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June 2010 Tealbook Book A Tables and Charts


Financial Developments

Policy Expectations and Treasury Yields

Figure: Implied Federal Funds Rate

Line chart, 2010 to 2012. Unit is percent. There are four series, "Mean: June 15, 2010," "Mean: April 27, 2010," "Mode: June 15, 2010," and "Mode: April 27, 2010." Mean: June 15, 2010 begins at about 0.25 and remains about constant to the end of 2010. It generally increases ending at about 1.5. Mean: April 27, 2010 begins at about 0.25 and remains about constant until late 2010. It generally increases ending at about 2. Mode: June 15, 2010 begins at about 03.5 and remains about constant until late 2011. It generally increases ending at about 0.5. Mode: April 27, 2010 begins at about 0.25 and remains about constant until early 2011. It generally increases ending at about 1.

Note: Mean is estimated from federal funds and Eurodollars. Mode is estimated from distribution of federal funds rate implied by interest rate caps. Both include an allowance for term premiums and other adjustments.

Source: Bloomberg and CME group.

Figure: Distribution of Expected Quarter of First Rate Increase from the Desk's Dealer Survey

Bar chart, 2010:Q2 through 2012:Q2 or later. Unit is percent. The series begins at about 0 in 2010:Q2 and increases to about 25 in 2011:Q1. It decreases to about 5 in 2012:Q1 then increases ending at about 8.

Note: Distribution is derived from the responses of 18 primary dealers to the Desk's Dealer Survey.

Source: Federal Reserve Bank of New York.

Figure: Nominal Treasury Yields

Line chart, 2007 to 2010. Unit is percent. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the series is marked June 15. There are two series, "10-year" and "2-year." 10-year begins at about 5 and generally increases to about 5.5 in mid-2007. It fluctuates but generally decreases to about 3.5 in early 2008. It generally increases to about 4.5 in late 2008 then generally decreases to about 2.5 in early 2009. It fluctuates but generally increases to about 4 in mid-2009 then fluctuates between about 3.5 and 4 until early 2010. It generally decreases ending at about 3.5. 2-year begins at about 5 then fluctuates but generally decreases to about 1.5 in early 2008. It generally increases to about 3 in mid-2008 then generally decreases to about 0 in late 2008. It generally fluctuates between about .5 and 1.5 to the end of the timeline.

Note: Par yields from a smoothed nominal off-the-run Treasury yield curve.

Source: Staff estimates.

[Content redacted.]

Figure: 10-year Treasury Implied Volatility

Line chart, 2007 to 2010. Unit is percent. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 15. The series begins at about 4 and fluctuates but generally increases to about 10.5 in early 2008. It generally decreases to about 7 in mid-2008 then fluctuates but generally increases to about 13.5 in late 2008. It fluctuates but generally decreases to about 6 in early 2009 then generally increases to about 12 in mid-2009. It generally decreases to about 5 in early 2010 then generally increases ending at about 7.

Note: 10-year Treasury note implied volatility derived from options on futures contracts.

Source: Bloomberg.

Figure: Inflation Compensation

Line chart, 2007 to 2010. Unit is percent. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. 0 on the scale is marked by a horizontal line. The end of the timeline is labeled June 15. There are two series, "Next 5 years" (adjusted for the indexation-lag (carry) effect), and "5 to 10 years ahead." Next 5 years begins at about 2.5 and fluctuates but remains about constant until mid-2008. It generally decreases to about -1.5 in late 2008 then generally increases to about 2 in late 2009. It generally decreases ending at about 1.5. 5 to 10 years ahead begins at about 2.5 and fluctuates but remains about constant until late 2008. It generally increases to about 4 then generally decreases to about 2 at the end of 2008. It fluctuates but generally increases to about 4 in early 2010 then generally decreases ending at about 2.5.

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

Source: Barclays PLC and staff estimates.


Asset Market Developments

Figure: Equity Prices

Line chart, 2008 to 2010. Unit is an index, January 26, 2010 = 100. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 15. There are two series, "S&P 500" and "S&P 500 Bank Index." S&P 500 begins at about 120 and fluctuates but generally decreases to about 60 in early 2009. It fluctuates slightly but generally increases to about 110 in early 2010. It generally decreases ending at about 100. S&P 500 bank index begins at about 140 and fluctuates but generally increases to about 180 in late 2008. It fluctuates but generally decreases to about 40 in early 2009 then fluctuates slightly but generally increases to about 120 in early 2010. It generally decreases ending at about 100.

Source: Bloomberg.

