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October 2008 Greenbook Part 2 Tables and Charts


Domestic Financial Developments

Selected Financial Market Quotations

(One-day quotes in percent except as noted)
Instrument 2007 2008 Change to Oct. 21 from selected dates (percentage points)
Aug. 6 Aug. 4 Sept. 15 Oct. 21 2007 Aug. 6 2008 Aug. 4 2008 Sept. 15
Short-term
FOMC intended federal funds rate 5.25 2.00 2.00 1.50 -3.75 -.50 -.50
Treasury bills1
3-month 4.74 1.72 1.03 1.09 -3.65 -.63 .06
6-month 4.72 1.93 1.52 1.58 -3.14 -.35 .06
Commercial paper (A1/P1 rates)2
1-month 5.26 2.41 2.47 2.59 -2.67 .18 .12
3-month 5.29 2.72 2.73 3.10 -2.19 .38 .37
Large negotiable CDs1
3-month 5.34 2.80 3.45 3.74 -1.60 .94 .29
6-month 5.27 3.10 3.85 3.66 -1.61 .56 -.19
Eurodollar deposits3
1-month 5.33 2.60 2.70 4.00 -1.33 1.40 1.30
3-month 5.35 3.00 3.00 4.50 -.85 1.50 1.50
  
Bank prime rate 8.25 5.00 5.00 4.50 -3.75 -.50 -.50
Intermediate- and long-term
U.S. Treasury4
2-year 4.49 2.49 1.78 1.46 -3.03 -1.03 -.32
5-year 4.52 3.25 2.60 2.64 -1.88 -.61 .04
10-year 4.82 4.15 3.68 4.29 -.53 .14 .61
U.S. Treasury indexed notes5
5-year 2.43 1.15 1.25 2.52 .09 1.37 1.27
10-year 2.48 1.71 1.70 2.74 .26 1.03 1.04
  
Municipal general obligations (Bond Buyer)6 4.51 4.74 4.54 6.01 1.50 1.27 1.47
Private instruments
10-year swap 5.44 4.66 4.24 4.20 -1.24 -.46 -.04
10-year FNMA7 5.34 4.82 4.19 4.89 -.45 .07 .70
10-year AA8 6.12 6.62 6.63 7.95 1.83 1.33 1.32
10-year BBB8 6.57 7.17 7.11 9.52 2.95 2.35 2.41
10-year high yield8 9.21 10.57 10.86 15.15 5.94 4.58 4.29
Home mortgages (FHLMC survey rate)9
30-year fixed 6.59 6.52 5.78 6.46 -.13 -.06 .68
1-year adjustable 5.65 5.22 5.03 5.16 -.49 -.06 .13

Stock exchange index Record high 2008 Change to Oct. 21 from selected dates (percent)
Level Date Aug. 4 Sept. 15 Oct. 21 Record high 2008 Aug. 4 2008 Sept. 15
Dow Jones Industrial 14,165 10-9-07 11,284 10,918 9,034 -36.22 -19.94 -17.26
S&P 500 Composite 1,565 10-9-07 1,249 1,193 955 -38.98 -23.54 -19.93
Nasdaq 5,049 3-10-00 2,286 2,180 1,697 -66.39 -25.77 -22.17
Russell 2000 856 7-13-07 704 690 531 -37.99 -24.64 -23.07
Wilshire 5000 15,807 10-9-07 12,738 12,184 9,651 -38.94 -24.24 -20.79

1. Secondary market.  Return to table

2. Financial commercial paper.  Return to table

3. Bid rates for Eurodollar deposits collected around 9:30 a.m. eastern time.  Return to table

4. Derived from a smoothed Treasury yield curve estimated using off-the-run securities.  Return to table

5. Derived from a smoothed Treasury yield curve estimated using all outstanding securities and adjusted for the carry effect.  Return to table

6. Most recent Thursday quote.  Return to table

7. Constant-maturity yields estimated from Fannie Mae domestic noncallable coupon securities.  Return to table

8. Derived from smoothed corporate yield curves estimated using Merrill Lynch bond data.  Return to table

9. Home mortgage rates for October 21, 2008, are for the week ending October 16, 2008.  Return to table

NOTES:
 August 6, 2007, is the day before the August 2007 FOMC meeting.
 August 4, 2008, is the day before the August 2008 FOMC monetary policy announcement.
 September 15, 2008, is the day before the most recent FOMC monetary policy announcement.


Financial Institutions and Short-Term Funding Markets

Figure: CDS Spreads for Commercial Banks

A line chart shows two series, "Regional bank index", and "Large bank index", from January 2007 through October 21, 2008. Data is daily; unit is basis points. The September 2008, FOMC meeting is marked with a vertical tripwire. The "Regional bank index" series begins at about 10 in January 2007, stays about the same through mid-July 2007, and generally increases to about 290, around the time of September 2008, FOMC meeting. It generally decreases shortly after the meeting and ends at about 201 on October 21, 2008. The "Large bank index" series begins at about 5 in January 2007, stays about the same through mid-July 2007, and generally increases to about 220, around the time of September 2008, FOMC meeting. It generally decreases shortly after the meeting and ends at about 100 on October 21, 2008.

Note: Median spreads for 7 regional and 5 large commercial banks.

Source: Markit.

Figure: Net Flows of Taxable Money Market Mutual Funds

A bar chart shows two series, "Government funds", and "Prime funds", from September 2008 through October 2008. Data is daily; unit is billions of dollars. A third series "Total" is superimposed over the two series. The "Reserve Fund breaks the buck" and "Treasury and Fed announcements" are marked with two vertical tripwires in the middle of September. The "Government funds" estimated values are as follows: 1, 30, "Reserve Fund breaks the buck" tripwire, 50, 60, "Treasury and Fed announcements" tripwire, 49, 23, 24, 23, 15, 25, 20, 12, 13, 15, 8, 7, 10, 9, 10, 9, 0, 15, 8, and 5. The "Prime funds" estimated values are as follows: -2, -8, -60, -40, "Reserve Fund breaks the buck" tripwire, -130, -105, -35, -15, -10, 5, -25, -10, -30, -25, -3, -10, -8, -4, -1, 0, 2, -2, 0, 10, 5, and -4. The "Total" series estimated values are as follows: -1, -10, -60, 0, "Reserve Fund breaks the buck" tripwire, -85, -50, 10, 8, 11, 20, -4, 10, -4, -5, 10, 9, 0, 1, 8, 8, 10, 0, 15, 10, and 1.

Source: iMoneyNet.

Figure: Spreads on 30-Day Commercial Paper

Figure: Spreads on 30-Day Commercial Paper. A line chart shows two series, "A2/P2", and "ABCP", from July 2007 through October 21, 2008. The September 2008, FOMC meeting is marked with a vertical tripwire. Data is daily; unit is basis points. The "A2/P2" series begins at about 5 in July 2007, generally increases to about 100 in September 2007, and about 150 in December 2007. It then generally decreases to about 95, around the time of September 2008, FOMC meeting, and generally increases shortly after the meeting, to end at about 440 on October 21, 2008. The "ABCP" series begins at about 1 in July 2007, generally increases to about 120 in September 2007, and about 200 in December 2007. It then generally decreases to about 50, around the time of September 2008, FOMC meeting, and generally increases shortly after the meeting to about 420, and decreases to end at about 195 on October 21, 2008.

Note: The ABCP spread is the AA ABCP rate minus the AA nonfinancial rate. The A2/P2 spread is the A2/P2 nonfinancial rate minus the AA nonfinancial rate.

Source: Depository Trust & Clearing Corporation.

Figure: Spread between Libor and OIS Rates

A line chart shows two series, "3-month", and "1-month", from July 2007 through October 22, 2008. Data is daily; unit is basis points. The September 2008, FOMC meeting is marked with a vertical tripwire. The "3-month" series begins at about 5 in July 2007, generally increases to about 95 in September 2007, and fluctuates between about 25 and 105 through August 2008. The series is at about 90, around the time of September 2008 FOMC meeting, increases to about 355 in October 2008, and then decreases to end at about 250 on October 22, 2008. The "1-month" series begins at about 5 in July 2007, generally increases to about 95 in September 2007, and fluctuates between about 5 and 105 through August 2008. The series is at about 50, around the time of September 2008 FOMC meeting, increases to about 325 in October 2008, and then decreases to end at about 220 on October 22, 2008.

Note: Libor quotes are taken at 6:00 a.m., and OIS quotes are observed at the close of business of the previous trading day.

Source: British Bankers' Association.

