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Accessible Version

Figure 1: Asset Valuation Indicators

Price-to-earnings ratio in U.S. equity market

Monthly

Period Ratio
September 1978 8.12
October 1978 7.30
November 1978 7.33
December 1978 7.35
January 1979 7.34
February 1979 7.12
March 1979 7.45
April 1979 7.41
May 1979 7.05
June 1979 7.17
July 1979 7.15
August 1979 7.42
September 1979 7.32
October 1979 6.73
November 1979 7.02
December 1979 7.08
January 1980 7.41
February 1980 7.40
March 1980 6.72
April 1980 6.91
May 1980 7.06
June 1980 7.08
July 1980 7.47
August 1980 7.47
September 1980 7.57
October 1980 7.61
November 1980 8.24
December 1980 7.79
January 1981 7.32
February 1981 7.40
March 1981 7.62
April 1981 7.43
May 1981 7.34
June 1981 7.20
July 1981 7.16
August 1981 6.65
September 1981 6.22
October 1981 6.51
November 1981 6.78
December 1981 6.62
January 1982 6.45
February 1982 7.12
March 1982 6.25
April 1982 6.62
May 1982 6.46
June 1982 6.37
July 1982 6.31
August 1982 7.17
September 1982 7.24
October 1982 8.08
November 1982 8.40
December 1982 8.49
January 1983 8.76
February 1983 8.93
March 1983 9.17
April 1983 9.71
May 1983 9.62
June 1983 9.83
July 1983 9.35
August 1983 9.24
September 1983 9.28
October 1983 8.99
November 1983 9.05
December 1983 8.84
January 1984 8.62
February 1984 8.15
March 1984 8.20
April 1984 8.17
May 1984 7.59
June 1984 7.65
July 1984 7.44
August 1984 8.24
September 1984 8.19
October 1984 8.16
November 1984 8.03
December 1984 8.21
January 1985 8.87
February 1985 8.98
March 1985 8.97
April 1985 9.02
May 1985 9.59
June 1985 9.71
July 1985 9.66
August 1985 9.49
September 1985 9.27
October 1985 9.46
November 1985 9.56
December 1985 10.14
January 1986 10.50
February 1986 10.59
March 1986 11.50
April 1986 12.17
May 1986 12.07
June 1986 12.64
July 1986 12.76
August 1986 12.07
September 1986 12.92
October 1986 11.75
November 1986 12.33
December 1986 12.48
January 1987 12.04
February 1987 13.48
March 1987 13.85
April 1987 14.02
May 1987 13.38
June 1987 13.56
July 1987 14.20
August 1987 15.39
September 1987 13.37
October 1987 10.08
November 1987 10.50
December 1987 10.62
January 1988 10.74
February 1988 10.84
March 1988 11.30
April 1988 10.70
May 1988 9.99
June 1988 10.75
July 1988 10.43
August 1988 9.91
September 1988 10.12
October 1988 10.34
November 1988 9.71
December 1988 10.05
January 1989 10.27
February 1989 10.41
March 1989 10.35
April 1989 10.67
May 1989 10.97
June 1989 11.11
July 1989 11.50
August 1989 11.83
September 1989 11.77
October 1989 11.78
November 1989 11.78
December 1989 12.20
January 1990 11.78
February 1990 11.52
March 1990 11.73
April 1990 11.87
May 1990 12.31
June 1990 12.63
July 1990 12.60
August 1990 11.70
September 1990 10.97
October 1990 10.44
November 1990 11.38
December 1990 11.87
January 1991 11.43
February 1991 13.56
March 1991 13.88
April 1991 14.60
May 1991 13.77
June 1991 14.02
July 1991 14.23
August 1991 14.47
September 1991 14.26
October 1991 14.41
November 1991 14.54
December 1991 14.09
January 1992 15.52
February 1992 15.12
March 1992 15.01
April 1992 15.00
May 1992 14.92
June 1992 14.24
July 1992 14.59
August 1992 14.61
September 1992 14.57
October 1992 14.18
November 1992 14.73
December 1992 15.00
January 1993 14.92
February 1993 14.93
March 1993 15.30
April 1993 15.31
May 1993 15.09
June 1993 14.89
July 1993 14.85
August 1993 14.98
September 1993 15.02
October 1993 14.89
November 1993 14.85
December 1993 14.68
January 1994 14.99
February 1994 14.75
March 1994 14.52
April 1994 13.64
May 1994 13.61
June 1994 13.70
July 1994 13.20
August 1994 13.39
September 1994 13.30
October 1994 13.09
November 1994 12.72
December 1994 12.28
January 1995 12.47
February 1995 12.70
March 1995 12.78
April 1995 12.97
May 1995 13.24
June 1995 13.37
July 1995 13.58
August 1995 13.61
September 1995 13.92
October 1995 14.00
November 1995 14.03
December 1995 14.57
January 1996 14.26
February 1996 15.37
March 1996 14.95
April 1996 14.98
May 1996 15.35
June 1996 15.16
July 1996 14.45
August 1996 14.98
September 1996 15.32
October 1996 15.68
November 1996 16.13
December 1996 15.95
January 1997 16.54
February 1997 17.36
March 1997 16.71
April 1997 16.05
May 1997 17.38
June 1997 18.37
July 1997 19.17
August 1997 18.65
September 1997 18.96
October 1997 19.26
November 1997 18.74
December 1997 19.06
January 1998 18.79
February 1998 20.32
March 1998 21.45
April 1998 22.05
May 1998 21.83
June 1998 21.54
July 1998 22.73
August 1998 21.19
September 1998 20.04
October 1998 19.42
November 1998 22.16
December 1998 22.69
January 1999 24.03
February 1999 23.61
March 1999 24.88
April 1999 25.06
May 1999 24.86
June 1999 24.30
July 1999 25.29
August 1999 23.72
September 1999 23.27
October 1999 22.48
November 1999 24.59
December 1999 24.60
January 2000 25.06
February 2000 23.40
March 2000 23.20
April 2000 23.61
May 2000 23.64
June 2000 23.78
July 2000 23.78
August 2000 23.67
September 2000 23.69
October 2000 21.46
November 2000 22.42
December 2000 22.37
January 2001 22.34
February 2001 22.26
March 2001 20.07
April 2001 21.90
May 2001 22.78
June 2001 21.94
July 2001 21.72
August 2001 21.27
September 2001 18.03
October 2001 20.41
November 2001 21.94
December 2001 22.00
January 2002 21.57
February 2002 20.69
March 2002 21.08
April 2002 20.41
May 2002 19.66
June 2002 17.94
July 2002 15.67
August 2002 16.73
September 2002 15.19
October 2002 16.09
November 2002 16.57
December 2002 16.21
January 2003 16.76
February 2003 15.38
March 2003 15.88
April 2003 16.13
May 2003 16.90
June 2003 17.57
July 2003 17.14
August 2003 17.03
September 2003 17.62
October 2003 17.60
November 2003 17.10
December 2003 17.87
January 2004 18.26
February 2004 18.15
March 2004 17.50
April 2004 17.25
May 2004 16.11
June 2004 16.49
July 2004 15.86
August 2004 15.53
September 2004 15.87
October 2004 15.42
November 2004 16.28
December 2004 16.41
January 2005 15.96
February 2005 16.12
March 2005 15.81
April 2005 15.25
May 2005 15.43
June 2005 15.55
July 2005 15.54
August 2005 15.07
September 2005 14.92
October 2005 13.99
November 2005 14.68
December 2005 14.91
January 2006 14.96
February 2006 14.91
March 2006 14.96
April 2006 14.92
May 2006 14.14
June 2006 13.91
July 2006 13.70
August 2006 14.04
September 2006 14.20
October 2006 14.68
November 2006 14.91
December 2006 15.06
January 2007 15.05
February 2007 15.35
March 2007 14.55
April 2007 15.24
May 2007 15.44
June 2007 15.32
July 2007 15.41
August 2007 13.81
September 2007 14.80
October 2007 14.94
November 2007 13.79
December 2007 14.33
January 2008 12.94
February 2008 13.30
March 2008 13.43
April 2008 13.84
May 2008 14.44
June 2008 13.56
July 2008 12.71
August 2008 13.25
September 2008 12.32
October 2008 10.15
November 2008 9.01
December 2008 11.37
January 2009 11.49
February 2009 12.27
March 2009 12.88
April 2009 13.91
May 2009 14.37
June 2009 14.13
July 2009 14.10
August 2009 14.66
September 2009 15.22
October 2009 15.25
November 2009 14.62
December 2009 14.36
January 2010 14.78
February 2010 13.98
March 2010 14.47
April 2010 14.61
May 2010 12.31
June 2010 12.67
July 2010 12.29
August 2010 11.82
September 2010 12.27
October 2010 12.70
November 2010 12.77
December 2010 13.07
January 2011 13.17
February 2011 13.64
March 2011 12.74
April 2011 12.93