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

Line chart, 2007 to 2010. Unit is percent, log scale. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 15. The series begins at about 5 and fluctuates but generally increases to about 30 in early 2008. It generally decreases to about 15 in mid-2008 then generally increases to about 80 in late 2008. It generally decreases to about 15 in early 2010 then generally increases to about 50. It generally decreases ending at about 25.

Source: Chicago Board Options Exchange.

Figure: Equity Risk Premium

Line chart, 1990 to 2010. Unit is percent. Data are monthly. The end of the timeline is labeled June 15. The end of the series are marked by a plus sign which denotes the latest observation using daily interest rates and stock prices and latest earning data from I/B/E/S. There are two series, "Expected 10-year real equity return," and "Expected real yield on 10-year Treasury" (off-the-run 10-year Treasury yield less Philadelphia Fed 10-year expected inflation). Expected 10-year real equity return begins at about 8 and generally increases to about 10 in late 1990. It generally decreases to about 8 in early 1991 then fluctuates but remains about constant until late 1994. It generally decreases to about 3 in late 1999 then fluctuates but generally increases to about 12 in early 2008. It generally decreases to about 8 in early 2009 then generally increases ending at about 9. Expected real yield on 10-year Treasury begins at about 4.5 and generally decreases to about 2 in late 1993. It generally increases to about 4.5 in late 1994 then generally decreases to about 2.5 in late 1998. It generally increases to about 4 in late 1999 then generally decreases to about 1 in mid-2003. It generally increases to about 2.5 in mid-2007 then generally decreases to about 0 in early 2009. It generally increases ending at about 1.

Source: Thomson Financial.

Figure: Corporate Bond Spreads

Line chart, 2002 to 2010. Unit is basis points. Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 15. There are two series, "10-year BBB (left scale)" and "10-year high-yield (right scale)." 10-year BBB begins at about 200 and generally increases to about 350 in late 2002. It generally decreases to about 75 in early 2005 then generally increases to about 650 in late 2008. It generally decreases to about 200 in early 2010 then generally increases ending at about 250. 10-year high yield begins at about 500 and generally increases to about 750 in late 2002. It generally decreases to about 250 in mid-2007 then generally increases to about 1750 in late 2008. It generally decreases to about 500 in early 2010 then generally increases ending at about 600.

Note: Measured relative to a smoothed nominal off-the-run Treasury yield curve.

Source: Merrill Lynch and staff estimates.

Figure: Libor over OIS spreads

Line chart, May 2009 to May 2010. Unit is basis points, Data are daily. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 15. There are three series, "1-month," "3-month," and "3-month, 3 months forward." 1-month begins at about 20 and generally decreases to about 10 in late June 2009. It fluctuates slightly but remains about constant until late April 2010. It generally increases ending at about 15. 3 month begins at about 80 and generally decreases to about 10 in early September 2009. It fluctuates slightly but remains about constant until late April 2010 then generally increases ending at about 35. 3-month, 3 months forward begins at about 80 and generally decreases to about 40 in mid-May 2009. It generally increases to about 65 in early June 2009 then generally decreases to about 15 in late April 2010. It generally increases to about 75 in early May 2010 then generally decreases ending at about 40.

Source: British Bankers' Association and Prebon.

Figure: Spread on 30-Day Unsecured Financial Paper

Line chart, 2007 to 2010. Unit is basis points. Data are 5-day moving average. The April FOMC meeting is marked by a vertical line. 0 on the scale is marked by a horizontal line. The series begins at about 0 and fluctuates but generally increases to about 140 in late 2008. It generally decreases to about -10 in late 2009 then generally increases ending at about 10.

Note: The spread is the AA financial unsecured rate minus the AA nonfinancial unsecured rate.

Source: Depository Trust & Clearing Corporation.


Household Finance

Figure: Mortgage Rate and MBS Yields

Line chart, February 2007 to February 2010. Unit is percent. Data are weekly. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline for the upper series is labeled June 9. The end of the timeline for the lower series is labeled June 15. There are two series, "30-year conforming fixed mortgage rate" and "MBS yield." 30-year conforming fixed mortgage rate begins at about 6.25 and generally increases to about 6.75 in May 2007. It generally decreases to about 5.5 in February 2008. It generally increases to about 6.5 in July 2008 then fluctuates but generally decreases to about to about 4.75 in April 2009. It generally increases to about 5.5 in June 2009 then fluctuates but generally decreases ending at about 4.75. MBS yield begins at about 5.75 and generally increases to about 6.5 in May 2007. It generally decreases to about 4.5 in January 2008 then generally increases to about 6.0 in March 2008. It generally decreases to about 5 in late March 2008 then generally increases to about 6.0 in July 2008. It fluctuates but generally decreases to about 3.5 in January 2009 then fluctuates but generally increases to about 5.0 in June 2009. It fluctuates but generally decreases ending at about 4.0.

