Accessible versions

Please enable JavaScript if it is disabled in your browser or access the information through the links provided below.

Purpose Framework Overview 1. Asset valuation pressures 2. Borrowing by businesses and households 3. Leverage in the financial sector 4. Funding risk Near-term risks to the financial system

Accessible versions

Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Period	2-Year Treasury Rate	10-Year Treasury Rate
January 1997	6.01	6.58
February 1997	5.90	6.42
March 1997	6.22	6.69
April 1997	6.45	6.89
May 1997	6.28	6.71
June 1997	6.09	6.49
July 1997	5.89	6.22
August 1997	5.94	6.30
September 1997	5.88	6.21
October 1997	5.77	6.03
November 1997	5.71	5.88
December 1997	5.72	5.81
January 1998	5.36	5.54
February 1998	5.42	5.57
March 1998	5.56	5.65
April 1998	5.56	5.64
May 1998	5.59	5.65
June 1998	5.52	5.50
July 1998	5.46	5.46
August 1998	5.27	5.34
September 1998	4.67	4.81
October 1998	4.09	4.53
November 1998	4.54	4.83
December 1998	4.51	4.65
January 1999	4.62	4.72
February 1999	4.88	5.00
March 1999	5.05	5.23
April 1999	4.98	5.18
May 1999	5.25	5.54
June 1999	5.62	5.90
July 1999	5.55	5.79
August 1999	5.68	5.94
September 1999	5.66	5.92
October 1999	5.86	6.11
November 1999	5.86	6.03
December 1999	6.10	6.28
January 2000	6.44	6.66
February 2000	6.61	6.52
March 2000	6.53	6.26
April 2000	6.40	5.99
May 2000	6.81	6.44
June 2000	6.48	6.10
July 2000	6.34	6.05
August 2000	6.23	5.83
September 2000	6.08	5.80
October 2000	5.91	5.74
November 2000	5.88	5.72
December 2000	5.35	5.24
January 2001	4.76	5.16
February 2001	4.66	5.10
March 2001	4.34	4.89
April 2001	4.23	5.14
May 2001	4.26	5.39
June 2001	4.08	5.28
July 2001	4.04	5.24
August 2001	3.76	4.97
September 2001	3.12	4.73
October 2001	2.73	4.57
November 2001	2.78	4.65
December 2001	3.11	5.09
January 2002	3.03	5.04
February 2002	3.02	4.91
March 2002	3.56	5.28
April 2002	3.42	5.21
May 2002	3.26	5.16
June 2002	2.99	4.93
July 2002	2.56	4.65
August 2002	2.13	4.26
September 2002	2.00	3.87
October 2002	1.91	3.94
November 2002	1.92	4.05
December 2002	1.84	4.03
January 2003	1.74	4.05
February 2003	1.63	3.90
March 2003	1.57	3.81
April 2003	1.62	3.96
May 2003	1.42	3.57
June 2003	1.23	3.33
July 2003	1.47	3.98
August 2003	1.86	4.45
September 2003	1.71	4.27
October 2003	1.75	4.29
November 2003	1.93	4.30
December 2003	1.91	4.27
January 2004	1.76	4.15
February 2004	1.74	4.08
March 2004	1.58	3.83
April 2004	2.07	4.35
May 2004	2.53	4.72
June 2004	2.76	4.73
July 2004	2.64	4.50
August 2004	2.51	4.28
September 2004	2.53	4.13
October 2004	2.58	4.10
November 2004	2.85	4.19
December 2004	3.01	4.23
January 2005	3.22	4.22
February 2005	3.38	4.17
March 2005	3.73	4.50
April 2005	3.65	4.34
May 2005	3.64	4.14
June 2005	3.64	4.00
July 2005	3.87	4.18
August 2005	4.04	4.26
September 2005	3.95	4.20
October 2005	4.27	4.46
November 2005	4.42	4.54
December 2005	4.40	4.47
January 2006	4.40	4.42
February 2006	4.67	4.57
March 2006	4.73	4.72
April 2006	4.89	4.99
May 2006	4.97	5.11
June 2006	5.12	5.11
July 2006	5.12	5.09
August 2006	4.90	4.88
September 2006	4.77	4.72
October 2006	4.80	4.73
November 2006	4.74	4.60
December 2006	4.67	4.56
January 2007	4.88	4.76
February 2007	4.85	4.72
March 2007	4.57	4.56
April 2007	4.67	4.69
May 2007	4.77	4.75
June 2007	4.98	5.10
July 2007	4.82	5.00
August 2007	4.31	4.67
September 2007	4.01	4.52
October 2007	3.97	4.53
November 2007	3.34	4.15
December 2007	3.12	4.10
January 2008	2.48	3.74
February 2008	1.97	3.74
March 2008	1.62	3.51
April 2008	2.05	3.68
May 2008	2.45	3.88
June 2008	2.77	4.10
July 2008	2.57	4.01
August 2008	2.42	3.89
September 2008	2.08	3.69
October 2008	1.61	3.81
November 2008	1.21	3.53
December 2008	0.82	2.42
January 2009	0.81	2.52
February 2009	0.98	2.87
March 2009	0.93	2.82
April 2009	0.93	2.93
May 2009	0.93	3.29
June 2009	1.18	3.72
July 2009	1.02	3.56
August 2009	1.12	3.59
September 2009	0.96	3.40
October 2009	0.95	3.39
November 2009	0.80	3.40
December 2009	0.87	3.59
January 2010	0.93	3.73
February 2010	0.86	3.69
March 2010	0.96	3.73
April 2010	1.06	3.85
May 2010	0.83	3.42
June 2010	0.72	3.20
July 2010	0.62	3.01
August 2010	0.52	2.70
September 2010	0.48	2.65
October 2010	0.38	2.54
November 2010	0.45	2.76
December 2010	0.62	3.29
January 2011	0.61	3.39
February 2011	0.77	3.58
March 2011	0.70	3.41
April 2011	0.73	3.46
May 2011	0.56	3.17
June 2011	0.41	3.00
July 2011	0.41	3.00
August 2011	0.23	2.30
September 2011	0.21	1.98
October 2011	0.28	2.15
November 2011	0.25	2.01
December 2011	0.26	1.98
January 2012	0.24	1.97
February 2012	0.28	1.97
March 2012	0.34	2.17
April 2012	0.29	2.05
May 2012	0.29	1.80
June 2012	0.29	1.62
July 2012	0.25	1.53
August 2012	0.27	1.68
September 2012	0.26	1.72
October 2012	0.28	1.75
November 2012	0.27	1.65
December 2012	0.26	1.72
January 2013	0.27	1.91
February 2013	0.27	1.98
March 2013	0.26	1.96
April 2013	0.23	1.76
May 2013	0.25	1.93
June 2013	0.33	2.30
July 2013	0.34	2.58
August 2013	0.36	2.74
September 2013	0.40	2.81
October 2013	0.34	2.62
November 2013	0.30	2.72
December 2013	0.34	2.90
January 2014	0.39	2.86
February 2014	0.33	2.71
March 2014	0.40	2.72
April 2014	0.42	2.71
May 2014	0.39	2.56
June 2014	0.45	2.60
July 2014	0.51	2.54
August 2014	0.47	2.42
September 2014	0.57	2.53
October 2014	0.45	2.30
November 2014	0.53	2.33
December 2014	0.64	2.21
January 2015	0.55	1.88
February 2015	0.62	1.98
March 2015	0.64	2.04
April 2015	0.54	1.94
May 2015	0.61	2.20
June 2015	0.69	2.36
July 2015	0.67	2.32
August 2015	0.70	2.17
September 2015	0.71	2.17
October 2015	0.64	2.07
November 2015	0.88	2.26
December 2015	0.98	2.24
January 2016	0.90	2.09
February 2016	0.73	1.78
March 2016	0.88	1.89
April 2016	0.77	1.81
May 2016	0.82	1.81
June 2016	0.73	1.64
July 2016	0.67	1.50
August 2016	0.74	1.56
September 2016	0.77	1.63
October 2016	0.84	1.76
November 2016	0.98	2.14
December 2016	1.20	2.49
January 2017	1.21	2.43
February 2017	1.20	2.42
March 2017	1.31	2.48
April 2017	1.24	2.30
May 2017	1.30	2.30
June 2017	1.34	2.19
July 2017	1.37	2.32
August 2017	1.34	2.21
September 2017	1.38	2.20
October 2017	1.55	2.36
November 2017	1.70	2.35
December 2017	1.84	2.40
January 2018	2.03	2.58
February 2018	2.18	2.86
March 2018	2.28	2.84
April 2018	2.38	2.87
May 2018	2.51	2.98
June 2018	2.53	2.91
July 2018	2.61	2.89
August 2018	2.64	2.89
September 2018	2.77	3.00
October 2018	2.86	3.15

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

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

Return to text

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

Period	Percentage points
January 1997	1.478
February 1997	1.506
March 1997	1.669
April 1997	1.552
May 1997	1.584
June 1997	1.482
July 1997	1.252
August 1997	1.376
September 1997	1.272
October 1997	1.094
November 1997	1.046
December 1997	0.949
January 1998	0.896
February 1998	0.959
March 1998	0.988
April 1998	1.017
May 1998	0.939
June 1998	0.874
July 1998	0.897
August 1998	0.688
September 1998	0.481
October 1998	0.623
November 1998	0.640
December 1998	0.670
January 1999	0.712
February 1999	1.042
March 1999	1.055
April 1999	1.036
May 1999	1.288
June 1999	1.278
July 1999	1.367
August 1999	1.349
September 1999	1.366
October 1999	1.341
November 1999	1.332
December 1999	1.462
January 2000	1.410
February 2000	1.315
March 2000	1.052
April 2000	1.181
May 2000	1.161
June 2000	1.005
July 2000	0.881
August 2000	0.779
September 2000	0.820
October 2000	0.718
November 2000	0.595
December 2000	0.549
January 2001	0.760
February 2001	0.743
March 2001	0.937
April 2001	1.225
May 2001	1.365
June 2001	1.379
July 2001	1.223
August 2001	1.163
September 2001	1.312
October 2001	1.222
November 2001	1.623
December 2001	1.860
January 2002	1.747
February 2002	1.737
March 2002	1.758
April 2002	1.778
May 2002	1.727
June 2002	1.634
July 2002	1.374
August 2002	1.151
September 2002	0.888
October 2002	1.137
November 2002	1.351
December 2002	1.104
January 2003	1.201
February 2003	0.985
March 2003	1.109
April 2003	1.100
May 2003	0.735
June 2003	0.902
July 2003	1.526
August 2003	1.559
September 2003	1.197
October 2003	1.419
November 2003	1.423
December 2003	1.386
January 2004	1.316
February 2004	1.200
March 2004	1.104
April 2004	1.530
May 2004	1.484
June 2004	1.438
July 2004	1.332
August 2004	1.069
September 2004	0.991
October 2004	0.901
November 2004	0.979
December 2004	0.863
January 2005	0.742
February 2005	0.822
March 2005	0.876
April 2005	0.652
May 2005	0.463
June 2005	0.433
July 2005	0.558
August 2005	0.388
September 2005	0.534
October 2005	0.598
November 2005	0.538
December 2005	0.426
January 2006	0.449
February 2006	0.452
March 2006	0.586
April 2006	0.686
May 2006	0.657
June 2006	0.621
July 2006	0.512
August 2006	0.402
September 2006	0.359
October 2006	0.290
November 2006	0.232
December 2006	0.374
January 2007	0.438
February 2007	0.274
March 2007	0.345
April 2007	0.348
May 2007	0.573
June 2007	0.638
July 2007	0.474
August 2007	0.525
September 2007	0.621
October 2007	0.530
November 2007	0.496
December 2007	0.505
January 2008	0.611
February 2008	0.679
March 2008	0.698
April 2008	0.900
May 2008	0.983
June 2008	0.903
July 2008	0.920
August 2008	0.791
September 2008	1.024
October 2008	1.427
November 2008	0.840
December 2008	0.497
January 2009	0.840
February 2009	0.881
March 2009	0.604
April 2009	0.942
May 2009	1.296
June 2009	1.230
July 2009	1.258
August 2009	1.149
September 2009	1.062
October 2009	1.144
November 2009	0.977
December 2009	1.358
January 2010	1.230
February 2010	1.183
March 2010	1.314
April 2010	1.197
May 2010	0.966
June 2010	0.739
July 2010	0.674
August 2010	0.399
September 2010	0.374
October 2010	0.410
November 2010	0.583
December 2010	0.943
January 2011	0.998
February 2011	1.011
March 2011	1.057
April 2011	0.946
May 2011	0.700
June 2011	0.814
July 2011	0.489
August 2011	0.149
September 2011	0.020
October 2011	0.092
November 2011	0.080
December 2011	-0.009
January 2012	-0.087
February 2012	-0.016
March 2012	0.147
April 2012	-0.038
May 2012	-0.264
June 2012	-0.239
July 2012	-0.289
August 2012	-0.270
September 2012	-0.255
October 2012	-0.186
November 2012	-0.267
December 2012	-0.147
January 2013	0.000
February 2013	-0.102
March 2013	-0.157
April 2013	-0.213
May 2013	0.113
June 2013	0.394
July 2013	0.503
August 2013	0.617
September 2013	0.482
October 2013	0.455
November 2013	0.531
December 2013	0.734
January 2014	0.528
February 2014	0.515
March 2014	0.613
April 2014	0.549
May 2014	0.448
June 2014	0.489
July 2014	0.490
August 2014	0.410
September 2014	0.503
October 2014	0.398
November 2014	0.303
December 2014	0.273
January 2015	-0.009
February 2015	0.206
March 2015	0.104
April 2015	0.235
May 2015	0.296
June 2015	0.385
July 2015	0.256
August 2015	0.242
September 2015	0.161
October 2015	0.217
November 2015	0.208
December 2015	0.236
January 2016	-0.017
February 2016	-0.120
March 2016	-0.098
April 2016	-0.064
May 2016	-0.075
June 2016	-0.304
July 2016	-0.286
August 2016	-0.239
September 2016	-0.231
October 2016	-0.107
November 2016	0.254
December 2016	0.301
January 2017	0.300
February 2017	0.262
March 2017	0.167
April 2017	0.084
May 2017	-0.027
June 2017	0.019
July 2017	-0.015
August 2017	-0.096
September 2017	0.011
October 2017	0.007
November 2017	-0.005
December 2017	-0.017
January 2018	0.190
February 2018	0.178
March 2018	0.187
April 2018	0.196
May 2018	0.129
June 2018	0.097
July 2018	0.151
August 2018	0.046
September 2018	0.142
October 2018	0.151

Note: Term premiums are estimated from a three-factor term structure model using Treasury yields and Blue Chip interest rate forecasts.

Source: Department of the Treasury; Wolters Kluwer, Blue Chip Financial Forecasts; Federal Reserve Bank of New York; Federal Reserve Board staff estimates.

Return to text

Figure 1-3

This is a line chart titled "Option-Implied Volatility on the 10-Year Swap Rate." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 200 basis points. The data are monthly. The variable plotted, the option-implied volatility on the 10-year swap rate, is designated by a black line. It begins in 1997 at around 100 basis points. It rises to around 150 basis points in 2001, then steadily declines from 2003 to 2007 where it reaches around 50 basis points. It gradually rises from 2007 to 2009 peak of around 175 basis points. It then drops steeply to around 100 basis points in 2010, and then gradually declines to around 65 basis points in October 2018, with a brief rise to around 100 basis points in 2013.

Note: Implied volatility on the 10-year swap rate 1 year ahead, derived from swaptions.

Source: Barclays PLC, Barclays Live.

Return to text

Figure 1-4

The is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 18 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "10-year high-yield" and is designated by a black line. It begins at around 9 percent in 1997 and rises gradually to around 13 percent in 1999 and 2000. It falls to around 7 percent in 2003, and then peaks sharply in 2008 and 2009 at around 17 percent before falling sharply to around 8 percent in late 2009. It remains between 6 and 8 percent from 2010 to October 2018. The second line is labeled "10-year triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, and fluctuates between 7 and 9 percent until it drops to around 5 percent in 2002 and 2003. It gradually rises until it sharply increases to around 10 percent in 2008 and 2009, and then sharply declines to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to October 2018.

Note: The 10-year triple-B reﬂects the effective yield of the ICE BofAML 7-to-10-year triple-B U.S. Corporate Index (C4A4), and the 10-year high-yield reﬂects the effective yield of the ICE BofAML 7-to-10-year U.S. Cash Pay High Yield Index (J4A0).

Source: ICE Data Indices, LLC, used with permission.

Return to text

Figure 1-5

This is a line chart titled "Corporate Bond Spreads to Similar Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2018. The data are monthly, and there are two variables plotted on the chart. The first line is labeled "10-year high-yield" and is designated by a black line. This line corresponds to the values on the right y-axis, which ranges from 0 to 16 percentage points. It begins at around 3 percentage points in 1997, rises to around 8 percentage points from 2000 to 2002, then drops sharply to around 3 percentage points in 2003. It remains around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 15 percentage points. It then falls steeply in 2009 to around 4 percentage points, goes briefly up to around 6 percentage points in 2011 and 2012, falls gradually to around 3 percentage points from 2012 to 2014, rises gradually from 2014 to 2016 to 6 percentage points, then falls to around 4 percentage points again from 2016 to October 2018. The second line is labeled "10-year triple-B" and is designated by a blue line. This line corresponds to the values on the left y-axis, which ranges from 0 to 8 percentage points. It begins at just under 1 percentage point in 1997, rises to around 3 percentage points from 2000 to 2002, then drops sharply to around 1 percentage point in 2003. It remains around 1 percentage point until 2008 when it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 1.5 percentage points and goes briefly up to around 2.5 percentage points in 2011 and 2012. It then falls gradually to around 1.5 percentage points from 2012 to 2014, rises gradually to around 2 percentage points in 2016, then declines to around 1.5 percentage points again from 2016 to October 2018.

Source: ICE Data Indices, LLC, used with permission; Department of the Treasury.

Return to text

Figure 1-6. Corporate Bond Premium over Expected Losses

Period	Standard deviations from the mean
January 1997	-0.50
February 1997	-0.70
March 1997	-0.71
April 1997	-0.64
May 1997	-0.68
June 1997	-0.80
July 1997	-0.76
August 1997	-0.74
September 1997	-0.83
October 1997	-0.60
November 1997	-0.50
December 1997	-0.61
January 1998	-0.53
February 1998	-0.50
March 1998	-0.57
April 1998	-0.69
May 1998	-0.62
June 1998	-0.58
July 1998	-0.51
August 1998	0.06
September 1998	0.03
October 1998	0.21
November 1998	0.22
December 1998	0.01
January 1999	0.01
February 1999	-0.34
March 1999	-0.29
April 1999	-0.36
May 1999	-0.35
June 1999	-0.27
July 1999	-0.20
August 1999	-0.11
September 1999	0.08
October 1999	0.10
November 1999	0.04
December 1999	-0.29
January 2000	-0.02
February 2000	0.07
March 2000	0.44
April 2000	0.67
May 2000	0.96
June 2000	1.01
July 2000	1.11
August 2000	1.35
September 2000	1.48
October 2000	2.07
November 2000	2.19
December 2000	2.17
January 2001	1.56
February 2001	1.60
March 2001	1.52
April 2001	1.26
May 2001	1.01
June 2001	1.34
July 2001	0.99
August 2001	0.97
September 2001	1.63
October 2001	1.37
November 2001	-0.34
December 2001	0.50
January 2002	0.72
February 2002	1.00
March 2002	0.28
April 2002	0.49
May 2002	0.64
June 2002	1.28
July 2002	2.12
August 2002	2.00
September 2002	2.22
October 2002	1.97
November 2002	1.44
December 2002	1.22
January 2003	1.17
February 2003	0.82
March 2003	0.05
April 2003	-0.05
May 2003	-0.95
June 2003	-0.71
July 2003	-1.70
August 2003	-0.36
September 2003	-0.94
October 2003	-0.84
November 2003	-0.87
December 2003	-0.81
January 2004	-1.12
February 2004	-0.56
March 2004	-0.84
April 2004	-1.16
May 2004	-0.58
June 2004	-0.60
July 2004	-0.52
August 2004	-0.70
September 2004	-0.89
October 2004	-0.85
November 2004	-1.04
December 2004	-1.12
January 2005	-1.10
February 2005	-1.46
March 2005	-1.02
April 2005	-0.71
May 2005	-0.57
June 2005	-0.82
July 2005	-0.96
August 2005	-0.98
September 2005	-0.82
October 2005	-0.65
November 2005	-0.61
December 2005	-0.58
January 2006	-0.67
February 2006	-0.61
March 2006	-0.71
April 2006	-0.77
May 2006	-0.61
June 2006	-0.67
July 2006	-0.53
August 2006	-0.58
September 2006	-0.69
October 2006	-0.72
November 2006	-0.68
December 2006	-0.84
January 2007	-0.92
February 2007	-0.96
March 2007	-0.65
April 2007	-0.65
May 2007	-0.98
June 2007	-0.68
July 2007	-0.11
August 2007	0.07
September 2007	-0.04
October 2007	-0.18
November 2007	0.31
December 2007	0.52
January 2008	0.86
February 2008	1.16
March 2008	1.49
April 2008	0.77
May 2008	0.82
June 2008	0.97
July 2008	1.35
August 2008	1.57
September 2008	2.35
October 2008	4.59
November 2008	3.88
December 2008	4.04
January 2009	3.55
February 2009	4.23
March 2009	3.53
April 2009	2.96
May 2009	1.71
June 2009	1.09
July 2009	0.24
August 2009	-0.14
September 2009	-0.12
October 2009	-0.40
November 2009	-0.19
December 2009	-0.84
January 2010	-0.40
February 2010	-0.10
March 2010	-0.29
April 2010	-0.48
May 2010	-0.35
June 2010	-0.13
July 2010	0.11
August 2010	-0.68
September 2010	-0.19
October 2010	-0.13
November 2010	-0.33
December 2010	-0.70
January 2011	-0.05
February 2011	-0.44
March 2011	-0.50
April 2011	-0.44
May 2011	-0.27
June 2011	-0.09
July 2011	-0.19
August 2011	-0.38
September 2011	0.35
October 2011	-0.41
November 2011	0.50
December 2011	0.15
January 2012	0.00
February 2012	-0.16
March 2012	-0.75
April 2012	-0.49
May 2012	-0.46
June 2012	-0.04
July 2012	-0.31
August 2012	-0.61
September 2012	-0.49
October 2012	-0.50
November 2012	-0.31
December 2012	-0.44
January 2013	-0.30
February 2013	-0.23
March 2013	-0.32
April 2013	-0.38
May 2013	-0.92
June 2013	-0.71
July 2013	-0.14
August 2013	-0.30
September 2013	-0.33
October 2013	-0.16
November 2013	-0.09
December 2013	-0.29
January 2014	-0.56
February 2014	-0.41
March 2014	-0.51
April 2014	-0.65
May 2014	-0.68
June 2014	-0.58
July 2014	-0.60
August 2014	-0.61
September 2014	-0.46
October 2014	-0.48
November 2014	-0.09
December 2014	-0.10
January 2015	-0.36
February 2015	-0.71
March 2015	-0.44
April 2015	-0.22
May 2015	-0.15
June 2015	0.05
July 2015	0.10
August 2015	0.37
September 2015	0.53
October 2015	0.39
November 2015	0.50
December 2015	0.75
January 2016	1.04
February 2016	1.07
March 2016	0.57
April 2016	0.07
May 2016	0.07
June 2016	-0.27
July 2016	-0.34
August 2016	-0.32
September 2016	-0.41
October 2016	-0.36
November 2016	-1.39
December 2016	-0.55
January 2017	-0.47
February 2017	-0.47
March 2017	-0.44
April 2017	-0.37
May 2017	-0.46
June 2017	-0.41
July 2017	-0.44
August 2017	-0.36
September 2017	-0.64
October 2017	-0.55
November 2017	-0.44
December 2017	-0.54
January 2018	-0.83
February 2018	-0.60
March 2018	-0.40
April 2018	-0.67
May 2018	-0.54
June 2018	-0.21
July 2018	-0.44
August 2018	-0.39
September 2018	-0.51
October 2018	-0.29

Note: Data are normalized to have a sample mean of zero and standard deviation of one.

Source: Federal Reserve Board staff calculations based on Lehman Brothers Fixed Income Database (Warga); Intercontinental Exchange, Inc., ICE Data Services; Center for Research in Security Prices, CRSP/Compustat Merged data, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.