Figure: Repo Rates on Treasury General Collateral

A line chart shows two series, "Overnight", and "1-month", from July 2007 through October 21, 2008. Data is daily; unit is percent. The September 2008, FOMC meeting is marked with a vertical tripwire. The two series track very closely throughout the period. The two series begin at about 5 in July 2007, with some volatility generally decreases to about 0.5 (1-month), and 1.2 (Overnight) by March 2008, then they generally increase to about 2 in April 2008. The series stay about the same through August 2008 and decrease to about 1, around the time of September 2008, FOMC meeting. The "1-month" series ends at about 1.3 and the "Overnight" series ends at about 1, on October 21, 2008.

Source: Bloomberg.

Figure: Fails to Deliver

A line chart shows three series, "Treasury", "Agency", and "MBS", from 2003 through October 8, 2008. Data is weekly (Wed.); unit is billions of dollars. The "Agency" series begins at about 0 in 2003, generally increases to about 20 in 2003:Q3, and generally increases to about 0 by late 2003. The series stays about the same through mid-2008, and increases to end at about 10 on October 8, 2008. The "Treasury" series begins at about 50 in 2003, generally increases to about 1600 in 2003:Q3, and generally decreases to about 50 by mid-2006. It generally increases to about 1200 in early 2008, and decreases to about 50 by mid-2008 and then increases to end at about 2250 on October 8, 2008. The "MBS" series begins at about 100 in 2003, with some volatility, generally increases to about 850 by mid-2003, and generally decreases to end at about 50 on October 8, 2008.

Source: FR 2004 Primary Government Securities Dealers Reports.


Selected Recent Actions by the Federal Reserve

Existing Liquidity Facilities
9/14 The Federal Reserve broadens the collateral eligible to be pledged at the Primary Dealer Credit Facility to closely match the types of collateral that can be pledged in the triparty repo systems of the two major clearing banks.
9/14 Expands the collateral for schedule 2 Term Securities Lending Facility (TSLF) auctions to include all investment-grade debt securities. Schedule 2 TSLF auctions are to be conducted weekly instead of every two weeks.
9/18 Expands its swap lines with the European Central Bank (ECB), Swiss National Bank (SNB), Bank of Japan (BOJ), Bank of England, and Bank of Canada by $180 billion to a total of $247 billion.
9/24 Announces the establishment of swap lines with the central banks of Australia, Denmark, Norway, and Sweden, representing a $30 billion addition to total swap lines with all central banks, which now amount to $277 billion.
9/26 Expands its swap lines with the ECB and the SNB. Total swap lines with all central banks amount to $290 billion.
9/29 Increases the size of the 84-day maturity Term Auction Facility (TAF) auctions to $75 billion from $25 billion.
9/29 Announces two forward TAF auctions totaling $150 billion to be conducted in November to provide funding over year-end.
9/29 Increases its swap authorization limits with many central banks to a total of $620 billion.
10/6 Increases the size of 28-day and 84-day TAF auctions to $150 billion each and increases the size of the two forward TAF auctions to $150 billion each. In total, $900 billion of TAF credit will be available over year-end.
10/13 Increases the size of its swap lines with the Bank of England, the ECB, and the SNB to accommodate whatever quantity of U.S. dollar funding is required.
10/14 Increases the size of its swap lines with the BOJ to accommodate whatever quantity of U.S. dollar funding is required.
New Liquidity Facilities
9/16 Extends an $85 billion, 24-month term line of credit to American International Group, Inc., or AIG.
9/19 Announces its Asset-Backed Commercial Paper Money Market Mutual Fund Lending Facility (AMLF) to extend nonrecourse loans at the primary credit rate to depository institutions and bank holding companies to finance purchases of high-quality asset-backed commercial paper from money market mutual funds (MMMFs).
9/19 Announces plans to purchase federal agency discount notes from primary dealers.
10/7 Announces the creation of the Commercial Paper Funding Facility (CPFF) to help provide liquidity to term funding markets.
10/21 Announces the creation of the Money Market Investor Funding Facility (MMIFF) to help provide liquidity to U.S. money market investors.
Supervisory and Regulatory Actions
9/14 Adopts an interim final rule that provides a temporary exception to the limitations in section 23A of the Federal Reserve Act and allows all insured depository institutions to provide liquidity to their affiliates for assets typically funded in the triparty repo market.
9/19 In connection with the AMLF, approves two interim final rules that provide a temporary exception from leverage and risk-based capital rules and from sections 23A and 23B of the Federal Reserve Act.
9/21 Approves the applications of Goldman Sachs and Morgan Stanley to become bank holding companies.
9/22 Approves a policy statement that provides additional guidance on the Federal Reserve Board's position on minority equity investments in banks and bank holding companies that generally do not constitute "control" for the purpose of the Bank Holding Company Act.
10/6 Approves the application by Mitsubishi UFJ Financial Group to acquire up to 24.9 percent of the voting shares of Morgan Stanley.
10/6 Announces that it will begin to pay interest on depository institutions' required and excess reserve balances.
10/6 Grants a request by a depository institution to receive an exemption to allow limited purchases of assets from affiliated MMMFs.
10/12 Approves the application of Wells Fargo to acquire Wachovia.
10/16 Approves an interim final rule that will allow bank holding companies to include in tier 1 capital the preferred stock issued to the Treasury Department.
10/22 Approves a narrowing of the spread between the target federal funds rate and the rate paid on excess reserve balances.
Actions and Statements with Other Agencies
9/17 The Treasury announces a temporary Supplementary Financing Program at the request of the Federal Reserve to provide cash for use in Federal Reserve initiatives.
10/14 The Federal Reserve, the Treasury, and the Federal Deposit Insurance Corporation (FDIC) issue a joint statement announcing
  • the Treasury's voluntary capital purchase program to buy preferred stock in financial institutions
  • a systemic risk exception to the FDIC Act, which enables the FDIC to temporarily guarantee the senior debt of all insured institutions and their holding companies, as well as deposits in non-interest-bearing deposit transaction accounts
  • additional details of the CPFF, expected to be operational on October 27

Source: Board of Governors of the Federal Reserve System (2008), "Information Regarding Recent Federal Reserve Actions," news item, www.federalreserve.gov/newsevents/default.htm.


Federal Reserve Liquidity Provision

Figure: Primary Credit

A line chart shows two series, "Total" and "Foreign", from March 2008 through October 21, 2008. Data is quarterly; unit is billions of dollars. The Foreign series begins at about 0 in March 2008, generally increases to about 15 by late May 2008, generally decreases to about 11 in August 2008, and then generally increases to end at about 66 on October 21, 2008. The Total series begins at about 0 in March 2008, generally increases to about 24 in late June 2008, then continues to increase and ends at about 109 on October 21, 2008.

Source: Federal Reserve Board.

Figure: Term Auction Facility

A line chart shows two series, "Total", and "Foreign", from August 2007 through October 21, 2008. Data is daily; unit is billions of dollars. The Total series begins at about 0 in August 2007, stats about the same through mid-December 2007, and generally increases to end at about 145 on October 21, 2008. The Foreign series begins at about 0 in August 2007, stays about the same through mid-December 2007, generally increases to about 150 in late May and stays about the same through early October 2008. The series then increases and ends at about 260 on October 21, 2008.

Source: Federal Reserve Board.

Figure: Primary Dealer Credit Facility

A line chart shows a single series, from March 2008 through October 21, 2008. Data is daily; unit is billions of dollars. The series begins at about 0 in March 2008, increases to about 40 in late March, generally decreases to about 0 by September 2008, increases to about 155 in late September, and then generally decreases to end at about 109 on October 21, 2008.

Source: Federal Reserve Board.

Figure: Other Credit Extensions

A line chart shows two series, "ABCP MLF", and "AIG", from March 2008 through October 21, 2008. Data is daily; unit is billions of dollars. Both series begin at about 0 in March 2008, stay about the same through mid-September 2008; then the ABCP MLF series increases to about 150 in early October and ends at about 110 on October 21, 2008. The AIG series generally increases and ends at about 71 on October 21, 2008.

Note: ABCP MLF is Asset-Backed Commercial Paper Money Market Mutual Fund Lending Facility; AIG is American International Group, Inc.

Source: Federal Reserve Board.

Figure: Total Federal Reserve Assets

A line chart shows a single series, from January 2007 through October 15, 2008. Data is weekly; unit is billions of dollars. The series begins at about $10 billion in January 2007, with minor fluctuations, stays about the same through May 2008, and then generally increases to end at about 1780 on October 15, 2008.

Source: Board of Governors of the Federal Reserve System, Statistical Release H.4.1, "Factors Affecting Reserve Balances."


