Accessible Material
December 2008 Greenbook Part 2 Tables and Charts†
Domestic Financial Developments
Selected Financial Market Quotations
Instrument | 2007 | 2008 | Change to Dec. 9 from selected dates (percentage points) | ||||
---|---|---|---|---|---|---|---|
Aug. 6 | Sept. 15 | Oct. 28 | Dec. 9 | 2007 Aug. 6 | 2008 Sept. 15 | 2008 Oct. 28 | |
Short-term | |||||||
FOMC intended federal funds rate | 5.25 | 2.00 | 1.50 | 1.00 | -4.25 | -1.00 | -.50 |
Treasury bills1 | |||||||
3-month | 4.74 | 1.03 | .76 | .03 | -4.71 | -1.00 | -.73 |
6-month | 4.72 | 1.52 | 1.23 | .25 | -4.47 | -1.27 | -.98 |
Commercial paper (A1/P1 rates)2 | |||||||
1-month | 5.26 | 2.47 | 2.71 | .79 | -4.47 | -1.68 | -1.92 |
3-month | 5.29 | 2.73 | 2.89 | 1.35 | -3.94 | -1.38 | -1.54 |
Large negotiable CDs1 | |||||||
3-month | 5.34 | 3.45 | 3.63 | 2.13 | -3.21 | -1.32 | -1.50 |
6-month | 5.27 | 3.85 | 3.73 | 2.55 | -2.72 | -1.30 | -1.18 |
Eurodollar deposits3 | |||||||
1-month | 5.33 | 2.70 | 3.75 | 2.15 | -3.18 | -.55 | -1.60 |
3-month | 5.35 | 3.00 | 4.50 | 3.00 | -2.35 | .00 | -1.50 |
Bank prime rate | 8.25 | 5.00 | 4.50 | 4.00 | -4.25 | -1.00 | -.50 |
Intermediate- and long-term | |||||||
U.S. Treasury4 | |||||||
2-year | 4.49 | 1.78 | 1.49 | .58 | -3.91 | -1.20 | -.91 |
5-year | 4.52 | 2.60 | 2.81 | 1.71 | -2.81 | -.89 | -1.10 |
10-year | 4.82 | 3.68 | 4.43 | 3.18 | -1.64 | -.50 | -1.25 |
U.S. Treasury indexed notes5 | |||||||
5-year | 2.43 | 1.25 | 3.64 | 2.82 | .39 | 1.57 | -.82 |
10-year | 2.48 | 1.70 | 3.29 | 2.61 | .13 | .91 | -.68 |
Municipal general obligations (Bond Buyer)6 | 4.51 | 4.54 | 5.32 | 5.58 | 1.07 | 1.04 | .26 |
Private instruments | |||||||
10-year swap | 5.44 | 4.24 | 4.26 | 2.98 | -2.46 | -1.26 | -1.28 |
10-year FNMA7 | 5.34 | 4.19 | 5.36 | 3.79 | -1.55 | -.40 | -1.57 |
10-year AA8 | 6.12 | 6.63 | 8.26 | 7.05 | .93 | .42 | -1.21 |
10-year BBB8 | 6.57 | 7.11 | 9.77 | 9.64 | 3.07 | 2.53 | -.13 |
10-year high yield8 | 9.21 | 10.86 | 16.27 | 18.03 | 8.82 | 7.17 | 1.76 |
Home mortgages (FHLMC survey rate)9 | |||||||
30-year fixed | 6.59 | 5.78 | 6.46 | 5.53 | -1.06 | -.25 | -.93 |
1-year adjustable | 5.65 | 5.03 | 5.38 | 5.02 | -.63 | -.01 | -.36 |
Stock exchange index | Record high | 2008 | Change to Dec. 9 from selected dates (percent) | |||||
---|---|---|---|---|---|---|---|---|
Level | Date | Sept. 15 | Oct. 28 | Dec. 9 | Record high | 2008 Sept. 15 | 2008 Oct. 28 | |
Dow Jones Industrial | 14,165 | 10-9-07 | 10,918 | 9,065 | 8,691 | -38.64 | -20.39 | -4.12 |
S&P 500 Composite | 1,565 | 10-9-07 | 1,193 | 941 | 889 | -43.22 | -25.49 | -5.51 |
Nasdaq | 5,049 | 3-10-00 | 2,180 | 1,649 | 1,547 | -69.35 | -29.02 | -6.19 |
Russell 2000 | 856 | 7-13-07 | 690 | 483 | 466 | -45.58 | -32.48 | -3.49 |
Wilshire 5000 | 15,807 | 10-9-07 | 12,184 | 9,341 | 8,870 | -43.88 | -27.20 | -5.04 |
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 December 9, 2008, are for the week ending December 4, 2008. Return to table
NOTES:
August 6, 2007, is the day before the August 2007 FOMC meeting.
September 15, 2008, is the day before the September 2008 FOMC monetary policy announcement.
October 28, 2008, is the day before the most recent FOMC monetary policy announcement.
Data for the 3-month commercial paper on December 9, 2008, are from December 4, 2008, the most recent date for which a sufficient volume of new issues was available to calculate this rate.
Financial Institutions and Market Functioning
Figure: Investment-Grade CDS Spreads for Financial Firms
In Basis points. January 2007 to December 9, 2008. Line chart. Data is daily. There is a vertical tripwire marking the October 2008 FOMC meeting. The series begins in January 2007 at about 20 and increases to about 180 by March 2008. It then decreases to about 90 by May 2008 and increases to end at about 300. It is at about 265 at the time of the October 2008 FOMC meeting.
Note: Median spreads for 179 financial firms.
Source: Markit.
Figure: AAA-rated Subprime Mortgage CDS Index Spreads
January 2007 to December 9, 2008. By basis points. Data is daily. Line chart. There is a vertical tripwire marking the October 2008 FOMC meeting. The January 2006 series starts at close to 0 in January 2007, fluctuating but generally increasing to end at about 850. It is at about 500 at the time of the October 2008 FOMC meeting. The July 2006 series starts at close to 0 in January 2007. It fluctuates but generally increases to end at about 1050. It is at about 900 at the time of the October 2008 FOMC meeting.
Source: JP Morgan.
Figure: CMBX Indexes
By Basis points, April 2007 to December 9, 2008. Line chart. Data is daily. There is a vertical tripwire marking the October 2008 FOMC meeting. The series AAA starts at about 0 in April 2007, fluctuating but generally increasing to end at about 550. Its is at about 200 at the time of the October 2008 FOMC meeting. The series BBB- starts at about 0 in April 2007. It generally increases to end at about 3300. It is at about 2700 at the time of the October 2008 FOMC meeting.