Note: For MBS yield, Fannie Mae 30-year current coupon rate.

Source: For mortgage rate, Freddie Mac; for MBS yield, Bloomberg.

Figure: Spread of Mortgage Rate to Treasury Yield

Line chart, March 2007 to April 2010. Unit is basis points. Data are weekly. The April 2010 FOMC meeting is marked by a vertical line. The end of the timeline is labeled June 9. The series begins at about 150 and fluctuates but generally increases to about 250 in January 2009. It fluctuates but generally decreases to about 75 in May 2009. It generally increases to about 150 in July 2009 then generally decreases to about 100 in March 2010. It generally increases ending at about 145.

Note: Spread of 30-year conforming fixed mortgage rate relative to 10-year off-the-run Treasury yield.

Source: Bloomberg; Freddie Mac.

Figure: Delinquencies on Prime and FHA-Backed Mortgages

Line chart, 2002 to 2010. Unit is percent of loans. Data are monthly. The end of the timeline is labeled April. There are two series, "FHA" and "Prime." FHA begins at about 4 and fluctuates slightly but generally increases ending at about 8. Prime begins at about 1.5 and fluctuates but remains about constant until early 2007. It generally increases to about 7 in late 2009 then generally decreases ending at about 6.5.

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

Source: McDash.

Figure: Growth of Household Sector Debt

Line chart 1992 to 2010. Unit is percent. Data are quarterly, s.a.a.r. 0 on the scale is marked by a horizontal line. A vertical line indicates the NBER Peak in December 2007. The end of the timeline is labeled Q1. There are two series, "Consumer Credit" and "Home Mortgage." Consumer Credit begins at about -1 and generally increases to about 16 in early 1995. It fluctuates but generally decreases to about 2 in mid-1998 then generally increases to about 12 in late 1998. It generally decreases to about 5 in early 2000 then generally increases to about 14 in late 2000. It fluctuates but generally decreases to about 2 in early 2006 then generally increases to about 7 in late 2007. It generally decreases to about -7 in early 2010 then generally increases ending at about -2. Home mortgage begins at about 8 and fluctuates but remains about constant until late 1995. It fluctuates but generally increases to about 16 in mid-2003 then fluctuates but generally decreases ending at about -4.

Source: Federal Reserve.

Figure: Spread of Consumer Interest Rates to Treasury Yield

Line chart, 2001 to 2010. Unit is percentage points. The end of the upper series timeline is labeled April. The end of the lower series timeline is labeled June. There are two series, "Credit cards (offer rate)," and "New auto loans (transaction rate)." Credit cards begins at about 11 and generally increases to about 12 in late 2001. It fluctuates but generally decreases to about 7in late 2005. It generally increases to about 10 in late 2007 then generally decreases to about 8 in early 2008. It generally increases ending at about 13. New Auto Loans begins at about 4 then generally decreases to about 2 in late 2001. It generally increases to about 4 in 2002 then fluctuates between about 2 and about 4 until mid-2006 where it decreases to about 0. It fluctuates but generally increases to about 5 in early 2008 then generally decreases to about 2 in mid-2008. It generally increases to about 6 in late 2008 then generally decreases ending at about 4.

Note: Spreads are relative to 2-year Treasury yield. For credit cards, monthly; for auto loans, weekly.

Source: For credit cards, Mintel; for auto loans, PIN.

Figure: Delinquencies on Consumer Loans

Line chart, 1998 to 2010. Unit is percent. The end of the upper and lower series are marked April. The end of the middle series is labeled Q1. 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 in securitized pools begins at about 5.25 and generally decreases to about 4.5 in early 2000. It generally increases to about 5.5 in mid-2003 then generally decreases to about 3 in late 2005. It generally increases to about 6.25 in late 2008 then generally decreases ending at about 5.5. Nonrevolving consumer loans at commercial banks begins at about 3 and generally decreases to about 2 in late 2005. It generally increases to about 4.75 in late 2009 then decreases ending at about 4.5. Auto loans at captive finance companies begins at about 3 then generally decreases to about 2.25 in late 1991. It generally increases to about 3 in early 2001 then generally decreases to about 2.25 in early 2002. It generally increases to about 2.5 in late 2002 then generally decreases to about 2 in mid-2004. It generally increases to about 3.75 in early 2009 then decreases ending at about 3.5.

Source: For auto loans, Federal Reserve Board; for credit cards, Moody's Investors Service; for nonrevolving consumer loans, Call Report.


