.67 1.68
2010Q4 1.68 1.66
2011Q1 1.69 1.65
2011Q2 1.69 1.64
2011Q3 1.7 1.63
2011Q4 1.71 1.62
2012Q1 1.72 1.61
2012Q2 1.72 1.61
2012Q3 1.73 1.59
Return to Chart 19

Chart 20: Debt-to-assets Ratio

  All firms 90th Percentile
1999Q1 31.02 70.133702891
1999Q2 30.79 69.009819792
1999Q3 30.67 68.630404358
1999Q4 30.65 68.140392924
2000Q1 30.54 67.53600189
2000Q2 29.74 66.908468325
2000Q3 29.18 66.258226261
2000Q4 29.4 67.006191202
2001Q1 29.42 66.367766568
2001Q2 29.56 66.589020906
2001Q3 29.59 65.855618341
2001Q4 30.23 66.615794171
2002Q1 30.87 66.769383877
2002Q2 29.97 65.041248277
2002Q3 29.76 64.706124369
2002Q4 29.51 65.82821931
2003Q1 29.18 63.187339311
2003Q2 28.39 61.397442172
2003Q3 28.01 61.515109219
2003Q4 27.06 61.305189519
2004Q1 26.55 59.377865406
2004Q2 25.91 58.731204566
2004Q3 25.58 58.272934012
2004Q4 25.36 59.345347364
2005Q1 25.14 57.053478649
2005Q2 25.01 57.275913187
2005Q3 24.29 55.501546888
2005Q4 24.36 56.24782506
2006Q1 24.84 55.109788569
2006Q2 24.7 55.007716676
2006Q3 24.67 54.552730829
2006Q4 24.94 55.693614344
2007Q1 25.23 54.609899848
2007Q2 25.49 55.650527359
2007Q3 25.93 55.760648876
2007Q4 26.16 55.216542866
2008Q1 26.39 55.370703029
2008Q2 26.53 55.807543805
2008Q3 27.54 56.620225499
2008Q4 29.14 61.071182757
2009Q1 29.52 60.310305954
2009Q2 28.48 58.824276571
2009Q3 27.53 58.098366908
2009Q4 27.13 56.939153721
2010Q1 26.9 55.992358164
2010Q2 26.79 54.817310216
2010Q3 26.58 54.009115209
2010Q4 26.34 54.297520661
2011Q1 26.14 52.521862925
2011Q2 26.24 52.527856779
2011Q3 26.55 53.122183512
2011Q4 26.3 53.785346289
2012Q1 26.37 53.821808056
2012Q2 26.96 54.297667939
2012Q3 27.01 54.611147975
Return to Chart 20
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Last update: January 7, 2014