Note: Origination date is April 2007.
Source: JP Morgan.
Figure: LCDX Index
line charts, May 2007 to December 9, 2008. In basis points, data is daily. There are 3 series, "Series 8", "Series 9", and "Series 10". Series 8 begins in May 2007, Series 9 begins in October 2007, and Series 10 begins in April 2008. They all track very closely throughout the chart. Series 8 begins at about 0, increases to about 800 around the time of the 2008 October FOMC meeting, and then increases to end at about 1250 or 1750 (it is difficult to tell by viewing the chart). Series 9 ends at 1250 or 1750 (it is difficult to tell by viewing the chart). Series 10 ends at about 1750.
Note: The LCDX index rolls semi-annually when credits that experienced a credit event or exhibited poor liquidity are excluded from the index.
Source: Markit.
Figure: CDS Spreads for U.S. Commercial Banks
As Basis points, June -December 9, 2008. Line chart. Data is daily. There is a vertical tripwire marking the October 2008 FOMC meeting. The Regional banks series begins at about 100 in June, and increases to about 300 by September. Then it decreases to about 210 by October, and increases to end at about 280. It is at about 235 around the time of the October 2008 FOMC meeting. The Bank holding companies series starts in June at about 100, and increases to about 300 by September. It decreases to about 125 by October, then increases to about 280 by November, then decreases to end at about 210. Its at about 160 around the time of the October FOMC meeting.
Note: Median spreads for 5 regional banks and 6 large bank holding companies (Bank of America, Citigroup, Goldman Sachs, JPMorgan Chase, Morgan Stanley, and Wells Fargo).
Source: Markit.
Figure: Fannie Mae Spreads
As basis points, June 2008-December 9, 2008. Line chart. Data is daily. There is a vertical tripwire marking the October 2008 FOMC meeting. The 30-year OAS series starts at about 105 in June, increases to about 185 by August, decreases to about 80 by September, increases to about 180 in late October (about the time of the FOMC meeting), then decreases to end at about 120. The 10-year debt spread begins at about 50 in June, fluctuates but remains about the same until late September, then increases to about 80 around the time of the October FOMC meeting, then increases to about 155 by late November, then decreases to end at about 60.
Note: 10-year debt spread is spread over Treasury securities of comparable maturity.
Source: Bloomberg.
Short-Term Funding Markets
Figure: Spread of Libor over OIS Rates
As Basis points. July 2007 to December 10, 2008. Data are daily. Line chart. The two series, 1-month and 3-month, track closely throughout the charts, with 1-month typically being between 0 and about 30 basis points lower. There is a vertical tripwire marking the October 2008 FOMC meeting. The 3-month series begins in July 2007 at about 20, fluctuates but generally increases to about 90 by August 2008, increases to about 375 by early October 2008, is at about 200 at the time of the October 2008 FOMC meeting, and ends at about 190.
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
By Percent. Line chart, July 2007 to December 9, 2008. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are 2 series, "Overnight" and "1-month", which track very closely throughout the chart. They begin in July 2007 at about 5, decreasing to about 2 in August but increasing back to about 5 by September. They then generally decrease to about 2 by April 2008, remain at about 2 until August 2008, then decrease to end at about 0. They are at about 0.5 at the time of the October 2008 FOMC meeting.
Source: Bloomberg.
Figure: Fails to Deliver
2003 to November 26, 2008. In Billions of dollars. Line chart. Values are weekly (on Wednesdays). The "Agency" series starts in early 2003 at about 0 or just above, and remains close to 0 until the end. The "MBS" series starts at about 50 in early 2003, increases to about 800 by mid-2003, decreases to about 100 by early 2006, then fluctuates between about 0 and 200 until the end. The "Treasury" series begins at about 100 in early 2003, increases to about 1600 by mid-2003, decreases to about 100 by early 2004, increases to about 1200 but then quickly decreases back to about 100 in mid-2004, then fluctuates between about 100 and 500 until early 2008. It then increases to about 1200 in early 2008, decreases to about 0 by mid-2008, then spikes to about 2700 in late 2008 before decreasing to end at about 450.
Source: FR 2004 Primary Government Securities Dealers Reports.
Figure: Spreads over Treasury GC Repos
In Basis points, July 2007 to December 9, 2008. Line chart. Data are Daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are 2 series, "1-month agency repo" and "1-month MBS repo", that both track closely throughout the chart. They start in July 2007 at about 20, increase to about 180 in August, decrease to about 10 by October, increase to about 110 in December. They fluctuate between about 120 and 40 until April 2008. They then decrease to about 10 in May, and fluctuate between about 0 and 40 until September 2008. They spike to about 190 in late September, then quickly decrease to about 50. They fluctuate between about 30 and 150 before finally decreasing to end at about 20. The are at about 40 around the time of the 2008 October FOMC meeting.
Note: Spread over 1-month Treasury general collateral (GC) repo.
Source: Bloomberg, Federal Reserve Bank of New York.
Figure: Spreads on 30-Day Commercial Paper
Line chart, July 2007 to December 9, 2008, in Basis points. Data are daily. There are two series, "ABCP" and A2/P2". There is a vertical tripwire marking the October 2008 FOMC meeting. The two series track closely from July 2007 to September 2008. They start at about 10, increase to about 100 by September, decrease to about 50 by November, increase to about 150 by December, decrease to about 60 by January, and increase to about 100 by September 2008. The A2/P2 series then increases to end at about 525, and is at about 450 at the time of the October 2008 FOMC meeting. The ABCP series increases to about 350 by October, then decreases to end at about 120. Its at about 200 at the time of the October 2008 FOMC meeting.
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: Commercial Paper Outstandings
In Billions of dollars, July 2007 to December 3, 2008. Line chart. Data are weekly, seasonally adjusted. There is a verticial tripwire marking the October 2008 FOMC meeting. There are three series, "Nonfinancial", Financial, and ABCP. ABCP starts at about 1200, deceases to about 800 by December 2007, then decreases to end at about 750. Its at about 730 at the time of the 2008 FOMC meeting. Financial starts at about 800, and fluctuates but remains about constant until September 2008. It then decreases to about 600 by the time of the 2008 FOMC meeting, and increases to end at about 740. The Nonfinancial series starts at about 200, and remains about constant throughout the chart.
Source: Depository Trust & Clearing Corporation.
Federal Reserve Liquidity Provision
Figure: Total Federal Reserve Assets
January 2007 to December 3, 2008. In Billions of dollars, data are weekly. Line chart. There is a verticial tripwire marking the October 2008 FOMC meeting. The series starts at about 850 in January 2007, remains about constant until September 2008, then increases to end at about 2150. Its at about 1950 around the time of the October 2008 FOMC meeting.