Business Finance

Figure: Selected Components of Net Debt Financing, Nonfinancial Firms

Bar chart, 2006 to 2010. Unit is billions of dollars. Data are monthly rate. There are three series, "Commercial Paper," "C&I Loans," and "Bonds." Commercial paper and C&I Loans are seasonally adjusted, period-end basis. Approximate values are: Commercial Paper: 2006, 5; 2007, 0; 2008, 5; 2009, -15; 2009:H2, -5; 2010:Q1, 5; 2010 April, -5; 2010 May (estimate), 10. C&I loans: 2006, 12; 2007, 25; 2008, 10; 2009:H1, -25; 2009:H2, -25; 2010:Q1, -25; 2009 April: -10; 2010 May (estimate), -1. Bonds: 2006, 18; 2007, 25; 2008, 18; 2009:H1: 40; 2009:H2: 20; 2010:Q1: 35; 2010 April, 30; 2010 May (estimate), 15. There is a superimposed line chart for total. Approximate values are: 2006, 35; 2007, 50; 2008, 33, 2009:H1, 0; 2009:H2, -10; 2010:Q1, 15; 2010 April, 15, 2010 May (estimate), 24.

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

Figure: Selected Components of Net Equity Issuance, Nonfinancial Firms

Bar chart, 2006 to 2010. Unit is billions of dollars. Data are monthly rate. There are four series, "Public Issuance," "Private issuance," "Repurchases," and "Cash mergers." Approximate values are: Public Issuance: 2006, 5; 2007, 7; 2008, 4; 2009:H1, 5; 2009:H2, 5; 2010:Q1 (Preliminary), 5. Private Issuance: 2006, 15; 2007, 18; 2008, 21; 2009:H1, 15; 2009:H2, 12; 2010:Q1 (Preliminary), 10. Repurchases: 2006, -35; 2007, -50; 2008, -30; 2009:H1, -10; 2009:H2, -15; 2010:Q1 (Preliminary), -20. Cash Mergers: 2006, -25; 2007, -40; 2008, -10; 2009:H1, -5; 2009:H2, -15; 2010, -10. There is also a line chart labeled total which sums the other series. Approximate values are: 2007, -40; 2007, -65; 2008, -15; 2009:H1, 15; 2009:H2, -13; 2010:Q1, -30.

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

Figure: Bond Ratings Changes of Nonfinancial Firms

Bar chart, 1990 to 2010. Unit is percent of outstandings. Data are annual rate. There are two series, "Upgrades" and "Downgrades." Upgrades begins at about 18 and decreases generally decreases to about 10 in 1994. It generally increases to about 20 in 1995 then generally decreases to about 10 in 1997. It increases to about 18 in 1998 then decreases to about 3 in 2002. It increases to about 10 in 2005 then decreases to about 3 in 2008. It increases to about 18 in 2010:Q1 then decreases ending at about 10 in April-May 2010. Downgrades begins at about -35 and decreases to about -42 in 1992. It generally increases to about -10 in 1995. It decreases to about -15 in 1996 then generally increases to about -10 in 1998. It generally decreases to about -40 in 2002 then generally increase to about -10 in 2004. It generally decreases to about -15 in 2007 then generally decreases to about -20 in 2009. It generally increases ending at about -5.

Source: Calculated using data from Moody's Investors Service.

Figure: Revisions to Expected S&P Earnings

Line chart, 2000 to 2010. Unit is percent. Data are monthly. 0 on the scale is marked by a horizontal line. The end of the timeline is labeled Mid-May. The series begins at about 0 and generally decreases to about -6 in late 2001. It generally increases to about .5 in early 2002 then generally decreases to about minus 3 in late 2002. It generally increases to about 2 in mid-2004 then generally decreases to about minus 3 in mid-2008. It generally increases to about -1 in mid-2008 then generally decreases to about -13 in late 2008. It generally increases to about -5 in early 2009 then decreases again with a note that the revision in February 2009 was -17.2%. It generally increases to about 2 in mid-2009 and fluctuates between about 1 and about 3 in late 2009. It generally decreases to about -.25 in early 2010 then generally increases ending at about 3.

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: Delinquency Rates on Commercial Mortgages on Existing Properties

Line chart, 1996 to 2010. Unit is percent. The end of the top and bottom series timelines are labeled Q1. The end of the middle series timeline is labeled May. There are three series, "At life insurance companies," "CMBS," and "At commercial banks" (excluding farmland). At life insurance companies begins at about 2.5 and generally decreases to about 0 in early 2006. It remains about constant until the end of the timeline. CMBS begins at about 0.5 in late 1998 then generally increases to about 2 in late 2003. It generally decreases to about 0.25 in mid-2007 then generally increases ending at about 8.5. At commercial banks begins at about 3.5 and generally decreases to about 1.25 in early 2000 then generally increases to about 1.75 in early 2003. It generally decreases to about 1in early 2006 then generally increases ending at about 5.75.