Return to text

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

Percentage points

Period	BB/BB-	B+/B
January 1998	2.64	2.67
February 1998	2.54	2.84
March 1998	2.65	2.89
April 1998	2.44	2.74
May 1998	2.32	2.85
June 1998	2.45	2.91
July 1998	2.50	2.81
August 1998	2.42	2.79
September 1998	2.89	2.92
October 1998	3.10	3.32
November 1998	3.37	3.66
December 1998	3.47	3.77
January 1999	3.05	3.35
February 1999	3.05	3.37
March 1999	2.67	3.45
April 1999	2.71	3.42
May 1999	2.78	3.29
June 1999	2.79	3.36
July 1999	2.77	3.34
August 1999	3.07	3.53
September 1999	3.20	3.65
October 1999	3.43	3.69
November 1999	3.25	3.73
December 1999	3.00	3.54
January 2000	2.92	3.45
February 2000	2.76	3.21
March 2000	3.02	3.52
April 2000	3.08	3.65
May 2000	2.92	3.50
June 2000	2.96	3.64
July 2000	3.27	3.87
August 2000	3.61	3.89
September 2000	3.61	3.90
October 2000	3.53	ND
November 2000	3.12	3.94
December 2000	3.35	3.63
January 2001	3.34	3.59
February 2001	3.31	3.88
March 2001	3.14	3.70
April 2001	3.31	3.83
May 2001	2.94	3.60
June 2001	3.16	3.63
July 2001	3.29	3.92
August 2001	3.33	4.00
September 2001	3.45	ND
October 2001	4.25	ND
November 2001	3.44	ND
December 2001	3.10	ND
January 2002	3.33	4.00
February 2002	2.83	4.00
March 2002	3.01	4.25
April 2002	3.00	ND
May 2002	2.61	3.88
June 2002	2.48	3.25
July 2002	2.82	3.70
August 2002	3.17	4.17
September 2002	3.25	3.81
October 2002	3.75	ND
November 2002	3.93	4.08
December 2002	3.71	4.00
January 2003	3.07	3.92
February 2003	3.25	4.15
March 2003	3.83	4.25
April 2003	3.18	4.25
May 2003	3.12	4.05
June 2003	2.79	3.20
July 2003	2.69	3.45
August 2003	2.75	3.57
September 2003	2.95	3.50
October 2003	2.61	3.32
November 2003	2.38	2.90
December 2003	2.48	2.91
January 2004	2.16	3.07
February 2004	2.36	2.94
March 2004	2.25	2.79
April 2004	2.38	2.98
May 2004	2.29	3.27
June 2004	2.15	2.93
July 2004	2.04	2.74
August 2004	2.23	3.00
September 2004	2.28	2.72
October 2004	2.25	2.71
November 2004	2.10	2.66
December 2004	1.96	2.55
January 2005	2.02	2.65
February 2005	2.00	2.55
March 2005	1.81	2.35
April 2005	1.69	2.63
May 2005	2.04	2.86
June 2005	1.89	2.68
July 2005	1.81	2.43
August 2005	1.78	2.50
September 2005	1.77	2.54
October 2005	1.75	2.69
November 2005	1.69	2.66
December 2005	1.85	2.63
January 2006	1.88	2.62
February 2006	1.69	2.53
March 2006	1.64	2.54
April 2006	1.61	2.36
May 2006	1.75	2.45
June 2006	1.93	2.77
July 2006	2.13	2.85
August 2006	1.94	3.01
September 2006	1.92	2.64
October 2006	2.03	2.74
November 2006	2.00	2.83
December 2006	1.88	2.71
January 2007	1.65	2.34
February 2007	1.57	2.14
March 2007	1.72	2.19
April 2007	1.73	2.37
May 2007	1.70	2.33
June 2007	1.78	2.44
July 2007	2.40	2.93
August 2007	ND	3.39
September 2007	ND	3.17
October 2007	2.25	3.26
November 2007	2.42	3.29
December 2007	2.50	3.50
January 2008	ND	3.64
February 2008	ND	4.04
March 2008	ND	4.06
April 2008	ND	3.92
May 2008	2.17	3.60
June 2008	2.42	3.53
July 2008	3.06	3.89
August 2008	3.08	3.88
September 2008	3.74	4.42
October 2008	ND	ND
November 2008	ND	ND
December 2008	ND	ND
January 2009	ND	ND
February 2009	ND	ND
March 2009	ND	ND
April 2009	ND	ND
May 2009	ND	ND
June 2009	ND	ND
July 2009	ND	ND
August 2009	ND	ND
September 2009	ND	ND
October 2009	ND	4.66
November 2009	3.65	4.13
December 2009	3.25	4.31
January 2010	ND	3.96
February 2010	ND	3.97
March 2010	3.25	4.00
April 2010	3.28	4.06
May 2010	3.39	4.28
June 2010	4.17	5.18
July 2010	4.13	5.48
August 2010	4.13	5.00
September 2010	4.11	4.75
October 2010	3.71	4.79
November 2010	3.75	4.62
December 2010	3.65	4.72
January 2011	3.36	4.30
February 2011	3.20	3.81
March 2011	3.05	4.30
April 2011	2.94	4.21
May 2011	3.08	4.08
June 2011	3.26	4.55
July 2011	3.50	5.14
August 2011	3.42	5.48
September 2011	4.25	5.92
October 2011	4.08	6.25
November 2011	3.35	5.16
December 2011	3.13	5.18
January 2012	3.21	5.38
February 2012	3.14	4.58
March 2012	3.30	4.44
April 2012	3.50	4.72
May 2012	3.85	5.13
June 2012	4.18	5.64
July 2012	3.82	5.29
August 2012	3.29	4.51
September 2012	3.16	4.29
October 2012	3.50	4.34
November 2012	3.36	4.71
December 2012	3.00	4.55
January 2013	2.73	3.66
February 2013	2.82	3.74
March 2013	2.86	4.00
April 2013	2.60	3.77
May 2013	2.56	3.69
June 2013	3.04	4.00
July 2013	3.21	3.96
August 2013	2.79	3.90
September 2013	2.86	3.90
October 2013	2.75	3.96
November 2013	2.80	3.67
December 2013	2.67	3.63
January 2014	2.48	3.54
February 2014	2.62	3.76
March 2014	2.75	3.59
April 2014	3.13	3.86
May 2014	3.44	4.12
June 2014	3.20	4.07
July 2014	2.92	3.78
August 2014	3.17	4.13
September 2014	3.42	4.18
October 2014	3.64	4.53
November 2014	3.50	4.64
December 2014	3.75	4.65
January 2015	ND	4.78
February 2015	3.42	4.76
March 2015	3.13	4.08
April 2015	3.28	4.00
May 2015	3.11	3.83
June 2015	3.06	4.05
July 2015	3.21	4.04
August 2015	3.10	3.89
September 2015	ND	4.42
October 2015	3.25	4.63
November 2015	3.39	4.51
December 2015	3.95	4.52
January 2016	3.79	4.58
February 2016	3.88	5.04
March 2016	3.63	5.07
April 2016	3.69	4.66
May 2016	3.06	4.28
June 2016	3.05	4.21
July 2016	3.16	4.47
August 2016	3.15	4.51
September 2016	2.85	4.10
October 2016	2.77	4.00
November 2016	2.89	4.03
December 2016	2.68	3.88
January 2017	2.48	3.67
February 2017	2.56	3.98
March 2017	2.43	3.82
April 2017	2.50	3.93
May 2017	2.39	3.52
June 2017	2.40	3.70
July 2017	2.49	4.04
August 2017	2.75	3.85
September 2017	2.30	3.68
October 2017	2.45	4.04
November 2017	2.44	3.72
December 2017	2.33	3.75
January 2018	2.29	3.38
February 2018	2.26	3.39
March 2018	2.10	3.36
April 2018	2.17	3.44
May 2018	2.04	3.47
June 2018	2.32	3.79
July 2018	2.58	3.83
August 2018	2.36	3.69
September 2018	2.74	3.86

Note: Breaks in the series represent periods with no issuance. Spreads are calculated against three-month LIBOR (London interbank offered rate). The spreads do not include up-front fees.

Source: S&P Global, Leveraged Commentary & Data.

Return to text

Figure 1-8

This is a line chart titled "Change in Bank Lending Standards for C&I Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled "Easing" and positive y-axis values are labeled "Tightening." The data are quarterly. The variable begins around -15 percent in 1997, and increases to around 60 percent in 1998, before dropping to around 5 percent in 1999. It increases sharply to around 80 percent by the end of 2000, and gradually falls from 2001 to 2005, reaching around -55 percent. It gradually increases from 2005 to 2008, reaching its peak of around 80 percent near the end of 2008. It drops sharply in 2009, reaching around 0 percent by the end of the year. It gradually declines to around -20 percent in 2011 before increasing back to 0 percent in 2012. It decreases back to around -20 in 2013, slowly increases to around 10 percent from 2014 to 2016, then decreases back towards around -20 percent, ending just above -20 percent in the third quarter of 2018.

Note: Banks' responses are weighted by their C&I loan market shares. Results are shown for loans to large and medium-sized ﬁrms. The shaded bars indicate periods of business recession as deﬁned by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009. C&I is commercial and industrial.

Source: Federal Reserve Board, Senior Loan Ofﬁcer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

Return to text

Figure 1-9. Forward Price-to-Earnings Ratio of S&P 500 Firms

Period	Ratio
January 1988	10.33
February 1988	10.89
March 1988	11.05
April 1988	10.98
May 1988	9.88
June 1988	10.66
July 1988	10.33
August 1988	9.78
September 1988	9.99
October 1988	10.12
November 1988	9.47
December 1988	9.81
January 1989	10.06
February 1989	10.14
March 1989	10.12
April 1989	10.43
May 1989	10.73
June 1989	10.85
July 1989	11.24
August 1989	11.56
September 1989	11.51
October 1989	11.47
November 1989	11.52
December 1989	11.88
January 1990	11.53
February 1990	11.32
March 1990	11.49
April 1990	11.65
May 1990	12.07
June 1990	12.38
July 1990	12.39
August 1990	11.50
September 1990	10.79
October 1990	10.30
November 1990	11.18
December 1990	11.66
January 1991	11.25
February 1991	13.43
March 1991	13.77
April 1991	14.45
May 1991	13.64
June 1991	13.90
July 1991	14.15
August 1991	14.40
September 1991	14.21
October 1991	14.31
November 1991	14.46
December 1991	14.01
January 1992	15.37
February 1992	15.00
March 1992	14.85
April 1992	14.81
May 1992	14.70
June 1992	14.01
July 1992	14.43
August 1992	14.45
September 1992	14.41
October 1992	14.00
November 1992	14.52
December 1992	14.70
January 1993	14.62
February 1993	14.67
March 1993	15.01
April 1993	15.04
May 1993	14.71
June 1993	14.64
July 1993	14.63
August 1993	14.76
September 1993	14.81
October 1993	14.64
November 1993	14.67
December 1993	14.48
January 1994	14.74
February 1994	14.60
March 1994	14.33
April 1994	13.46
May 1994	13.42
June 1994	13.46
July 1994	13.00
August 1994	13.20
September 1994	13.10
October 1994	12.92
November 1994	12.56
December 1994	12.09
January 1995	12.32
February 1995	12.48
March 1995	12.50
April 1995	12.66
May 1995	12.90
June 1995	13.05
July 1995	13.30
August 1995	13.36
September 1995	13.68
October 1995	13.77
November 1995	13.80
December 1995	14.32
January 1996	14.01
February 1996	15.23
March 1996	14.80
April 1996	14.79
May 1996	15.20
June 1996	14.71
July 1996	14.40
August 1996	14.92
September 1996	15.25
October 1996	15.62
November 1996	16.07
December 1996	15.85
January 1997	16.46
February 1997	17.36
March 1997	16.65
April 1997	16.02
May 1997	17.38
June 1997	18.39
July 1997	19.23
August 1997	18.68
September 1997	18.92
October 1997	19.20
November 1997	18.60
December 1997	18.87
January 1998	18.66
February 1998	20.36
March 1998	21.42
April 1998	21.90
May 1998	21.69
June 1998	21.42
July 1998	22.77
August 1998	21.16
September 1998	20.01
October 1998	19.28
November 1998	22.02
December 1998	22.30
January 1999	23.71
February 1999	23.53
March 1999	24.73
April 1999	24.96
May 1999	24.74
June 1999	24.30
July 1999	25.44
August 1999	23.91
September 1999	23.47
October 1999	22.55
November 1999	24.50
December 1999	24.42
January 2000	24.85
February 2000	24.03
March 2000	23.73
April 2000	23.91
May 2000	23.89
June 2000	24.10
July 2000	24.09
August 2000	23.86
September 2000	23.85
October 2000	21.44
November 2000	22.24
December 2000	22.10
January 2001	21.98
February 2001	22.07
March 2001	19.71
April 2001	21.41
May 2001	22.23
June 2001	21.67
July 2001	21.61
August 2001	21.17
September 2001	18.42
October 2001	20.37
November 2001	21.49
December 2001	21.57
January 2002	21.00
February 2002	20.47
March 2002	20.75
April 2002	20.17
May 2002	19.40
June 2002	18.11
July 2002	16.15
August 2002	16.60
September 2002	15.72
October 2002	15.77
November 2002	16.01
December 2002	16.12
January 2003	16.48
February 2003	15.33
March 2003	15.70
April 2003	15.67
May 2003	16.55
June 2003	17.68
July 2003	17.27
August 2003	16.94
September 2003	17.41
October 2003	17.50
November 2003	17.10
December 2003	17.43
January 2004	18.10
February 2004	18.09
March 2004	17.40
April 2004	17.10
May 2004	15.97
June 2004	16.41
July 2004	15.92
August 2004	15.51
September 2004	15.77
October 2004	15.49
November 2004	16.17
December 2004	16.32
January 2005	15.95
February 2005	16.17
March 2005	15.64
April 2005	15.30
May 2005	15.27
June 2005	15.41
July 2005	15.41
August 2005	15.14
September 2005	14.95
October 2005	14.33
November 2005	14.61
December 2005	14.98
January 2006	14.90
February 2006	14.93
March 2006	15.06
April 2006	14.99
May 2006	14.29
June 2006	13.69
July 2006	13.90
August 2006	14.13
September 2006	14.26
October 2006	14.65
November 2006	14.81
December 2006	14.83
January 2007	15.01
February 2007	15.39
March 2007	14.56
April 2007	15.31
May 2007	15.51
June 2007	15.30
July 2007	15.41
August 2007	13.87
September 2007	15.01
October 2007	15.01
November 2007	14.32
December 2007	14.20
January 2008	13.49
February 2008	13.67
March 2008	13.09
April 2008	13.80
May 2008	14.30
June 2008	13.51
July 2008	12.60
August 2008	13.29
September 2008	12.01
October 2008	9.93
November 2008	9.74
December 2008	11.87
January 2009	11.48
February 2009	12.46
March 2009	12.42
April 2009	13.51
May 2009	14.66
June 2009	14.73
July 2009	14.80
August 2009	15.20
September 2009	15.91
October 2009	15.85
November 2009	15.12
December 2009	14.89
January 2010	14.80
February 2010	13.81
March 2010	14.44
April 2010	14.83
May 2010	12.99
June 2010	12.82
July 2010	12.49
August 2010	12.10
September 2010	12.36
October 2010	12.84
November 2010	12.57
December 2010	13.03
January 2011	13.21
February 2011	13.70
March 2011	12.61
April 2011	12.97
May 2011	12.90
June 2011	12.07
July 2011	12.64
August 2011	11.28
September 2011	11.24
October 2011	11.50
November 2011	11.68
December 2011	11.40
January 2012	12.33
February 2012	12.63
March 2012	12.96
April 2012	12.66
May 2012	12.01
June 2012	11.89
July 2012	12.59
August 2012	12.92
September 2012	13.34
October 2012	13.21
November 2012	12.19
December 2012	12.86
January 2013	13.12
February 2013	13.53
March 2013	13.72
April 2013	13.59
May 2013	14.48
June 2013	14.10
July 2013	14.51
August 2013	14.58
September 2013	14.84
October 2013	14.71
November 2013	15.03
December 2013	15.20
January 2014	15.42
February 2014	15.44
March 2014	15.60
April 2014	15.49
May 2014	15.45
June 2014	15.83
July 2014	15.97
August 2014	15.55
September 2014	15.89
October 2014	14.76
November 2014	16.19
December 2014	16.11
January 2015	16.23
February 2015	17.35
March 2015	17.27
April 2015	17.29
May 2015	17.09
June 2015	16.96
July 2015	16.98
August 2015	16.75
September 2015	16.09
October 2015	16.14
November 2015	16.80
December 2015	16.69
January 2016	15.29
February 2016	15.91
March 2016	16.71
April 2016	17.09
May 2016	16.67
June 2016	16.74
July 2016	17.39
August 2016	17.52
September 2016	16.92
October 2016	16.89
November 2016	16.95
December 2016	17.33
January 2017	17.27
February 2017	17.91
March 2017	18.04
April 2017	17.54
May 2017	17.50
June 2017	17.91
July 2017	18.23
August 2017	18.09
September 2017	18.18
October 2017	18.44
November 2017	18.15
December 2017	18.64
January 2018	18.72
February 2018	17.28
March 2018	17.37
April 2018	16.92
May 2018	16.69
June 2018	16.84
July 2018	17.03
August 2018	16.83
September 2018	17.21
October 2018	16.49

Note: Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Median: 15.0037.

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

Return to text

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

Period	Percentage points
January 1988	5.15
February 1988	5.08
March 1988	4.79
April 1988	4.52
May 1988	5.21
June 1988	4.67
July 1988	4.88
August 1988	5.25
September 1988	5.33
October 1988	5.33
November 1988	5.87
December 1988	5.36
January 1989	5.02
February 1989	4.87
March 1989	4.72
April 1989	4.59
May 1989	4.61
June 1989	5.06
July 1989	4.91
August 1989	4.57
September 1989	4.51
October 1989	4.77
November 1989	4.90
December 1989	4.68
January 1990	4.32
February 1990	4.21
March 1990	3.96
April 1990	3.93
May 1990	3.65
June 1990	3.70
July 1990	3.71
August 1990	4.08
September 1990	4.49
October 1990	5.06
November 1990	4.63
December 1990	4.55
January 1991	4.71
February 1991	3.50
March 1991	3.07
April 1991	2.81
May 1991	3.17
June 1991	2.84
July 1991	2.75
August 1991	2.96
September 1991	3.29
October 1991	3.32
November 1991	3.30
December 1991	3.81
January 1992	2.88
February 1992	2.80
March 1992	2.74
April 1992	3.00
May 1992	3.14
June 1992	3.59
July 1992	3.58
August 1992	3.78
September 1992	3.93
October 1992	3.84
November 1992	3.38
December 1992	3.39
January 1993	3.49
February 1993	3.80
March 1993	3.87
April 1993	4.09
May 1993	4.23
June 1993	4.41
July 1993	4.33
August 1993	4.35
September 1993	4.65
October 1993	4.77
November 1993	4.38
December 1993	4.45
January 1994	4.36
February 1994	4.18
March 1994	3.80
April 1994	3.83
May 1994	3.68
June 1994	3.74
July 1994	3.80
August 1994	3.75
September 1994	3.59
October 1994	3.44
November 1994	3.47
December 1994	3.89
January 1995	3.54
February 1995	3.76
March 1995	3.99
April 1995	4.09
May 1995	4.38
June 1995	4.72
July 1995	4.32
August 1995	4.08
September 1995	4.18
October 1995	4.12
November 1995	4.22
December 1995	4.16
January 1996	4.37
February 1996	3.65
March 1996	3.35
April 1996	3.10
May 1996	2.74
June 1996	2.82
July 1996	3.03
August 1996	3.03
September 1996	2.65
October 1996	2.80
November 1996	2.94
December 1996	2.95
January 1997	2.45
February 1997	2.28
March 1997	2.22
April 1997	2.11
May 1997	1.82
June 1997	1.70
July 1997	1.88
August 1997	1.93
September 1997	1.94
October 1997	1.68
November 1997	2.03
December 1997	2.05
January 1998	2.30
February 1998	1.78
March 1998	1.46
April 1998	1.27
May 1998	1.29
June 1998	1.50
July 1998	1.28
August 1998	1.76
September 1998	2.48
October 1998	2.86
November 1998	1.96
December 1998	2.04
January 1999	1.44
February 1999	1.20
March 1999	0.76
April 1999	1.01
May 1999	0.71
June 1999	0.43
July 1999	0.33
August 1999	0.40
September 1999	0.46
October 1999	0.43
November 1999	0.24
December 1999	0.03
January 2000	-0.30
February 2000	-0.04
March 2000	0.21
April 2000	0.42
May 2000	0.02
June 2000	0.32
July 2000	0.41
August 2000	0.63
September 2000	0.63
October 2000	1.21
November 2000	1.10
December 2000	1.57
January 2001	1.67
February 2001	1.68
March 2001	2.39
April 2001	1.78
May 2001	1.40
June 2001	1.61
July 2001	1.68
August 2001	1.98
September 2001	2.88
October 2001	2.60
November 2001	2.26
December 2001	1.78
January 2002	1.94
February 2002	2.15
March 2002	1.72
April 2002	1.97
May 2002	2.26
June 2002	2.86
July 2002	3.79
August 2002	3.99
September 2002	4.70
October 2002	4.54
November 2002	4.37
December 2002	4.34
January 2003	4.27
February 2003	4.88
March 2003	4.83
April 2003	4.72
May 2003	4.80
June 2003	4.65
July 2003	4.15
August 2003	3.76
September 2003	3.80
October 2003	3.77
November 2003	3.90
December 2003	3.83
January 2004	3.75
February 2004	3.81
March 2004	4.29
April 2004	3.85
May 2004	3.88
June 2004	3.71
July 2004	4.14
August 2004	4.51
September 2004	4.58
October 2004	4.72
November 2004	4.36
December 2004	4.29
January 2005	4.40
February 2005	4.39
March 2005	4.26
April 2005	4.61
May 2005	4.83
June 2005	4.92
July 2005	4.74
August 2005	4.77
September 2005	4.91
October 2005	4.92
November 2005	4.69
December 2005	4.60
January 2006	4.71
February 2006	4.54
March 2006	4.32
April 2006	4.10
May 2006	4.31
June 2006	4.62
July 2006	4.54
August 2006	4.64
September 2006	4.72
October 2006	4.53
November 2006	4.59
December 2006	4.61
January 2007	4.18
February 2007	4.05
March 2007	4.57
April 2007	4.16
May 2007	4.03
June 2007	3.76
July 2007	3.81
August 2007	4.81
September 2007	4.43
October 2007	4.43
November 2007	5.08
December 2007	5.17
January 2008	5.99
February 2008	5.87
March 2008	6.41
April 2008	5.86
May 2008	5.40
June 2008	5.60
July 2008	6.25
August 2008	5.96
September 2008	6.93
October 2008	8.31
November 2008	8.73
December 2008	7.99
January 2009	8.05
February 2009	7.04
March 2009	7.20
April 2009	6.65
May 2009	5.70
June 2009	5.24
July 2009	5.39
August 2009	5.20
September 2009	5.11
October 2009	4.94
November 2009	5.24
December 2009	5.20
January 2010	5.25
February 2010	5.78
March 2010	5.46
April 2010	5.21
May 2010	6.54
June 2010	6.85
July 2010	7.16
August 2010	7.77
September 2010	7.63
October 2010	7.35
November 2010	7.33
December 2010	6.48
January 2011	6.40
February 2011	5.96
March 2011	6.74
April 2011	6.58
May 2011	6.91
June 2011	7.61
July 2011	7.23
August 2011	8.90
September 2011	9.25
October 2011	8.98
November 2011	9.01
December 2011	9.26
January 2012	8.42
February 2012	8.23
March 2012	7.81
April 2012	8.31
May 2012	9.01
June 2012	9.28
July 2012	8.78
August 2012	8.40
September 2012	8.13
October 2012	8.14
November 2012	8.87
December 2012	8.38
January 2013	8.02
February 2013	7.71
March 2013	7.63
April 2013	7.92
May 2013	7.28
June 2013	7.07
July 2013	6.49
August 2013	6.28
September 2013	6.10
October 2013	6.45
November 2013	6.19
December 2013	5.93
January 2014	5.89
February 2014	6.03
March 2014	5.95
April 2014	5.96
May 2014	6.14
June 2014	5.94
July 2014	5.89
August 2014	6.17
September 2014	5.92
October 2014	6.63
November 2014	6.00
December 2014	6.16
January 2015	6.34
February 2015	5.83
March 2015	5.79
April 2015	5.93
May 2015	5.72
June 2015	5.60
July 2015	5.68
August 2015	5.92
September 2015	6.15
October 2015	6.24
November 2015	5.78
December 2015	5.84
January 2016	6.52
February 2016	6.57
March 2016	6.16
April 2016	6.21
May 2016	6.35
June 2016	6.50
July 2016	6.37
August 2016	6.27
September 2016	6.40
October 2016	6.35
November 2016	5.93
December 2016	5.43
January 2017	5.61
February 2017	5.42
March 2017	5.32
April 2017	5.67
May 2017	5.67
June 2017	5.67
July 2017	5.39
August 2017	5.54
September 2017	5.53
October 2017	5.25
November 2017	5.34
December 2017	5.14
January 2018	5.00
February 2018	5.15
March 2018	5.15
April 2018	5.34
May 2018	5.31
June 2018	5.31
July 2018	5.17
August 2018	5.25
September 2018	5.00
October 2018	5.11

Note: Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Treasury yields from smoothed yield curve estimated from off-the-run securities. Median: 4.560285.