Source: Board of Governors of the Federal Reserve System, Statistical Release H.4.1, "Factors Affecting Reserve Balances."
Figure: Primary Credit
In Billions of dollars, March 2008 to December 9, 2008. Line chart. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are two series, "Total" and "Foreign". They track closely until about October 2008. They start at about 0, increases to about 20 by September, and to about 50 by October. Total then increases to about 110 at the time of the 2008 FOMC meeting, and decreases to end at about 90. Foreign increases to about 80 at the time of the 2008 FOMC meeting, and ends at about 80.
Source: Federal Reserve Board.
Figure: Term Auction Facility
In Billions of dollars, December 2007 to December 9, 2008. Line chart. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are two series, "total" and "Foreign". Total starts at about 25, increases to about 150 by early October 2008, increases to about 300 at the time of the 2008 FOMC meeting, then increases to end at about 450. Foreign starts at about 25, increases to about 140 by the time of the 2008 FOMC meeting, then increases to end at about 175.
Source: Federal Reserve Board.
Figure: Primary Dealer Credit Facility
In Billions of dollars, March to December 9. 2008 is the assumed year, although its not stated in the chart. Data are daily. There is a vertical tripwire marking the 2008 FOMC meeting. The series begins at about 0 in March, increases to about 40 by early April, and decreases to about 0 by mid-September. It increases to about 160 by late September, decreases to about 80 at the time of the 2008 FOMC meeting, and decreases to end at about 55.
Source: Federal Reserve Board.
Figure: Other Credit Extensions
In Billions of dollars, September to December 9, 2008. Line chart. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are three series, "AMLF", "AIG", and "CPFF". AMLF starts at about 0, increases to about 150 in early October, and decreases to end at about 45. Its at about 90 at the time of the 2008 FOMC meetings. AIG starts at about 10, increases to about 50 at the time of the 2008 October FOMC meetings, then decreases to end at about 45. CPFF starts in late October around 0, increases to about 60 at the time of the 2008 October FOMC meeting, and increases to end t about 310.
Note: AMLF is Asset-Backed Commercial Paper Money Market Mutual Fund Lending Facility; AIG is American International Group, Inc.; CPFF is Commercial Paper Funding Facility.
Source: Federal Reserve Board.
Policy Expectations and Treasury Yields
Figure: Interest Rate Futures
By Percent, October 28 to December 9 (2008 is the assumed year, although not specifically stated in the chart). There are two series, "December 2008 federal funds" and "December 2009 Eurodollar". Six events are marked along the timeline of the chart and described herein. The December 2009 Eurodollar series begins at about 2.8, decreases to about 2.7 at the time of the October 2008 FOMC statement (about October 30th), decreases to about 2.5 at the times of the October employment report (about November 6th) and the AIG restructuring (about November 10th). It then decreases to about 2.1 at the time of the Citi guarantee package (about November 22nd), increases to about 2.4 at the time of the Announcement of TALF and GSE debt & MBS purchases (about November 23rd), decreases to about 1.9 at the time of the November employment report (about December 3rd), and increases to end at about 2. The December 2008 federal funds begins at about 0.9, decreases to about 0.8 by the October 2008 FOMC statement, decreases to about 0.45 at the time of the October employment report and the AIG restructuring, remains about constant to the time of the Citi guarantee package and the Announcement of TALF and GSE debt & MBS purchases, and decreases to about 0.4 at the time of the November employment report, then decreases to end at about 0.2.
Note: 5-minute intervals. 8:00 a.m. to 4:00 p.m. No adjustments for term premiums. TALF is Term Asset-Backed Securities Loan Facility; AIG is American International Group, Inc.; GSE is government-sponsored enterprise; MBS are mortgage-backed securities; FOMC is Federal Open Market Committee.
Source: Bloomberg.
Figure: Implied Federal Funds Rate
February 2009 to February 2011, by Percent. Line Chart. There are two series, "October 28, 2008" and "December 9, 2008". The October series starts about 0.9 and increases to end at about 3.2. The December series starts at about 0.3 and increases to end at about 1.75.
Note: Estimated from federal funds and Eurodollar futures, with an allowance for term premiums and other adjustments.
Source: Chicago Mercantile Exchange; CBOT.
Figure: Treasury Yield Curve
By Percent, 1 to 20 Years ahead. Line chart. There are two series, "October 28, 2008" and "December 9, 2008". They track closely throughout the chart with the October series typically being about 1 percent higher. The October series starts at about 1.5 at 1 year ahead. It increases to about 4.7 at about 12 years ahead, and decreases to about 4.55 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
By Percent, January 2007 to December 9, 2008. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are two series, "5 to 10 years ahead" and "Next 5 years". 5 to 10 years ahead starts at about 2.5, remains constant then increases just before the October 2008 FOMC meeting to about 3.6. It then decreases to end at about 2.6. The Next 5 years starts at about 2.4, remains constand then decreases beginning in August 2008. It decreases to about -0.7 at the time of the October 2008 FOMC meetings, and ends at about -1.
Note: Estimates based on smoothed nominal and inflation-indexed Treasury yields. Next 5 years is adjusted for lagged indexation of Treasury inflation-protected securities.
Source: Federal Reserve Bank of New York.
Figure: Inflation Swaps Yield Curve
By Percent, tracked by Maturity in years from 2 to 10. Line chart. There are two series, "12/9/2008" and "Day before last FOMC 10/28/2008". The two series track very closely throughout the chart. 12/9/2008 is about 0.2 percent higher from 2-3 Maturity in years, but then the series' values are virtually the same. 12/9/2008 starts at about 0.8 at 2 Maturity in years, and increases to end at about 1.95.
Source: Barclays PLC.
Corporate Yields, Risk Spreads, and Stock Prices
Figure: Selected Stock Price Indexes
October 28, 2008=100. From January 2008 to December 9, 2008. Data are daily. There is a vertical tripwire marking the October 2008 FOMC meeting. There are 2 series, "S&P 500" and "S&P Financial". The S&P 500 series starts at about 150, and decreases to and at about 95. Its at about 100 at the time of the October 2008 FOMC meeting. The S&P Financial series starts at about 190, and decreases to end at about 90. Its at about 100 at the time of the October 2008 FOMC meeting.
Source: Standard & Poor's.