Note: CMBS are commercial mortgage-backed securities.

Source: Citigroup; Call Report data; ACLI.

Figure: Commercial Mortgage Debt

Line chart, 2001 to 2010. Unit is percent change, annual rate. Data are quarterly. 0 on the scale is marked by a horizontal line. The end of the timeline is labeled Q1. The series begins at about 8 and increases to about 11 in late 2001. It generally decreases to about 7 in early 2002 then generally increases to about 16 in late 2005. It generally decreases to about 8 in early 2007 then generally increases to about 14 in late 2007. It generally decreases to about -8 in late 2009 then generally increases ending at about -4.

Source: Federal Reserve.


[Box:] U.S. Dollar Funding Pressures and Dollar Liquidity Swap Lines

U.S. Dollar Funding Pressures

Figure: U.S. Dollar Libor

Line chart: February to June. Unit is basis points. Data are daily. There is a vertical yellow shaded bar marking the period from late April onward. There are two series, "3-month" and "1 month." 3-month begins at about 25 and generally increases to about 54 in late May. It remains about constant to the end of the timeline. 1-month begins at about 23 and remains about constant until mid-march. It generally increases to about 35 in early may then decreases to about 33 in mid-May. It generally increases to about 35 in late May and remains about constant to the end of the timeline.

Source: Bloomberg.

Figure: Cost of Dollar Funding from Euro-Dollar Swaps

Line chart: February to June. Unit is basis points. Data are daily. There is a vertical yellow shaded bar marking the period from late April onward. There are two series, "3-month" and "1 month." 3-mont begins at about 55 and generally increases to about 125 in late May. It generally decreases ending at about 100. 1-month begins at about 30 and generally increases to about 80 in early May. It generally decreases to about 55 in mid-May then generally increases to about 105 in late May. It generally decreases ending at about 75.

Note: Cost of funding implied from euro-dollar FX swaps assuming banks pay euro Libor to obtain funding.

Source: Bloomberg, FRBNY.

Figure: Unsecured Financial Commercial Paper Outstanding in the U.S. Market

Line chart: February to June. Unit is billions of dollars. Data are daily. There is a vertical yellow shaded bar marking the period from late April onward. There are four series, "Other euro-area countries," "United States," "United Kingdom and Switzerland," and "Peripheral euro-are countries" (Portugal, Ireland, Greece, Italy, and Spain). Other euro-area countries begins at about 195 and generally increases to about 200 in late February. It generally decreases to about 170 in late March then generally increases to about 185 in late April. It generally decreases ending at about 160. United States begins at about 110 and generally decreases to about 105 in early March. It increases to about 115 in late March then generally decreases to about 110 in early April. It fluctuates but remains about constant to the end of the timeline. United Kingdom and Switzerland begins at about 65 and remains about constant until late April. It generally increases to about 70 in early May then generally decreases to about 60 in late May. It generally increases ending at about 70. Peripheral euro-area countries begins at about 65 and remains about constant until early April. It generally decreases ending at about 30.

Note: By nationality of issuer.

Source: DTCC.


U.S. Dollar Liquidity Provided under Reestablished Swap Facilities
Central Bank Date Liquidity
Provided
Interest Rate
(Percent)
Amount
($ billions)
One-Week Operations:
ECB May 12 1.22 9.2
May 20 1.22 0
May 27 1.23 5.4
June 3 1.21 0
June 10 1.20 0
Three-Month Operations:
ECB May 20 1.24 1.0
BOJ May 20 1.24 .2
Memo:
Amount outstanding as of June 16: 1.2

Source: ECB, BOJ.


Foreign Developments

Figure: Nominal Trade-Weighted Dollar Indexes

Line chart, 2007 to 2010. Unit is an index, January 1, 2007 = 100. Data are daily. The end of the timeline is labeled June 15. There are three series, "Broad," "Major," and "OITP." Broad begins at about 100 and generally decreases to about 90 in early 2008. It fluctuates but remains about constant until mid-2008 then generally increases to about 106 in early 2009. It generally decreases to about 93 in late 2009 then generally increases ending at about 100. Major begins at about 100 and generally decreases to about 87 in late 2007. It generally increases to about 93 in late 2007 then generally decreases to about 85 in mid-2008. It generally increases to about 105 in late 2008 then generally decreases to about 95 in late 2008 then generally decreases to about 95 in late 2008. It generally increases to about 106 in early 2009 then generally decreases to about 87 in late 2009. It generally decreases ending at about 97. OITP begins at about 100 and generally decreases to about 90 in late 2008. It generally increases to about 110 in early 2009 then generally decreases to about 97 in early 2010. It generally increases ending at about 100.