Policy Expectations and Treasury Yields

Figure: Interest Rate Futures

A line chart plots two series, "June 2009 Eurodollar" and "December 2008 Fed Futures", from September 15 through October 21, 2008, sampled at 5-minute intervals from 8:00 a.m. to 4:00 p.m. each business day, with no adjustments for term premiums. Unit is percent. Several notable events are marked with vertical tripwires. As shown in the figure, the June 2009 eurodollar curve begins on September 15 at about 2.5 percent, generally decreases through September 15, and increases back to around 2.5 before the FOMC statement on September 16. The curve then generally increases to about 2.6 shortly after the meeting, and stays at about that level until introduction of TARP September 19. It generally increases to about 3.3 by late September 24, decreases slightly around initial claims/durable goods orders, and returns to about 3.3 by September 25. The curve generally decreases to about 2.8 before initial claims and factory orders on October 2, to about 2.7 around nonfarm payrolls October 3, and to about 2.2 around the intermeeting rate cut October 7. It generally increases to about 2.4 around retail sales October 15 and industrial production October 16, then generally decreases to end at about 2.2 on October 21. As shown in the figure, the December 2008 fed futures curve begins on September 15 at about 1.8 percent, and fluctuates between about 1.7 and 2.0 through early September 19. With some variation, the curve then decreases almost linearly, ending at about 1.1 on October 21. Regarding the notable events, the curve is about 1.8 around the FOMC statement September 16, about 1.9 around the introduction of TARP September 19, about 1.8 around initial claims/durable goods orders September 25, about 1.6 around initial claims and factory orders October 2, about 1.5 around nonfarm payrolls October 3, about 1.4 around the intermeeting rate cut October 7, about 1.2 around retail sales October 15, and about 1.1 around industrial production October 16.

Note: TARP is Troubled Asset Relief Program.

Source: Bloomberg.

Figure: Implied Federal Funds Rate

A line chart shows two series, "September 15, 2008", and "October 21, 2008", from October 2008 through February 2011. Unit is percent. The "September 15, 2008" series begins at about 1.8 percent in October 2008, generally decreases to about 1.5 by April 2009, and then generally increases to end at about 3.1 in February 2011. The "October 21, 2008" series begins at about 1.1 percent in October 2008, and generally increases to end at about 3.1 in February 2011.

Note: Estimated from federal funds and Eurodollar futures, with an allowance for term premiums and other adjustments.

Source: Chicago Mercantile Exchange; CBOT.

Figure: Implied Volatility of Interest Rates

A line chart shows "6-month Eurodollar (left scale)"*, and "10-year Treasury (right scale)", from October 2005 through October 21, 2008. The left scale ranges from about 30 to 300 and the right scale ranges from 200 to 1600. Data is daily; unit is basis points. The September 2008, FOMC meeting is marked with a vertical tripwire. The "6-month Eurodollar"* series begins at about 600 in October 2005, fluctuates between 250 and 700 through July 2007, increases to about 1300 in August 2007, and generally decreases to about 600, around the time of September FOMC meeting. It generally increases to about 1100 shortly after the meeting and decreases to end at about 800 on October 21, 2008. The "10-year Treasury" series begins at about 500 in October 2005, generally decreases to about 325 by June 2007, and generally increases to about 1000 by March 2008. The series then fluctuates between 700 and 1000, and it is at about 1000 around the time of September 2008, FOMC meeting. It generally increases shortly after the meeting to about 1350 in early October and decreases to end at about 1000 on October 21, 2008.

*Width of a 90 percent confidence interval computed from the term structures for the expected federal funds rate and implied volatility.  Return to text

Source: Bloomberg.

Figure: Treasury Yield Curve

A line chart shows two series, "October 21, 2008", and "September 15, 2008", from 1 to 20 years ahead. Unit is percent. The "October 21, 2008" series begins at about 1.75 percent shortly before 1 year, decreases to about 1.4 by 1.5 years, generally increases to about 4.75 by year 15, and decreases to end at about 4.6 at 20 years ahead. The "September 15, 2008" series begins at about 1.6 percent shortly before 1 year, and then generally increases to end at about 4.2 at 20 years ahead.

Note: Smoothed yield curve estimated from off-the-run Treasury coupon securities. Yields shown are those on notional par Treasury securities with semiannual coupons.

Source: Federal Reserve Bank of New York.

Figure: Inflation Compensation

A line chart shows two series, "5 to 10 years ahead", and "Next 5 years"*, from January 2007 through October 21, 2008. Data is daily; unit is percent. The September 2008 FOMC meeting is marked with a vertical tripwire. The "5 to 10 years ahead" series begins at about 2.5 percent in January 2007, generally increases to about 3.2 by March 2008, and generally decreases to about 2.8, around the time of September 2008, FOMC meeting. It increases to about 3.0 shortly after the meeting, decreases to about 2.5 in early October, and then increases to end at about 3.4 on October 21, 2008. The "Next 5 years"* series begins at about 2.3 in January 2007, fluctuates between about 1.8 and 2.6 through August 2008, and decreases to about 1.4, around the time of September 2008, FOMC meeting. It then generally decreases to end at about 0 on October 21, 2008.

Note: Estimates based on smoothed nominal and inflation-indexed Treasury yields.

*Adjusted for lagged indexation of Treasury Inflation Protected Securities.  Return to text

Source: Federal Reserve Bank of New York.


Corporate Yields, Risk Spreads, and Stock Prices

Figure: Selected Stock Price Indexes

A line chart shows two series, "S&P Financial", and "S&P 500", from January 2008 through October 21, 2008. Data is daily; unit is Sept. 15, 2008 = 100. The September 2008, FOMC meeting is marked with a vertical tripwire. The "S&P Financial" series begins at about 150 in January 2008, and generally decreases to about 100, around the time of September 2008, FOMC meeting. The series increases to about 120, shortly after the meeting and then decreases to end at about 83 on October 21, 2008. The "S&P 500" series begins at about 150 in January 2008, and generally decreases to about 100, around the time of September 2008, FOMC meeting. The series increases to about 105, shortly after the meeting and then decreases to end at about 80 on October 21, 2008.

Source: Standard & Poor's.

Figure: Ratio of Trend Earnings to Price for S&P 500 and Long-Run Treasury Yield

A line chart shows two series, "(Trend earnings) /P"*, and "Long-run real Treasury yield", from 1985 through October 21, 2008. Data is monthly; unit is percent. The "(Trend earnings) /P"* series begins at about 11.75 percent in 1985, generally decreases to about 4 by 1999, and then generally increases to end at about 8.5 on October 21, 2008, though the latest observation+ is about 10.5 The "Long-run real Treasury yield" series begins at about 7.9 percent in 1985, decreases to about 4 in 1986, and then generally decreases to end at about 2 on October 21, 2008. The latest observation is about 2.

* Trend earnings are estimated using analysts' forecasts of year-ahead earnings from I/B/E/S.  Return to text

+ Denotes the latest observation using daily interest rates and stock prices and latest earnings data from I/B/E/S.  Return to text

Source: Thomson Financial.

Figure: Implied Volatility on S&P 500 (VIX)

A line chart shows a single series, from 2002 through October 21, 2008. Data is weekly Friday*; unit is percent. The September 2008, FOMC meeting is marked with a vertical tripwire. The series begins at about 20 in 2002:Q1, it generally increases to about 40 by 2002:Q3, and generally decreases to about 10 by 2007:Q1. The series generally increases to about 25, around the time of September 2008, FOMC meeting, then increases to about 70, shortly after the meeting and decreases to end at about 52.5 on October 21, 2008.

* Latest observation is for most recent business day.  Return to text

Source: Chicago Board of Exchange.

Figure: Corporate Bond Yields

A line chart shows two series, "10-year high-yield", and "10-year BBB", from 2002 through October 21, 2008. Data is daily; unit is percent. The September 2008, FOMC meeting is marked with a vertical tripwire. The "10-year high-yield" series begins at about 11 in 2002:Q1, it generally increases to about 12.2 by 2002:Q4, and generally decreases to about 7 by 2005:Q1. The series generally increases to about 11, around the time of September 2008, FOMC meeting, increases to end at about 18, shortly after the meeting, on October 21, 2008. The "10-year BBB" series begins at about 7.5 percent in 2002:Q1, it generally decreases to about 5 by 2003:Q2, and generally increases to about 7, around the time of September 2008, FOMC meeting. The series generally increases shortly after the meeting and ends at about 9.5 on October 21, 2008.

Note: Yields from smoothed yield curves based on Merrill Lynch bond data.

Figure: Corporate Bond Spreads

A line chart shows two series, "10-year high-yield", and "10-year BBB", from 2002 through October 21, 2008. Data is daily; unit is basis points. The "10-year high-yield" series begins at about 550 in 2002, generally increases to about 880 in late 2002, and generally decreases to about 250 in early 2005. The series then generally increases and ends at about 1320 on October 21, 2008. The "10-year BBB" series begins at about 200 in 2002, generally increases to about 300 in late 2002, generally decreases to about 100 in early 2005, and then generally increases to end at about 520 on October 21, 2008.