Figure: Ratio of Trend Earnings to Price for S&P 500 and Long-Run Treasury Yield
By Percent, 1985 to December 9, 2008. Line chart, data are monthly. There are two series, "Trend earnings/P" and Long-run real Treasury yield. Trend earnings starts at about 11.5, decreases to about 4 by 2000, then increases to end at about 13.8. The latest observation using daily interest rates and stock prices and latest earnings data from I/B/E/S is about 11.9 percent. The long-run Treasury yield starts at about 8, decreases to end at about 1. The latest observation using daily interest rates and stock prices and latest earnings data from I/B/E/S is about 1. Trend earnings are estimated using analysts' forecasts of year-ahead earnings from I/B/E/S.
Source: Thomson Financial.
Figure: Implied Volatility on S&P 500 (VIX)
By Percent, 2002 to December 9, 2008. Data are Weekly Friday (latest observation is for the most recent business day). Line chart. There is a vertical tripwire marking the October 2008 FOMC meeting. The series starts at about 20, increases to about 40 by mid-2002, decreases to about 12 by early 2007, increases to about 70 at the time of the 2008 FOMC meetings, and decreases to end at about 60.
Source: Chicago Board of Exchange.
Figure: Corporate Bond Yields
By Percent, 2002 to December 9, 2008. Line chart, data are daily. There are two series, "10-year high-yield" and "10-year BBB". There is a vertical line marking the October 2008 FOMC meeting. 10-year high-yield starts at about 11, decreases to about 8 by early 2005, then increases to about 15 at the time of the 2008 FOMC meetings. It ends at about 17. The 10-year BBB series starts at about 8, decreases to about 5.5. by mid-2005, and increases to about 9.5 around the time of the October 2008 FOMC meeting. It ends at about 9.5.
Note: Yields from smoothed yield curves based on Merrill Lynch bond data
Figure: Corporate Bond Spreads
By Basis points, 2002 to December 9, 2008. Line chart, data are daily. There are two series, "10-year high-yield" and "10-year BBB". There is a vertical line marking the October 2008 FOMC meeting. 10-year high-yield starts at about 600, increases to about 8900 by late 2002. It decreases to about 370 by early 2005, increases to about 1200 at the time of the 2008 October FOMC meetings, and increases to end at about 1450. The 10-year BBB series starts at about 200, decreases to about 100 by mid-2005, increases to about 500 at the time of the 2008 October FOMC meeting, and ends at about 600. Note: Yields from smoothed yield curves based on Merrill Lynch bond data.
Note: Corporate yields from smoothed yield curves based on Merrill Lynch bond data and spreads measured relative to comparable-maturity Treasury securities.
Figure: Estimated Median Bid-Ask Spread for Corporate Bonds
In Basis points. 2005-December 9, 2008. Data are daily. Line chart. There is a vertical line marking the October 2008 FOMC meeting. There are two series, "High-Yield" and "Investment-grade." High-yield starts at about 150, increases to about 250 by late 2005, decreases to about 125 by mid-2006, then remains about constant until mid-2008. It then increases to about 220 by mid-2008, and decreases to end at about 100. Investment-grade starts at about 90, decreases to about 60 by late 2005 and then begins to increases in early 2007. It increases to about 70 by mid-2008, then to about 250 by the October 2008 FOMC meetings, peaking at about 400, and ending at about 250.
Source: Staff estimate using data from NASD's TRACE.
Corporate Earnings and Credit Quality
Figure: S&P 500 Earnings Per Share
By Percent, 1998 to 2008Q3, line chart. Data is Change from 4 quarters earlier. There are 2 series, "All firms" and "Nonfinancials". They both track closely until about 2007Q4. They start at about 0, increase to about 20 in 1999, decrease to about -25 in 2001, increases to about 25 in 2003, and decreases to about 5 by 2007Q4. All firms then decreases to end at about -20, and Nonfinancials increases to end at about 10.
Source: Thomson Financial.
Figure: Revisions to Expected S&P 500 Earnings
By Percent, 2002 to Mid-November 2008. Data are monthly. Line chart. The two series, "All firms" and "Nonfinancials" track closely. They begin at about -1, decrease to about -3.75 by late 2002, increase to about 2 by 2004, decrease to about -2 by mid-2008, then decrease to end at about -12.
Note: Index is a weighted average of the percent change in the consensus forecasts of current-year and following-year earnings per share for a fixed sample.
Source: Thomson Financial.
Figure: Financial Ratios for Nonfinancial Corporations
As Ratio, 1989 to Q32008. Line chart. There are 2 series, "Debt over total assets" and "Liquid assets over total assets". Debt over total assets starts at about 0.32, decreases to about 0.28 by 1996, fluctuates then decreases to about 0.25 by 2005, and increases to end at about 0.27. Liquid assets over total assets begins at about 0.05, increases to about 0.1 by 2005, then decreases to end at about .088.
Note: Data are annual through 1999 and quarterly starting in 2000:Q1.
Source: Calculated using Compustat data.
Figure: Bond Ratings Changes of Nonfinancial Companies
By Percent of outstandings, annual rate. Bar chart, 1991 to Q3 2008. There are two series, "Upgrades" and "Downgrades". Upgrades starts at about 11, generally increases to about 20 in 1995, generally decreases to about 4 by 2002, then increases to about 10 by 2007. It then decreases to end at about 4. Downgrades starts at about 28, generally decreases to about 8 by 1995, increases to about 38 by 2002, then generally decreases to end at about 15.
Source: Calculated using data from Moody's Investors Service.
Figure: Deep Junk Share of Bonds Outstanding
By Percent, data is quarterly, 1990 to Q3 2008. Line chart. Series starts at about 8.8, decreases to about 4 by early 1993, then fluctuates but generally increases to end at about 6.5.
Note: Nonfinancial bonds outstanding rated B3 or below over total bonds outstanding.
Source: Moody's Investors Service.
Figure: Selected Default and Delinquency Rates
By Percent of outstandings, 1990 to October 2008. Line chart. There are two series, "C&I loan delinquency rate" and "Bond default rate (6-month moving average)." C&I loan delinquency rate begins at about 5, increases to about 6 by 1991, decreases to about 1.8 by 1998, increases to about 4 by 2002, then decreases to end at about 1.6. Bond default rate starts at about 1.6, increases to about 3.2 by 1991, decreases to about 0 by 1993, increases to about 3.8 by 2003, decreases to about 0 by early 2008, then increases to end at about 6.
Source: For default rate, Moody's Investors Service; for delinquency rate, Call Report.