Source: Federal Reserve and Bloomberg.

Figure: Stock Price Indexes

Line chart, 2007 to 2010. Unit is an index, January 1, 2007 = 100. Data are daily. The end of the timeline is labeled June 15. There are four series, "DJ Euro," "Topix," "FTSE," and MSCI Emerging Markets. DJ Euro begins at about 100 and generally increases to about 110 in late 2007. It fluctuates but generally decreases to about 40 in early 2009 then generally increases to about 65 in late 2009. It fluctuates but remains about constant to the end of the timeline. Topix begins at about 100 and generally decreases to about 65 in early 2008. It generally increases to about 80 in mid-2008 then generally decreases to about 40 in early 2009. It fluctuates but generally increases to about 60 in early 2010 then generally decreases ending at about 50. FTSE begins at about 100 and generally increases to about 110 in late 2007. It generally decreases to about 85 in early 2008 then generally increases to about 100 in mid-2008. It fluctuates but generally decreases to about 55 in early 2009 then fluctuates but generally increases to about 90 in early 2010. It generally decreases ending at about 80. MSCI Emerging Markets begins at about 100 and generally increases to about 150 in late 2007. It fluctuates but generally decreases to about 110 in early 2008 then increases to about 140 in mid-2008. It fluctuates but generally decreases to about 50 in late 2008 then fluctuates but generally increases to about 115 in early 2010. It generally decreases ending at about 90.

Source: Bloomberg.

Figure: Nominal 10-Year Government Bond Yields

Line chart, 2007 to 2010. Unit is percent. Data are daily. The end of the timeline is labeled June 15. There are three series, "Germany," "United Kingdom," and "Japan." Germany begins at about 4 and generally increases to about 4.75 in late 2007. It generally decreases to about 3.5 in early 2008 then generally increases to about 4.75 in mid-2008. It generally decreases to about 3 in late 2008 then generally increases to about 3.5 in mid-2009. It generally decreases ending at about 2.5. United Kingdom begins at about 5 and generally increases to about 5.5 in mid-2007. It generally decreases to about 4.25 in early 2008 then generally increases to about 5.25 in mid-2008. It generally decreases to about 3 in early 2009 then generally increases to about 4 in early 2010. It generally decreases ending at about 3.5. Japan begins at about 1.75 and generally increases to about 2 in mid-2007. It generally decreases to about 1.25 in early 2008 then generally increases to about 1.75 in mid-2008. It generally decreases to about 1 in early 2009 and fluctuates but remains about constant to the end of the timeline.

Source: Bloomberg.

Figure: Foreign Net Purchases of U.S. Treasury Securities

Bar chart, 2007 to 2010. Unit is billions of dollars, annual rate. There are two series, "Private" and "Official." Private begins at about 80 and increases to about 85 in late 2007. It increases to about 100 in early 2008 then increases to about 325 in late 2008. It decreases to about 85in early 2009 then decreases to about 25 in late 2009. It increases to about 500 in 2010:Q1 then decreases to about 400 in April 2010. Official begins at about 85 and increases to about 100 in late 2007. It increases to about 350 in early 2008 and again to about 575 in late 2008. It decreases to about 475 in early 2009 then increases to about 500 in late 2009. It decreases to about 450 in 2010:Q1 and increases to about 600 in April 2010.

Source: Treasury International Capital data adjusted for staff estimates.

Figure: Euro-Area 2-year Government Bond Spreads

Line chart, 2007 to 2010. Unit is percent. 0 on the scale is marked by a horizontal line. The end of the timeline is labeled June 15. There are three series, "Greece (left scale)," "Portugal (right scale)," and "Spain (right scale)." Greece begins at about 0 and remains about constant until late 2007. It generally increases to about 3 in early 2009 then generally decreases to about 0 in late 2009. It fluctuates but generally increases to about 18 in mid-2010 then generally decreases ending at about 8. Portugal begins at about 0 and fluctuates but generally increases to about 1.5 in early 2009. It generally decreases to about 0 in late 2009 then fluctuates but generally increases to about 5.5 in early 2010. It generally decreases ending at about 2.75. Spain begins at about 0 and remains about constant until late 2007. It generally increases to about 1.5 in late 2008 then generally decreases to about .25 in early 2009. It generally increases to about .75 in early 209 then generally decreases to about 0 in mid-2009. It fluctuates but generally increases to about 2 in early 2010 then generally decreases to about .25 in early 2010. It generally increases to about 2.5 in mid-2010 then almost immediately decreases to about 2. It generally increases ending at about 2.75.