Note: Corporate yields from smoothed yield curves based on Merrill Lynch bond data and spreads measured relative to comparable-maturity Treasury securities.

Figure: Investment-Grade CDS Indexes

A line chart shows two series, "Financial", and "Nonfinancial", from 2002 through October 21, 2008. Data is daily; unit is basis points. The "Financial" series begins at about 75 in 2002:Q1, it generally increases to about 110 in 2002:Q4, then generally decreases to about 20 by 2007:Q1, and generally increases to about 175, around the time of September 2008, FOMC meeting. The series increases shortly after the meeting and ends at about 300 on October 21, 2008. The "Nonfinancial" series begins at about 99 in 2002:Q1, it generally decreases to about 25 by 2007:Q1, and generally increases to about 75, around the time of September 2008, FOMC meeting. The series increases shortly after the meeting and ends at about 105 on October 21, 2008.

Source: Markit.


Corporate Earnings and Credit Quality

Figure: S&P 500 Earnings per Share

A line chart shows two series, "All firms", and "Nonfinancials" from 1998 through 2008:Q3e. Data is a change from 4 quarters earlier; unit is percent. The "All firms" series begins at about 2 percent in 1998, increases to about 22 by mid-1999, decreases to about -25 by mid-2001 and increases to about 26 by early 2004. It then decreases to about -26 by 2007:Q4, and increases to end at about -9 in 2008:Q3e. The "Nonfinancials" series begins at about -1 percent in 1998, increases to about 22 by mid-1999, decreases to about -26 by mid-2001 and increases to about 33 by early 2004. It then decreases to about 5 by 2007:Q3, and increases to end at about 12.5 in 2008:Q3e.

e Bottom-up forecast by equity analysts.

Source: Thomson Financial.

Figure: Revisions to Expected S&P 500 Earnings

A line chart shows two series, "All firms", and "Nonfinancials" from 2002 through mid-October (e) 2008. Data is monthly; unit is percent. The two series track fairly closely throughout period. The "All firms" series begins at about -0.7 percent in 2002, generally decreases to about -3 by late 2002, generally increases to about 2.1 by 2004 and then generally decreases to about -2.3 percent by early 2008. The series increases to about -0.5 and then decreases to end at about -4 in mid-October (e) 2008. The "Nonfinancials" series begins at about -1 percent in 2002, decreases to about -3.6 by late 2002, increases to about 2.4 by 2004 and then generally decreases to about -1.2 percent by early 2008. It then increases to about 1 in 2008:Q2, and decreases to end at about -4 in mid-October (e) 2008.

Note. Index is a weighted average of the percent change in the consensus forecasts of current-year and following-year EPS for a fixed sample.

e Staff estimate.  Return to text

Source. Thomson Financial.

Figure: Financial Ratios for Nonfinancial Corporations

A line chart shows two series, "Debt over total assets (left scale)", and "Liquid assets over total assets (right scale)" from 1989 through 2008:Q2. The left scale range is between 0.24 and 0.33, and the right scale range is between 0.04 and 0.14. Data is annual*; unit is ratio. The "Debt over total assets" series begins at about 0.325 in mid-1989, decreases to about 0.275 in 1996, increases to about 0.305 in 1999 and then decreases to about 0.275 in 2000. It increases to about 0.30 in 2002:Q1 decreases to about 0.245 in 2005, and then increases to end at about 0.265 in 2008:Q2. The "Liquid assets over total assets" series begins at about 0.05 in mid-1989, generally increases to about 0.105 in 2004 and then decreases to end at about 0.088 in 2008:Q2.

Note. Data are annual through 1999 and quarterly starting in 2000:Q1.

Source: Calculated using Compustat data.

Figure: Bond Ratings Changes of Nonfinancial Companies

A bar chart shows two series, "Upgrades", and "Downgrades" from 1991 through 2008:Q3. Data is annual rate; unit is percent of outstandings. The estimated figures for Upgrades/Downgrades are as follows: 1991: +12, 27. 1992: +7, 36. 1993: +9, 15. 1994: +7, 10. 1995: +20, 8. 1996: +11, 11. 1997: +9, 10. 1998: +15, 10. 1999: +13, 17. 2000: +10, 22. 2001: +6, 31. 2002: +3, 37. 2003: +4, 20. 2004: +8, 10. 2005: +9, 13. 2006: +8, 14. 2007: +10, 10. 2008 H1: +3, 9. Q3: +1, 12.

Source. Calculated with data from Moody's Investors Service.

Figure: Deep Junk Share of Bonds Outstanding

A line chart shows a single series, from 1990 through 2008:Q3. Data is quarterly; unit is percent. The series begins at about 8.75 in 1990, decreases to about 4 by 1993, and then generally increases to end at about 6.5 by 2008:Q3.

Note: Nonfinancial bonds outstanding rated B3 or below over total bonds outstanding.

Source: Moody's Investors Service.

Figure: Selected Default and Delinquency Rates

A line chart shows two series, "C&I loan delinquency rate (Call Report)", and "Bond default rate"* from 1990 through September 2008. Unit is Percent of outstandings. The "C&I loan delinquency rate (Call Report)" series begins at about 5 in 1990:Q1, increases to about 6.2 in 1991, and decreases to about 1.5 in 1997 and 1998. It then increases to about 3.9 in 2002, decreases to about 1.2 by 2007, and increases to end at about 1.5 in 2008:Q2. The "Bond default rate"* series begins at about 1.5 in 1990Q3, increases to about 3.2 in 1991, and decreases to about 0 in 1993. It fluctuates between about 0.01 and 1.2 through 2000, increases to about 3.8 in 2002:Q4 and then decreases to about 0.1 by mid-2008.The series then increases and ends at about 6.3 by September 2008.

* 6-month moving average, from Moody's Investors Service.  Return to text


Business Finance

Gross Issuance of Securities by U.S. Corporations
(Billions of dollars; monthly rates, not seasonally adjusted)
Type of security 2004 2005 2006 2007 2008
H1 Q3 Sept. Oct.p
Nonfinancial corporations
Stocks1 5.4 4.6 4.7 5.5 3.5 3.0 1.9 13.6
Initial public offerings 1.6 1.7 1.8 1.6 .6 .1 .0 .0
Seasoned offerings 3.8 2.8 2.9 3.8 2.9 2.9 1.9 13.6
  
Bonds2 22.4 18.7 29.3 35.1 34.7 14.6 12.2 10.2
Investment grade 8.3 8.7 13.1 17.5 24.9 10.5 8.6 10.0
Speculative grade 8.2 5.2 6.2 7.5 3.1 .7 1.0 .0
Other (sold abroad/unrated) 5.9 4.8 10.1 10.0 6.7 3.4 2.6 .2
Memo
Net issuance of commercial paper3 1.7 -.2 2.4 -.4 -.5 6.2 -8.4 2.8
Change in C&I loans at commercial banks3,4 2.4 9.6 11.4 21.1 13.1 19.4 54.6 30.0
Financial corporations
Stocks1 6.9 5.0 5.3 8.6 17.2 10.5 20.1 12.6
Bonds2 134.1 170.4 180.6 151.7 66.0 16.9 10.2 1.0

Note: Components may not sum to totals because of rounding.

1. Excludes private placements and equity-for-equity swaps that occur in restructurings.  Return to table

2. Data include regular and 144a private placements. Bond totals reflect gross proceeds rather than par value of original discount bonds. Bonds are categorized according to Moody's bond ratings or to Standard & Poor's if unrated by Moody's.  Return to table

3. End-of-period basis, seasonally adjusted.  Return to table

4. October 2008 value is a staff estimate.  Return to table

p Forecast based on preliminary data.  Return to table

Source: Depository Trust & Clearing Corporation; Thomson Financial; Federal Reserve Board.


Figure: Selected Components of Net Debt Financing

A stacked bar chart plots three series, commercial paper*, C&I loans*, and bonds, in billions of dollars at a monthly rate, for nonfinancial firms. The total (sum) of the three series is shown as a curve superimposed on the bars. Approximate values are as follows. For commercial paper: 2003: -3. 2004: 2. 2005: -1. 2006: 4. 2007: 0. 2008:H1: 13. 2008: Q3: 7. 2008: Octoberp: 3. For C&I loans: 2003: -8. 2004: 4. 2005: 10. 2006: 13. 2007: 20. 2008: H1: 0. 2008: Q3: 19. 2008: Octoberp: 30. For bonds: 2003: 13. 2004: 6. 2005: 5. 2006: 18. 2007: 25. 2008: H1: 21. 2008: Q3: 5. 2008: Octoberp: 2.