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

Return to text

Figure 1-11

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from 0 to 70 percent. The data are monthly averages. The first line is labeled "S&P 500 volatility index (VIX)" and is designated by a black line. The line is jagged throughout the plot. It starts around 20 percent in 1997, rises to and falls from around 30 percent at the end of 1997, and rises up from around 20 percent to around 40 percent in both 2001 and 2002. It gradually falls from 2002 through 2006 to around 10 percent, before it rapidly increases to its peak of around 60 percent in late 2008. It quickly declines to around 15 percent in 2010, and rises to 30 percent in late 2010 before falling again to around 15 percent. It rises from 15 percent to around 35 percent and falls back down to around 15 percent in late 2011, and remains steady around 15 percent until 2016, when it rises to almost 25 percent. It falls again from 2016 to the beginning of 2018, when it rises from around 10 percent to around 20 percent. It spikes again in mid-2018 to around 20 percent, before ending in October 2018 at around 20 percent. The second line is labeled "Realized volatility," and is designated by a blue line. It follows mainly the same trends as the black line, but at a slightly lower percent. It begins at just above 10 percent in 1997, rises to just below 20 percent and falls back to around 10 during 1997, and rises in 1998 to around 25 percent before falling to around 15 percent in 1999. It remains between 15 and just above 20 percent until 2002, when it spikes from around 15 percent to almost 30 percent. It then falls gradually from 2002 to 2004, reaching just under 10 percent and staying steadily around 10 percent through the end of 2006. It then quickly increases through 2007 and 2008, reaching its peak of around 60 percent in late 2008. It quickly declines to around 10 percent in 2010, and rises to around 20 percent in late 2010 before falling again to around 10 percent. It rises from 10 to around 25 percent in late 2011, and falls again to below 10 percent, where it gradually declines until late 2015, when it increases from below 10 percent to just above 20 percent. It falls again from around 20 percent to just under 10 percent in 2015, and continues to decline until early 2018, when it spikes to around 15 percent before ending in October 2018 at around 10 percent.

Note: Realized volatility estimated from five-minute returns using an exponentially weighted moving average with 75 percent of the weight distributed over the past 20 days.

Source: Bloomberg Finance LP.

Return to text

Figure 1-12

This is a line chart titled "Commercial Real Estate Prices (Real)." The x-axis measures time and ranges from the years 1998 to 2018. The y-axis ranges from 60 to 200, which are indexed prices, with 100 being prices in January 2011. The data are monthly. There is one variable plotted, which is the commercial real estate prices index. It is designated by a black line and ranges from around 80-170. The curve rises from around 80 in 1998 to about 160 in 2007. It then decreases at a slightly steeper rate to around 100 in 2011. From then it increases again to reach around 170 in 2017, and ends at a similar level in August 2018.

Note: Series deflated using the consumer price index for all urban consumers less food and energy and seasonally adjusted by Board staff.

Source: CoStar Group, Inc., CoStar Commercial Repeat Sale Indices (CCRSI); Bureau of Labor Statistics consumer price index via Haver Analytics.

Return to text

Figure 1-13. Capitalization Rate at Property Purchase

Period	Percent
January 2001	8.51
February 2001	8.55
March 2001	8.57
April 2001	8.58
May 2001	8.65
June 2001	8.69
July 2001	8.77
August 2001	8.85
September 2001	8.98
October 2001	9.00
November 2001	8.99
December 2001	9.02
January 2002	9.01
February 2002	9.01
March 2002	8.93
April 2002	8.90
May 2002	8.74
June 2002	8.68
July 2002	8.58
August 2002	8.51
September 2002	8.43
October 2002	8.37
November 2002	8.36
December 2002	8.37
January 2003	8.35
February 2003	8.38
March 2003	8.42
April 2003	8.47
May 2003	8.35
June 2003	8.20
July 2003	8.11
August 2003	8.01
September 2003	8.05
October 2003	8.01
November 2003	8.07
December 2003	7.95
January 2004	7.90
February 2004	7.79
March 2004	7.73
April 2004	7.71
May 2004	7.75
June 2004	7.74
July 2004	7.73
August 2004	7.67
September 2004	7.62
October 2004	7.55
November 2004	7.46
December 2004	7.29
January 2005	7.25
February 2005	7.25
March 2005	7.28
April 2005	7.25
May 2005	7.17
June 2005	7.11
July 2005	7.06
August 2005	7.01
September 2005	6.95
October 2005	6.88
November 2005	6.86
December 2005	6.82
January 2006	6.80
February 2006	6.78
March 2006	6.75
April 2006	6.75
May 2006	6.74
June 2006	6.75
July 2006	6.69
August 2006	6.67
September 2006	6.65
October 2006	6.71
November 2006	6.71
December 2006	6.69
January 2007	6.64
February 2007	6.62
March 2007	6.59
April 2007	6.57
May 2007	6.53
June 2007	6.53
July 2007	6.55
August 2007	6.57
September 2007	6.58
October 2007	6.60
November 2007	6.66
December 2007	6.70
January 2008	6.69
February 2008	6.79
March 2008	6.87
April 2008	6.98
May 2008	6.95
June 2008	6.99
July 2008	6.98
August 2008	6.99
September 2008	6.97
October 2008	6.96
November 2008	7.05
December 2008	7.16
January 2009	7.40
February 2009	7.40
March 2009	7.36
April 2009	7.20
May 2009	7.26
June 2009	7.40
July 2009	7.74
August 2009	7.82
September 2009	7.88
October 2009	7.79
November 2009	7.82
December 2009	7.87
January 2010	7.85
February 2010	7.84
March 2010	7.81
April 2010	7.90
May 2010	7.84
June 2010	7.75
July 2010	7.68
August 2010	7.75
September 2010	7.70
October 2010	7.65
November 2010	7.54
December 2010	7.52
January 2011	7.52
February 2011	7.49
March 2011	7.41
April 2011	7.43
May 2011	7.41
June 2011	7.37
July 2011	7.27
August 2011	7.21
September 2011	7.18
October 2011	7.23
November 2011	7.23
December 2011	7.25
January 2012	7.15
February 2012	7.21
March 2012	7.15
April 2012	7.18
May 2012	7.09
June 2012	7.05
July 2012	7.05
August 2012	7.08
September 2012	7.08
October 2012	7.05
November 2012	6.97
December 2012	6.96
January 2013	6.97
February 2013	7.00
March 2013	7.06
April 2013	7.02
May 2013	7.08
June 2013	7.00
July 2013	7.01
August 2013	6.91
September 2013	6.97
October 2013	7.00
November 2013	7.08
December 2013	7.00
January 2014	6.91
February 2014	6.83
March 2014	6.77
April 2014	6.78
May 2014	6.80
June 2014	6.80
July 2014	6.76
August 2014	6.72
September 2014	6.65
October 2014	6.62
November 2014	6.60
December 2014	6.59
January 2015	6.55
February 2015	6.52
March 2015	6.56
April 2015	6.54
May 2015	6.53
June 2015	6.53
July 2015	6.54
August 2015	6.51
September 2015	6.48
October 2015	6.45
November 2015	6.43
December 2015	6.42
January 2016	6.46
February 2016	6.46
March 2016	6.49
April 2016	6.37
May 2016	6.39
June 2016	6.36
July 2016	6.35
August 2016	6.33
September 2016	6.30
October 2016	6.32
November 2016	6.33
December 2016	6.45
January 2017	6.42
February 2017	6.40
March 2017	6.37
April 2017	6.38
May 2017	6.35
June 2017	6.24
July 2017	6.18
August 2017	6.19
September 2017	6.19
October 2017	6.23
November 2017	6.23
December 2017	6.26
January 2018	6.24
February 2018	6.22
March 2018	6.20
April 2018	6.21
May 2018	6.19
June 2018	6.21
July 2018	6.24
August 2018	6.24
September 2018	6.21

Note: The data are three-month moving averages of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), "Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market," Journal of Real Estate Portfolio Management, vol. 16 (May-August), pp. 101-18.

Return to text

Figure 1-14. Spread of Capitalization Rate at Property Purchase to 10-Year Treasury Yield

Period	Percentage points
March 2001	3.52
April 2001	3.54
May 2001	3.51
June 2001	3.42
July 2001	3.47
August 2001	3.69
September 2001	4.00
October 2001	4.24
November 2001	4.34
December 2001	4.25
January 2002	4.08
February 2002	4.00
March 2002	3.86
April 2002	3.77
May 2002	3.52
June 2002	3.58
July 2002	3.67
August 2002	3.90
September 2002	4.17
October 2002	4.35
November 2002	4.40
December 2002	4.36
January 2003	4.30
February 2003	4.38
March 2003	4.50
April 2003	4.58
May 2003	4.57
June 2003	4.58
July 2003	4.49
August 2003	4.09
September 2003	3.82
October 2003	3.68
November 2003	3.79
December 2003	3.67
January 2004	3.66
February 2004	3.63
March 2004	3.71
April 2004	3.62
May 2004	3.45
June 2004	3.14
July 2004	3.08
August 2004	3.17
September 2004	3.32
October 2004	3.38
November 2004	3.32
December 2004	3.12
January 2005	3.04
February 2005	3.04
March 2005	2.99
April 2005	2.91
May 2005	2.85
June 2005	2.95
July 2005	2.95
August 2005	2.86
September 2005	2.74
October 2005	2.57
November 2005	2.46
December 2005	2.33
January 2006	2.32
February 2006	2.29
March 2006	2.18
April 2006	1.99
May 2006	1.80
June 2006	1.68
July 2006	1.58
August 2006	1.65
September 2006	1.76
October 2006	1.93
November 2006	2.02
December 2006	2.06
January 2007	2.00
February 2007	1.94
March 2007	1.91
April 2007	1.92
May 2007	1.86
June 2007	1.69
July 2007	1.60
August 2007	1.65
September 2007	1.85
October 2007	2.03
November 2007	2.26
December 2007	2.44
January 2008	2.69
February 2008	2.93
March 2008	3.20
April 2008	3.34
May 2008	3.26
June 2008	3.10
July 2008	2.99
August 2008	2.99
September 2008	3.11
October 2008	3.16
November 2008	3.37
December 2008	3.90
January 2009	4.58
February 2009	4.80
March 2009	4.62
April 2009	4.32
May 2009	4.25
June 2009	4.08
July 2009	4.22
August 2009	4.20
September 2009	4.36
October 2009	4.33
November 2009	4.43
December 2009	4.41
January 2010	4.27
February 2010	4.17
March 2010	4.09
April 2010	4.15
May 2010	4.18
June 2010	4.26
July 2010	4.47
August 2010	4.78
September 2010	4.91
October 2010	5.02
November 2010	4.89
December 2010	4.65
January 2011	4.37
February 2011	4.07
March 2011	3.95
April 2011	3.95
May 2011	4.06
June 2011	4.16
July 2011	4.21
August 2011	4.44
September 2011	4.76
October 2011	5.09
November 2011	5.19
December 2011	5.20
January 2012	5.16
February 2012	5.23
March 2012	5.11
April 2012	5.12
May 2012	5.08
June 2012	5.23
July 2012	5.40
August 2012	5.47
September 2012	5.43
October 2012	5.34
November 2012	5.26
December 2012	5.26
January 2013	5.21
February 2013	5.13
March 2013	5.11
April 2013	5.12
May 2013	5.20
June 2013	5.00
July 2013	4.74
August 2013	4.37
September 2013	4.26
October 2013	4.27
November 2013	4.36
December 2013	4.25
January 2014	4.09
February 2014	4.00
March 2014	4.00
April 2014	4.06
May 2014	4.14
June 2014	4.17
July 2014	4.19
August 2014	4.20
September 2014	4.15
October 2014	4.20
November 2014	4.22
December 2014	4.31
January 2015	4.41
February 2015	4.50
March 2015	4.59
April 2015	4.55
May 2015	4.47
June 2015	4.36
July 2015	4.25
August 2015	4.23
September 2015	4.26
October 2015	4.32
November 2015	4.26
December 2015	4.23
January 2016	4.27
February 2016	4.43
March 2016	4.57
April 2016	4.54
May 2016	4.55
June 2016	4.61
July 2016	4.70
August 2016	4.77
September 2016	4.74
October 2016	4.67
November 2016	4.49
December 2016	4.32
January 2017	4.06
February 2017	3.95
March 2017	3.92
April 2017	3.98
May 2017	3.99
June 2017	3.98
July 2017	3.91
August 2017	3.95
September 2017	3.94
October 2017	3.97
November 2017	3.93
December 2017	3.89
January 2018	3.79
February 2018	3.60
March 2018	3.44
April 2018	3.35
May 2018	3.29
June 2018	3.29
July 2018	3.31
August 2018	3.35
September 2018	3.29

Note: The data are three-month moving averages of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Return to text

Figure 1-15

This is a line chart titled "Change in Bank Standards for CRE Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled "Easing" and positive y-axis values are labeled "Tightening." The data are quarterly. The variable begins at 0 percent in 1997, and spikes in late 1998 to around 40 percent before dropping down to just above 0 percent in 1999. It rises to around 40 percent in 2001 before declining from 2002 to 2005, reaching around -20 percent. It gradually increases from 2005 to 2008 when it reaches its peak of around 90 percent before declining from late 2008 to 2011 to around -20 percent. It remains around -20 percent from 2011 to 2015, when it quickly rises again to around 50 percent by 2016. It falls during 2017 to around -20 percent again, and briefly rises to around 0 percent in 2018 before ending at just above -20 percent in the third quarter of 2018.

Note: Banks' responses are weighted by their CRE loan market shares. The shaded bars indicate periods of business recession as deﬁned by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009. CRE is commercial real estate.

Source: Federal Reserve Board, Senior Loan Ofﬁcer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

Return to text

Figure 1-16. Cropland Values

2015 dollars per acre

Year	Midwest index	United States
1967	2504.14	ND
1968	2626.67	ND
1969	2576.16	ND
1970	2464.35	ND
1971	2303.13	ND
1972	2306.87	ND
1973	2481.68	ND
1974	2996.39	ND
1975	3338.33	ND
1976	3925.10	ND
1977	4711.90	ND
1978	4920.59	ND
1979	4993.82	ND
1980	4998.48	ND
1981	4755.64	ND
1982	4333.72	ND
1983	3678.89	ND
1984	3231.65	ND
1985	2304.24	ND
1986	1829.45	ND
1987	1555.77	ND
1988	1705.18	ND
1989	1866.13	ND
1990	1874.11	ND
1991	1833.54	ND
1992	1838.50	ND
1993	1840.64	ND
1994	2231.56	ND
1995	2153.38	ND
1996	2300.47	ND
1997	2116.22	1992.49
1998	2237.04	2070.28
1999	2258.92	2116.56
2000	2229.23	2135.38
2001	2213.73	2148.01
2002	2247.50	2226.29
2003	2277.46	2272.09
2004	2380.93	2333.04
2005	2750.55	2656.89
2006	2966.87	2986.29
2007	3288.16	3073.01
2008	3668.94	3229.18
2009	3486.35	3133.92
2010	3672.11	3118.10
2011	4261.06	3336.70
2012	4990.17	3674.81
2013	5714.24	4119.02
2014	6166.59	4362.23
2015	5958.67	4388.84
2016	5723.30	4291.76
2017	5597.26	4201.90
2018	5511.17	4130.00

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states. Values are given in real terms. Median of Midwest index: 2601.415.

Source: Department of Agriculture.

Return to text

Figure 1-17. Cropland Price-to-Rent Ratio

Year	Midwest Index	United States
1967	14.13	ND
1968	14.19	ND
1969	14.18	ND
1970	13.99	ND
1971	13.50	ND
1972	13.40	ND
1973	14.17	ND
1974	14.52	ND
1975	14.60	ND
1976	16.15	ND
1977	18.02	ND
1978	19.55	ND
1979	20.57	ND
1980	21.55	ND
1981	21.25	ND
1982	19.56	ND
1983	17.42	ND
1984	15.94	ND
1985	12.99	ND
1986	11.89	ND
1987	11.71	ND
1988	12.52	ND
1989	13.29	ND
1990	13.41	ND
1991	13.50	ND
1992	13.73	ND
1993	13.88	ND
1994	17.96	ND
1995	17.34	ND
1996	18.35	ND
1997	16.65	ND
1998	17.46	20.15
1999	18.19	20.74
2000	17.83	20.86
2001	17.95	21.27
2002	18.17	22.21
2003	18.63	22.74
2004	19.45	22.88
2005	22.50	26.41
2006	24.61	30.06
2007	25.79	32.65
2008	26.32	32.28
2009	24.42	26.97
2010	25.43	26.47
2011	27.81	26.85
2012	28.46	26.80
2013	30.45	28.01
2014	32.24	29.08
2015	31.85	28.68
2016	32.63	30.07
2017	33.12	30.07
2018	33.15	29.93

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states. Median of Midwest index: 17.9543.

Source: Department of Agriculture.

Return to text

Figure 1-18. Growth of Nominal Prices of Existing Homes

Percent change, annual rate

Period	CoreLogic	Zillow
January 2011	-2.91	-9.52
February 2011	-3.81	-7.46
March 2011	-3.91	-6.05
April 2011	-3.20	-5.34
May 2011	-1.52	-4.61
June 2011	0.52	-4.63
July 2011	2.05	-5.40
August 2011	2.26	-3.90
September 2011	1.25	-3.92
October 2011	0.27	-2.38
November 2011	-0.17	-1.59
December 2011	0.22	-1.59
January 2012	1.99	-3.17
February 2012	4.34	-0.80
March 2012	6.92	0.81
April 2012	9.32	2.45
May 2012	10.69	3.27
June 2012	10.47	3.26
July 2012	9.15	3.25
August 2012	7.97	4.07
September 2012	7.67	4.88
October 2012	8.14	4.04
November 2012	8.84	4.02
December 2012	9.31	4.83
January 2013	9.73	5.63
February 2013	10.58	4.79
March 2013	11.35	7.23
April 2013	11.69	8.01
May 2013	11.31	7.14
June 2013	10.61	7.91
July 2013	10.19	9.50
August 2013	10.18	7.80
September 2013	9.92	7.75
October 2013	9.17	6.12
November 2013	8.35	5.31
December 2013	7.59	6.06
January 2014	6.56	6.03
February 2014	5.21	5.23
March 2014	3.71	5.21
April 2014	2.65	5.95
May 2014	2.46	5.16
June 2014	3.19	4.39
July 2014	4.45	5.12
August 2014	5.66	5.84
September 2014	6.43	4.33
October 2014	6.59	3.59
November 2014	6.30	4.31
December 2014	5.89	4.29
January 2015	5.55	5.00
February 2015	5.27	5.71
March 2015	5.01	4.96
April 2015	4.81	4.94
May 2015	4.90	5.64
June 2015	5.21	6.33
July 2015	5.52	6.30
August 2015	5.71	4.14
September 2015	5.88	4.83
October 2015	6.09	6.22
November 2015	6.21	6.90
December 2015	6.02	6.15
January 2016	5.64	6.12
February 2016	5.24	5.40
March 2016	4.85	6.76
April 2016	4.54	6.72
May 2016	4.41	6.68
June 2016	4.53	7.33
July 2016	5.04	6.61
August 2016	5.86	6.57
September 2016	6.58	7.21
October 2016	6.89	7.84
November 2016	6.73	7.12
December 2016	6.34	7.74
January 2017	5.85	8.36
February 2017	5.54	8.30
March 2017	5.49	6.94
April 2017	5.56	8.20
May 2017	5.63	8.79
June 2017	5.78	6.16
July 2017	6.03	5.50
August 2017	6.50	8.64
September 2017	6.92	7.31
October 2017	6.94	6.65
November 2017	6.69	7.23
December 2017	6.55	7.19
January 2018	6.81	9.63
February 2018	7.17	11.43
March 2018	7.04	9.46
April 2018	6.05	6.97
May 2018	4.45	8.12
June 2018	2.96	6.29
July 2018	2.45	5.67
August 2018	2.38	6.23
September 2018	ND	7.36

Source: CoreLogic; Zillow.