Note: Spread over German bunds.

Source: Bloomberg.

Figure: 3-Month Libor-OIS Spreads

Line chart, 2007 to 2010. Unit is percent. Data are daily. 0.0 on the scale is marked by a horizontal line. There are three series, "Dollar," "Euro," and "Sterling." Dollar begins at about 0.0 and remains about constant until mid-2007. It fluctuates but generally increases to about 1.0 in late 2007 then generally decreases to about 0.25 in early 2008. It generally increases to about 3.75 in late 2008 then generally decreases to about 0.0 in late 2009. It remains about constant until mid-2010 then generally increases ending at about 0.25. Euro begins at about 0.0 and remains about constant until mid-2007. It fluctuates but generally increases to about 0.75 in late 2007 then generally decreases to about 0.5 in early 2008. It generally increases to about 1.75 in late 2008 then generally decreases to about 0.25 in early 2010. It remains about constant until the end of the timeline. Sterling begins at about 0.0 and remains about constant until mid-2007. It fluctuates but generally increases to about 1.0 in late 2007 then generally decreases to about 0.25 in early 2008. It fluctuates but generally increases to about 2.5 in early 2009 then generally decreases to about 0.25 in late 2009. It remains about constant to the end of the timeline.

Source: Bloomberg.


Commercial Banking and Money

Figure: Bank Credit

Line chart, January 2007 to May 2010. Unit is an index, January 2008 = 100. Data are monthly averages. The end of the timeline is labeled May. There are two series, "Securities" and "Core Loans." Securities begins at about 95 and generally increases to about 107 in October 2008. It generally decreases to about 104 in January 2009 then generally increases ending at about 110. Core loans begins at about 90 and generally increases to about 103 in February 2009. It generally decreases ending at about 90.

Note: The data have been adjusted to remove the effects of consolidations of assets under FAS 166 and FAS 167. Core loans consist of commercial and industrial, real estate, and consumer loans. A vertical line indicates the NBER Peak in December 2007.

Source: Federal Reserve.

Figure: Growth in Loans at Domestic Banks

Stacked bar chart, 1989 to 2010. Unit is 4-quarter percent change. The end of the timeline is labeled Q1. There are two series, "Strong banks' contribution" and "Weak banks' contribution." Strong banks' contribution begins at about 6 and remains about constant until late 1989. It generally increases to about 7 in late 1989 then generally decreases to about 0 in early 1991. It generally increases to about 11 in mid-1995 then generally decreases to about 4 in early 1998. It generally increases to about 10 in late 2000. It generally decreases to about 1 in early 2002 then generally increases to about 10 in mid-2005. It generally decreases to about 7 in early 2007 then generally increases to about 11 in late 2007. It generally decreases ending at about -5. Weak banks' contributions begins at about -1 and remains about constant until late 1989. It generally increases to -4 in early 1992 then generally increases to about 0 in early 1994. It remains about constant until late 2008 then generally increases ending at about -9.

Note: Strong banks are banks that have CAMELS ratings of 1 or 2. Weak banks are banks that have CAMELS ratings of 3, 4, or 5.

Source: For growth in loans, Call Report; for CAMELS ratings, FFIEC.

Figure: Spread on C&I loans

Line chart, 1997 to 2010. Unit is basis points. Data are quarterly. The end of the timeline is labeled Q2. There are two series, "Commitment size less than $1 million," and "Loan size less than $25 million." Commitment size less than $1 million begins at about 390 and generally decreases to about 350 in mid-2000. It generally increases to about 425 in early 2003 then generally decreases to about 340 in mid-2007. It generally increases ending at about 450. Loan size less than $25 million begins at about 150 and generally increases to about 175 in late 2002. It generally decreases to about 125 in late 2008 then generally increases ending at about 225.

Note: The spread on C&I loans over a market interest rate on an instrument of comparable maturity, adjusted for changes in nonprice loan characteristics. A vertical line indicates the NBER Peak in December 2007.

Source: Survey of Terms of Business Lending.

Figure: Growth of M2

Bar chart, 2008 to 2010. Unit is percent. Data are s.a.a.r. Approximate values are: 2008: 8.5. 2009:H1: 7. 2009:H2: 3. 2010:Q1: -0.5. 2010 April: -5. 2010 May (preliminary): 11.

Source: Federal Reserve.