* Seasonally adjusted, period-end basis.  Return to text

p Preliminary.

Source. Depository Trust & Clearing Corporation; Thomson Financial; Federal Reserve Board.

Figure: Components of Net Equity Issuance

A stacked bar chart plots four series, public issuance, private issuance, repurchases, and cash mergers, in billions of dollars at a monthly rate, for nonfinancial firms. The total (sum) of the four series is shown as a curve superimposed on the bars. Approximate values are as follows. For public issuance: 2003: 3. 2004: 4.5. 2005: 3.5. 2006: 4. 2007: 5. 2008:Q1: 2 and Q2e: 25. For private issuance: 2003: 7. 2004: 7. 2005: 7.5. 2006: 10. 2007: 15. 2008:Q1: 15 and Q2e: 20. For repurchases: 2003: -11. 2004: -18. 2005: -28. 2006: -37. 2007: -45. 2008:Q1: -39 and Q2e: -30. For cash mergers: 2003: -4. 2004: -67. 2005: -14. 2006: -25. 2007: 38. 2008:Q1: -13 and Q2e: -13. Approximate totals: 2003: -76. 2004: -13. 2005: -31. 2006: -47. 2007: -63. 2008:Q1: -35 and Q2e: -19.

e Staff estimate.  Return to text

Source. Thomson Financial; Investment Benchmark Report; Money Tree Report by PricewaterhouseCoopers, National Venture Capital Association, and Venture Economics.


Commercial Real Estate

Figure: Commercial Mortgage Debt

A line chart shows commercial mortgage debt from 1996:Q4 through 2008:Q2. Data are quarterly; unit is percent change from year earlier. As shown in the figure, the series begins in 1996:Q4 slightly above 4 percent, generally increases to about 16 by 1999:Q3, and remains around 15 for the next three quarters, through 2000:Q2. It then generally decreases to a little less than 8 by 2002:Q4, generally increases back to around 16 by 2006:Q1, and generally decreases to end just above 9 in 2008:Q2.

Source: Federal Reserve.

Figure: Sales of Commercial Real Estate

A line chart shows two curves, monthly sales of commercial real estate, and the 3-month moving average. Unit is billions of dollars. As shown in the figure, the 3-month moving average series begins around March 2001 at about 6, remains at about that level through April 2002, then generally increases to about 31 by September 2006. It generally increases to about 74 by April 2007, fluctuates between about 51 and 61 through November 2007, then decreases to a preliminary estimate of about 14 by September 2008. The monthly sales curve follows the same general shape as the 3-month moving average, but with greater volatility. It begins in January 2001 at about 7, generally increases to about 43 by January 2007, increases further to about 120 by February 2007, and decreases to about 33 by March 2007. The curve fluctuates between about 30 and 80 through the end of 2007, and generally decreases to a preliminary estimate of about 10 by September 2008.

Source: Real Capital Analytics.

Figure: Prices

A line chart shows two series, "Transacted property" and "All property", from 1988 through 2008:Q2 on a quarterly basis. Unit is an index, 1996:Q4=100. As shown in the figure, the transacted property curve begins just below 100 in 1994:Q1, and stays at about that level through 1996:Q1. It then starts to increase to about 125 in 1997:Q4, and fluctuates around that level through about 2002:Q4. The curve generally increases to about 250 by mid-2007, and ends at about 230 in 2008:Q2. The all property curve starts at about 110 in 1988, increases to about 125 by late 1990, then generally decreases to just below 100 from 1993 through 1996. It then generally increases to about 130 from early 2001 through 2003, and generally continues to increase to just below 225 by 2008:Q2.""""

Note: All-property index based on entire NCREIF portfolio. Transacted-property index based on sales involving NCREIF portfolio.

Source: NCREIF, MIT Center for Real Estate.

Figure: BBB Commercial Mortgage CDS Index Spreads (CMBX.NA)

A line chart shows three series, 2006:H2*, 2006:H1*, and 2005:H2*, on a daily basis from about October 2006 through October 20, 2008. Unit is basis points. The September 16, 2008 FOMC meeting is marked with a tripwire. As shown in the figure, the three curves follow the same general shape. The 2005:H2 curve begins in October 2006 at about 50 basis points, remains at about that level through mid-February 2007, fluctuates between about 50 and 150 through July, then begins to fluctuate more widely and generally increases to almost 1200 by March 2008. It then generally decreases to just under 400 by April, generally increases to about 1100 by the September 2008 FOMC meeting, and ends at about 1000 on October 20, 2008. The 2006:H1 curve begins in October 2006 at about 50 basis points, remains at about that level through mid-February 2007, fluctuates between about 50 and 200 through July, then begins to fluctuate more widely and generally increases to almost 1600 by March 2008. It then generally decreases to about 750 by April, generally increases to about 1600 by the September 2008 FOMC meeting, and ends at about 1500 on October 20, 2008. The 2006:H2 curve begins in April 2007 at about 200 basis points, fluctuates between about 180 and 300 through July, then begins to fluctuate more widely and generally increases to about 2000 by March 2008. It then generally decreases to about 1100 by April, generally increases to just above 2000 by the September 2008 FOMC meeting, and ends just below 2000 on October 20, 2008.

* Corresponds to pools of mortgages originated in that period.  Return to text

Note: Measured relative to the London interbank offered rate.

Source: J.P. Morgan.

Figure: Delinquency Rates on Commercial Mortgages

A line chart shows two series, "At commercial banks*" and "At life insurance companies", from 1995:Q4 through 2008:Q2, and a third series, CMBS, from about January 1999 through September 2008. Unit is percent. As shown in the figure, the "At commercial banks" curve begins in 1995:Q4 at about 3.3 percent, and generally decreases to about 1.5 by 2000:Q2. It increases to just below 2 by 2001:Q3, generally decreases to about 1 by 2006:Q1, then increases to end at about 4.25 by 2008:Q2. The "At life insurance companies" curve begins in 1995:Q4 at about 2.3 percent, increases to about 2.7 percent by 1996:Q2, decreases to about 0.3 by 1999:Q2, then generally continues to decrease through 2008:Q2 until it is close to zero. The CMBS curve begins in 1999 at about 0.4 percent, generally increases to nearly 2 by late 2003, generally decreases to about 0.4 by early 2007, and ends at about 0.5 in September 2008.

* Excluding farmland.  Return to text

Source: Citigroup; Call Report; ACLI.

Figure: Delinquency Rates on Commercial Mortgages at Banks

A line chart shows three curves on a quarterly basis, "Residential construction", "Commercial construction", and "Existing properties", for 2007:Q1 through 2008:Q2. Unit is percent. As shown in the figure, approximate values for each quarter are as follows: For commercial construction, 1.75, 1.8, 2.3, 3.75, 5.5 and 6. For residential construction, 2.6, 3.1, 4.25, 7.3, 11 and 12.5. For existing properties, 1.25, 1.2, 1.25, 1.6, 1.9 and 2.

Note: Data series for residential and commercial construction begin in 2007:Q1. Existing properties include nonresidential and multifamily.

Source: Call Report.


Residential Mortgages

Figure: 30-Year Fixed Mortgage Rates

A line chart shows two series, "Conforming", and "Nonconforming jumbo", from October 2006 through October 15, 2008. Data is weekly; unit is percent. The September 2008, FOMC meeting is marked with a vertical tripwire. The "Conforming" series begins at about 6.25 percent in October 2006, fluctuates between about 6.2 and 6.4 through May 2007, and increases to about 6.75 in June 2007. The series generally decreases to about 5.5 in January 2008, generally increases to about 6.7 in July 2008, and decreases to about 5.75 around the time of September 2008, FOMC meeting. It then increases to end at about 6.5 on October 15, 2008. The "Nonconforming Jumbo" series begins at about 6.4 percent in October 2006, generally increases to about 7.5 by August 2007, and generally decreases to about 6.6 by February 2008. It generally increases to about 8.75 around the time of September 2008, FOMC meeting, and increases shortly after the meeting to end at about 8.9 on October 15, 2008.

Source. Freddie Mac, Inside Mortgage Finance.

Figure: 30-Year Fixed-Rate Mortgage Rate Spread

A line chart shows a single series, from October 2006 through October 15, 2008. Data is weekly; unit is basis points. The September 2008, FOMC meeting is marked with a vertical tripwire. The series begins at about 174 in October 2006, generally decreases to about 145 by January 2007, generally increases to about 270 by August 2008, and decreases to about 235 around the time of September 2008, FOMC meeting. It decreases shortly after the meeting to about 224 in early October 2008, and then increases to end at about 245 on October 15, 2008.