Return to text

Figure 1-19. Housing Price-to-Rent Ratio

Trend at Aug. 2018 = 100

Period	Long-run trend	Price-to-rent ratio
January 1983	79.95	76.27
February 1983	79.99	76.09
March 1983	80.04	76.13
April 1983	80.08	76.06
May 1983	80.12	76.31
June 1983	80.17	76.35
July 1983	80.22	76.47
August 1983	80.27	76.57
September 1983	80.33	76.49
October 1983	80.37	76.65
November 1983	80.42	76.76
December 1983	80.46	76.82
January 1984	80.51	76.84
February 1984	80.56	76.89
March 1984	80.60	76.68
April 1984	80.66	76.39
May 1984	80.71	76.49
June 1984	80.76	76.39
July 1984	80.82	76.35
August 1984	80.88	76.27
September 1984	80.93	76.26
October 1984	80.98	76.16
November 1984	81.02	76.07
December 1984	81.06	75.69
January 1985	81.11	75.60
February 1985	81.15	75.40
March 1985	81.20	75.47
April 1985	81.24	75.61
May 1985	81.29	75.38
June 1985	81.33	75.43
July 1985	81.37	75.52
August 1985	81.41	75.42
September 1985	81.45	75.57
October 1985	81.50	75.46
November 1985	81.54	75.41
December 1985	81.58	75.74
January 1986	81.63	76.02
February 1986	81.67	76.54
March 1986	81.71	76.42
April 1986	81.75	75.98
May 1986	81.80	76.44
June 1986	81.84	76.82
July 1986	81.89	77.03
August 1986	81.94	77.75
September 1986	81.99	78.06
October 1986	82.03	78.30
November 1986	82.07	78.65
December 1986	82.12	79.16
January 1987	82.16	79.57
February 1987	82.20	80.09
March 1987	82.24	80.65
April 1987	82.30	81.23
May 1987	82.36	81.72
June 1987	82.42	82.48
July 1987	82.46	82.78
August 1987	82.51	82.96
September 1987	82.56	83.24
October 1987	82.61	83.64
November 1987	82.66	84.31
December 1987	82.72	84.24
January 1988	82.76	84.47
February 1988	82.80	84.71
March 1988	82.84	85.00
April 1988	82.89	85.45
May 1988	82.94	85.99
June 1988	82.99	86.62
July 1988	83.04	87.32
August 1988	83.09	87.91
September 1988	83.14	88.38
October 1988	83.19	89.06
November 1988	83.24	89.57
December 1988	83.29	90.04
January 1989	83.34	90.41
February 1989	83.39	90.74
March 1989	83.44	91.15
April 1989	83.49	91.48
May 1989	83.53	91.65
June 1989	83.58	91.55
July 1989	83.62	91.53
August 1989	83.67	91.70
September 1989	83.71	92.07
October 1989	83.76	92.02
November 1989	83.81	92.09
December 1989	83.85	92.17
January 1990	83.91	92.25
February 1990	83.96	92.39
March 1990	84.01	92.26
April 1990	84.06	92.05
May 1990	84.10	91.79
June 1990	84.15	91.34
July 1990	84.19	90.83
August 1990	84.24	90.26
September 1990	84.28	89.81
October 1990	84.33	89.31
November 1990	84.38	88.99
December 1990	84.42	88.42
January 1991	84.47	88.04
February 1991	84.51	87.57
March 1991	84.56	87.06
April 1991	84.60	86.76
May 1991	84.65	86.58
June 1991	84.70	86.61
July 1991	84.75	86.33
August 1991	84.80	86.32
September 1991	84.84	85.68
October 1991	84.89	85.55
November 1991	84.93	85.17
December 1991	84.97	84.92
January 1992	85.03	84.76
February 1992	85.08	84.67
March 1992	85.13	84.16
April 1992	85.17	84.38
May 1992	85.22	84.15
June 1992	85.26	83.83
July 1992	85.31	83.53
August 1992	85.35	83.49
September 1992	85.40	83.47
October 1992	85.45	83.03
November 1992	85.49	82.76
December 1992	85.54	82.80
January 1993	85.59	82.66
February 1993	85.63	82.61
March 1993	85.67	82.65
April 1993	85.71	82.42
May 1993	85.76	82.34
June 1993	85.80	82.27
July 1993	85.84	82.50
August 1993	85.89	82.50
September 1993	85.93	82.72
October 1993	85.98	82.78
November 1993	86.03	82.99
December 1993	86.08	82.95
January 1994	86.13	82.91
February 1994	86.18	82.65
March 1994	86.23	82.44
April 1994	86.28	82.57
May 1994	86.34	82.67
June 1994	86.40	82.83
July 1994	86.45	82.72
August 1994	86.50	82.52
September 1994	86.54	82.39
October 1994	86.59	82.41
November 1994	86.64	82.32
December 1994	86.69	82.32
January 1995	86.74	82.22
February 1995	86.78	82.21
March 1995	86.83	82.10
April 1995	86.87	82.10
May 1995	86.91	82.09
June 1995	86.95	82.16
July 1995	87.00	82.17
August 1995	87.04	82.27
September 1995	87.09	82.35
October 1995	87.13	82.31
November 1995	87.18	82.28
December 1995	87.23	82.24
January 1996	87.27	82.24
February 1996	87.32	82.28
March 1996	87.37	82.39
April 1996	87.42	82.46
May 1996	87.47	82.45
June 1996	87.53	82.37
July 1996	87.57	82.26
August 1996	87.62	82.29
September 1996	87.67	82.25
October 1996	87.71	82.20
November 1996	87.76	82.21
December 1996	87.80	82.23
January 1997	87.85	82.26
February 1997	87.89	82.29
March 1997	87.94	82.34
April 1997	87.99	82.36
May 1997	88.04	82.39
June 1997	88.09	82.48
July 1997	88.14	82.65
August 1997	88.18	82.78
September 1997	88.22	82.94
October 1997	88.27	83.18
November 1997	88.32	83.44
December 1997	88.36	83.74
January 1998	88.41	84.10
February 1998	88.46	84.46
March 1998	88.50	84.76
April 1998	88.55	85.00
May 1998	88.60	85.21
June 1998	88.65	85.38
July 1998	88.69	85.62
August 1998	88.74	85.87
September 1998	88.78	86.17
October 1998	88.83	86.55
November 1998	88.88	86.87
December 1998	88.92	87.22
January 1999	88.97	87.52
February 1999	89.02	87.84
March 1999	89.07	88.12
April 1999	89.12	88.43
May 1999	89.17	88.86
June 1999	89.22	89.33
July 1999	89.27	89.77
August 1999	89.32	90.22
September 1999	89.37	90.62
October 1999	89.42	91.10
November 1999	89.47	91.29
December 1999	89.51	91.77
January 2000	89.57	92.11
February 2000	89.61	92.72
March 2000	89.67	93.29
April 2000	89.71	93.92
May 2000	89.76	94.49
June 2000	89.81	94.99
July 2000	89.85	95.35
August 2000	89.90	95.70
September 2000	89.94	96.07
October 2000	89.99	96.40
November 2000	90.03	96.82
December 2000	90.07	97.20
January 2001	90.12	97.67
February 2001	90.16	98.07
March 2001	90.20	98.39
April 2001	90.25	98.65
May 2001	90.30	98.76
June 2001	90.35	99.01
July 2001	90.39	99.26
August 2001	90.44	99.48
September 2001	90.48	99.72
October 2001	90.53	99.92
November 2001	90.57	100.11
December 2001	90.62	100.19
January 2002	90.67	100.44
February 2002	90.72	100.69
March 2002	90.77	101.09
April 2002	90.81	101.66
May 2002	90.86	102.31
June 2002	90.90	102.91
July 2002	90.95	103.53
August 2002	90.99	104.16
September 2002	91.03	104.70
October 2002	91.08	105.14
November 2002	91.12	105.57
December 2002	91.17	106.04
January 2003	91.22	106.34
February 2003	91.26	106.81
March 2003	91.31	107.23
April 2003	91.35	107.64
May 2003	91.40	108.09
June 2003	91.44	108.73
July 2003	91.49	109.36
August 2003	91.55	110.09
September 2003	91.60	110.90
October 2003	91.64	111.84
November 2003	91.69	112.70
December 2003	91.74	113.61
January 2004	91.78	114.55
February 2004	91.82	115.44
March 2004	91.87	116.40
April 2004	91.92	117.37
May 2004	91.98	118.39
June 2004	92.03	119.40
July 2004	92.07	120.39
August 2004	92.12	121.24
September 2004	92.17	122.19
October 2004	92.21	123.20
November 2004	92.26	124.29
December 2004	92.31	125.23
January 2005	92.36	126.27
February 2005	92.40	127.39
March 2005	92.45	128.54
April 2005	92.50	129.65
May 2005	92.55	130.70
June 2005	92.59	131.68
July 2005	92.64	132.52
August 2005	92.69	133.45
September 2005	92.73	134.30
October 2005	92.78	135.05
November 2005	92.83	135.76
December 2005	92.88	136.43
January 2006	92.93	137.01
February 2006	92.97	137.24
March 2006	93.01	137.21
April 2006	93.06	136.95
May 2006	93.11	136.45
June 2006	93.16	135.81
July 2006	93.21	135.16
August 2006	93.25	134.47
September 2006	93.30	133.89
October 2006	93.34	133.42
November 2006	93.39	133.02
December 2006	93.43	132.50
January 2007	93.48	131.99
February 2007	93.53	131.20
March 2007	93.58	130.28
April 2007	93.63	129.20
May 2007	93.68	127.89
June 2007	93.73	126.51
July 2007	93.78	125.12
August 2007	93.83	123.86
September 2007	93.87	122.53
October 2007	93.92	121.07
November 2007	93.96	119.62
December 2007	94.01	118.14
January 2008	94.05	116.61
February 2008	94.09	114.97
March 2008	94.14	113.16
April 2008	94.19	111.18
May 2008	94.24	109.34
June 2008	94.29	107.38
July 2008	94.34	105.54
August 2008	94.39	103.67
September 2008	94.43	101.73
October 2008	94.48	99.65
November 2008	94.52	97.59
December 2008	94.56	95.75
January 2009	94.61	94.13
February 2009	94.64	92.95
March 2009	94.69	92.17
April 2009	94.73	91.74
May 2009	94.78	91.62
June 2009	94.82	91.72
July 2009	94.87	91.92
August 2009	94.92	92.05
September 2009	94.97	92.22
October 2009	95.02	92.47
November 2009	95.06	92.67
December 2009	95.11	92.78
January 2010	95.16	92.77
February 2010	95.20	92.77
March 2010	95.25	92.72
April 2010	95.30	92.63
May 2010	95.34	92.40
June 2010	95.39	91.88
July 2010	95.43	91.23
August 2010	95.48	90.60
September 2010	95.52	89.84
October 2010	95.57	89.39
November 2010	95.62	88.87
December 2010	95.67	88.47
January 2011	95.72	88.03
February 2011	95.76	87.55
March 2011	95.81	87.06
April 2011	95.85	86.67
May 2011	95.90	86.40
June 2011	95.94	86.28
July 2011	95.99	86.27
August 2011	96.03	86.12
September 2011	96.07	85.99
October 2011	96.12	85.72
November 2011	96.17	85.49
December 2011	96.21	85.27
January 2012	96.26	85.25
February 2012	96.31	85.38
March 2012	96.35	85.75
April 2012	96.40	86.25
May 2012	96.44	86.91
June 2012	96.49	87.58
July 2012	96.54	88.08
August 2012	96.58	88.52
September 2012	96.63	88.88
October 2012	96.67	89.15
November 2012	96.72	89.67
December 2012	96.76	90.21
January 2013	96.81	90.75
February 2013	96.86	91.34
March 2013	96.91	91.98
April 2013	96.96	92.73
May 2013	97.01	93.34
June 2013	97.05	93.97
July 2013	97.11	94.61
August 2013	97.16	95.06
September 2013	97.21	95.65
October 2013	97.26	96.19
November 2013	97.30	96.65
December 2013	97.35	96.96
January 2014	97.40	97.24
February 2014	97.44	97.47
March 2014	97.49	97.44
April 2014	97.54	97.33
May 2014	97.58	97.25
June 2014	97.63	97.22
July 2014	97.68	97.29
August 2014	97.72	97.50
September 2014	97.77	97.72
October 2014	97.82	98.01
November 2014	97.86	98.17
December 2014	97.91	98.43
January 2015	97.95	98.60
February 2015	97.99	98.70
March 2015	98.04	98.78
April 2015	98.09	98.91
May 2015	98.14	99.03
June 2015	98.19	99.12
July 2015	98.23	99.23
August 2015	98.28	99.41
September 2015	98.33	99.49
October 2015	98.38	99.70
November 2015	98.42	99.96
December 2015	98.47	100.19
January 2016	98.52	100.34
February 2016	98.56	100.45
March 2016	98.61	100.54
April 2016	98.65	100.57
May 2016	98.70	100.59
June 2016	98.74	100.63
July 2016	98.79	100.73
August 2016	98.84	100.92
September 2016	98.88	101.12
October 2016	98.94	101.32
November 2016	98.98	101.53
December 2016	99.04	101.72
January 2017	99.09	101.91
February 2017	99.13	102.05
March 2017	99.18	102.21
April 2017	99.23	102.37
May 2017	99.27	102.50
June 2017	99.32	102.64
July 2017	99.37	102.86
August 2017	99.42	103.03
September 2017	99.46	103.34
October 2017	99.51	103.62
November 2017	99.56	103.85
December 2017	99.60	104.04
January 2018	99.66	104.26
February 2018	99.70	104.62
March 2018	99.76	104.92
April 2018	99.80	105.04
May 2018	99.86	105.13
June 2018	99.90	105.14
July 2018	99.95	105.11
August 2018	100.00	105.09

Note: Chart shows the log of the price-to-rent ratio. Long-run trend is estimated using data from 1978 to 2001, with the last value of the trend normalized to equal 100.

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

Return to text

Figure 1-20. Selected Local Housing Price-to-Rent Ratio Indexes

Jan. 2010 = 100

Period	Los Angeles	Miami	Phoenix	10th percent of markets	Median	90th percent of markets
January 1990	105.19	94.60	ND	75.17	95.58	105.19
February 1990	105.84	94.35	ND	75.42	95.37	105.84
March 1990	105.04	97.25	ND	75.68	96.75	105.04
April 1990	105.47	95.52	ND	75.69	95.74	105.47
May 1990	105.11	95.50	ND	75.85	95.61	105.11
June 1990	104.49	94.38	ND	76.16	94.87	104.49
July 1990	103.85	93.04	ND	76.09	94.14	103.85
August 1990	103.69	92.91	ND	76.22	93.94	103.69
September 1990	102.47	92.04	ND	76.10	93.37	102.88
October 1990	101.86	92.31	ND	75.96	93.10	102.16
November 1990	100.79	93.22	ND	75.83	93.15	101.62
December 1990	100.39	93.29	ND	75.64	92.76	100.39
January 1991	99.40	93.61	ND	75.18	92.62	100.04
February 1991	98.28	93.13	ND	74.76	91.78	100.22
March 1991	97.84	91.62	ND	74.71	90.70	99.91
April 1991	96.73	91.42	ND	75.07	89.82	100.42
May 1991	97.63	91.24	ND	75.36	89.57	99.87
June 1991	97.60	91.75	ND	75.62	89.66	99.91
July 1991	97.91	92.61	ND	75.10	89.22	100.14
August 1991	97.87	92.62	ND	75.27	89.46	100.96
September 1991	97.35	92.38	ND	75.28	89.20	100.73
October 1991	96.55	91.58	ND	75.41	89.19	101.02
November 1991	96.06	90.16	ND	75.19	88.27	100.97
December 1991	95.66	90.40	ND	75.14	88.33	100.50
January 1992	95.40	90.72	ND	74.99	88.13	100.42
February 1992	94.98	91.08	ND	75.32	88.26	100.15
March 1992	94.34	90.20	ND	75.06	87.95	100.68
April 1992	93.51	91.01	ND	75.23	88.44	100.98
May 1992	92.90	91.46	ND	74.84	88.38	101.02
June 1992	92.48	91.08	ND	74.50	88.24	100.86
July 1992	92.09	90.53	ND	74.28	88.05	100.96
August 1992	91.54	90.98	ND	73.92	87.93	100.83
September 1992	91.25	92.73	ND	73.04	88.24	101.03
October 1992	90.26	91.58	ND	72.48	88.01	101.65
November 1992	89.28	90.76	ND	72.29	87.54	101.58
December 1992	88.23	89.95	ND	71.92	87.12	102.57
January 1993	87.45	89.30	ND	71.61	86.86	102.44
February 1993	87.32	89.47	ND	71.54	86.87	102.64
March 1993	87.34	91.57	ND	71.73	86.85	103.66
April 1993	86.48	92.14	ND	71.66	86.50	103.00
May 1993	85.51	92.66	ND	71.69	86.04	102.83
June 1993	84.85	93.17	ND	71.94	85.63	103.79
July 1993	84.14	92.33	ND	71.76	85.46	104.09
August 1993	83.30	91.25	ND	71.95	85.14	103.27
September 1993	83.29	91.75	ND	71.44	85.20	103.16
October 1993	83.24	92.25	ND	72.56	85.23	102.67
November 1993	82.85	94.19	ND	72.86	85.26	102.92
December 1993	82.39	93.74	ND	72.80	85.47	103.14
January 1994	81.91	93.39	ND	73.31	85.64	104.13
February 1994	81.32	92.85	ND	73.38	85.70	103.80
March 1994	80.58	92.08	ND	73.44	85.74	103.40
April 1994	80.25	92.07	ND	73.55	85.87	103.26
May 1994	80.27	92.08	ND	73.73	86.14	103.30
June 1994	80.08	92.36	ND	74.60	86.33	103.25
July 1994	79.54	92.70	ND	74.77	86.37	103.98
August 1994	79.20	93.33	ND	74.13	86.36	104.33
September 1994	78.68	92.85	ND	73.32	86.50	104.41
October 1994	78.20	93.04	ND	74.07	86.72	105.03
November 1994	78.82	92.91	ND	73.56	86.82	103.89
December 1994	79.06	93.17	ND	74.04	86.94	103.05
January 1995	79.17	93.15	ND	73.70	87.17	103.17
February 1995	78.68	92.74	ND	73.45	87.44	102.75
March 1995	78.43	93.00	ND	73.45	87.47	102.50
April 1995	78.22	93.10	ND	73.16	87.50	102.41
May 1995	78.02	92.88	ND	73.60	87.42	102.36
June 1995	77.70	93.04	ND	73.73	87.38	102.49
July 1995	77.83	93.40	ND	73.82	87.28	102.29
August 1995	77.55	93.22	ND	74.00	87.13	102.39
September 1995	77.69	93.42	ND	73.83	86.92	102.55
October 1995	77.61	92.94	ND	73.72	86.70	102.76
November 1995	77.56	93.26	ND	73.80	86.62	102.80
December 1995	77.18	93.27	ND	73.92	86.55	102.86
January 1996	77.24	93.48	ND	73.41	86.60	103.13
February 1996	77.03	93.48	ND	73.61	86.67	103.01
March 1996	76.85	93.44	ND	73.92	86.64	102.94
April 1996	76.71	93.27	ND	74.02	86.70	102.95
May 1996	76.57	93.30	ND	74.01	86.69	102.77
June 1996	76.50	93.40	ND	73.63	86.62	102.58
July 1996	76.33	93.54	ND	74.28	86.57	102.63
August 1996	76.01	93.29	ND	73.59	86.41	102.09
September 1996	76.12	93.10	ND	73.17	86.36	101.81
October 1996	76.05	92.97	ND	72.98	86.44	101.51
November 1996	76.10	93.04	ND	72.68	86.54	101.46
December 1996	76.29	92.97	ND	72.58	86.74	101.50
January 1997	76.34	93.15	ND	72.62	86.41	101.11
February 1997	76.26	93.57	ND	72.41	86.51	101.07
March 1997	76.72	93.91	ND	72.46	86.53	101.25
April 1997	76.76	93.67	ND	72.35	86.65	101.20
May 1997	76.92	93.60	ND	72.24	86.69	101.12
June 1997	77.19	93.30	ND	72.33	86.82	100.99
July 1997	77.55	93.06	ND	71.82	87.87	100.18
August 1997	77.97	93.28	ND	73.05	87.99	100.52
September 1997	78.14	93.55	ND	72.99	88.17	100.40
October 1997	78.44	93.90	ND	73.45	88.35	100.46
November 1997	78.87	94.05	ND	73.98	88.36	100.44
December 1997	79.48	94.37	ND	74.62	88.47	100.64
January 1998	80.09	94.56	ND	74.68	88.84	100.68
February 1998	80.65	94.33	ND	75.45	88.75	100.81
March 1998	81.21	94.15	ND	75.70	88.69	101.05
April 1998	81.57	94.30	ND	75.99	88.79	100.94
May 1998	82.24	94.53	ND	76.22	88.89	100.94
June 1998	82.67	94.91	ND	76.82	89.07	100.84
July 1998	83.22	94.97	ND	77.06	89.14	101.07
August 1998	83.89	95.19	ND	77.73	89.40	101.47
September 1998	84.26	95.55	ND	77.83	89.61	101.64
October 1998	84.68	95.42	ND	78.02	89.95	101.82
November 1998	85.05	95.83	ND	78.29	90.34	102.04
December 1998	85.10	95.49	ND	78.45	90.79	101.91
January 1999	85.55	96.27	ND	78.45	91.43	102.34
February 1999	85.86	96.07	ND	78.80	91.45	102.88
March 1999	86.04	96.25	ND	79.26	91.72	103.38
April 1999	86.56	96.81	ND	80.09	92.00	103.50
May 1999	87.05	97.04	ND	81.02	92.31	103.79
June 1999	87.21	97.24	ND	81.97	92.64	104.30
July 1999	87.28	98.04	ND	82.75	92.94	104.43
August 1999	87.40	98.39	ND	84.28	93.69	104.98
September 1999	87.61	98.95	ND	84.99	94.34	105.35
October 1999	88.08	99.37	ND	85.28	94.87	105.82
November 1999	88.33	99.60	ND	85.36	95.36	106.20
December 1999	88.81	99.83	ND	85.68	95.90	106.91
January 2000	89.17	100.33	ND	86.20	96.45	108.38
February 2000	89.61	101.12	ND	86.66	96.65	108.10
March 2000	90.26	102.04	ND	87.49	97.08	108.31
April 2000	90.70	102.45	ND	88.66	97.57	108.73
May 2000	91.21	103.07	ND	88.63	97.94	109.21
June 2000	91.69	103.11	ND	88.98	98.45	109.69
July 2000	91.86	103.57	ND	88.90	98.85	109.35
August 2000	92.28	103.97	ND	88.86	99.32	109.83
September 2000	92.84	104.30	ND	88.95	99.92	110.20
October 2000	93.04	105.10	ND	88.78	100.46	110.62
November 2000	93.65	105.68	ND	89.19	101.00	111.29
December 2000	94.04	106.96	ND	89.34	101.68	111.56
January 2001	94.46	107.32	ND	89.61	102.39	111.57
February 2001	95.06	107.84	ND	89.77	102.98	112.16
March 2001	95.59	108.44	ND	89.81	103.51	112.07
April 2001	95.83	109.36	ND	90.29	103.95	112.40
May 2001	95.85	110.21	ND	90.24	104.48	112.44
June 2001	95.90	111.25	ND	90.08	104.38	112.66
July 2001	95.80	111.91	ND	89.46	104.16	112.74
August 2001	96.34	112.81	ND	89.35	104.59	113.32
September 2001	96.54	113.55	ND	88.97	104.21	113.55
October 2001	97.16	114.49	ND	88.50	104.19	114.49
November 2001	97.86	115.12	ND	88.60	103.60	115.12
December 2001	97.90	115.61	ND	87.86	103.46	115.61
January 2002	98.26	116.35	107.27	88.17	102.49	116.35
February 2002	98.84	117.27	107.87	87.87	103.02	117.27
March 2002	99.58	118.34	108.50	88.42	103.69	118.34
April 2002	100.45	119.16	108.97	89.66	104.37	119.16
May 2002	101.65	119.78	109.27	91.10	106.24	119.78
June 2002	102.78	120.80	109.38	91.90	106.42	120.80
July 2002	104.42	121.64	109.62	92.86	106.54	121.64
August 2002	105.52	122.93	109.91	92.40	106.79	122.93
September 2002	106.58	123.73	110.10	92.17	107.24	123.73
October 2002	107.45	124.17	110.49	92.84	107.52	124.17
November 2002	108.54	125.75	110.94	93.18	107.84	125.75
December 2002	109.52	127.16	111.33	93.53	108.20	127.16
January 2003	110.36	129.12	112.28	94.58	109.09	129.12
February 2003	111.24	129.24	112.56	94.35	109.70	129.24
March 2003	112.17	130.67	113.02	94.39	110.06	130.67
April 2003	113.14	131.92	113.59	94.14	110.07	131.92
May 2003	114.12	133.21	114.10	94.36	110.28	133.21
June 2003	115.36	134.23	114.51	94.87	111.32	134.23
July 2003	116.43	135.49	115.02	96.27	111.86	135.49
August 2003	118.32	136.45	115.57	97.06	112.16	136.45
September 2003	120.13	137.91	116.37	98.18	112.68	137.91
October 2003	121.91	138.80	117.43	99.12	113.85	138.80
November 2003	123.76	139.96	118.49	99.72	114.86	139.96
December 2003	125.75	141.32	119.52	100.42	115.15	141.32
January 2004	127.45	142.28	120.74	101.29	115.87	142.28
February 2004	129.68	143.89	121.71	101.90	116.50	143.89
March 2004	132.46	145.81	122.96	102.35	117.27	145.81
April 2004	135.15	146.11	124.36	103.02	117.81	147.79
May 2004	137.38	147.67	125.96	103.95	118.50	150.57
June 2004	139.44	149.73	127.76	105.07	120.23	154.14
July 2004	140.82	151.11	129.59	106.64	121.19	157.19
August 2004	142.05	153.62	131.78	106.62	120.76	159.12
September 2004	142.99	154.96	134.42	107.45	121.13	160.31
October 2004	143.96	157.32	137.47	108.40	122.54	161.61
November 2004	145.29	159.00	140.86	109.78	123.91	162.36
December 2004	146.50	161.11	144.86	111.28	124.61	164.26
January 2005	147.95	163.86	148.70	113.13	125.12	165.19
February 2005	150.08	166.75	152.64	113.57	125.85	166.75
March 2005	152.18	169.16	158.09	114.08	127.38	169.16
April 2005	153.74	172.20	162.94	114.40	128.74	172.20
May 2005	155.67	175.25	167.79	114.85	129.77	175.25
June 2005	157.53	178.44	173.28	114.93	130.25	178.44
July 2005	158.98	180.35	178.81	115.36	130.75	180.35
August 2005	160.71	183.98	183.57	115.91	131.63	183.98
September 2005	162.72	186.75	187.70	116.06	132.33	186.75
October 2005	165.16	189.75	190.78	115.88	133.31	189.75
November 2005	166.41	192.73	193.67	115.84	133.81	192.73
December 2005	168.48	195.98	196.01	117.04	134.47	194.52
January 2006	169.96	198.02	197.59	117.57	135.73	193.79
February 2006	171.36	200.74	198.82	118.10	135.91	192.94
March 2006	171.36	203.82	200.23	117.77	136.62	191.96
April 2006	170.67	204.52	200.24	117.33	136.91	193.27
May 2006	169.99	205.98	199.79	116.94	136.60	190.77
June 2006	169.19	205.60	198.19	116.14	136.76	188.71
July 2006	168.75	202.35	196.34	115.18	134.73	186.13
August 2006	168.28	204.86	194.39	114.93	135.76	183.30
September 2006	167.61	205.44	192.16	114.84	135.56	181.22
October 2006	166.51	205.05	190.12	114.68	136.02	178.74
November 2006	165.54	203.41	188.07	114.60	136.44	178.12
December 2006	163.57	201.31	186.04	114.62	136.61	176.33
January 2007	161.42	199.66	184.29	114.50	135.88	176.37
February 2007	160.42	200.39	181.57	113.77	137.29	174.72
March 2007	156.99	198.00	179.12	113.16	136.93	171.29
April 2007	155.07	196.76	176.70	112.80	136.25	167.53
May 2007	152.62	192.79	173.76	112.19	134.92	162.19
June 2007	150.22	188.43	170.57	111.70	133.84	160.56
July 2007	147.69	183.72	167.81	111.53	132.40	157.85
August 2007	145.77	182.25	164.94	111.34	131.05	153.92
September 2007	143.46	178.08	161.52	110.91	129.42	150.11
October 2007	140.58	173.85	157.65	109.97	127.59	147.65
November 2007	136.94	169.79	153.63	109.17	125.89	144.36
December 2007	133.70	165.34	149.70	107.86	124.34	142.36
January 2008	131.27	160.24	146.13	107.27	122.19	137.86
February 2008	126.80	154.89	142.83	106.41	120.68	135.02
March 2008	123.79	148.49	138.45	105.99	118.02	133.60
April 2008	121.11	141.50	134.10	104.67	116.10	132.00
May 2008	117.84	135.46	130.63	104.80	115.23	130.34
June 2008	115.04	131.74	127.23	104.22	113.64	127.43
July 2008	111.47	129.07	123.62	103.34	111.47	125.21
August 2008	109.02	124.70	120.35	102.62	109.49	121.93
September 2008	106.32	120.94	116.89	101.39	108.12	119.83
October 2008	103.79	116.51	113.86	100.35	106.02	116.13
November 2008	101.92	113.52	111.03	99.69	104.31	113.52
December 2008	99.67	109.78	107.32	98.31	102.46	110.41
January 2009	98.71	108.10	104.27	97.32	102.44	108.10
February 2009	97.35	104.32	101.82	96.97	101.89	106.74
March 2009	96.17	102.07	99.31	95.87	100.76	105.11
April 2009	95.15	100.47	98.10	94.72	100.55	104.09
May 2009	94.40	98.73	97.71	94.65	99.72	103.21
June 2009	94.83	98.11	97.47	95.57	99.33	102.45
July 2009	96.29	98.13	97.40	96.29	99.65	101.63
August 2009	96.12	97.94	97.51	95.99	98.68	101.37
September 2009	96.67	98.80	97.26	96.56	98.80	101.01
October 2009	97.26	99.41	98.21	97.26	99.41	100.63
November 2009	98.00	100.25	99.53	98.00	100.20	100.81
December 2009	99.09	100.01	100.03	98.81	100.01	100.82
January 2010	100.00	100.00	100.00	100.00	100.00	100.00
February 2010	99.11	98.45	99.98	98.34	99.25	99.97
March 2010	99.29	98.54	100.44	97.98	99.29	100.32
April 2010	99.03	98.19	100.56	98.19	99.31	100.21
May 2010	99.51	97.71	100.31	97.71	99.29	100.53
June 2010	98.98	97.65	99.85	97.32	98.98	100.61
July 2010	99.00	96.03	99.38	96.03	98.77	100.90
August 2010	97.88	94.25	98.40	94.25	97.79	100.12
September 2010	97.59	91.94	97.24	93.35	97.10	99.96
October 2010	97.13	91.44	97.07	92.24	96.40	99.68
November 2010	96.87	90.37	96.70	91.50	96.44	98.89
December 2010	96.60	90.84	95.99	90.84	96.19	98.73
January 2011	96.39	90.72	95.92	90.72	95.24	98.42
February 2011	95.86	90.49	94.83	90.49	94.90	98.28
March 2011	95.45	90.43	93.98	89.98	93.96	98.13
April 2011	95.45	91.27	92.95	90.03	94.17	98.19
May 2011	95.12	92.31	91.86	89.62	93.62	98.17
June 2011	95.06	93.03	91.09	89.59	93.87	98.16
July 2011	95.24	94.82	90.29	89.45	93.99	98.15
August 2011	94.26	94.98	90.31	89.59	94.12	97.82
September 2011	93.81	95.70	90.72	89.84	93.81	97.58
October 2011	93.53	96.06	91.35	88.22	93.53	97.31
November 2011	93.39	96.48	92.11	87.95	93.39	97.43
December 2011	93.21	97.65	93.16	87.13	93.21	97.65
January 2012	92.94	98.59	94.11	86.46	92.97	97.66
February 2012	92.72	98.89	95.37	86.46	93.36	97.66
March 2012	92.73	100.01	97.04	86.72	93.47	97.81
April 2012	93.81	100.39	99.07	86.57	94.07	98.33
May 2012	94.57	101.10	100.86	86.65	94.57	98.66
June 2012	95.17	102.23	102.55	86.55	95.17	99.07
July 2012	95.60	103.33	104.20	86.80	95.60	98.91
August 2012	96.62	104.91	105.46	86.45	96.13	99.60
September 2012	97.40	104.79	106.47	86.86	96.59	99.85
October 2012	98.31	105.07	107.54	86.73	97.12	101.12
November 2012	99.32	106.53	108.33	87.35	97.67	101.57
December 2012	100.72	107.11	108.83	87.49	98.82	102.89
January 2013	101.94	108.75	109.99	87.18	99.00	103.42
February 2013	103.49	110.67	111.02	87.06	99.65	104.69
March 2013	105.01	112.32	111.82	87.75	100.54	106.60
April 2013	106.56	114.05	112.62	88.35	100.57	107.95
May 2013	107.54	114.75	113.48	89.16	101.09	109.36
June 2013	108.88	115.12	114.21	89.60	101.51	109.92
July 2013	110.42	115.93	115.11	90.28	102.30	111.10
August 2013	111.60	118.57	116.04	90.48	102.95	111.60
September 2013	112.33	117.81	116.59	90.22	103.71	112.65
October 2013	113.26	118.68	117.08	90.14	103.90	113.26
November 2013	113.96	119.09	117.43	90.11	104.04	114.16
December 2013	114.45	119.59	117.66	90.32	104.12	115.64
January 2014	115.31	119.38	117.87	91.01	104.30	116.13
February 2014	116.00	119.88	117.81	91.02	103.93	117.64
March 2014	116.30	120.41	117.95	90.84	103.89	116.78
April 2014	116.44	121.33	117.65	90.95	104.12	118.23
May 2014	116.72	121.50	117.56	90.79	104.14	118.79
June 2014	117.03	121.96	117.51	91.08	104.04	118.25
July 2014	117.00	121.34	117.52	91.06	104.06	119.40
August 2014	117.54	121.50	117.47	91.11	103.97	119.94
September 2014	117.98	121.82	117.51	90.93	103.71	119.96
October 2014	118.22	123.03	117.67	91.06	104.02	120.87
November 2014	118.40	122.04	117.85	90.95	104.71	121.45
December 2014	118.69	122.11	118.12	90.99	104.19	122.11
January 2015	119.40	122.53	118.50	90.24	103.73	122.53
February 2015	120.14	122.58	118.78	89.35	104.34	123.08
March 2015	119.99	121.34	118.91	89.81	105.27	123.87
April 2015	119.92	122.34	119.19	89.89	105.61	124.43
May 2015	120.22	123.80	119.33	90.41	106.20	124.38
June 2015	120.43	124.08	119.48	90.89	106.80	124.72
July 2015	120.28	124.10	119.58	91.32	106.86	124.19
August 2015	120.89	123.67	119.64	91.49	107.52	124.96
September 2015	121.40	124.92	119.75	91.11	107.22	125.16
October 2015	122.06	125.47	119.87	91.75	106.90	125.47
November 2015	122.42	126.19	120.00	91.46	106.68	126.19
December 2015	122.55	126.09	120.08	91.73	106.91	126.09
January 2016	122.60	125.90	120.07	92.43	106.75	125.90
February 2016	123.06	126.95	120.11	92.50	107.59	126.58
March 2016	123.04	126.82	120.07	92.32	106.61	126.82
April 2016	123.54	126.70	120.05	92.43	106.61	126.70
May 2016	123.65	126.45	119.96	92.60	106.91	126.45
June 2016	123.65	126.24	119.97	92.85	107.30	126.24
July 2016	122.85	125.39	119.95	92.90	107.68	125.39
August 2016	123.79	126.29	119.99	92.83	108.12	126.29
September 2016	124.14	126.68	119.95	93.05	108.46	126.68
October 2016	124.31	126.74	119.87	93.09	108.97	126.74
November 2016	124.58	127.10	119.99	93.56	109.45	127.10
December 2016	124.92	127.28	120.19	93.78	109.72	127.28
January 2017	124.78	127.84	120.48	93.96	110.34	127.84
February 2017	124.68	127.62	120.65	94.07	111.07	127.62
March 2017	124.90	127.47	120.73	94.25	111.76	127.47
April 2017	125.14	126.75	120.82	94.91	112.19	126.75
May 2017	125.44	126.63	120.88	94.56	112.30	126.63
June 2017	125.59	126.25	121.18	94.39	112.24	126.25
July 2017	125.39	126.89	121.50	94.11	112.30	126.89
August 2017	126.27	127.80	121.79	94.60	113.14	127.80
September 2017	126.68	127.94	122.13	95.10	113.50	127.94
October 2017	127.18	128.39	122.58	95.35	113.67	128.39
November 2017	127.74	127.89	122.86	95.43	114.02	129.53
December 2017	128.29	128.35	123.37	95.15	114.29	129.16
January 2018	128.57	128.37	121.44	94.71	114.49	129.27
February 2018	129.74	128.41	123.07	95.90	115.18	129.89
March 2018	129.60	129.13	123.22	96.67	115.42	129.60
April 2018	129.43	129.61	123.15	95.78	115.62	130.32
May 2018	129.33	129.21	123.75	95.79	115.64	130.96
June 2018	129.28	128.35	123.67	95.94	115.71	131.27
July 2018	130.45	129.62	123.33	96.25	116.27	132.12
August 2018	129.60	128.56	123.56	96.31	114.76	130.70