Business Finance
Type of security | 2004 | 2005 | 2006 | 2007 | 2008 | ||||
---|---|---|---|---|---|---|---|---|---|
H1 | Q3 | Sept. | Oct. | Nov. p | |||||
Nonfinancial corporations | |||||||||
Stocks1 | 5.4 | 4.6 | 4.7 | 5.5 | 3.5 | 3.0 | 1.9 | 12.2 | 1.9 |
Initial public offerings | 1.6 | 1.7 | 1.8 | 1.6 | .6 | .1 | .0 | .0 | .1 |
Seasoned offerings | 3.8 | 2.8 | 2.9 | 3.8 | 2.9 | 2.9 | 1.9 | 12.2 | 1.8 |
Bonds2 | 22.4 | 18.7 | 29.3 | 35.1 | 34.7 | 14.5 | 12.4 | 22.9 | 22.2 |
Investment grade | 8.3 | 8.7 | 13.1 | 17.5 | 24.9 | 10.5 | 8.6 | 19.1 | 18.3 |
Speculative grade | 8.2 | 5.2 | 6.2 | 7.5 | 3.1 | .7 | 1.0 | .0 | .0 |
Other (sold abroad/unrated) | 5.9 | 4.8 | 10.1 | 10.0 | 6.7 | 3.3 | 2.9 | 3.8 | 4.0 |
Memo | |||||||||
Net issuance of commercial paper3 | 1.7 | -.2 | 2.4 | -.4 | -.5 | 6.2 | -8.4 | 6.2 | 2.2 |
Change in C&I loans at commercial banks3 | 2.4 | 9.6 | 11.4 | 21.0 | 12.5 | 19.3 | 55.5 | 35.1 | -6.4 |
Financial corporations | |||||||||
Stocks1 | 6.9 | 5.0 | 5.3 | 8.6 | 17.2 | 10.5 | 20.2 | 13.8 | 11.6 |
Bonds2 | 134.1 | 170.4 | 180.6 | 151.7 | 66.0 | 20.0 | 18.4 | 2.4 | 21.1 |
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
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
In Billions of dollars, Monthly rate, nonfincial firms, from 2004 to November 2008. Bar chart. There are three series, the approximate values for each series for each year are listed here: Commercial paper: 2004: 1, 2005: 0, 2006: 2, 2007: 0, 2008H1: 0, 2008Q3: 5, 2008 October: 8, 2008 November: 4. C&I loans: 2004: 2, 2005: 10, 2006: 12, 2007: 20, 2008 H1: 12, 2008Q3: 20, 2008 October: 35, 2008 November: -7. Bonds: 2004: 7, 2005: 5, 2006: 17, 2007: 24, 2008H1: 20, 2008Q3: 6, 2008 October: 14, 2008 November: 15. C&I loans and Commercial paper are seasonally adjusted, period-end basis. November 2008 data is Preliminary.
Source: Depository Trust & Clearing Corporation; Thomson Financial; Federal Reserve Board.
Figure: Components of Net Equity Issuance
In Billions of dollars, Monthly rate, nonfinancial firms. Bar and line chart, 2004 to 2008Q3. There are 5 series, "Public issuance", "Private issuance", "Repurchases", "Cash mergers", and "Total". Public issuance starts at about 5 and fluctuates between about 2 and 7 during the duration of the chart. Private issuance starts at about 8, and increases to end at about 18. Repurchases starts at about -18, decreases to about -45 by 2007, then increases to end at about -28. Cash mergers starts at about 10, decreases to about -40 by 2007, then increases to end at about -19. Total starts at about -13, decreases to about -60 by 2007, increases to about -20 by 2008Q2, and ends at about -28. 2008Q3 is a staff estimate.
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 2000:Q1 through 2008:Q3. Data are quarterly; unit is percent change, annual rate. As shown in the figure, the series begins in 2000:Q1 slightly below 12 percent, fluctuates between about 7 and 12 through 2005:Q2, and increases to about 16 by 2005:Q4. The curve then decreases to about 9 by 2007:Q1, then increases just above 15 by 2007:Q3, and decreases to end at about -2 by 2008:Q3.
Source. Federal Reserve.
Figure: Rents and Vacancy Rates on Commercial Properties
A line chart shows two series, Rents and Vacancy rates, from about 1991:Q4 through 2008:Q3. Data are quarterly. Rent values are plotted according to the left axis, which ranges from -8 to 10 percent change from year earlier. Vacancy rate values are plotted according to the right axis, which ranges from 6 to 18 percent. Due to the choice of ranges, the two curves appear to move in opposite directions at approximately equal rates. As shown in the figure, the vacancy rates curve begins in 1991:Q4 at about 13.5, generally decreases to about 7.9 by 2000:Q2, increases to about 12.8 by 2003:Q2, decreases to about 9.9 by 2006:Q4, and increases to end at about 11.3 in 2008:Q3. The rents curve begins in 1992:Q4 at about -3, generally increases to about 6.7 by 1998:Q2, decreases to about 5 by 1999:Q2, and increases to about 9 by 2000:Q2. It then decreases to about -3 by 2002:Q2, generally increases to about 6 by 2007:Q3, and decreases to end at about 1.3 in 2008:Q3.
Note. Average of series for office, industrial, and retail properties.
Source. Torto Wheaton.
Figure: Prices
A line chart shows two series, "Transacted property" and "All property" from 1987:Q4 through 2008:Q3 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 increases to about 125 by 1997:Q4, and continues to fluctuate around that level through mid-2002. The curve generally increases to about 250 by mid-2007, and generally decreases to end at about 225 in 2008:Q3. As shown in the figure, the all property curve starts at about 110 in 1987:Q4, and increases to about 125 by the end of 1990. It decreases to just below 100 from 1993 through 1996, then generally increases to about 130 by early 2001. The curve stays around that level through 2003, continues to increase to about 225 by 2008:Q1, then decreases to end at about 220 in 2008:Q3.
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: Sales of Commercial Real Estate
A line chart shows two curves, monthly sales of commercial real estate, and the 3-month moving average, from 2001 through October 2008 (preliminary). 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 about 15 by October 2008. The monthly sales curve follows the same general shape as the 3-month moving average, but with greater volatility. It begins around 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 about 12 by October 2008.
Source: Real Capital Analytics.
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:Q3, and a third series, CMBS, from about January 1999 through November 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 4.75 in 2008:Q3. The "At life insurance companies" curve begins in 1995:Q4 at about 2.3 percent, increases to about 2.7 percent by 1996:Q2, and decreases to about 0.3 by 1999:Q2. It then generally continues to decrease, and ends just above zero in 2008:Q3. 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 generally increases to end at about 0.9 in November 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:Q3. 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, 6 and 7.5. For residential construction, 2.6, 3.1, 4.25, 7.3, 11, 12.5 and 14.9. For existing properties, 1.25, 1.2, 1.25, 1.6, 1.9, 2 and 2.2.