Note: Spread is quoted relative to the on-the-run 10-year Treasury yield.

Source: Bloomberg; Freddie Mac.

Figure: House Prices

A line chart shows two series, "Purchase-only OFEHO index", and "Purchase-only OFEHO index S&P/Case-Shiller 20-city index", from 1996 through July 2008. Data is 3-month moving average at an annual rate, seasonally adjusted. Unit is percent change. The "Purchase-only OFEHO index" series begins at about 5 1996, decreases to about 2.5 in late 1996, generally increases to about 10 by 2005, and generally decreases to end at about 5 in July 2008. The "S&P/Case-Shiller 20-city index" series begins at about -3 in 1996, with some volatility, generally increases to about 30 by mid-2004, and generally decreases to about -25 by early 2008. The series then increases to end at about -10 in July 2008.

Source: Office of Federal Housing Enterprise Oversight (OFHEO); Standard & Poor's.

Figure: Delinquencies on Mortgages

A line chart shows three series, "Subprime"*, "Alt-A"*, "Prime", from 2001 through August 2008. Data is monthly; unit is percent of loans. The "Subprime"* series begins at about 8.5 in 2001, fluctuates between about 8 and 10 through 2003, generally decreases to about 6 by mid-2005, and then generally increases to end at about 22.5 in August 2008. The "Alt-A"* series begins at about 1 in 2001, generally increases to about 2 in 2003, generally decreases to about 0.5 in 2005, and generally increases to end at about 10 in August 2008. The "Prime" series begins at about 1 in 2001, stays about the same through 2007, and increases to end at about 2 in August 2008.

* Among securitized loans only.  Return to text

Note: Percent of loans 90 or more days past due or in foreclosure. Prime includes near-prime mortgages.

Source: First American LoanPerformance.

Figure: Agency and Non-agency MBS Issuance

A bar chart shows three series, "GSEs", "Ginnie Mae", and "Non-agency" from 2001 through September 2008. Data is monthly rate; unit is billions of dollars. The estimated values for GSEs, Ginnie Mae, and Non-agency are as follows: 2002: 105/10/25. 2003: 160/15/40. 2004: 75/10/60. 2005: 70/5/90. 2006: 70/10/80. 2007:H1: 75/10/95. 2007:H2: 85/10/25. 2008:Q1: 85/10/0. 2008: Q2*: 100/20/0. 2008: July: 51/25/0. August: 50/25/0. September: 60/25/0.

Source: For agency issuance, Fannie Mae, Freddie Mac, and Ginnie Mae. For non-agency issuance, Inside Mortgage Finance.

Figure: Mortgage Debt

A line chart shows a single series, from 2001 through 2008:Q2. Data is Annual rate; unit is percentage change from previous quarter. The series begins at about 9 percent in 2001, generally increases to about 15.5 by 2003, and then generally decreases to end at about 1 in 2008:Q2.

Source: Federal Reserve.


Consumer Credit and Household Wealth

Figure: Delinquencies on Consumer Loans

A line chart shows three series, "Credit card loans at commercial banks", "Nonrevolving consumer loans at commercial banks", and "Auto loans at captive finance companies" from 1997 through July 2008. Unit is percent. The "Credit card loans in securitized pools" series begins at about 5.3 percent in 1997, generally decreases to about 4.5 by early 2000, and generally increases to about 5.4 in early 2003. It generally decreases to about 3.3 in late 2005, and generally increases to end at about 4.6 in August 2008. The "Nonrevolving consumer loans at commercial banks" series begins at about 3.1 percent in 1997, increases to about 3.3 in early 1999, decreases to about 2.1 in late 2005 and increases to end at about 2.7 in 2008:Q2. The "Auto loans at captive finance companies" series begins at about 3.3 percent in 1997, decreases to about 2 in early 2000, fluctuates between about 2 and 2.3 through 2007 and then increases to end at about 2.5 in August 2008.

Source. For auto loans, Federal Reserve; for credit cards and nonrevolving consumer loans, Call Report.

Figure: Consumer Credit

A line chart shows a single series, from 1999 through August 2008. Data is a 3-month percent change, annual rate; unit is percent change. The series begins at about 8.5 percent in 1999, generally decreases to about 6.2 in late 1999, and generally increases to about 15.5 in mid-2000. It generally decreases to about 2 in 2006, generally increases to about 8.2 in 2007, and generally decreases to end at about 1 in August 2008.

Source. Federal Reserve.

Figure: Gross Issuance of Consumer ABS by Type

A bar chart shows three series, "Auto", "Credit card", and "Student loans" from 2005 through 2008: Q1, Q2, and J*. Data is monthly rate; unit is billions of dollars. The estimated values for Student loans, credit card and auto are as follows: 2005: 7, 5 and 6. 2006: 6.5, 5, and 6. 2007:H1: 6, 8 and 7. 2007:H2: 6, 8 and 3. 2008:Q1: 3, 10 and 3. 2008:Q2: 7, 7 and 5. 2008: Q3: 2, 3, and 2.

Note. Auto includes car loans, leases, and financing for buyers of motorcycles, trucks, and other vehicles.

Source. Inside Mortgage Finance; Merrill Lynch.

Figure: AAA ABS Spreads over Swaps

A line chart shows three series, "3-year FFELP student loan", "2-year credit card", and "2-year auto", from June 2007 through October 17, 2008. Data is weekly; unit is basis points. The "3-year FFELP student loan" series begins at about 0 in June 2007, generally increases to about 105 in April 2008, generally decreases to about 45 in June 2008 and increases to end at about 300 on October 10, 2008. The "2-year credit card" series begins at about 0 in June 2007, generally increases to about 110 in April 2008, generally decreases to about 45 in June 2008 and increases to end at about 275 on October 17, 2008. The "2-year auto" series begins at about 0 in June 2007, generally increases to about 150 in April 2008, generally decreases to about 75 in June 2008 and increases to end at about 325 on October 17, 2008.

Source. For credit cards and auto, Citigroup Global Markets; for student loans, Merrill Lynch.


Net Flows into Mutual Funds
(Billions of dollars, monthly rate)
Fund type 2007 2008 Aug. Sept.e Assets
H1 H2 Q1 Q2 Aug.
Total long-term funds 31.5 5.8 1.7 22.6 -12.0 -66.0 8,057
Equity funds 14.3 1.1 -14.9 7.8 -19.5 -57.2 5,628
Domestic 0.8 -8.4 -13.4 3.3 -1.9 -35.7 4,263
International 13.5 9.6 -1.5 4.4 -17.5 -21.5 1,366
Hybrid funds 2.6 1.1 0.7 2.0 -0.4 -6.8 663
Bond funds 14.6 3.5 16.0 12.9 7.9 -2.0 1,766
High-yield 0.2 -0.7 -1.3 0.9 0.1 -0.8 148
Other taxable 12.0 4.8 15.2 8.2 5.4 -0.4 1,227
Municipals 2.4 -0.6 2.1 3.7 2.4 -0.8 391
Money market funds 26.3 98.8 126.9 -14.8 43.1 -179.0 3,578

Note: Excludes reinvested dividends.

e Staff estimate.  Return to table

Source: Investment Company Institute.


Treasury Finance

Figure: Foreign Participation in Treasury Auctions

A line chart shows two series, "Indirect bids", and "Actual foreign allotment" from 2000 through September 30, 2008. Data is a 6-month moving average; unit is percent of total issue. The "Indirect bids" series begins at about 22 percent in late 2003, increases to about 32 by late 2004; fluctuates between about 25 and 34, and decreases to end at about 26 on September 30, 2008. The "Actual foreign allotment" series begins at about 10 percent in 2000, fluctuates and increases to about 25 in 2004, and generally decreases to end at about 15 on September 30, 2008.

Note. Indirect bids and actual allotment are a percentage of the total amount accepted, including the amount tendered to the Federal Reserve. Moving averages include 2-, 5-, and 10- year original auctions and reopenings.

Source: Federal Reserve Board.

Figure: Foreign Custody Holdings

A line chart shows two series, "Treasury", and "Agency" from 2003 through October 15, 2008. Data is weekly average; unit is billions of dollars. The September 2008, FOMC meeting is marked with a vertical tripwire. The "Treasury" series begins at about $700 billion at the beginning of 2003 and generally increases to about 1450 around the time of the September 2008, FOMC meeting and ends at about 1550 on October 15, 2008. The "Agency" series begins at about $100 billion at the beginning of 2003 and generally increases to about 990 around the time of the September 2008, FOMC meeting and ends at about 900 on October 15, 2008.

Note. Securities held in custody at the Federal Reserve Bank of New York on behalf of foreign official institutions.

Source. Federal Reserve Bank of New York.