Note: Seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 25 metropolitan statistical areas.

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

Return to text

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

Period	Ratio
1980:Q1	0.976
1980:Q2	0.985
1980:Q3	0.985
1980:Q4	0.970
1981:Q1	0.945
1981:Q2	0.962
1981:Q3	0.956
1981:Q4	0.971
1982:Q1	0.991
1982:Q2	0.994
1982:Q3	0.997
1982:Q4	1.001
1983:Q1	0.998
1983:Q2	0.992
1983:Q3	0.988
1983:Q4	0.990
1984:Q1	0.994
1984:Q2	1.005
1984:Q3	1.016
1984:Q4	1.036
1985:Q1	1.054
1985:Q2	1.068
1985:Q3	1.077
1985:Q4	1.103
1986:Q1	1.114
1986:Q2	1.132
1986:Q3	1.150
1986:Q4	1.172
1987:Q1	1.176
1987:Q2	1.183
1987:Q3	1.191
1987:Q4	1.180
1988:Q1	1.194
1988:Q2	1.196
1988:Q3	1.201
1988:Q4	1.202
1989:Q1	1.202
1989:Q2	1.206
1989:Q3	1.208
1989:Q4	1.220
1990:Q1	1.219
1990:Q2	1.217
1990:Q3	1.219
1990:Q4	1.232
1991:Q1	1.232
1991:Q2	1.222
1991:Q3	1.207
1991:Q4	1.201
1992:Q1	1.190
1992:Q2	1.175
1992:Q3	1.166
1992:Q4	1.154
1993:Q1	1.155
1993:Q2	1.155
1993:Q3	1.158
1993:Q4	1.153
1994:Q1	1.155
1994:Q2	1.151
1994:Q3	1.154
1994:Q4	1.156
1995:Q1	1.164
1995:Q2	1.176
1995:Q3	1.178
1995:Q4	1.182
1996:Q1	1.189
1996:Q2	1.185
1996:Q3	1.187
1996:Q4	1.182
1997:Q1	1.187
1997:Q2	1.186
1997:Q3	1.191
1997:Q4	1.197
1998:Q1	1.212
1998:Q2	1.229
1998:Q3	1.232
1998:Q4	1.238
1999:Q1	1.254
1999:Q2	1.266
1999:Q3	1.281
1999:Q4	1.280
2000:Q1	1.302
2000:Q2	1.300
2000:Q3	1.317
2000:Q4	1.324
2001:Q1	1.334
2001:Q2	1.345
2001:Q3	1.375
2001:Q4	1.382
2002:Q1	1.389
2002:Q2	1.392
2002:Q3	1.399
2002:Q4	1.414
2003:Q1	1.423
2003:Q2	1.439
2003:Q3	1.432
2003:Q4	1.429
2004:Q1	1.445
2004:Q2	1.451
2004:Q3	1.459
2004:Q4	1.470
2005:Q1	1.473
2005:Q2	1.492
2005:Q3	1.500
2005:Q4	1.515
2006:Q1	1.529
2006:Q2	1.552
2006:Q3	1.570
2006:Q4	1.588
2007:Q1	1.601
2007:Q2	1.624
2007:Q3	1.644
2007:Q4	1.659
2008:Q1	1.688
2008:Q2	1.680
2008:Q3	1.694
2008:Q4	1.704
2009:Q1	1.714
2009:Q2	1.711
2009:Q3	1.692
2009:Q4	1.650
2010:Q1	1.633
2010:Q2	1.602
2010:Q3	1.584
2010:Q4	1.558
2011:Q1	1.555
2011:Q2	1.535
2011:Q3	1.526
2011:Q4	1.510
2012:Q1	1.495
2012:Q2	1.486
2012:Q3	1.486
2012:Q4	1.489
2013:Q1	1.478
2013:Q2	1.479
2013:Q3	1.474
2013:Q4	1.462
2014:Q1	1.472
2014:Q2	1.460
2014:Q3	1.450
2014:Q4	1.454
2015:Q1	1.459
2015:Q2	1.459
2015:Q3	1.461
2015:Q4	1.468
2016:Q1	1.483
2016:Q2	1.479
2016:Q3	1.485
2016:Q4	1.481
2017:Q1	1.486
2017:Q2	1.489
2017:Q3	1.486
2017:Q4	1.484
2018:Q1	1.481
2018:Q2	1.478

Note: The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009. GDP is gross domestic product.

Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."

Return to text

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

Period	Business	Household
1980:Q1	0.496	0.480
1980:Q2	0.502	0.483
1980:Q3	0.501	0.484
1980:Q4	0.494	0.476
1981:Q1	0.483	0.462
1981:Q2	0.495	0.466
1981:Q3	0.496	0.460
1981:Q4	0.506	0.465
1982:Q1	0.519	0.472
1982:Q2	0.524	0.470
1982:Q3	0.532	0.466
1982:Q4	0.531	0.470
1983:Q1	0.535	0.463
1983:Q2	0.530	0.462
1983:Q3	0.527	0.461
1983:Q4	0.526	0.464
1984:Q1	0.530	0.464
1984:Q2	0.538	0.466
1984:Q3	0.547	0.469
1984:Q4	0.559	0.477
1985:Q1	0.562	0.491
1985:Q2	0.569	0.499
1985:Q3	0.570	0.507
1985:Q4	0.579	0.524
1986:Q1	0.585	0.529
1986:Q2	0.596	0.536
1986:Q3	0.604	0.546
1986:Q4	0.615	0.557
1987:Q1	0.620	0.556
1987:Q2	0.620	0.563
1987:Q3	0.623	0.568
1987:Q4	0.621	0.560
1988:Q1	0.627	0.567
1988:Q2	0.628	0.568
1988:Q3	0.629	0.572
1988:Q4	0.631	0.571
1989:Q1	0.630	0.571
1989:Q2	0.632	0.574
1989:Q3	0.629	0.578
1989:Q4	0.634	0.586
1990:Q1	0.630	0.589
1990:Q2	0.626	0.591
1990:Q3	0.625	0.594
1990:Q4	0.629	0.604
1991:Q1	0.622	0.610
1991:Q2	0.613	0.610
1991:Q3	0.600	0.607
1991:Q4	0.589	0.612
1992:Q1	0.580	0.610
1992:Q2	0.569	0.606
1992:Q3	0.561	0.605
1992:Q4	0.551	0.603
1993:Q1	0.549	0.605
1993:Q2	0.548	0.607
1993:Q3	0.547	0.611
1993:Q4	0.543	0.610
1994:Q1	0.543	0.611
1994:Q2	0.540	0.611
1994:Q3	0.541	0.614
1994:Q4	0.539	0.617
1995:Q1	0.543	0.621
1995:Q2	0.549	0.627
1995:Q3	0.548	0.631
1995:Q4	0.549	0.633
1996:Q1	0.548	0.640
1996:Q2	0.546	0.639
1996:Q3	0.547	0.639
1996:Q4	0.544	0.639
1997:Q1	0.546	0.641
1997:Q2	0.546	0.639
1997:Q3	0.551	0.640
1997:Q4	0.555	0.641
1998:Q1	0.565	0.646
1998:Q2	0.576	0.653
1998:Q3	0.580	0.652
1998:Q4	0.584	0.654
1999:Q1	0.594	0.660
1999:Q2	0.598	0.668
1999:Q3	0.610	0.671
1999:Q4	0.609	0.671
2000:Q1	0.619	0.683
2000:Q2	0.621	0.679
2000:Q3	0.627	0.690
2000:Q4	0.630	0.694
2001:Q1	0.633	0.702
2001:Q2	0.635	0.710
2001:Q3	0.642	0.733
2001:Q4	0.645	0.738
2002:Q1	0.642	0.746
2002:Q2	0.639	0.753
2002:Q3	0.636	0.764
2002:Q4	0.635	0.779
2003:Q1	0.631	0.792
2003:Q2	0.625	0.814
2003:Q3	0.615	0.817
2003:Q4	0.604	0.825
2004:Q1	0.609	0.835
2004:Q2	0.604	0.847
2004:Q3	0.605	0.854
2004:Q4	0.603	0.867
2005:Q1	0.603	0.870
2005:Q2	0.607	0.885
2005:Q3	0.607	0.893
2005:Q4	0.612	0.903
2006:Q1	0.616	0.914
2006:Q2	0.624	0.929
2006:Q3	0.628	0.942
2006:Q4	0.640	0.949
2007:Q1	0.649	0.952
2007:Q2	0.662	0.962
2007:Q3	0.677	0.967
2007:Q4	0.688	0.971
2008:Q1	0.704	0.984
2008:Q2	0.710	0.970
2008:Q3	0.718	0.977
2008:Q4	0.733	0.972
2009:Q1	0.736	0.978
2009:Q2	0.732	0.979
2009:Q3	0.719	0.973
2009:Q4	0.694	0.956
2010:Q1	0.688	0.944
2010:Q2	0.674	0.928
2010:Q3	0.670	0.914
2010:Q4	0.657	0.901
2011:Q1	0.656	0.899
2011:Q2	0.652	0.884
2011:Q3	0.653	0.873
2011:Q4	0.650	0.860
2012:Q1	0.646	0.849
2012:Q2	0.646	0.840
2012:Q3	0.652	0.834
2012:Q4	0.658	0.831
2013:Q1	0.656	0.822
2013:Q2	0.661	0.819
2013:Q3	0.663	0.811
2013:Q4	0.659	0.804
2014:Q1	0.668	0.804
2014:Q2	0.664	0.796
2014:Q3	0.664	0.786
2014:Q4	0.671	0.784
2015:Q1	0.679	0.781
2015:Q2	0.683	0.776
2015:Q3	0.688	0.773
2015:Q4	0.696	0.772
2016:Q1	0.709	0.774
2016:Q2	0.708	0.771
2016:Q3	0.713	0.772
2016:Q4	0.712	0.770
2017:Q1	0.717	0.769
2017:Q2	0.720	0.768
2017:Q3	0.721	0.764
2017:Q4	0.720	0.764
2018:Q1	0.718	0.762
2018:Q2	0.725	0.754

Return to text

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

Period	Percent change, annual rate
1997:Q1	4.36
1997:Q2	6.58
1997:Q3	9.20
1997:Q4	6.82
1998:Q1	11.43
1998:Q2	11.93
1998:Q3	8.84
1998:Q4	10.43
1999:Q1	11.04
1999:Q2	6.52
1999:Q3	11.17
1999:Q4	6.49
2000:Q1	9.58
2000:Q2	9.15
2000:Q3	4.26
2000:Q4	5.53
2001:Q1	2.00
2001:Q2	4.79
2001:Q3	3.80
2001:Q4	3.08
2002:Q1	3.50
2002:Q2	-0.09
2002:Q3	0.66
2002:Q4	1.01
2003:Q1	0.07
2003:Q2	0.08
2003:Q3	1.81
2003:Q4	-2.09
2004:Q1	3.23
2004:Q2	0.67
2004:Q3	4.18
2004:Q4	2.40
2005:Q1	4.18
2005:Q2	4.28
2005:Q3	2.89
2005:Q4	6.06
2006:Q1	8.12
2006:Q2	6.41
2006:Q3	4.53
2006:Q4	11.86
2007:Q1	7.58
2007:Q2	10.50
2007:Q3	11.47
2007:Q4	10.24
2008:Q1	7.23
2008:Q2	5.74
2008:Q3	2.49
2008:Q4	0.09
2009:Q1	-3.75
2009:Q2	-1.14
2009:Q3	-5.34
2009:Q4	-5.41
2010:Q1	-3.26
2010:Q2	-4.66
2010:Q3	1.59
2010:Q4	-2.13
2011:Q1	-0.99
2011:Q2	0.27
2011:Q3	0.78
2011:Q4	1.95
2012:Q1	1.84
2012:Q2	1.66
2012:Q3	4.39
2012:Q4	4.97
2013:Q1	2.96
2013:Q2	3.44
2013:Q3	4.43
2013:Q4	0.94
2014:Q1	4.96
2014:Q2	2.95
2014:Q3	4.48
2014:Q4	6.48
2015:Q1	8.42
2015:Q2	6.20
2015:Q3	3.99
2015:Q4	6.07
2016:Q1	9.39
2016:Q2	1.10
2016:Q3	4.67
2016:Q4	1.53
2017:Q1	3.94
2017:Q2	4.97
2017:Q3	3.18
2017:Q4	1.53
2018:Q1	1.45
2018:Q2	1.13

Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for nonfinancial business-sector output.

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

Return to text

Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period	Total	Institutional leveraged loans	High-yield and unrated bonds
2005:Q1	6.34	13.32	-6.99
2005:Q2	8.07	13.65	-5.58
2005:Q3	7.25	13.89	-6.64
2005:Q4	9.24	13.82	-4.59
2006:Q1	10.39	17.99	-7.60
2006:Q2	21.10	23.80	-2.70
2006:Q3	24.65	26.44	-1.79
2006:Q4	42.69	37.87	4.83
2007:Q1	48.17	41.24	6.93
2007:Q2	55.90	44.79	11.11
2007:Q3	55.97	46.75	9.21
2007:Q4	39.76	39.19	0.57
2008:Q1	25.64	29.57	-3.94
2008:Q2	12.79	22.55	-9.76
2008:Q3	11.57	17.77	-6.20
2008:Q4	-2.95	9.96	-12.90
2009:Q1	-5.71	6.45	-12.16
2009:Q2	-15.10	-3.99	-11.11
2009:Q3	-24.17	-8.95	-15.22
2009:Q4	-27.20	-16.40	-10.81
2010:Q1	-22.48	-17.91	-4.58
2010:Q2	-20.90	-16.45	-4.45
2010:Q3	-5.59	-10.20	4.61
2010:Q4	3.87	-7.78	11.65
2011:Q1	5.99	-4.44	10.43
2011:Q2	16.57	4.36	12.22
2011:Q3	4.84	0.04	4.80
2011:Q4	7.23	4.85	2.38
2012:Q1	13.03	4.35	8.67
2012:Q2	4.47	2.59	1.88
2012:Q3	13.65	2.88	10.77
2012:Q4	24.92	8.39	16.53
2013:Q1	29.55	12.83	16.71
2013:Q2	38.84	16.05	22.79
2013:Q3	51.95	28.43	23.51
2013:Q4	55.29	32.83	22.46
2014:Q1	57.72	37.36	20.35
2014:Q2	61.64	40.94	20.70
2014:Q3	61.83	41.76	20.07
2014:Q4	53.76	37.42	16.35
2015:Q1	55.05	31.67	23.38
2015:Q2	41.14	19.49	21.65
2015:Q3	24.24	9.53	14.71
2015:Q4	19.58	10.18	9.40
2016:Q1	8.76	10.84	-2.08
2016:Q2	11.04	12.87	-1.83
2016:Q3	4.04	7.50	-3.46
2016:Q4	-2.82	2.10	-4.92
2017:Q1	-5.22	-1.23	-3.98
2017:Q2	1.81	9.77	-7.96
2017:Q3	10.69	16.25	-5.55
2017:Q4	17.13	18.65	-1.52
2018:Q1	24.76	28.30	-3.54
2018:Q2	25.33	29.76	-4.43
2018:Q3	30.97	37.78	-6.80

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

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

Return to text

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

Percent

Period	Debt multiples ≤ 4x	Debt multiples 4x-4.99x	Debt multiples 5x-5.99x	Debt multiples ≥ 6x
2001	61.1	26.2	10.1	2.7
2002	54.6	27.3	12.2	5.9
2003	52.6	29.3	11.5	6.7
2004	45.0	28.6	17.6	8.8
2005	41.8	25.1	25.1	8.0
2006	36.4	26.3	21.1	16.3
2007	31.2	23.7	17.5	27.7
2008	63.1	14.2	12.1	10.7
2009	53.1	17.7	11.5	17.7
2010	53.7	22.6	17.9	5.8
2011	43.8	22.6	19.2	14.4
2012	35.9	26.6	21.8	15.8
2013	31.5	29.0	23.1	16.4
2014	28.7	22.6	21.5	27.2
2015	29.9	24.8	26.5	18.9
2016	22.0	32.3	24.7	21.0
2017	22.4	28.2	27.7	21.7
2018:Q1	23.0	23.0	29.0	25.2
2018:Q2	26.2	24.0	24.0	25.7
2018:Q3	13.4	20.6	32.0	34.0

Note: The data for 2018 are quarterly. Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 billion and exclude existing tranches of add-ons and amendments and restatements with no new money.