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
By Percent, October 2006 to December 3, 2008. Line chart, weekly data. There is a vertical line marking the October 2008 FOMC meeting. There are 2 series, "Nonconforming Jumbo" and "Conforming". Nonconforming jumbo starts at about 6.5, increases to about 7.5 by July 2007, decreases to about 6.6 by February 2008, then increases to about 9 at the time of the October 2008 FOMC meeting, then decreases to end at about 8.5. Conforming starts at about 6.4, increases to about 6.8 by June 2007, decreases to about 5.5. by February 2008, increases to about 6.5 in the second half of 2008, and is at about 6.5 at the time of the October 2008 FOMC meeting. It then decreases to end at about 5.5.
Source: Freddie Mac; Inside Mortgage Finance.
Figure: 30-Year Conforming Fixed-Rate Mortgage Spread
In Basis points, October 2006 to December 3, 2008. Data is weekly, line chart. There is a vertical line marking the FOMC October 2008 meeting. The series starts at about 175, decreases to about 140 by February 2007, then fluctuates but generally increases to about 250 at the time of the October 2008 FOMC meeting, and increases to end at about 290.
Note: Spread is quoted relative to the on-the-run 10-year Treasury yield.
Source: Bloomberg; Freddie Mac.
Figure: Agency and Non-Agency MBS Issuance
In Billions of dollars, monthly rate. 2002 to October 2008. Bar chart. There are three series, "GSEs", "Ginnie Mae", and "Non-agency", with approximate values for each as follows: GSEs: 2002: 100, 2003: 150, 2004: 80, 2005: 80, 2006: 75, 2007H1: 80, 2007H2: 90, 2008Q1 and Q2: 90, 2008Q3: 50, 2008 October: 40. Ginnie Mae: 2002: 10, 2003: 15, 2004-2007H1: 10, 2007H2: 15. In 2008 it increases slightly each period, beginning around 15 in Q1 and reaching about 30 by October 2008. Non-agency: 2002: 30, 2003: 40, 2004: 60, 2005: 80, 2006: 75, 2007H1: 70, 2007H2: 25, 2008: 0.
Source: For agency issuance, Fannie Mae, Freddie Mac, and Ginnie Mae. For non-agency issuance, Inside Mortgage Finance.
Figure: Mortgage Debt
Percent change, annual rate, data is quarterly, 2001 to 2007Q3. Line chart. Series begins at about 9, fluctuating but generally increasing to about 15 by 2003, then fluctuating but generally decreasing to end at about -2.5.
Source: Federal Reserve.
Figure: National Indexes of House Prices
Percent change, annual rate, 1996 to 2008 Q3. Data are Quarterly, seasonally adjusted. There are three series, "FHFA purchase-only", "S&P/Case-Shiller", and "LoanPerformance". The FHFA series starts at about 5, increases to about 10 by late 2005, then decreases to end at about -7. The S&P series starts at about 3, increases to about 16 by 2005, decreases to about -25 by early 2008 and increases to end at about -15. The LoanPerformance series starts at about 3, increases to about 15 by 2005, and decreases to end at about -13.
Source: Federal Housing Finance Agency; Standard & Poor's; LoanPerformance, a division of First American CoreLogic.
Figure: Delinquencies on Mortgages
By Percent of loans, 2001-September 2008. Data are Monthly. Line chart. There are three series, "Subprime", "Alt-A", and "Prime". The Subprime series starts at about 8, decreases to about 6 by 2005, then increases to end at about 23. The Alt-A series starts at about 1 and increases to end at about 11. The Prime series starts at about 1 and increases to end at about 2. Only securitized loans are counted for the Subprime and Alt-A categories.
Note: Percent of loans 90 or more days past due or in foreclosure. Prime includes near-prime mortgages.
Source: LoanPerformance, a division of First American CoreLogic.
Consumer Credit and Household Wealth
Figure: Delinquencies on Consumer Loans
By Percent, 1997 to 2008. Line chart. There are three series, "Credit card loans in securitized pools", "Nonrevolving consumer loans at commercial banks", and "Auto loans at captive finance companies". Credit card loans start at about 5.4. in 1997, decrease to about 4.5 by 2000, increase to about 5.4 by 2003, decrease to about 3.3. by early 2006, and increase to end at about 4.8 in September 2008. Nonrevolving loans start at about 3, decrease to about 2.2 by early 2006, and increase to end at about 3 in 2008Q3. Auto loans start at about 3.3, decrease to about 2 by 2004, and increase to end at about 2.8 by October 2008.
Source: For auto loans, Federal Reserve; for credit cards, Moody's; for nonrevolving consumer loans, Call Report.
Figure: Consumer Loan Rates
By Percent, 2001 to November 30, 2008. Line chart, weekly data. There are two series, "Credit cards" and "New auto loans." Credit cards start at about 17, decrease to about 13.5 by early 2002, remain about constant until late 2006, increase to about 14.5, then decrease to end at about 11.5. New auto loans start at about 8, decrease to about 4 in late 2001, then generally increase to about 8 by mid-2006, then decrease to end at about 6.5.
Source: For credit cards, Bank Rate Monitor; for auto, PIN.
Figure: Revolving Consumer Credit
Percent change, annual rate, 2004 to October 2008. Line chart. There are 2 series, "1-month change" and "3-month change". The series track each other very closely, with the 1-month series fluctuating more widely around the 3-month series. The 3-month series starts at about 3.5, decreases to about 1 by mid-2004, increases to about 6 by late 2004, decreases to about 1 by mid-2005, increases to about 8 by mid-2007, and decreases to end at about 2.
Source: Federal Reserve.
Figure: Nonrevolving Consumer Credit
Percent change, annual rate, 2004-October 2008, line chart. There are 2 series, "1-month change" and "3-month change". The series track each other very closely, with the 1-month series fluctuating more widely around the 3-month series. The 3-month series starts at about 6, fluctuating but remaining about constant until late 2005. It then decreases to about 2 by early 2006. It then increases to about 6 by late 2007, and decreases to end at about -2.
Source: Federal Reserve.