Figure: Treasury On-the-Run Premiums

A line chart shows two series, "10-year", and "2-year" from 2001 through October 2008. Data is monthly average; unit is basis points. The "10-year" series begins at about 15 basis points in early 2001, increases to about 27 in 2002, and generally decreases to about 5 in 2007. The series increases to about 25 in early 2008, decreases to about 20 in early October, and then increases to end at about 40 in October 2008. The "2-year" series begins at about 7.5 in 2001, generally decreases to about -2.5 in 2002, fluctuates between about -4 and 5 throughout early 2008. It then increases to about 7 by mid- 2008 and decreases to end at about -1 in October 2008.

Note. Computed as the spread of the yield read from an estimated off-the-run yield curve over the on-the-run Treasury yield. October observation is the month to date average.

Source: Federal Reserve Bank of New York.

Figure: Average Absolute Nominal Yield Curve Fitting Error

A line chart shows a single series, from 2001 through October 21, 2008. Data is daily; unit is basis points. The series begins at about 3 basis points in 2001, increases to about 13 in late 2001 and decreases to generally fluctuate between 1 and 4 through 2007. It generally increases to about 8.5 in 2008, decreases to about 5 in September 2008, and then increases to end at about 11 on October 21, 2008.

Note. Calculated from securities with 2 to 10 years until maturity, excluding on-the-run and first off-the-run securities.

Source: Federal Reserve Board.

Figure: Treasury Bid-Ask Spread

A line chart shows "2-year on-the-run Treasury notes" from February 2006 through October 21, 2008. Data is a 5-day moving average; unit is cents per $100 face value. The September 2008, FOMC meeting is marked with a vertical tripwire. The "2-year on-the-run Treasury notes" series begins at about 0.80 cents per $100 face value, in February 2006, fluctuates between about 0.82 and 0.875 through August 2007, and increases to about 1.08 in December 2007. The series decreases to about 0.875 in February 2008, increases to about 1.25 in March 2008, and generally decreases to about 0.86 around the time of September 2008, FOMC meeting. It then generally increases to about 1.54, shortly after the meeting, and then decreases to end at about 1.10 on October 21, 2008.

Source. BrokerTec Interdealer Market Data.

Figure: Daily Treasury Market Volume

A line chart shows a monthly average, in billions of dollars, from 2001 to October 2008. It begins in 2001 at about 70, increases to about 230 in early 2007, then fluctuates wideley between about 110 and 280 before ending at about 140.

Note: October observation is average for month to date.

Source. BrokerTec Interdealer Market Data.


State and Local Government Finance

Gross Offerings of Municipal Securities
(Billions of dollars; monthly rate, not seasonally adjusted)
Type of security 2004 2005 2006 2007 2008
H1 Q3 Sept. Oct.p
Total 34.7 38.4 36.1 40.4 41.4 36.0 25.5 19.0
Long-term1 29.8 34.2 32.5 35.5 37.9 29.6 21.2 11.0
Refundings2 10.8 15.6 10.6 12.6 17.9 13.1 9.6 5.0
New capital 19.0 18.6 21.9 22.9 20.0 16.6 11.6 6.0
Short-term 4.9 4.2 3.7 4.9 3.5 6.4 4.3 8.0
Memo: Long-term taxable 2.0 2.1 2.5 2.4 2.7 2.1 .9 .2

1. Includes issues for public and private purposes.  Return to table

2. All issues that include any refunding bonds.  Return to table

p Forecast based on preliminary data through October 16, 2008.  Return to table

Source: Thomson Financial.


Figure: Ratings Changes

A bar graph shows two series, Upgrades and Downgrades, at an annual rate from 1989 through 2006, 2007:H1, 2007:H2, 2008:H1, and Q3. Unit is number of ratings changes. Upgrades are plotted within a range of 0 to 2400. Downgrades are plotted within a range of 0 to 2400. The estimated figures for upgrades/downgrades are as follows: 1989: 150/150. 1990: 100/500. 1991: 100/600. 1992: 500/550. 1993: 300/300. 1994: 350/400. 1995: 375/350. 1996: 700/200. 1997: 800/100. 1998: 650/100. 1999: 1050/400. 2000: 1200/450. 2001: 1100/700. 2002: 600/1600. 2003: 650/1000. 2004: 1000/600. 2005: 1100/900. 2006: 1800/300. 2007:H1: 1900/800. 2007:H2: 1800/1300. 2008, H1: 1200/650. 2008, Q3: 300/1400.

Source. S&P's Credit Week Municipal; S&P's Ratings Direct.

Figure: Municipal Bond Yields

A line chart shows two series, "20-year general obligation", and "7-day SIFMA swap index*" from 1994 through October 16, 2008. Data is weekly; unit is percent. The 20-year general obligation series begins at about 4.5 percent in 2005, fluctuates between about 4 and 5 through early 2008, and then increases to end at about 6 on October 16, 2008. The "7-day SIFMA swap index"* series begins at about 1.5 in early 2005, generally increases to about 4 by 2007, generally decreases to about 1.2 by early 2008, increases to about 8 in early October 2008, and decreases to end at about 4.8 on October 8, 2008.

* SIFMA is the Securities Industry and Financial Markets Association.  Return to text

Source: Municipal Market Advisors; Bond Buyer.

Figure: Municipal Bond Yield Ratio

A line chart shows "General Obligation over Treasury" as a single series "20-year", from 1994 through October 16, 2008. Data is weekly; unit is ratio. The "20-year" series begins at about 0.83 in 1994, fluctuates and increases to about 0.98 in late 2001, decreases to about 0.85 in early 2007 and then increases to about 1.15 in March 2008. It decreases to about 9.4 by mid-2008, and then increases to end at about 1.3 on October 16, 2008.

Source. Bond Buyer.


M2 Monetary Aggregate

(Based on seasonally adjusted data)
Aggregate and components Percent change (annual rate)1 Level
(billions
of dollars),
Oct. (e)
2006 2007 2008
H1 Q3 Sep. Oct. (e)
M2 5.1 5.7 7.2 3.6 15.6 17.1 7,880
Components2
Currency 3.5 2.0 .9 6.8 6.7 20.5 793
Liquid deposits3 1.0 4.1 7.4 3.7 20.1 1.0 4,706
Small time deposits 18.6 4.3 -1.4 9.3 17.6 52.8 1,311
Retail money market funds 13.1 20.3 22.4 -5.5 -.5 44.2 1,064
Memo:
Institutional money market funds 15.8 39.3 41.8 2.2 -48.9 -27.5 2,148
Monetary base 3.1 2.0 .8 16.1 88.2 -8.5 897

1. For years, Q4 to Q4; for quarters and months, calculated from corresponding average levels.  Return to table

2. Nonbank traveler's checks are not listed.  Return to table

3. Sum of demand deposits, other checkable deposits, and savings deposits.  Return to table

e Estimated.  Return to table

Source: Federal Reserve.


Commercial Bank Credit

(Percent change, annual rate, except as noted; seasonally adjusted)
Type of credit 2006 2007 H1
2008
Q3
2008
Aug.
2008
Sept.
2008
Level1
Sept. 2008
Total 10.3 11.1 2.8 3.8 5.2 14.8 9,405
Loans2
Total 12.0 12.1 5.1 2.4 5.4 11.5 7,138
To businesses
Commercial and industrial 14.3 19.2 14.2 6.1 -.2 19.5 1,541
Commercial real estate 13.6 10.4 9.7 1.5 5.1 -.3 1,710
To households
Residential real estate 9.9 8.4 2.0 -4.9 6.8 -6.0 2,078
Revolving home equity 3.1 7.1 13.7 12.0 6.3 16.7 567
Other 12.3 8.8 -1.8 -10.8 6.9 -14.3 1,511
Consumer 2.9 7.9 .2 9.4 10.8 6.1 835
Originated3 3.7 7.2 -.1 6.1 2.9 6.9 1,240
Other4 21.1 17.5 -4.9 8.8 6.8 64.5 974
Securities
Total 5.4 8.4 -4.6 8.0 4.8 25.4 2,267
Treasury and agency 2.0 -5.7 -1.6 24.3 41.6 29.8 1,251
Other5 10.7 28.9 -7.8 -9.9 -37.2 19.7 1,016

Note. Yearly annual rates are Q4 to Q4; quarterly and monthly annual rates use corresponding average levels. Data have been adjusted to remove the effects of mark-to-market accounting rules (FIN 39 and FAS 115), the initial consolidation of certain variable interest entities (FIN 46), the initial adoption of fair value accounting (FAS 159), and the effects of sizable thrift-to-bank and bank-to-thrift structure activity in October 2006, March 2007, October 2007, and September 2008. Data also account for breaks caused by reclassifications.