Growth of M2 and Its Components
Percent, s.a.a.r.
M2 Liquid
deposits
Small time
deposits
RMMF Curr.
2008 8.5 6.9 12.3 13.4 5.8
2009
H1 7.4 16.0 -6.0 -15.7 10.8
H2 2.8 17.0 -26.5 -29.9 2.9
2010
Q1 -.2 9.1 -25.3 -29.2 2.1
Apr. -4.5 .7 -20.0 -36.0 7.4
May (p) 11.3 19.0 -18.8 3.1 5.3

p Preliminary.  Return to table

Source: Federal Reserve.


Figure: Interest Rates on Selected Components of M2

Line chart, 2008 to 2010. Unit is percent. Data are monthly. The end of the timeline is labeled May (preliminary). There are three series, "Money Market mutual funds," "Small time deposits," and "Liquid deposits." Money Market mutual funds begins at about 3.5 and generally decreases to about 1.75 in mid-2008. It remains about constant until late 2008 then generally decreases to about 0.25 in mid-1009. It remains about constant to the end of the timeline. Small time deposits begins at about 3 and generally decreases to about 1.75 in early 2008. It generally increases to about 2 in late 2008 then generally decreases ending at about 0.5.

Source: Federal Reserve; Call Report; Bank Rate Monitor.


[Box:] Balance Sheet Developments over the Intermeeting Period

Federal Reserve Balance Sheet
Billions of dollars
Change
since last
FOMC
Current
(06/14/2010)
Maximum
level
Date of
maximum
level
Total assets 20 2,351 2,364 05/13/10
Selected assets:
Liquidity programs for financial firms -4 2 1,247 11/06/08
Primary, secondary, and seasonal credit -6 +0 114 10/28/08
Term auction credit (TAF) 0 0 493 03/11/09
Foreign central bank liquidity swaps 1 1 586 12/04/08
Primary dealer credit facility (PDCF) 0 0 156 09/29/08
Asset-Backed Commercial Paper Money Market
       Mutual Fund Liquidity Facility (AMLF)
0 0 152 10/01/08
Lending through other credit facilities -7 43 351 01/23/09
Net portfolio holdings of Commercial Paper
       Funding Facility LLC (CPFF)
-5 +0 351 01/23/09
Term Asset-Backed Securities Loan Facility (TALF) -2 43 49 03/11/10
Support for specific institutions 2 119 121 05/05/10
Credit extended to AIG, net -1 26 91 10/27/08
Preferred interests in AIA Aurora LLC and ALICO
       Holdings LLC
0 25 25 06/14/10
Net portfolio holdings of Maiden Lane LLC, Maiden
       Lane II LLC, and Maiden Lane III LLC
2 67 75 12/30/08
Securities held outright* 31 2,073 2,073 06/14/10
U.S. Treasury securities +0 777 791 08/14/07
Agency debt securities -2 167 169 03/11/10
Agency mortgage-backed securities** 33 1,129 1,129 06/14/10
Memo: Term securities lending facility (TSLF) 0 0 236 10/01/08
Total liabilities 18 2,294 2,309 05/13/10
Selected liabilities:
Federal Reserve notes in circulation 5 899 904 06/02/10
Reserve balances of depository institutions 45 1,081 1,249 02/24/10
U.S. Treasury, general account -56 13 187 12/31/09
U.S. Treasury, supplementary financing account +0 200 559 10/22/08
Other deposits 15 16 81 03/12/10
Total capital 2 57 57 06/14/10

+0 (-0) denotes positive (negative) value rounded to zero.  Return to table

* Par value.  Return to table

** Includes only mortgage-backed securities that have already settled. Although agency MBS purchases were completed at the end of March 2010, settlements will continue for the next couple of months. Total MBS purchases are about $1.25 trillion.  Return to table


[Box:] The First Small-Value Term Deposit Facility Auction

Table 1: DIs Registered for TDF Participation as of June 14, 2010
Entity type Number of registered DIs Reserve balances held by registered DIs*
($ in billions)
Large banks** 16 425
Foreign institutions 15 94
Small institutions*** 326 45
Total 357 563

* Average balances held during maintenance period ended June 2, 2010. Total average reserve balances for the same period were $1,079 billion.  Return to table

** Includes large money center banks and other large commercial banks.  Return to table

*** Includes small commercial banks and thrifts.  Return to table


Table 2: Bids and Awards for June 14, 2010, TDF Auction
Submitted Awarded
Competitive
Volume ($ in millions) 6,138 1,000
Number of bids 156 18
Number of institutions 71 13
Noncompetitive
Volume ($ in millions) 152 152
Number of bids 38 38
Total
Volume ($ in millions) 6,291 1,152
Number of bids 194 56
Number of institutions 109 51

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

Last update: January 29, 2016