Fund type | 2007 | 2008 | Oct. | Nov.e | Assets | |||
---|---|---|---|---|---|---|---|---|
H1 | H2 | Q1 | Q2 | Q3 | Oct. | |||
Total long-term funds | 31.5 | 5.9 | 1.7 | 22.6 | -34.3 | -126.8 | -49.0 | 6,009 |
Equity funds | 14.3 | 1.2 | -14.9 | 7.8 | -34.5 | -72.3 | -26.4 | 3,935 |
Domestic | 0.8 | -8.4 | -13.4 | 3.3 | -18.5 | -47.3 | -17.6 | 3,048 |
International | 13.5 | 9.6 | -1.5 | 4.4 | -16.0 | -25.0 | -8.8 | 888 |
Hybrid funds | 2.6 | 1.1 | 0.7 | 2.0 | -2.7 | -14.0 | -5.6 | 511 |
Bond funds | 14.6 | 3.5 | 16.0 | 12.9 | 2.9 | -40.6 | -17.0 | 1,563 |
High-yield | 0.2 | -0.7 | -1.3 | 0.9 | -0.3 | -1.4 | -0.2 | 113 |
Other taxable | 12.0 | 4.8 | 15.2 | 8.2 | 1.8 | -30.8 | -15.6 | 1,099 |
Municipals | 2.4 | -0.6 | 2.1 | 3.7 | 1.4 | -8.4 | -1.3 | 351 |
Money market funds | 26.3 | 98.8 | 126.9 | -14.8 | -7.9 | 146.8 | 122.1 | 3,603 |
Note: Excludes reinvested dividends.
e Staff estimate. Return to table
Source: Investment Company Institute.
[Box:] Problems in the Market for Asset-Backed Securities and the Availability of Auto and Credit Card Loans
Figure: Gross Issuance of Consumer Loan ABS by Type
In Billions of dollars. Bar chart, 2005-2008Q4. Data is Monthly rate. There are two series, "Credit Card" and "Auto". Credit card starts at about 5, increases to about 10 by 2008Q1, then decreases to about 0 by 2008Q4. Auto starts at about 7, decreases to about 3 by 2008Q1, increases to about 7 in 2008Q2, then decreases to about 0 by 2008Q4.
Note: Auto includes car loans, leases, and financing for buyers of motorcycles, trucks, and other vehicles. ABS are asset-backed securities. 2008Q4 data through November 21.
Source: Inside Mortgage Finance; Merrill Lynch.
Figure: One Factor That Discourages Households' Auto Purchases: Credit Is Hard to Get
By Percent, 1978-November 2008, line chart, data is Monthly. The series starts at about 2 in 1978, increases to about 4 by 1981, decreases to about 0 by 1986, increases to about 5 by 1991, then fluctuates between about 0 and 3 until late 2008 when it increases to about 18. There are shaded bars around 1979, 1981, 1991, and 2001.
Note: The series is calculated as the number of consumers citing this particular factor divided by the number of consumers thinking that now is a bad time to buy a car. Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (1980:Q1-1980:Q3, 1981:Q3-1982:Q4, 1990:Q3-1991:Q1, and 2001:Q1-2001:Q4).
Source: Reuters/University of Michigan Surveys of Consumers.
Treasury Finance
Figure: Foreign Participation in Treasury Auctions
By Percent of total issue, 2000 to December 1, 2008, as 6-month moving average. Line chart. There are 2 series, "Indirect bids" and "Actual foreign allotment". Indirect bids starts in 2003 at about 22, increases to about 30 by 2004, then fluctuates between about 25 and 35, and ends at about 27. Actual foreign allotment starts in 2000 at about 10, increases to about 26 by late 2004, then decreases to end at about 18.
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
In Billions of dollars, 2003 to December 3, 2008. Line chart. Data is weekly average. There is a vertical line marking the October 2008 FOMC meeting. There are two series, "Treasury" and "Agency". Treasury starts at about 700 and increases to end at about 1600. Its at about 1500 at the time of the 2008 October FOMC meeting. Agency starts at about 100 and increases to end at about 900. Its at about 925 at the time of the 2008 October FOMC meeting.
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 Premium
In Basis points. Data is monthly average. 2001 to December 2008. Line chart. There is a vertical line marking the 2008 October FOMC meeting. The series starts at about 13, increases to about 28 by early 2002, decreases to about 5 by early 2007, then increases to end at about 62. Its at about 45 at the time of the October 2008 FOMC meeting.
Note: Computed as the spread of the yield read from an estimated off-the-run yield curve over the on-the-run Treasury yield. December observation is the month-to-date average.
Source: Federal Reserve Bank of New York.
Figure: Average Absolute Nominal Yield Curve Fitting Error
In Basis points, 2001 to Decebmer 9, 2008. Data is daily. Line chart. The series starts at about 3, spikies to about 13 in late 2001, then returns to about 3 almost immediately. It fluctuates but generally remains between 1 and 3 until late 2007. It then increases, ending at about 23.
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-Asked Spread
In Cents per $100 face value, as 5-day moving average. Line Charts, January 2007 to December 9, 2008. There is a vertical line marking the 2008 October FOMC meeting. The series is marked as "2-year on-the-run Treasury notes". It begins at about 0.85, increases to about 1.05 in January 2008, decreases to about 0.86 by September 2008, increases to about 1.4 by October 2008 and is at about 1.15 at the time of the 2008 FOMC meeting. It then decreases to about 0.85 by November and increases to end at about 1.1.
Source: BrokerTec Interdealer Market Data.
Figure: Daily Treasury Market Volume
In Billions of dollars, as Monthly average, 2001 to December 2008. Line chart. Series begins at about 60, increases to about 280 by early 2008, then decreases to end at about 75.
Note: December observation is average for month to date.
Source: BrokerTec Interdealer Market Data.
State and Local Government Finance
Type of security | 2004 | 2005 | 2006 | 2007 | 2008 | ||||
---|---|---|---|---|---|---|---|---|---|
H1 | Q3 | Sept. | Oct. | Nov.p | |||||
Total | 34.7 | 38.4 | 36.1 | 40.4 | 41.5 | 36.2 | 25.1 | 30.8 | 33.8 |
Long-term1 | 29.8 | 34.2 | 32.5 | 35.5 | 37.9 | 29.8 | 20.8 | 21.6 | 29.2 |
Refundings2 | 10.8 | 15.6 | 10.6 | 12.6 | 17.9 | 13.0 | 9.2 | 8.6 | 11.8 |
New capital | 19.0 | 18.6 | 21.9 | 22.9 | 20.0 | 16.8 | 11.6 | 13.0 | 17.4 |
Short-term | 4.9 | 4.2 | 3.7 | 4.9 | 3.5 | 6.4 | 4.3 | 9.3 | 4.6 |
Memo: Long-term taxable | 2.0 | 2.1 | 2.5 | 2.4 | 2.7 | 2.4 | .9 | .7 | .4 |
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 December 4, 2008. Return to table
Source: Thomson Financial.