1. Billions of dollars. Pro rata averages of weekly (Wednesday) levels.  Return to table

2. Excludes interbank loans.  Return to table

3. Includes an estimate of outstanding loans securitized by commercial banks.  Return to table

4. Includes security loans and loans to farmers, state and local governments, and all others not elsewhere classified. Also includes lease financing receivables.  Return to table

5. Includes private mortgage-backed securities; securities of corporations, state and local governments, and foreign governments; and any trading account assets that are not Treasury or agency securities.  Return to table

Source: Federal Reserve.


Appendix: Senior Loan Officer Opinion Survey on Bank Lending Practices

Measures of Supply and Demand for C&I Loans, by Size of Firm Seeking Loan

Figure: Net Percentage of Domestic Respondents Tightening Standards for C&I Loans

A line chart shows two series, "Loans to large and medium-sized firms", and "Loans to small firms", from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The "Loans to large and medium-sized firms" series begins at about 57 percent in 1990:Q2, it generally decreases to about -20 in 1993:Q3, and generally increases to about 60 by 2001:Q1. It generally decreases to about -25 in 2005:Q2, and generally increases to about 57, around the time of July 2008 survey. The series then increases and ends at about 84 in 2008:Q4. The "Loans to small firms" series begins at about 50 percent in 1990:Q2, it generally decreases to about -13 by 1994:Q1, and generally increases to about 45 by 2001:Q1. It generally decreases to about -22 in 2005:Q2, and generally increases to about 65, around the time of July 2008 survey. The series then increases and ends at about 73 in 2008:Q4.

Figure: Net Percentage of Domestic Respondents Increasing Spreads of Loan Rates over Banks' Costs of Funds

A line chart shows two series, "Loans to large and medium-sized firms", "Loans to small firms" from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The "Loans to large and medium-sized firms" series begins at about 10 percent in 1990:Q2, increases to about 60 in 1991:Q1, and generally decreases to about -58 in 1994:Q2. It generally increases to about 60 in 2001:Q4, then generally decreases to about -70 in 2005:Q2, and generally increases to about 80, around the time of July 2008 survey. The series then increases and ends at about 100 in 2008:Q4. The "Loans to small firms" series begins at about 8 percent in 1990:Q2, increases to about 40 in 1991:Q1, it generally decreases to about -40 by 1997:Q4, and generally increases to about 40 by 2001:Q1. It generally decreases to about -55 in 2005:Q2, and generally increases to about 70, around the time of July 2008 survey. The series then increases and ends at about 92 in 2008:Q4.

Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for C&I Loans

A line chart shows two series, "Loans to large and medium-sized firms", "Loans to small firms" from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The "Loans to large and medium-sized firms" series begins at about -30 percent in 1991:Q4, increases to about 40 in 1994:Q2, and generally decreases to about -70 in 2001:Q4. It generally increases to about 45 in 2005:Q1, then generally decreases to about -23 in 2007:Q2, and generally increases to about 5, around the time of July 2008 survey. The series then decreases and ends at about -17 in 2008:Q4. The "Loans to small firms" series begins at about -28 percent in 1991:Q4, increases to about 40 in 1994:Q2, it generally decreases to about -50 by 2001:Q4, and generally increases to about 40 by 2004:Q3. It generally decreases to about -23 in 2008:Q1, and generally increases to about -17, around the time of July 2008 survey. The series then increases and ends at about 10 in 2008:Q4.

Measures of Supply and Demand for Commercial Real Estate Loans

Figure: Net Percentage of Domestic Respondents Tightening Standards for Commercial Real Estate Loans

A line chart shows a single series, from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The series begins at about 70 percent in 1990:Q3, it generally decreases to about -11 by 1997:Q3, and generally increases to about 45 by 2002:Q1. It generally decreases to about -25 in 2005:Q1, and generally increases to about 80, around the time of July 2008 survey.

Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Commercial Real Estate Loans

A line chart shows a single series, from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The series begins at about 10 percent in 1995:Q2, fluctuates between about 0 and 50 through mid-2000, generally decreases to about -50 by 2001:Q4, and generally increases to about 25 by 2004. It then generally decreases to about -30, around the time of July 2008 survey, and decreases shortly after the survey, to end at about -55 in 2008:Q4.

Measures of Supply and Demand for Residential Mortgage Loans

Figure: Net Percentage of Domestic Respondents Tightening Standards for Residential Mortgage Loans

A line chart shows a single series, "All residential", from 1990 through 2007:Q1. Another line chart shows three series "Prime", "Nontraditional", and "Subprime" from 2007:Q2 through 2008:Q4. Unit is percent. The "All residential" series begins at about 8 percent in 1990:Q3, increases to about 30 in 1991:Q1, generally decreases to about -15 in 1993:Q4, and generally decreases to about 10 by 2003:Q1. It then generally decreases to about -10 in 2006:Q3, and increases to end at about 18 in 2007:Q1. The "Prime" series begins at about 15 in 2007:Q2, it generally increases to about 72 in 2008:Q3, and decreases to end at about 69 in 2008:Q4. The "Nontraditional" series begins at about 43 in 2007:Q2, decreases to about 40 in 2007:Q3, and generally increases to end at about 90 in 2008:Q4. The "Subprime" series begins at about 56 in 2007:Q2, it stays about the same through 2007:Q4, and then generally increases to end at about 100 in 2008:Q4.

Note: For data starting in 2007:Q2, changes in standards for prime, nontraditional, and subprime mortgage loans are reported separately.

Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Residential Mortgage Loans

A line chart shows a single series, "All residential", from 1990 through 2007:Q1. Another line chart shows three series "Prime", "Nontraditional", and "Subprime" from 2007:Q2 through 2008:Q4. Unit is percent. The series begins at about -50 in 1990:Q4, fluctuates widely between about -79 and 62 through mid-2003, and generally decreases to end at about -38 in 2007:Q4. The "Prime" series begins at about -20 in 2007:Q2, increases to about -10 in 2007:Q3, generally decreases to about -60 in 2008:Q1, and generally increases to about -25 in 2008:Q2. The series then generally decreases and ends at about -52 in 2008:Q4.The "Nontraditional" series begins at about -16 in 2007:Q2, it generally decreases to about -70 in 2008:Q1, increases to about -30 in 2008:Q2, and decreases to end at about -70 in 2008:Q4. The "Subprime" series begins at about -20 in 2007:Q2, it generally decreases to about -70 in 2008:Q1, and generally increases to about -30 in 2008:Q3. The series then decreases and ends at about -90 in 2008:Q4.

Note: For data starting in 2007:Q2, changes in demand for prime, nontraditional, and subprime mortgage loans are reported separately.

Measures of Supply and Demand for Consumer Loans

Figure: Net Percentage of Domestic Respondents Tightening Standards for Consumer Loans

A line chart shows two series, "Credit card loans", and "Other consumer loans", from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The "Credit card loans" series begins at about 23 in 1996:Q1, it generally increases to about 49 by 1996:Q3, and generally decreases to about -3 by 2000:Q3. It generally increases to about 20 in 2001, generally decreases to about -10 by 2007:Q2, and generally increases to about 65, around the time of July 2008 survey. It then decreases to end at about 58 in 2008:Q4. The "Other consumer loans" series begins at about 15 in 1996:Q1, it generally increases to about 23 by 1996:Q3, and generally decreases to about -2 by 2000:Q3. It generally increases to about 20 in 2001, generally decreases to about -10 by 2007:Q2, and generally increases to about 66, around the time of July 2008 survey. It then decreases to end at about 63 in 2008:Q4.

Figure: Net Percentage of Domestic Respondents Reporting Increased Willingness to Make Consumer Installment Loans

A line chart shows a single series, from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The series begins at about 5 percent in 1990:Q1, it generally decreases to about -15 in 1991:Q1, then generally increases to about 32 in 1994:Q1, and generally decreases to about -8 by 1996:Q3. It fluctuates between about -8 and 15 through 2003, increases to about 23 in 2005:Q3, and generally decreases to about -35, around the time of July 2008 survey. The series then decreases and ends at about -50 in 2008:Q4.

Figure: Net Percentage of Domestic Respondents Reporting Stronger Demand for Consumer Loans

A line chart shows a single series, from 1990 through 2008. Unit is percent. The July 2008 survey is marked with a vertical tripwire. The series begins at about -30 in 1991:Q4, it generally increases to about 38 in 1994:Q2, then generally decreases to about -35 in 2001:Q1, and generally increases to about 30 in 2003:Q3. It generally decreases to about -30, around the time of July 2008 survey, and decreases shortly after, to end at about -48 in 2008:Q4.


† Note: Data values for figures are rounded and may not sum to totals.  Return to text

Last update: March 7, 2014