Source: S&P Global, Leveraged Commentary & Data.

Return to text

Figure 2-6. Default Rates of Leveraged Loans

Period	Percent
December 1998	1.51
January 1999	1.40
February 1999	0.62
March 1999	0.96
April 1999	0.91
May 1999	1.08
June 1999	1.51
July 1999	1.47
August 1999	2.59
September 1999	2.84
October 1999	2.80
November 1999	4.23
December 1999	4.17
January 2000	5.32
February 2000	5.64
March 2000	5.79
April 2000	7.39
May 2000	7.13
June 2000	7.50
July 2000	7.39
August 2000	6.66
September 2000	6.60
October 2000	6.74
November 2000	5.80
December 2000	6.57
January 2001	5.89
February 2001	5.65
March 2001	5.48
April 2001	4.78
May 2001	6.42
June 2001	6.28
July 2001	6.82
August 2001	6.80
September 2001	6.50
October 2001	6.72
November 2001	6.50
December 2001	6.30
January 2002	7.25
February 2002	7.25
March 2002	6.85
April 2002	6.95
May 2002	5.69
June 2002	7.41
July 2002	6.84
August 2002	6.78
September 2002	6.41
October 2002	6.59
November 2002	6.53
December 2002	6.01
January 2003	5.13
February 2003	5.01
March 2003	5.47
April 2003	5.26
May 2003	5.35
June 2003	2.62
July 2003	2.64
August 2003	2.67
September 2003	2.91
October 2003	2.30
November 2003	2.28
December 2003	2.25
January 2004	1.89
February 2004	1.61
March 2004	1.11
April 2004	0.94
May 2004	0.68
June 2004	0.94
July 2004	0.91
August 2004	0.88
September 2004	1.01
October 2004	1.02
November 2004	1.02
December 2004	1.01
January 2005	1.03
February 2005	1.37
March 2005	1.26
April 2005	1.48
May 2005	1.54
June 2005	1.29
July 2005	1.46
August 2005	1.43
September 2005	1.65
October 2005	2.56
November 2005	2.29
December 2005	3.02
January 2006	2.96
February 2006	2.89
March 2006	2.79
April 2006	2.47
May 2006	2.30
June 2006	2.28
July 2006	2.08
August 2006	2.08
September 2006	1.56
October 2006	0.99
November 2006	1.07
December 2006	0.48
January 2007	0.45
February 2007	0.24
March 2007	0.23
April 2007	0.22
May 2007	0.16
June 2007	0.15
July 2007	0.21
August 2007	0.21
September 2007	0.42
October 2007	0.33
November 2007	0.25
December 2007	0.24
January 2008	0.72
February 2008	0.94
March 2008	1.07
April 2008	1.30
May 2008	1.73
June 2008	1.70
July 2008	1.90
August 2008	2.03
September 2008	1.91
October 2008	1.97
November 2008	1.94
December 2008	3.75
January 2009	4.95
February 2009	5.25
March 2009	8.02
April 2009	8.03
May 2009	8.66
June 2009	9.15
July 2009	9.57
August 2009	9.68
September 2009	9.75
October 2009	10.71
November 2009	10.81
December 2009	9.61
January 2010	8.82
February 2010	8.59
March 2010	5.82
April 2010	5.65
May 2010	4.64
June 2010	4.02
July 2010	3.47
August 2010	3.57
September 2010	3.55
October 2010	2.28
November 2010	2.25
December 2010	1.87
January 2011	1.46
February 2011	1.27
March 2011	1.11
April 2011	0.95
May 2011	0.91
June 2011	0.91
July 2011	0.77
August 2011	0.33
September 2011	0.32
October 2011	0.32
November 2011	0.17
December 2011	0.17
January 2012	0.21
February 2012	0.21
March 2012	0.21
April 2012	0.56
May 2012	1.05
June 2012	1.04
July 2012	1.04
August 2012	1.07
September 2012	1.00
October 2012	1.06
November 2012	1.28
December 2012	1.27
January 2013	1.42
February 2013	1.40
March 2013	2.21
April 2013	1.91
May 2013	1.40
June 2013	1.37
July 2013	2.02
August 2013	2.16
September 2013	2.41
October 2013	2.31
November 2013	2.08
December 2013	2.11
January 2014	1.88
February 2014	1.86
March 2014	1.21
April 2014	4.64
May 2014	4.60
June 2014	4.41
July 2014	3.89
August 2014	3.61
September 2014	3.34
October 2014	3.28
November 2014	3.33
December 2014	3.24
January 2015	3.99
February 2015	3.92
March 2015	3.79
April 2015	1.26
May 2015	1.26
June 2015	1.24
July 2015	1.10
August 2015	1.30
September 2015	1.27
October 2015	1.27
November 2015	1.42
December 2015	1.50
January 2016	1.29
February 2016	1.41
March 2016	1.75
April 2016	1.69
May 2016	1.96
June 2016	1.97
July 2016	2.17
August 2016	1.98
September 2016	1.95
October 2016	1.95
November 2016	1.66
December 2016	1.58
January 2017	1.56
February 2017	1.41
March 2017	1.49
April 2017	1.43
May 2017	1.42
June 2017	1.54
July 2017	1.36
August 2017	1.36
September 2017	1.53
October 2017	1.51
November 2017	1.95
December 2017	2.05
January 2018	1.95
February 2018	2.00
March 2018	2.42
April 2018	2.37
May 2018	2.12
June 2018	1.98
July 2018	1.99
August 2018	1.99
September 2018	1.81
October 2018	1.92

Note: The default rate is calculated as the amount in default over the past 12 months divided by the total outstanding volume at the beginning of the 12-month period. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001 and December 2007-June 2009.

Source: S&P Global, Leveraged Commentary & Data.

Return to text

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

Percent

Period	All firms	Risky firms
2000:Q1	30.64	37.97
2000:Q2	29.85	37.32
2000:Q3	29.30	36.27
2000:Q4	29.52	36.82
2001:Q1	29.53	38.24
2001:Q2	29.66	39.03
2001:Q3	29.65	38.18
2001:Q4	30.32	39.25
2002:Q1	30.94	39.51
2002:Q2	30.02	37.98
2002:Q3	29.81	37.86
2002:Q4	29.57	37.93
2003:Q1	29.24	37.79
2003:Q2	28.42	37.68
2003:Q3	28.05	36.73
2003:Q4	27.08	36.52
2004:Q1	26.55	35.35
2004:Q2	25.94	34.86
2004:Q3	25.63	35.02
2004:Q4	25.41	34.22
2005:Q1	25.16	34.17
2005:Q2	25.02	32.65
2005:Q3	24.28	31.48
2005:Q4	24.35	32.21
2006:Q1	24.82	33.08
2006:Q2	24.66	32.82
2006:Q3	24.63	33.06
2006:Q4	24.91	34.52
2007:Q1	25.19	35.12
2007:Q2	25.45	34.74
2007:Q3	25.86	35.52
2007:Q4	26.16	35.84
2008:Q1	26.41	36.49
2008:Q2	26.53	36.23
2008:Q3	27.56	38.45
2008:Q4	29.15	40.50
2009:Q1	29.37	40.72
2009:Q2	28.35	38.84
2009:Q3	27.38	36.94
2009:Q4	27.13	37.63
2010:Q1	26.73	36.54
2010:Q2	26.60	36.53
2010:Q3	26.57	36.66
2010:Q4	26.33	36.20
2011:Q1	26.12	36.08
2011:Q2	26.19	36.14
2011:Q3	26.51	36.07
2011:Q4	26.40	35.48
2012:Q1	26.34	35.92
2012:Q2	26.90	36.75
2012:Q3	27.03	36.96
2012:Q4	27.33	37.86
2013:Q1	27.28	37.60
2013:Q2	27.72	38.28
2013:Q3	27.98	38.25
2013:Q4	28.19	38.71
2014:Q1	28.82	39.28
2014:Q2	28.61	38.18
2014:Q3	28.75	38.08
2014:Q4	29.30	38.99
2015:Q1	30.17	39.63
2015:Q2	30.70	39.73
2015:Q3	31.23	41.02
2015:Q4	32.16	40.55
2016:Q1	32.77	42.18
2016:Q2	32.96	41.78
2016:Q3	33.04	41.62
2016:Q4	33.00	40.98
2017:Q1	33.22	40.79
2017:Q2	33.61	41.72
2017:Q3	33.42	41.90
2017:Q4	33.26	41.16
2018:Q1	33.34	40.80
2018:Q2	33.27	41.16

Note: Gross leverage is the ratio of the book value of total debt to the book value of total assets. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.

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

Return to text

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

Percent

Period	All firms	Risky firms
2000:Q1	16.18	29.08
2000:Q2	15.60	27.02
2000:Q3	15.85	27.25
2000:Q4	15.97	28.18
2001:Q1	17.42	31.77
2001:Q2	17.03	31.44
2001:Q3	16.81	30.94
2001:Q4	16.00	28.70
2002:Q1	17.13	32.20
2002:Q2	15.60	29.59
2002:Q3	15.68	29.06
2002:Q4	15.17	27.76
2003:Q1	15.32	29.54
2003:Q2	15.23	29.44
2003:Q3	14.60	26.47
2003:Q4	13.96	24.96
2004:Q1	13.46	25.03
2004:Q2	12.48	22.58
2004:Q3	12.59	21.64
2004:Q4	11.95	20.21
2005:Q1	12.17	21.82
2005:Q2	11.72	20.76
2005:Q3	11.82	22.05
2005:Q4	10.95	19.32
2006:Q1	12.22	22.24
2006:Q2	11.79	21.19
2006:Q3	11.51	21.52
2006:Q4	12.22	22.44
2007:Q1	12.52	23.97
2007:Q2	11.74	20.79
2007:Q3	12.52	22.56
2007:Q4	12.41	23.36
2008:Q1	12.33	24.61
2008:Q2	11.07	21.47
2008:Q3	10.78	19.59
2008:Q4	14.43	27.95
2009:Q1	14.09	26.52
2009:Q2	13.81	25.18
2009:Q3	13.35	25.50
2009:Q4	12.19	22.82
2010:Q1	12.14	23.52
2010:Q2	11.82	22.44
2010:Q3	11.62	22.67
2010:Q4	11.26	21.35
2011:Q1	10.84	22.23
2011:Q2	10.45	21.39
2011:Q3	10.20	19.99
2011:Q4	10.75	20.14
2012:Q1	10.75	21.75
2012:Q2	10.55	20.73
2012:Q3	10.55	20.80
2012:Q4	11.05	21.80
2013:Q1	11.15	22.41
2013:Q2	10.82	19.89
2013:Q3	10.56	19.79
2013:Q4	10.48	20.90
2014:Q1	10.99	22.30
2014:Q2	10.46	19.51
2014:Q3	10.22	18.37
2014:Q4	10.98	19.15
2015:Q1	11.13	21.41
2015:Q2	10.75	19.57
2015:Q3	10.60	18.93
2015:Q4	11.20	18.51
2016:Q1	12.56	22.88
2016:Q2	12.29	21.30
2016:Q3	11.98	20.79
2016:Q4	11.39	19.88
2017:Q1	12.28	21.72
2017:Q2	12.12	19.75
2017:Q3	11.60	19.43
2017:Q4	11.51	18.76
2018:Q1	11.84	19.79
2018:Q2	11.14	18.29

Note: Series calculated as the ratio of total interest expenses to earnings before interest, depreciation, and taxes. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.

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

Return to text

Figure 2-9

This is a line chart titled "Total Household Loan Balances." The x-axis measures time and ranges from the years 1999 to 2018 (Q2). The y-axis measures billions of dollars (real) and ranges from 1000 to 9800. The data are quarterly. There are 3 variables plotted. The first line is labeled "Prime" and is designated by a black line. It ranges from about 3400 to 9000 billion dollars. This variable rises from around 3400 to 9000 billion dollars from 1999 to 2008 and then declines to 7400 billion dollars in 2014. After 2014, this variable rises slowly until it reaches around 9000 billion again in 2018. The second variable is labeled "Near prime" and is designated by a blue line. It ranges from around 2600 to around 3800 billion dollars. The variable has a slight increase to around 3800 billion dollars from 2002 to 2008 but otherwise is stable at a little more than 2600 billion dollars for most of the time period. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from 1000 to around 3000 billion dollars. There is a slight increase from a little more than 1000 billion dollars in 1999 to around 1800 in 2007, and there is a steeper increase to around 3000 billion dollars between 2007 and 2010. The variable then decreases and remains at around 1800 billion dollars from 2014 through 2018.

Note: Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. Student loan balances before 2004 are estimated using average growth from 2004 to 2007, by risk score. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

Return to text

Figure 2-10

This is a bar graph titled "Estimate of New Mortgage Volume to Households." The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 1400, in billions of dollars (real). There are 3 variables plotted. The first variable is labeled "Subprime" and is designated by the orange bars. It ranges from around 100 to around 300 billion dollars. It starts at a little more than 200 billion dollars in 2000 and very gradually increases to around 300 billion dollars between 2001 to 2007. Then it decreases more quickly to around 100 billion dollars in 2010, and remains fairly unchanged until 2018. The second variable is labeled "Near prime" and is designated by the blue bars. It ranges from 200 to around 800 billion dollars. The variable starts at around 500 billion dollars in 2000 and falls to 400 the next year before increasing quickly. It peaks at a little more than 800 billion dollars in 2006 before steeply falling to around 200 billion dollars by 2012. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2018. The third variable is labeled "Prime" and is designated by the black bars. It ranges from around 500 to 1200 billion dollars. The variable starts at around 600 billion dollars in 2000 and falls to 500 billion dollars the next year before steeply increasing to 1000 billion dollars in 2002. The variable peaks at around 1200 billion dollars in 2004 and then decreases to around 500 billion dollars in 2012. It increased to around 800 billion dollars in 2014 and has remained at that level up to 2018, except for a decrease to 600 billion dollars in 2015.

Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores were measured a year ago. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

Return to text

Figure 2-11. Transition Rates into Mortgage Delinquency

Percent of previously current loans

Period	FHA/VA	Nonprime	Prime
January 2000	3.19	4.16	1.11
February 2000	3.02	3.87	1.03
March 2000	2.94	3.75	0.99
April 2000	3.02	3.65	1.01
May 2000	3.04	3.62	1.03
June 2000	3.05	3.68	1.04
July 2000	2.95	3.71	1.02
August 2000	2.99	3.82	1.02
September 2000	3.03	3.91	1.05
October 2000	3.03	3.96	1.04
November 2000	3.05	3.90	1.04
December 2000	3.19	4.06	1.09
January 2001	3.14	4.08	1.08
February 2001	3.20	4.34	1.11
March 2001	3.11	4.44	1.09
April 2001	3.23	4.90	1.12
May 2001	3.24	4.98	1.13
June 2001	3.29	4.96	1.14
July 2001	3.27	4.69	1.14
August 2001	3.15	4.65	1.10
September 2001	3.29	4.79	1.18
October 2001	3.26	4.80	1.17
November 2001	3.31	4.81	1.17
December 2001	3.22	4.77	1.11
January 2002	3.25	4.80	1.10
February 2002	3.30	4.82	1.11
March 2002	3.38	4.73	1.12
April 2002	3.33	4.60	1.10
May 2002	3.29	4.68	1.07
June 2002	3.32	4.98	1.05
July 2002	3.34	5.00	1.04
August 2002	3.40	4.94	1.06
September 2002	3.29	4.62	1.04
October 2002	3.34	4.64	1.06
November 2002	3.42	4.72	1.10
December 2002	3.41	4.79	1.10
January 2003	3.37	4.82	1.09
February 2003	3.33	4.82	1.07
March 2003	3.46	4.83	1.11
April 2003	3.61	4.88	1.15
May 2003	3.66	4.78	1.18
June 2003	3.61	4.77	1.15
July 2003	3.49	4.63	1.12
August 2003	3.51	4.68	1.11
September 2003	3.34	4.48	1.06
October 2003	3.27	4.42	1.00
November 2003	3.46	4.36	1.02
December 2003	3.48	4.31	0.99
January 2004	3.63	4.33	1.01
February 2004	3.40	4.22	0.92
March 2004	3.38	4.22	0.92
April 2004	3.23	4.09	0.88
May 2004	3.40	4.15	0.93
June 2004	3.41	4.05	0.93
July 2004	3.40	3.99	0.92
August 2004	3.19	3.84	0.86
September 2004	3.25	3.80	0.86
October 2004	3.46	3.88	0.93
November 2004	3.38	3.71	0.90
December 2004	3.29	3.61	0.89
January 2005	3.18	3.49	0.86
February 2005	3.18	3.49	0.87
March 2005	3.22	3.51	0.89
April 2005	3.18	3.45	0.87
May 2005	3.24	3.48	0.87
June 2005	3.27	3.47	0.86
July 2005	3.39	3.57	0.90
August 2005	3.29	3.47	0.87
September 2005	3.31	3.52	0.90
October 2005	3.29	3.51	0.89
November 2005	3.38	3.60	0.93
December 2005	3.31	3.53	0.90
January 2006	3.15	3.41	0.86
February 2006	3.07	3.39	0.84
March 2006	3.03	3.32	0.81
April 2006	3.31	3.54	0.88
May 2006	3.28	3.52	0.87
June 2006	3.29	3.61	0.89
July 2006	3.07	3.51	0.86
August 2006	3.08	3.54	0.88
September 2006	3.10	3.64	0.92
October 2006	3.03	3.60	0.91
November 2006	3.06	3.64	0.92
December 2006	3.17	3.76	0.97
January 2007	3.07	3.76	0.97
February 2007	3.06	3.86	1.00
March 2007	2.93	3.85	1.00
April 2007	3.06	4.07	1.06
May 2007	3.05	4.15	1.07
June 2007	3.08	4.32	1.09
July 2007	3.03	4.32	1.09
August 2007	2.88	4.29	1.06
September 2007	3.01	4.50	1.12
October 2007	2.97	4.54	1.11
November 2007	3.04	4.71	1.15
December 2007	2.95	4.60	1.12
January 2008	3.00	4.77	1.15
February 2008	2.84	4.78	1.12
March 2008	2.81	5.01	1.14
April 2008	2.76	5.11	1.15
May 2008	2.78	5.16	1.18
June 2008	2.65	5.03	1.14
July 2008	2.58	5.02	1.13
August 2008	2.77	5.34	1.22
September 2008	2.75	5.37	1.22
October 2008	2.76	5.53	1.27
November 2008	2.91	5.85	1.35
December 2008	2.85	5.97	1.36
January 2009	2.84	6.06	1.37
February 2009	2.53	5.83	1.25
March 2009	2.59	5.96	1.30
April 2009	2.59	5.80	1.29
May 2009	2.66	5.72	1.34
June 2009	2.58	5.50	1.30
July 2009	2.49	5.43	1.29
August 2009	2.44	5.35	1.28
September 2009	2.43	5.35	1.28
October 2009	2.41	5.29	1.28
November 2009	2.36	5.18	1.27
December 2009	2.29	5.02	1.24
January 2010	2.38	5.19	1.27
February 2010	2.33	5.15	1.26
March 2010	2.28	5.14	1.23
April 2010	2.12	4.81	1.15
May 2010	2.16	4.82	1.14
June 2010	2.17	4.72	1.13
July 2010	2.21	4.69	1.14
August 2010	2.10	4.49	1.09
September 2010	2.10	4.48	1.09
October 2010	2.17	4.68	1.14
November 2010	2.12	4.62	1.11
December 2010	2.07	4.51	1.08
January 2011	1.95	4.31	1.01
February 2011	2.03	4.33	1.03
March 2011	1.97	4.30	1.01
April 2011	1.99	4.33	1.02
May 2011	1.93	4.29	1.01
June 2011	2.03	4.38	1.04
July 2011	2.09	4.50	1.08
August 2011	2.07	4.42	1.07
September 2011	2.01	4.38	1.04
October 2011	1.94	4.18	0.99
November 2011	1.97	4.18	0.99
December 2011	1.98	4.17	0.99
January 2012	1.87	3.80	0.95
February 2012	1.79	3.41	0.93
March 2012	1.79	3.20	0.95
April 2012	1.82	3.33	0.96
May 2012	1.85	3.47	0.98
June 2012	1.83	3.45	0.97
July 2012	1.79	3.35	0.96
August 2012	1.73	3.32	0.94
September 2012	1.91	3.68	1.02
October 2012	1.87	3.55	0.99
November 2012	1.88	3.47	1.00
December 2012	1.72	3.03	0.92
January 2013	1.77	3.13	0.92
February 2013	1.82	3.25	0.93
March 2013	1.87	3.44	0.95
April 2013	1.81	3.31	0.92
May 2013	1.75	3.22	0.89
June 2013	1.80	3.23	0.90
July 2013	1.83	3.33	0.92
August 2013	1.88	3.31	0.94
September 2013	1.73	3.09	0.86
October 2013	1.76	3.16	0.85
November 2013	1.76	3.25	0.84
December 2013	1.75	3.29	0.84
January 2014	1.70	3.26	0.82
February 2014	1.62	3.20	0.80
March 2014	1.60	3.13	0.78
April 2014	1.64	3.13	0.79
May 2014	1.69	3.19	0.80
June 2014	1.70	3.23	0.79
July 2014	1.71	3.20	0.79
August 2014	1.80	3.25	0.85
September 2014	1.77	3.14	0.83
October 2014	1.70	3.11	0.80
November 2014	1.76	3.18	0.79
December 2014	1.72	3.13	0.78
January 2015	1.80	3.17	0.81
February 2015	1.63	2.90	0.74
March 2015	1.66	2.95	0.75
April 2015	1.62	2.88	0.73
May 2015	1.73	3.14	0.77
June 2015	1.73	3.13	0.77
July 2015	1.71	3.13	0.76
August 2015	1.64	2.96	0.74
September 2015	1.69	3.03	0.76
October 2015	1.74	3.00	0.77
November 2015	1.71	2.97	0.76
December 2015	1.66	2.90	0.73
January 2016	1.85	3.17	0.81
February 2016	1.72	2.95	0.76
March 2016	1.77	3.04	0.78
April 2016	1.63	2.86	0.71
May 2016	1.77	3.12	0.77
June 2016	1.76	3.07	0.77
July 2016	1.84	3.24	0.80
August 2016	1.78	3.13	0.78
September 2016	1.75	3.13	0.77
October 2016	1.64	2.93	0.72
November 2016	1.67	3.00	0.73
December 2016	1.70	3.07	0.74
January 2017	1.69	3.04	0.74
February 2017	1.70	3.11	0.74
March 2017	1.65	3.00	0.72
April 2017	1.85	3.31	0.79
May 2017	1.80	3.17	0.78
June 2017	1.80	3.16	0.78
July 2017	1.63	2.89	0.71
August 2017	1.68	2.93	0.74
September 2017	1.95	3.24	0.83
October 2017	1.99	3.26	0.85
November 2017	1.97	3.22	0.84
December 2017	1.85	2.99	0.80
January 2018	1.75	2.89	0.76
February 2018	1.75	2.88	0.76
March 2018	1.65	2.78	0.73
April 2018	1.65	2.74	0.73
May 2018	1.64	ND	0.72
June 2018	1.67	ND	0.72
July 2018	1.67	ND	0.73
August 2018	1.64	ND	0.72

Note: Percent of previously current mortgages that transition from being current to being at least 30 days delinquent each month. The data are three-month moving averages. FHA is Federal Housing Administration; VA is U.S. Department of Veterans Affairs. Prime and nonprime are defined among conventional loans.