Figure: Ratings Changes
As Number of ratings changes, Annual rate, 1989 to 2008Q3. Bar chart. There are two series, "Upgrades" and "Downgrades". Upgrades starts around 100, increases to about 1200 by 2000, decreases to about 500 by 2002, increases to about 1800 by 2007, and decreases to end at about 400. Downgrades starts at about 100, increases to about 600 by 1991, decreases to about 80 by 1998, increases to about 1600 by 2002, decreases to about 200 by 2006, and increases to end at about 1400.
Source: S&P's Credit Week Municipal; S&P's Ratings Direct.
Figure: Municipal Bond Yields
By Percent, data is Weekly, 2005 to 2008. There are two series, "20-year general obligation" and "7-day SIFMA swap index". The 20-year series starts at about 4.5 and increases to end at about 5.7 on December 4, 2008. The 7-day series starts at about 1.6, inceases to about 4 in late 2007, decreases to about 1.3 in early 2008, spikes to about 8 in late 2008 and decreases to end at about 1 on November 26, 2008.
Note: SIFMA is the Securities Industry and Financial Markets Association.
Source: Municipal Market Advisors; Bond Buyer.
Figure: Municipal Bond Yield Ratio
As Ratio, line chart 1994 to December 4, 2008. Data is weekly as shows the 20-year General Obligation over Treasury. The series starts at about 0.83, increases to about 0.9 by early 2008, then increases to end at about 1.63.
Source: Bond Buyer.
M2 Monetary Aggregate
Aggregate and components | Percent change (annual rate)1 | Level (billions of dollars), Nov. |
|||||
---|---|---|---|---|---|---|---|
2006 | 2007 | 2008 | |||||
H1 | Q3 | Oct. | Nov. | ||||
M2 | 5.1 | 5.7 | 7.2 | 3.6 | 17.0 | 8.4 | 7,934 |
Components2 | |||||||
Currency | 3.5 | 2.0 | .9 | 6.8 | 22.9 | 14.9 | 805 |
Liquid deposits3 | 1.0 | 4.1 | 7.4 | 3.7 | .8 | 3.6 | 4,719 |
Small time deposits | 18.6 | 4.3 | -1.3 | 9.3 | 55.8 | 33.4 | 1,351 |
Retail money market funds | 13.1 | 20.3 | 22.4 | -5.5 | 39.2 | -6.6 | 1,054 |
Memo: | |||||||
Institutional money market funds | 15.8 | 39.3 | 41.8 | 2.2 | -26.4 | 51.9 | 2,243 |
Monetary base | 3.1 | 2.0 | .8 | 16.1 | 298.8 | 324.4 | 1,434 |
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
Source: Federal Reserve.
Commercial Bank Credit
Type of credit | 2006 | 2007 | H1 2008 |
Q3 2008 |
Sept. 2008 |
Oct. 2008 |
Nov. 2008e |
Level1 Nov. 2008e |
---|---|---|---|---|---|---|---|---|
Total | 10.3 | 11.2 | 4.6 | 3.6 | 14.2 | 20.7 | -13.0 | 9,545 |
Loans2 | ||||||||
Total | 12.0 | 12.1 | 6.5 | 2.3 | 11.6 | 9.8 | -10.9 | 7,175 |
To businesses | ||||||||
Commercial and industrial | 14.3 | 19.1 | 13.7 | 6.0 | 21.7 | 49.5 | -2.4 | 1,598 |
Commercial real estate | 13.6 | 10.4 | 10.2 | 1.4 | -1.2 | 3.3 | 4.1 | 1,724 |
To households | ||||||||
Residential real estate | 9.9 | 8.4 | 2.4 | -4.9 | -5.8 | -5.4 | -7.5 | 2,061 |
Revolving home equity | 3.1 | 7.1 | 13.7 | 12.0 | 16.7 | 22.4 | 5.2 | 580 |
Other | 12.3 | 8.8 | -1.2 | -10.8 | -13.9 | -15.8 | -12.4 | 1,480 |
Consumer | 2.9 | 7.9 | 7.3 | 8.4 | 6.3 | 10.6 | 6.5 | 875 |
Originated3 | 3.9 | 7.1 | 7.5 | 5.7 | 7.3 | 12.3 | -3.1 | 1,294 |
Other4 | 21.1 | 17.6 | -2.5 | 8.7 | 62.3 | -9.9 | -73.8 | 917 |
Securities | ||||||||
Total | 5.4 | 8.4 | -1.0 | 7.9 | 22.4 | 54.6 | -19.3 | 2,370 |
Treasury and agency | 2.0 | -5.8 | -1.0 | 24.1 | 30.4 | 80.1 | 59.4 | 1,401 |
Other5 | 10.7 | 29.1 | -1.0 | -9.3 | 13.0 | 24.3 | -117.1 | 969 |
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 nonbank structure activity in October 2006, March 2007, October 2007, September 2008, and December 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
e Estimated. Return to table
Source: Federal Reserve.
Figure: C&I Loan Rate Spreads
As Basis points, 1997 to 2008 Q4. Line chart. Data is quarterly. There are two series, "Weighted average" and "Weighted average adjusted". Weighted average starts at about 155, increases to about 200 by early 2004, decreases to about 180 by early 2008, and increases to end at about 195. Weighted average adjusted starts at about 155, increases to about 185 by early 2003, decreases to about 140 by early 2006, and increases to end at about 165.
Note: Spreads over market interest rate on an instrument of comparable maturity on loans less than $25 million (2006$). Weighted average adjusted is adjusted for changes in nonprice loan characteristics.
Source: Survey of Terms of Business Lending.
Figure: Growth of Unused Commitments
By Percent, data are Quarterly, line chart 1990 to 2008Q3. Series starts at about 12, decreases to about -1 in 1991, increases to about 14 in 1995, decreases to about -4 in 2003, increases to about 8 by 2006, and decreases to end at about -9.
Note: Data for 2008:Q3 are adjusted to remove the effect of JPMorgan Chase's acquisition of Washington Mutual.
Source: Call Report.
Figure: Mark-to-Market of Non-Agency MBS
By Percent, data is Quarterly, 2004 to 2008Q3. Line chart. There are two series, "Top 25" and "Other", which track very closely throughout the chart. Top 25 starts at about 103 with Other at 101. They converge at about 98 in mid-2006, and decrease to end at about 84 (Other) and 85 (Top 25).
Note: The mark-to-market value of nonagency mortgage-backed securities (MBS) is defined as the fair value over historical cost for those banks that hold non-agency securities.
Source: Call Report.
† Note: Data values for figures are rounded and may not sum to totals. Return to text