Source: For prime and FHA/VA, Black Knight McDash Data; for nonprime, CoreLogic.

Return to text

Figure 2-12

This is a line chart titled "Estimates of Housing Leverage." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 70 to 150, which measures indexed ratios of outstanding mortgage debt to home values (with 100 being the ratio in 1991:Q1). The data are quarterly. There are two variables plotted. The first line is labeled "Relative to model-implied values" and is designated by the black line. It ranges from 100 to a little less than 130. The variable has a hill shape, starting at 100 in 1999 and increasing to a little less than 130 in 2008 before decreasing to 100 again in 2018. The second line is labeled "Relative to market value" and is designated by the blue line. The variable also starts at 100 in 1999 but declines to reach 80 in 2006. It then rises sharply to around 125-130 in the years 2009-2012 before decreasing to around 90 by 2018.

Note: This measure is estimated as an index of the ratio of the average outstanding mortgage loan balance for owner-occupied homes with a mortgage to (1) current home values using the CoreLogic national house price index and (2) model-implied house prices estimated by a staff model based on rents, interest rates, and a time trend.

Source: FRBNY Consumer Credit Panel/Equifax; CoreLogic; Bureau of Labor Statistics.

Return to text

Figure 2-13. Estimate of Mortgages with Negative Equity

CoreLogic

Period	Percent
January 2011	25.28
February 2011	25.14
March 2011	24.99
April 2011	24.93
May 2011	24.87
June 2011	24.81
July 2011	24.65
August 2011	24.50
September 2011	24.36
October 2011	24.65
November 2011	24.93
December 2011	25.23
January 2012	24.69
February 2012	24.20
March 2012	23.67
April 2012	23.21
May 2012	22.74
June 2012	22.28
July 2012	22.17
August 2012	22.06
September 2012	21.96
October 2012	21.84
November 2012	21.72
December 2012	21.60
January 2013	21.11
February 2013	20.67
March 2013	20.18
April 2013	18.43
May 2013	16.62
June 2013	14.87
July 2013	14.35
August 2013	13.83
September 2013	13.33
October 2013	13.37
November 2013	13.41
December 2013	13.45
January 2014	13.25
February 2014	13.07
March 2014	12.88
April 2014	12.23
May 2014	11.56
June 2014	10.92
July 2014	10.74
August 2014	10.56
September 2014	10.39
October 2014	10.49
November 2014	10.59
December 2014	10.69
January 2015	10.54
February 2015	10.41
March 2015	10.27
April 2015	9.81
May 2015	9.34
June 2015	8.88
July 2015	8.70
August 2015	8.53
September 2015	8.36
October 2015	8.36
November 2015	8.36
December 2015	8.36
January 2016	8.28
February 2016	8.20
March 2016	8.12
April 2016	7.77
May 2016	7.41
June 2016	7.06
July 2016	6.82
August 2016	6.58
September 2016	6.34
October 2016	6.32
November 2016	6.29
December 2016	6.26
January 2017	6.19
February 2017	6.12
March 2017	6.05
April 2017	5.85
May 2017	5.65
June 2017	5.45
July 2017	5.28
August 2017	5.12
September 2017	4.96
October 2017	4.94
November 2017	4.92
December 2017	4.91
January 2018	4.84
February 2018	4.78
March 2018	4.71
April 2018	4.56
May 2018	4.41
June 2018	4.27

Note: Estimated share of mortgages with negative equity according to CoreLogic. The data are monthly.

Source: CoreLogic.

Zillow

Period	Percent
2011:Q1	30.58
2011:Q2	30.04
2011:Q3	30.58
2011:Q4	31.12
2012:Q1	31.41
2012:Q2	30.93
2012:Q3	28.24
2012:Q4	27.46
2013:Q1	25.45
2013:Q2	23.77
2013:Q3	20.95
2013:Q4	19.39
2014:Q1	18.83
2014:Q2	17.89
2014:Q3	16.95
2014:Q4	16.89
2015:Q1	15.41
2015:Q2	14.43
2015:Q3	13.43
2015:Q4	13.09
2016:Q1	12.72
2016:Q2	12.11
2016:Q3	10.86
2016:Q4	10.55
2017:Q1	10.37
2017:Q2	ND
2017:Q3	ND
2017:Q4	9.14

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

Source: Zillow.

Return to text

Figure 2-14

This is a line chart titled "Consumer Credit Balances." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 200 to 1800, in the units billions of dollars (real). The data are quarterly. There are 3 variables plotted on the chart. The first line is labeled "Auto loans" and is designated by a black line. It ranges from around 500 to 1200 billion dollars. It starts around 500 in 1999 and increases to around 1000 billion dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but begin increasing again afterwards. The curve ends at about 1200 billion dollars in 2018. The second variable is labeled "Credit cards" and is represented by a blue line. It ranges from around 700 to 1000 billion dollars. Starting at around 700 billion dollars in 1999, credit cards balances increase to a little under 1000 billion and remain fairly steady for several years with a peak at a little above 1000 billion in 2009. Balances began to decrease after 2009 to around 700 billion dollars in 2013, and have made a very small increase to around 800 by 2018. The third variable is labeled "Student loans" and is represented by an orange line. The variable starts at around 400 billion dollars in 2005. There are two small, brief dips in 2008 and 2012, but otherwise balances steadily increase to about 1400 billion dollars by 2018.

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

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

Return to text

Figure 2-15

This is a line chart labeled "Auto Loan Balances." The x-axis ranges from the years 1999 to 2018 (Q2), and the y-axis ranges from 150 to 600 billion dollars (real). The data are quarterly. There are 3 variables plotted on the chart. The first variable is labeled "Prime" and is designated by a black line. It ranges from around 175 to 600 billion dollars. Auto loans to borrowers with prime credit scores started at around 175 billion dollars in 1999 and continued to increase to around 400 billion in 2006. There is a slight decline from 2006 until balances were close to 350 billion in 2010 and 2011. From 2011 onwards, the balances labeled "Prime" have only been increasing, reaching almost 600 billion dollars at the end of the time period. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 200 to 350 billion dollars. Starting at 200 billion in 1999, balances of those with near prime credit increases to almost 350 billion dollars in 2005 to 2006. Near prime balances decrease to around 250 billion dollars in 2010 to 2011 before increasing again. The level has been fairly stable around 350 billion since 2016. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 150 to 300 billion dollars. It starts at around 150 billion dollars in 1999 and increases with fluctuations until reaching a peak at around 300 billion dollars in 2008. It decreases to around 200 billion in 2012 before beginning to increase to around 300 billion in 2018.

Note: Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

Return to text

Figure 2-16

This is a line chart titled "Auto Loan Delinquency Rates." The x-axis ranges from the years 2000 to 2018 (Q2). The y-axis ranges from 0 to 16 percent, measuring delinquency rates on auto loans. The data are quarterly. There are 3 variables plotted on the chart. The first variable is labeled "Prime" and is denoted by the black line. It is fairly stable at around 0 and has the shape of a horizontal line. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 2 to 3 percent. The variable is mostly flat at 2 percent except for a small one-percent increase between 2009 and 2011. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 9 to 14 percent. This line starts around 10 percent in 2001 and increases slightly until 2004. It decreases to around 9 percent in 2006 before quickly increasing. The rates peak at around 14 percent in 2010. They fall to 10 percent again by 2013 before increasing to reach almost 12 percent at the end of the period.

Note: Delinquency is at least 30 days past due, excluding severe derogatory loans. The data are four-quarter moving averages. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Credit scores are lagged four quarters.

Source: FRBNY Consumer Credit Panel/Equifax.

Return to text

Figure 3-1

This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x-axis measures time and ranges from years 1985 to 2018 (Q2). The y-axis ranges from 0 to 12 percent, measuring percent of total assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5% in 1985:Q1 to 10% in 2013:Q1. It has remained near 10% through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from 4 to 9 percent. This variable started at about 5% in 1985:Q1, fell to 4% in 1987:Q1, increased to 6% in 1993:Q4, remained near 6% through 2003:Q1, decreased to about 5% in 2008:Q4, and increased to 8% in 2012:Q1 where it has remained through 2018:Q2.

Note: Bank equity is total equity capital net of preferred equity and intangible assets, and assets are total assets. The data are seasonally adjusted by Board staff. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets. The shaded bars indicate periods of business recession as defined by the National Bureau of economic research: July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.

Source: Federal Financial Institutions Examination Council, Call Report Form FFIEC 031, Consolidated Reports of Condition and Income for a Bank with Domestic and Foreign Offices.

Return to text

Figure 3-2

This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x-axis measures time and ranges from years 2001 to 2018 (Q2). The y-axis ranges from 0 to 14 percent, measuring percent of risk-weighted assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 8 to just over 12 percent. This variable decreases slightly over 2001 to 2008 from 10 to 8 percent, increases rapidly from 8 percent in 2009 to 12 percent in 2012, and remains near 12 percent through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from about 5 to 12 percent. This variable increases slowly from about 6 percent in 2001 to nearly 8 percent in 2006, decreases sharply to 5 percent in 2008, increases rapidly to just below 12 percent by the end of 2013, and remains near that level through 2018:Q2.

Note: The data are seasonally adjusted by Board staff. Sample includes banks as of 2018:Q2. Before 2014:Q1, the numerator of the common equity Tier 1 ratio is Tier 1 common capital for advanced-approaches bank holding companies (BHCs) (before 2015:Q1, for non-advanced-approaches BHCs). Afterward, the numerator is common equity Tier 1 capital. Large BHCs are those with greater than $50 billion in total assets. The denominator is risk-weighted assets. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

Return to text

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

Debt as percent of assets

Quarter	Nonpublicly traded firms	Publicly traded firms
2013:Q1	31.77	25.39
2013:Q2	32.09	25.95
2013:Q3	30.74	26.33
2013:Q4	31.51	26.13
2014:Q1	31.61	26.52
2014:Q2	31.89	26.69
2014:Q3	32.33	27.04
2014:Q4	31.89	26.94
2015:Q1	32.72	28.06
2015:Q2	32.84	28.23
2015:Q3	32.97	28.29
2015:Q4	33.34	28.50
2016:Q1	33.17	29.37
2016:Q2	33.74	30.08
2016:Q3	33.31	29.83
2016:Q4	33.26	29.58
2017:Q1	33.53	30.08
2017:Q2	33.68	30.16
2017:Q3	33.89	30.51
2017:Q4	33.78	30.42
2018:Q1	33.80	30.42
2018:Q2	33.31	30.56

Note: Weighted median leverage of firms (excluding financials) that borrow using commercial and industrial (C&I) loans from the 26 banks that have filed in every quarter since 2013:Q1. Leverage is measured as the ratio of the book value of total debt to the book value of total assets of the borrower, as reported by the lender, and the median is weighted by committed amounts.

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

Return to text

Figure 3-4. Leverage of Broker-Dealers

Period	Ratio of assets to equity
1995:Q1	24.39
1995:Q2	25.53
1995:Q3	25.53
1995:Q4	26.53
1996:Q1	26.50
1996:Q2	26.88
1996:Q3	26.73
1996:Q4	27.50
1997:Q1	27.09
1997:Q2	27.41
1997:Q3	27.42
1997:Q4	26.54
1998:Q1	27.54
1998:Q2	27.06
1998:Q3	28.08
1998:Q4	24.61
1999:Q1	23.50
1999:Q2	21.82
1999:Q3	21.79
1999:Q4	21.83
2000:Q1	21.55
2000:Q2	21.45
2000:Q3	21.69
2000:Q4	22.42
2001:Q1	22.33
2001:Q2	23.59
2001:Q3	24.93
2001:Q4	24.47
2002:Q1	24.10
2002:Q2	24.69
2002:Q3	25.23
2002:Q4	23.97
2003:Q1	23.70
2003:Q2	24.68
2003:Q3	23.50
2003:Q4	24.00
2004:Q1	25.22
2004:Q2	25.94
2004:Q3	27.09
2004:Q4	27.09
2005:Q1	28.29
2005:Q2	29.22
2005:Q3	29.94
2005:Q4	28.69
2006:Q1	28.44
2006:Q2	29.11
2006:Q3	30.57
2006:Q4	31.18
2007:Q1	32.35
2007:Q2	32.99
2007:Q3	33.63
2007:Q4	34.64
2008:Q1	36.48
2008:Q2	32.90
2008:Q3	34.67
2008:Q4	26.74
2009:Q1	24.01
2009:Q2	20.79
2009:Q3	20.44
2009:Q4	19.13
2010:Q1	19.69
2010:Q2	19.32
2010:Q3	19.39
2010:Q4	18.65
2011:Q1	18.71
2011:Q2	18.82
2011:Q3	19.39
2011:Q4	19.97
2012:Q1	19.42
2012:Q2	19.48
2012:Q3	18.86
2012:Q4	18.96
2013:Q1	17.89
2013:Q2	17.63
2013:Q3	17.31
2013:Q4	16.76
2014:Q1	16.50
2014:Q2	16.48
2014:Q3	16.09
2014:Q4	15.51
2015:Q1	15.41
2015:Q2	15.22
2015:Q3	14.89
2015:Q4	14.43
2016:Q1	14.29
2016:Q2	14.48
2016:Q3	14.42
2016:Q4	14.41
2017:Q1	14.35
2017:Q2	14.87
2017:Q3	13.93
2017:Q4	14.70
2018:Q1	14.36
2018:Q2	15.13

Note: Leverage is calculated by dividing financial assets by equity.

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

Return to text

Figure 3-5. Leverage of Insurance Companies

Ratio of assets to equity

Period	Life	Property and casualty
2000:Q1	8.69	5.48
2000:Q2	8.46	5.38
2000:Q3	8.40	5.30
2000:Q4	8.90	5.73
2001:Q1	8.27	5.37
2001:Q2	8.74	5.47
2001:Q3	9.35	6.18
2001:Q4	9.85	6.33
2002:Q1	9.48	6.20
2002:Q2	9.67	6.29
2002:Q3	9.95	6.37
2002:Q4	10.53	6.62
2003:Q1	10.95	6.75
2003:Q2	10.96	6.67
2003:Q3	10.15	6.69
2003:Q4	10.31	6.65
2004:Q1	11.11	7.01
2004:Q2	12.21	6.71
2004:Q3	12.22	6.76
2004:Q4	12.35	7.07
2005:Q1	11.99	6.76
2005:Q2	11.40	6.55
2005:Q3	11.30	6.61
2005:Q4	11.35	6.69
2006:Q1	9.75	6.45
2006:Q2	9.63	6.35
2006:Q3	9.56	6.32
2006:Q4	9.49	6.26
2007:Q1	9.60	6.30
2007:Q2	9.47	6.29
2007:Q3	9.58	6.29
2007:Q4	9.39	6.06
2008:Q1	10.25	6.50
2008:Q2	10.19	6.42
2008:Q3	10.23	6.44
2008:Q4	10.36	5.95
2009:Q1	10.41	5.93
2009:Q2	9.53	5.59
2009:Q3	9.47	5.58
2009:Q4	8.59	5.20
2010:Q1	8.88	5.19
2010:Q2	9.06	5.12
2010:Q3	9.30	5.20
2010:Q4	8.48	4.47
2011:Q1	9.39	4.61
2011:Q2	9.13	4.56
2011:Q3	9.24	4.41
2011:Q4	8.75	4.14
2012:Q1	8.71	4.13
2012:Q2	8.75	4.10
2012:Q3	9.04	4.15
2012:Q4	9.21	4.16
2013:Q1	9.05	4.08
2013:Q2	8.72	3.95
2013:Q3	8.51	3.90
2013:Q4	8.35	3.87
2014:Q1	8.38	3.85
2014:Q2	8.20	3.67
2014:Q3	8.20	3.63
2014:Q4	8.24	3.57
2015:Q1	8.34	3.54
2015:Q2	8.06	3.50
2015:Q3	8.30	3.46
2015:Q4	8.83	3.45
2016:Q1	9.18	3.55
2016:Q2	9.54	3.56
2016:Q3	9.66	3.55
2016:Q4	10.06	3.78
2017:Q1	9.73	3.58
2017:Q2	9.84	3.59
2017:Q3	9.46	3.64
2017:Q4	10.31	3.72
2018:Q1	10.23	3.27
2018:Q2	9.39	2.93

Note: The data extend through 2018:Q2. Ratio is calculated as (total assets - separate account assets)/(total capital - accumulated other comprehensive income).

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

Return to text

Figure 3-6. Gross Leverage of Hedge Funds

Ratio

Period	Mean	Median
October 2013	5.4	2.3
November 2013	5.6	2.3
December 2013	5.3	2.3
January 2014	5.1	2.3
February 2014	5.2	2.3
March 2014	5.1	2.3
April 2014	5.1	2.2
May 2014	5.2	2.3
June 2014	5.1	2.3
July 2014	5.6	2.3
August 2014	5.8	2.3
September 2014	5.7	2.3
October 2014	5.2	2.2
November 2014	5.1	2.3
December 2014	4.8	2.3
January 2015	5.1	2.2
February 2015	5.3	2.3
March 2015	5.1	2.3
April 2015	5.4	2.4
May 2015	5.5	2.4
June 2015	4.9	2.3
July 2015	5.7	2.4
August 2015	5.8	2.4
September 2015	5.7	2.2
October 2015	5.7	2.5
November 2015	6.0	2.4
December 2015	4.9	2.3
January 2016	5.4	2.4
February 2016	5.8	2.3
March 2016	5.8	2.3
April 2016	5.8	2.3
May 2016	5.9	2.4
June 2016	5.6	2.3
July 2016	5.8	2.3
August 2016	6.0	2.3
September 2016	5.6	2.3
October 2016	6.1	2.4
November 2016	6.3	2.3
December 2016	5.7	2.3
January 2017	6.2	2.4
February 2017	6.3	2.4
March 2017	6.2	2.4
April 2017	5.9	2.4
May 2017	6.3	2.4
June 2017	5.7	2.3
July 2017	6.7	2.3
August 2017	7.2	2.4
September 2017	6.9	2.3
October 2017	6.7	2.3
November 2017	7.1	2.3
December 2017	6.5	2.3

Note: Leverage is computed as the ratio of hedge funds' gross notional exposure to net asset value, including derivative notional exposure and short positions. Data are reported on a three-quarter lag.

Source: Federal Reserve Board staff calculations based on Securities and Exchange Commission, Form PF, Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors.

Return to text

Figure 3-7. Change in the Use of Financial Leverage

Net percentage

Period	Hedge funds	Trading REITs	Insurance companies	Mutual funds
2011:Q4	-55.00	0.00	0.00	0.00
2012:Q1	-20.00	15.00	5.00	5.00
2012:Q2	-22.73	4.55	4.76	0.00
2012:Q3	-4.55	5.88	-4.76	0.00
2012:Q4	9.09	16.67	0.00	4.76
2013:Q1	27.27	5.56	4.76	0.00
2013:Q2	22.73	0.00	0.00	4.76
2013:Q3	-18.18	-33.33	-4.55	4.76
2013:Q4	-9.09	-33.33	0.00	5.00
2014:Q1	0.00	-38.89	0.00	5.00
2014:Q2	4.55	-5.56	-4.55	5.00
2014:Q3	22.73	11.76	-4.55	0.00
2014:Q4	0.00	0.00	0.00	4.76
2015:Q1	14.29	-5.88	0.00	10.00
2015:Q2	0.00	11.76	0.00	5.00
2015:Q3	-5.00	0.00	5.00	5.00
2015:Q4	9.52	5.88	4.76	0.00
2016:Q1	-4.76	5.88	5.00	0.00
2016:Q2	-15.00	6.25	0.00	0.00
2016:Q3	4.35	5.26	0.00	4.55
2016:Q4	17.39	-5.26	0.00	4.76
2017:Q1	0.00	0.00	0.00	0.00
2017:Q2	4.35	0.00	0.00	0.00
2017:Q3	17.39	5.26	0.00	4.55
2017:Q4	0.00	-15.00	0.00	4.76
2018:Q1	0.00	5.00	0.00	0.00
2018:Q2	0.00	5.00	0.00	5.00
2018:Q3	4.35	5.26	0.00	0.00

Note: Net percentage equals the percentage of institutions that reported increased use of financial leverage over the past three months minus the percentage of institutions that reported decreased use of financial leverage over the past three months. REIT is real estate investment trust.

Source: Federal Reserve Board, Senior Credit Officer Opinion Survey on Dealer Financing Terms.

Return to text

Figure 3-8

This is a stacked bar chart with six categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2018. The y-axis is in billions of dollars (real) and ranges from 0 to 2800. Data are annual. CDOs (including ABS, CDO, CLO), represented in dark blue, begin at about 80 in 2001, peak at about 480 in 2006, decrease to about 60 by 2008 and then 5 in 2011, and generally increase to end at about 140 in 2018. Auto loan/lease ABS, represented in yellow, begins at about 115 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 80 by 2012, and increases to around 105 by 2018. Esoteric ABS, represented in red, begins near 50 in 2001, increases to about 80 by 2006, and decreases to 10 in 2008. From 2009, it increases to end at about 100 in 2018. Private-label RMBS, represented in light blue, begins at about 260 in 2001, peaks at about 1200 in 2006, decreases to about zero by 2009, and increases slightly from 2009 to 2018, ending at about 25. Non-agency CMBS, represented in black, begins at about 95 in 2001, peaks at about 280 in 2007, drops to about zero from 2008 through 2009, and increases to end at about 70 in 2018. Other, represented in light gray, begins at about 240 in 2001, peaks at about 450 in 2007, decreases from 2008 to 2011, ending around 80. It stays in that range and ends at about 80 in 2018. All six categories together begin at about 800 in 2001 and peak near 2500 in 2006. The total then drops to about 300 in 2008, and ends at about 600 in 2018.

Note: The data from the first three quarters of 2018 are annualized to create the 2018 bar. Esoteric asset-backed securities (ABS) are backed by unsecured personal loans, mobile phones, reperforming residential mortgages, aircraft and shipping container leases, marketplace lending, and franchise payments. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; CLO is collateralized loan obligation; RMBS is residential mortgage-backed securities. The "Other" category consists of subprime mortgages, real estate mortgage investment conduit (Re-REMIC) RMBS, Re-REMIC CMBS, and ABS backed by credit card debt, student loans, equipment, and floorplans. The data are converted to 2018 dollars using the consumer price index. Key identifies bar segments in order from bottom to top.

Source: Harrison Scott Publications, Asset-Backed Alert (ABAIert.com) and Commercial Mortgage Alert (CMAIert.com); Bureau of Labor Statistics, consumer price index via Haver Analytics.

Return to text

Figure 3-9. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

Billions of dollars

Quarter	Consumer lenders	Real estate lenders	Other lenders	Broker-dealers	Insurance	Open-end investment funds	Financial planning and pension funds	Other financial vehicles
2013:Q1	58.62	23.54	33.62	66.48	86.56	70.34	31.65	193.09
2013:Q2	60.20	27.10	33.15	66.32	87.81	71.02	32.52	202.59
2013:Q3	59.22	30.41	35.30	68.83	89.13	74.21	35.25	206.45
2013:Q4	64.01	24.79	33.97	68.67	88.10	77.54	37.24	212.31
2014:Q1	64.16	23.96	33.97	76.84	90.67	81.00	37.58	216.46
2014:Q2	64.81	26.18	35.98	76.15	95.07	89.07	39.66	233.08
2014:Q3	63.49	27.52	39.38	73.19	88.83	92.56	43.24	229.31
2014:Q4	69.58	29.74	39.81	82.09	88.07	91.29	34.66	232.05
2015:Q1	66.17	34.08	40.78	90.14	89.93	92.76	35.83	226.46
2015:Q2	74.89	34.68	36.84	106.02	91.50	89.48	30.83	250.49
2015:Q3	75.55	32.65	37.95	106.47	110.42	95.82	29.11	265.70
2015:Q4	74.73	42.58	35.89	97.04	112.71	96.83	28.50	290.89
2016:Q1	74.06	39.99	34.97	89.97	111.98	107.03	34.06	292.37
2016:Q2	68.24	45.95	32.04	96.38	100.15	115.19	35.16	304.56
2016:Q3	82.55	47.17	32.54	101.87	103.20	118.23	34.54	317.09
2016:Q4	80.82	45.84	33.18	97.47	118.73	115.73	38.64	318.95
2017:Q1	82.74	40.96	30.60	93.90	116.49	114.17	37.14	327.85
2017:Q2	84.67	45.36	29.94	103.08	102.62	110.45	36.24	346.35
2017:Q3	86.83	51.13	30.82	100.62	105.62	111.16	39.11	356.06
2017:Q4	89.24	48.16	35.52	99.95	112.42	112.82	45.82	374.95
2018:Q1	89.36	42.94	36.87	106.67	143.01	113.76	50.26	391.24
2018:Q2	87.73	48.68	34.66	97.56	125.06	116.01	51.83	404.86

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 25 bank holding companies that have filed Form FR Y-14Q in every quarter since 2012:Q3. Nonbank financial firms are identified based on reported NAICS (North American Industry Classification System) codes, excluding other domestic and foreign banks, monetary authorities, and credit unions. Broker-dealers also include commodity contracts dealing and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds, real estate investment trusts, special purpose vehicles, and other vehicles.

Source: Federal Reserve Board, Form FR Y-14Q, Capital Assessments and Stress Testing.

Return to text

Figure 4-1

This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2018:Q2. The y-axis represents liquid assets as a percent of total assets, and ranges from 0 to 24 percent. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Large BHCs," is designated by a solid black line and ranges from about 3 to 22 percent. This variable rises from about 4.5% in 2001:Q1, remains near that level until mid-2004, decreases to about 3 by mid-2008, increases to nearly 12 by late 2012, increases to about 22 by late 2014, and ends at about 18 in 2018:Q2. The second line, labeled "Other BHCs," is designated by a solid blue line and ranges from about 2 to 12 percent. This variable begins at about 8% in 2001:Q1, decreases to about 2 by 2007:Q4, remains near that level through mid-2008, increases to about 12 by 2011, and decreases to end at about 8 in 2018:Q2.

Note: Liquid assets are excess reserves plus estimates of securities that qualify as high-quality liquid assets. Haircuts and Level 2 asset caps are incorporated into the estimate. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies; Federal Reserve Board, Form FR 2900, Report of Transaction Accounts, Other Deposits and Vault Cash.

Return to text

Figure 4-2

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2019. The y-axis represents short-term wholesale funding as a percent of assets, and ranges from 10 to 40 percent. The data are quarterly. There is one variable charted on the plot. The variable is designated by a solid black line and ranges from about 15 to 35 percent. The variable begins near 25 percent in 2000:Q1, declines steadily to about 23 percent in 2003:Q1, increases to about 33 percent in 2007:Q1 and remains there until 2008:Q1. It then steadily declines to about 15 percent in 2015:Q1 and remains near that level through 2018:Q2.

Note: Short-term wholesale funding is defined as the sum of large time deposits with maturity less than one year, federal funds purchased and securities sold under agreements to repurchase, deposits in foreign offices with maturity less than one year, trading liabilities (excluding revaluation losses on derivatives), and other borrowed money with maturity less than one year. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009.

Source: : Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

Return to text

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

Percent of GDP

Period	Uninsured deposits	Repurchase agreements	Domestic money market funds	Commercial paper	Securities lending	Other
2002:Q1	11.22	19.01	20.83	13.04	3.67	4.79
2002:Q2	11.47	20.56	20.11	12.33	3.96	5.30
2002:Q3	12.37	20.94	19.63	12.15	2.75	5.45
2002:Q4	12.87	20.67	20.46	12.38	2.66	5.75
2003:Q1	13.18	20.99	19.66	12.11	3.24	5.92
2003:Q2	14.02	22.35	19.07	11.70	3.69	5.96
2003:Q3	13.51	21.63	18.07	11.16	4.51	5.65
2003:Q4	13.54	21.68	17.33	10.95	4.64	5.53
2004:Q1	14.04	23.21	16.72	11.12	4.50	5.63
2004:Q2	14.42	23.50	16.04	10.74	5.41	5.63
2004:Q3	14.67	25.33	15.38	10.61	4.79	5.84
2004:Q4	15.15	24.23	15.19	11.14	5.43	5.69
2005:Q1	15.05	25.40	14.61	11.25	6.02	5.74
2005:Q2	15.17	26.78	14.36	11.58	6.65	5.71
2005:Q3	15.28	27.66	14.47	11.85	6.12	5.69
2005:Q4	15.77	26.56	15.20	12.30	5.60	5.69
2006:Q1	15.49	28.20	14.95	12.48	5.61	5.71
2006:Q2	15.77	28.49	15.23	12.83	6.26	5.78
2006:Q3	15.47	30.69	15.83	13.45	7.03	6.24
2006:Q4	16.26	29.69	16.66	13.95	7.60	6.59
2007:Q1	15.40	32.30	17.02	14.10	8.57	6.93
2007:Q2	15.27	32.47	17.48	14.67	8.74	7.14
2007:Q3	15.24	32.26	19.48	12.78	7.55	7.40
2007:Q4	16.10	30.56	21.02	12.18	7.76	7.90
2008:Q1	16.13	32.95	23.48	12.18	6.36	8.43
2008:Q2	15.57	30.00	22.81	11.81	12.09	8.92
2008:Q3	16.45	30.09	23.06	10.48	6.82	8.49
2008:Q4	12.23	21.83	26.32	10.98	6.55	8.39
2009:Q1	12.16	22.12	26.50	9.89	5.41	8.17
2009:Q2	12.15	21.96	25.45	8.91	6.14	8.06
2009:Q3	8.19	22.50	23.75	8.11	6.00	7.65
2009:Q4	8.68	20.35	22.67	7.78	5.81	6.76
2010:Q1	12.25	22.68	20.27	7.34	5.68	6.60
2010:Q2	12.28	22.91	18.85	6.89	5.63	6.25
2010:Q3	13.72	22.81	18.55	6.97	5.24	6.38
2010:Q4	9.58	22.43	18.39	6.94	5.12	6.22
2011:Q1	9.65	23.26	17.84	7.40	5.07	5.92
2011:Q2	10.14	23.36	17.33	6.98	5.22	5.50
2011:Q3	10.41	23.98	16.86	6.44	4.61	5.21
2011:Q4	10.49	23.66	17.03	6.14	4.17	5.22
2012:Q1	10.57	23.70	16.12	6.21	4.18	5.24
2012:Q2	10.64	24.03	15.56	5.96	4.21	5.21
2012:Q3	10.52	24.06	15.69	5.89	4.06	5.13
2012:Q4	11.95	24.17	16.46	5.82	3.61	5.10
2013:Q1	20.16	22.97	15.65	6.04	3.72	5.08
2013:Q2	20.16	21.99	15.53	5.95	3.92	4.84
2013:Q3	20.93	21.15	15.90	5.80	4.11	4.57
2013:Q4	21.53	19.11	15.91	5.57	3.82	5.90
2014:Q1	21.58	19.32	15.38	5.80	4.30	6.02
2014:Q2	22.01	18.57	14.69	5.77	4.27	6.00
2014:Q3	22.19	18.02	14.69	5.62	4.22	5.89
2014:Q4	22.72	17.46	15.27	5.22	3.95	5.60
2015:Q1	22.82	17.69	14.72	5.30	3.95	5.52
2015:Q2	22.57	16.92	14.35	5.37	3.75	5.27
2015:Q3	22.51	17.22	14.55	5.41	3.62	5.23
2015:Q4	22.94	16.18	15.01	5.13	3.54	5.37
2016:Q1	23.11	16.44	14.99	5.55	3.60	5.18
2016:Q2	23.23	17.12	14.44	5.45	3.50	5.25
2016:Q3	23.81	17.05	14.21	4.85	3.33	5.22
2016:Q4	23.94	16.11	14.37	4.66	3.07	5.30
2017:Q1	23.73	16.32	13.90	4.89	3.20	5.34
2017:Q2	23.53	16.75	13.60	4.78	3.40	5.25
2017:Q3	23.59	16.22	14.03	5.02	3.42	5.29
2017:Q4	23.84	16.32	14.36	4.87	3.31	5.28
2018:Q1	23.49	15.83	13.94	5.23	3.33	5.28
2018:Q2	22.79	15.63	13.82	5.15	3.35	5.11

Note: The black striped area denotes the period from 2008:Q4 to 2012:Q4, when insured deposits increased because of the Transaction Account Guarantee Program. "Other" consists of variable-rate demand obligations, federal funds, funding-agreement-backed securities, private liquidity funds, offshore money market funds, and local government investment pools. Securities lending includes only lending collateralized by cash. GDP is gross domestic product.

Source: Securities and Exchange Commission, Private Funds Statistics; iMoneyNet, Inc., Offshore Money Fund Analyzer; Bloomberg Finance LP; Securities Industry and Financial Markets Association: U.S. Municipal VRDO Update; Risk Management Association, Securities Lending Report; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation: Commercial Paper data; Federal Reserve Board staff calculations based on Investment Company Institute data; Federal Reserve Board, Statistical Release H.6, "Money Stock and Debt Measures" (M3 monetary aggregate); Federal Financial Institutions Examination Council, Consolidated Reports of Condition and Income (Call Report); Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States"; Moody's Analytics, Inc., CreditView, ABCP Program Index; Bureau of Economic Analysis, gross domestic product via Haver Analytics.

Return to text

Figure 4-4

This is an overlapping area chart titled "Domestic Money Market Fund Assets." The x-axis measures time and ranges from the years 2000 to 2019. The y-axis is in billions of dollars (real) and ranges from 0 to 5,250 in 750 billion dollar increments. The data are monthly. There are shaded areas in this chart. The bottom area, represented in dark blue, is institutional prime fund assets. The institutional prime curve begins at about 650 in early 2000, increases to about 1200 by late 2002, decreases to about 650 by mid-2005, increases to about 1,500 by the end of 2008, and then drops sharply in September 2008 to 1,000. It then increases to 1,400 and remains in the range of 1,000 to 1,400 until the end of 2015. It then begins to sharply decrease to about 130 at the end of 2016. It then steadily increases until September 2018 where it ends around 220. The area above the institutional prime region is light blue and represents retail prime fund assets. The curve begins at about 1,700 in early 2000, increases to about 2250 by early 2002, decreases to about 1700 by mid-2005, increases to about 2350 by late 2008, then sharply decreases to 1900 in September 2008. It then increases back to about 2300 in early 2009, and then decreases steadily to about 1550 in 2012. It remains around this level until late 2015. It then steadily decreases throughout 2016 and then drops sharply in late 2016 to about 400. It then increases until September 2018 where it ends around 615. The third shaded region from the bottom is red and represents tax-exempt fund assets. The curve begins at about 2000 in early 2000, increases to about 2500 by late 2002, decreases to about 1950 by mid-2005, increases to about 3000 by mid-2008, dips to about 2500 by late 2008, increases to about 2900 by early 2009, decreases to about 1900 by 2012. It remains near this level through the end of 2015. Then it begins to decrease steadily to around 1000. In September 2016, it drops sharply to around 675 and continues to decrease until late 2017 to about 580. It then increases the remainder of the time and ends in September 2018 at about 630.

The top shaded area represents government-only fund assets. This line begins at about 2500 in early 2000, increases to about 3300 by early 2002, decreases to about 2400 by mid-2005, increases to about 4500 by early 2009, decreases to about 2900 by early 2011, remains near that level until end of 2018, and increases to end at about 2900 in September 2018.

Note: The data are converted to constant 2018 dollars using the consumer price index. Key identifies regions in order from top to bottom.

Source: Federal Reserve Board staff calculations based on Investment Company Institute data; Bureau of Labor Statistics, consumer price index via Haver Analytics.

Return to text

Figure 4-5. Corporate Bond Mutual Fund and Loan Mutual Fund Assets

Billions of dollars (real)

Date	Investment-grade corporate bond mutual funds	High-yield corporate bond mutual funds	Bank loan mutual funds
Jan-00	360.04	147.39	28.55
Feb-00	357.32	145.57	28.45
Mar-00	355.94	138.86	28.37
Apr-00	353.83	135.48	28.59
May-00	351.01	130.56	28.49
Jun-00	359.58	135.25	28.52
Jul-00	358.23	132.07	28.60
Aug-00	364.10	129.33	29.06
Sep-00	363.65	127.82	29.73
Oct-00	365.93	118.99	29.03
Nov-00	370.92	109.95	28.53
Dec-00	375.51	110.74	27.42
Jan-01	381.85	121.76	27.86
Feb-01	389.00	123.53	24.04
Mar-01	396.95	120.36	26.73
Apr-01	398.02	116.92	26.57
May-01	400.77	119.36	23.13
Jun-01	405.08	113.88	22.68
Jul-01	424.54	115.70	25.81
Aug-01	442.96	116.73	25.61
Sep-01	446.69	105.82	21.53
Oct-01	468.68	108.73	23.25
Nov-01	467.06	114.00	22.36
Dec-01	473.75	114.28	22.18
Jan-02	483.12	116.55	21.67
Feb-02	493.30	113.37	21.13
Mar-02	491.38	120.72	20.72
Apr-02	501.27	118.39	20.32
May-02	510.01	118.69	19.88
Jun-02	520.63	111.01	19.19
Jul-02	537.98	103.34	18.50
Aug-02	548.67	105.44	17.49
Sep-02	564.28	101.08	16.66
Oct-02	576.39	104.76	15.72
Nov-02	578.39	113.98	15.27
Dec-02	593.47	117.01	14.98
Jan-03	605.03	121.21	14.82
Feb-03	618.02	124.81	14.48
Mar-03	625.95	135.11	14.19
Apr-03	638.51	149.56	14.43
May-03	655.14	152.89	14.44
Jun-03	658.75	160.62	14.16
Jul-03	635.17	156.20	14.66
Aug-03	626.49	157.45	15.21
Sep-03	641.37	160.70	15.67
Oct-03	636.86	167.01	16.36
Nov-03	638.97	170.58	16.85
Dec-03	642.75	173.29	17.29
Jan-04	644.26	178.23	17.93
Feb-04	648.81	173.07	18.31
Mar-04	654.64	169.52	18.76
Apr-04	641.20	166.04	19.55
May-04	628.12	155.55	20.92
Jun-04	624.92	156.82	22.09
Jul-04	630.81	158.66	23.39
Aug-04	643.07	162.28	24.42
Sep-04	645.82	164.80	25.12
Oct-04	648.75	167.57	25.66
Nov-04	645.53	170.05	26.29
Dec-04	652.02	171.66	26.64
Jan-05	657.28	167.99	27.59
Feb-05	650.14	169.51	27.93
Mar-05	642.95	157.80	28.81
Apr-05	647.73	151.98	29.23
May-05	657.21	153.35	29.15
Jun-05	663.62	155.58	29.02
Jul-05	660.27	157.64	29.21
Aug-05	667.81	156.18	28.86
Sep-05	659.08	150.19	28.74
Oct-05	655.57	146.80	29.47
Nov-05	663.96	148.74	29.66
Dec-05	671.87	149.98	30.01
Jan-06	674.02	150.43	30.41
Feb-06	679.81	151.67	30.82
Mar-06	673.75	150.75	31.85
Apr-06	672.16	149.99	32.35
May-06	664.91	147.65	33.43
Jun-06	662.35	144.59	34.41
Jul-06	670.74	145.81	35.26
Aug-06	681.43	148.04	35.84
Sep-06	695.97	150.71	36.47
Oct-06	709.44	154.84	37.48
Nov-06	724.12	158.30	37.83
Dec-06	727.66	160.07	38.23
Jan-07	734.94	162.25	39.38
Feb-07	747.94	164.10	39.97
Mar-07	753.66	163.52	40.77
Apr-07	755.01	164.85	41.77
May-07	754.10	166.73	42.79
Jun-07	760.62	161.04	44.21
Jul-07	771.44	153.15	41.01
Aug-07	779.03	153.75	37.99
Sep-07	790.57	157.98	37.92
Oct-07	804.00	159.58	37.88
Nov-07	810.66	152.85	34.92
Dec-07	813.62	152.64	33.25
Jan-08	832.60	147.49	31.26
Feb-08	833.79	144.55	27.48
Mar-08	821.97	141.83	26.55
Apr-08	821.07	149.70	27.26
May-08	816.41	150.25	27.02
Jun-08	803.56	144.18	26.93
Jul-08	793.47	140.54	26.55
Aug-08	802.19	141.52	26.11
Sep-08	775.35	130.09	23.76
Oct-08	733.00	108.17	19.80
Nov-08	742.31	101.04	17.88
Dec-08	771.02	109.54	16.97
Jan-09	778.33	117.08	18.56
Feb-09	777.93	114.26	19.16
Mar-09	802.01	118.76	19.17
Apr-09	827.78	133.66	21.14
May-09	863.04	144.46	22.62
Jun-09	883.36	148.04	23.95
Jul-09	925.85	159.56	25.37
Aug-09	964.13	162.70	25.76
Sep-09	1007.71	172.55	26.43
Oct-09	1041.41	175.93	26.69
Nov-09	1073.08	179.18	26.45
Dec-09	1076.97	186.05	27.73
Jan-10	1107.26	189.16	29.29
Feb-10	1125.31	187.05	30.35
Mar-10	1144.27	196.04	32.61
Apr-10	1168.50	202.41	35.38
May-10	1177.32	187.54	34.73
Jun-10	1203.46	190.33	35.33
Jul-10	1231.89	199.74	36.42
Aug-10	1262.41	200.80	37.09
Sep-10	1279.67	210.33	39.07
Oct-10	1293.53	216.69	41.19
Nov-10	1281.77	213.13	43.45
Dec-10	1252.10	219.07	48.25
Jan-11	1244.77	227.69	54.99
Feb-11	1243.52	232.53	60.49
Mar-11	1236.77	231.56	65.29
Apr-11	1250.94	235.30	68.38
May-11	1263.41	236.06	71.97
Jun-11	1267.02	226.31	73.22
Jul-11	1284.27	230.07	73.60
Aug-11	1282.02	213.09	62.37
Sep-11	1279.26	206.64	60.82
Oct-11	1300.17	228.78	63.16
Nov-11	1302.16	222.43	62.27
Dec-11	1326.52	231.49	61.47
Jan-12	1354.54	244.83	62.56
Feb-12	1372.00	255.19	62.36
Mar-12	1377.91	257.06	62.92
Apr-12	1402.58	260.50	64.59
May-12	1418.10	255.05	64.28
Jun-12	1432.07	261.27	64.68
Jul-12	1468.36	271.63	66.19
Aug-12	1482.79	277.38	67.58
Sep-12	1502.54	281.86	69.89
Oct-12	1526.49	285.62	72.47
Nov-12	1552.40	285.17	75.06
Dec-12	1566.06	289.25	77.72
Jan-13	1571.51	294.64	82.61
Feb-13	1571.71	292.92	87.83
Mar-13	1577.07	296.77	94.60
Apr-13	1601.66	303.13	100.33
May-13	1565.64	300.05	104.96
Jun-13	1502.33	277.82	110.65
Jul-13	1492.98	288.15	120.73
Aug-13	1464.86	282.37	128.41
Sep-13	1467.77	288.77	134.47
Oct-13	1474.11	299.49	138.92
Nov-13	1466.53	302.48	143.49
Dec-13	1451.51	303.43	147.94
Jan-14	1459.74	304.35	152.02
Feb-14	1464.74	311.14	153.95
Mar-14	1459.45	311.38	155.18
Apr-14	1469.59	312.98	153.39
May-14	1481.56	316.32	151.66
Jun-14	1487.58	317.44	148.73
Jul-14	1495.81	305.12	146.47
Aug-14	1517.36	303.90	142.76
Sep-14	1499.79	289.52	137.90
Oct-14	1506.70	294.15	133.11
Nov-14	1531.66	297.34	132.43
Dec-14	1541.49	283.62	124.12
Jan-15	1583.66	287.70	120.78
Feb-15	1576.13	298.64	121.27
Mar-15	1576.92	292.81	119.73
Apr-15	1569.09	295.75	120.34
May-15	1566.40	295.73	120.40
Jun-15	1563.74	285.89	117.82
Jul-15	1567.86	280.38	117.53
Aug-15	1554.96	272.67	113.91
Sep-15	1554.44	263.94	111.32
Oct-15	1563.62	274.43	109.87
Nov-15	1565.62	266.17	106.99
Dec-15	1560.58	249.62	99.53
Jan-16	1568.43	241.48	95.62
Feb-16	1578.25	243.76	92.28
Mar-16	1608.28	259.24	93.47
Apr-16	1628.82	268.01	94.41
May-16	1635.76	267.84	94.70
Jun-16	1664.39	265.69	93.53
Jul-16	1695.20	275.58	95.60
Aug-16	1708.43	282.19	96.56
Sep-16	1718.43	282.87	98.38
Oct-16	1714.84	281.01	100.69
Nov-16	1682.55	273.81	103.67
Dec-16	1685.34	282.60	110.86
Jan-17	1687.99	285.38	114.65
Feb-17	1709.11	287.22	118.90
Mar-17	1732.10	278.69	122.37
Apr-17	1744.17	279.68	124.24
May-17	1770.78	280.71	125.93
Jun-17	1783.69	278.43	125.95
Jul-17	1808.02	279.57	126.69
Aug-17	1829.94	275.07	125.36
Sep-17	1829.96	275.96	124.95
Oct-17	1851.08	275.84	125.30
Nov-17	1863.56	269.35	123.04
Dec-17	1885.85	269.19	122.34
Jan-18	1885.23	267.49	123.58
Feb-18	1868.16	253.54	124.12
Mar-18	1877.57	248.81	126.51
Apr-18	1860.94	249.66	128.76
May-18	1869.43	247.32	131.31
Jun-18	1869.33	246.05	133.61
Jul-18	1877.91	247.42	135.62
Aug-18	1894.68	248.17	137.51
Sep-18	1896.63	249.73	139.12

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

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

Return to text

Figure 4-6. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

Billions of dollars (real)

Quarter	Funding-agreement-backed securities	FHLB advances	Securities lending	Repurchase agreements
2006:Q1	191.72	12.70	ND	ND
2006:Q2	188.94	12.91	ND	ND
2006:Q3	188.32	13.57	ND	ND
2006:Q4	192.85	15.07	ND	ND
2007:Q1	193.89	16.41	ND	ND
2007:Q2	194.87	19.86	ND	ND
2007:Q3	197.71	27.20	ND	ND
2007:Q4	195.16	31.04	ND	ND
2008:Q1	197.16	34.13	ND	ND
2008:Q2	198.83	34.93	ND	ND
2008:Q3	180.37	44.29	ND	ND
2008:Q4	171.83	58.75	ND	ND
2009:Q1	153.25	59.22	ND	ND
2009:Q2	139.93	55.80	ND	ND
2009:Q3	127.59	52.28	ND	ND
2009:Q4	116.96	52.91	ND	ND
2010:Q1	114.45	52.07	ND	ND
2010:Q2	106.16	50.47	ND	ND
2010:Q3	103.76	50.39	ND	ND
2010:Q4	101.53	49.86	ND	ND
2011:Q1	94.87	49.95	53.10	6.95
2011:Q2	89.78	49.06	52.39	7.65
2011:Q3	84.04	49.05	50.39	7.70
2011:Q4	83.78	49.48	47.93	7.99
2012:Q1	80.87	50.46	47.00	9.11
2012:Q2	82.45	53.81	53.99	11.74
2012:Q3	83.50	53.44	61.47	12.48
2012:Q4	80.04	51.98	60.10	12.42
2013:Q1	79.44	52.64	59.52	14.65
2013:Q2	71.00	53.61	60.53	14.60
2013:Q3	67.38	52.49	55.88	14.06
2013:Q4	65.56	53.35	61.52	12.56
2014:Q1	61.11	53.16	62.81	14.80
2014:Q2	64.43	53.37	64.95	14.83
2014:Q3	69.72	53.75	68.08	16.33
2014:Q4	73.68	54.49	58.93	12.48
2015:Q1	74.71	57.06	59.26	11.99
2015:Q2	72.22	58.10	54.94	11.60
2015:Q3	68.76	59.03	54.43	11.63
2015:Q4	73.82	59.93	53.59	9.23
2016:Q1	72.23	62.97	55.76	11.25
2016:Q2	73.42	66.25	57.62	12.67
2016:Q3	74.36	68.87	58.79	13.49
2016:Q4	78.37	69.44	50.90	10.23
2017:Q1	80.01	71.76	52.75	13.49
2017:Q2	83.58	71.54	52.55	13.68
2017:Q3	89.77	71.36	53.51	14.96
2017:Q4	88.66	73.45	50.77	12.72
2018:Q1	89.37	77.83	53.36	12.50
2018:Q2	90.33	77.57	46.54	14.34

Note: The data are converted to constant 2018 dollars using the consumer price index and extend through 2018:Q2. FHLB is Federal Home Loan Bank.

Source: Bureau of Labor Statistics, consumer price index via Haver Analytics and Federal Reserve Board staff estimates based on data from Bloomberg Finance LP; Moody's Analytics, Inc., CreditView, ABCP Program Index; Securities and Exchange Commission, Form 10-Q and 10-K; National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via the S&P Global Market Intelligence Platform.

Return to text

Last Update: June 07, 2019

Financial Security Report – November 2018