Note: S&P 500 12-month forward price-to-earnings ratio.

Source: Thomson Financial.


 

Price-to-rent ratio in U.S. residential real estate market

Quarterly

Period Percent
1978:Q1 -4.59
1978:Q2 -4.34
1978:Q3 -2.22
1978:Q4 -1.53
1979:Q1 1.71
1979:Q2 4.60
1979:Q3 4.97
1979:Q4 5.49
1980:Q1 5.68
1980:Q2 5.28
1980:Q3 5.75
1980:Q4 5.09
1981:Q1 4.73
1981:Q2 4.30
1981:Q3 3.18
1981:Q4 2.65
1982:Q1 0.83
1982:Q2 -0.36
1982:Q3 -2.24
1982:Q4 -3.72
1983:Q1 -4.19
1983:Q2 -4.11
1983:Q3 -3.90
1983:Q4 -3.85
1984:Q1 -3.84
1984:Q2 -3.84
1984:Q3 -3.91
1984:Q4 -4.97
1985:Q1 -4.96
1985:Q2 -5.35
1985:Q3 -5.79
1985:Q4 -5.65
1986:Q1 -4.61
1986:Q2 -4.57
1986:Q3 -3.62
1986:Q4 -3.29
1987:Q1 -0.74
1987:Q2 1.40
1987:Q3 2.18
1987:Q4 2.86
1988:Q1 3.09
1988:Q2 4.89
1988:Q3 6.46
1988:Q4 7.61
1989:Q1 9.14
1989:Q2 9.53
1989:Q3 8.83
1989:Q4 8.93
1990:Q1 9.08
1990:Q2 7.88
1990:Q3 5.82
1990:Q4 3.98
1991:Q1 2.11
1991:Q2 2.15
1991:Q3 0.93
1991:Q4 -0.31
1992:Q1 -0.80
1992:Q2 -1.47
1992:Q3 -2.39
1992:Q4 -3.08
1993:Q1 -3.53
1993:Q2 -3.89
1993:Q3 -3.77
1993:Q4 -3.50
1994:Q1 -4.19
1994:Q2 -4.18
1994:Q3 -4.71
1994:Q4 -5.04
1995:Q1 -5.71
1995:Q2 -5.94
1995:Q3 -5.76
1995:Q4 -6.05
1996:Q1 -6.21
1996:Q2 -6.02
1996:Q3 -6.55
1996:Q4 -6.90
1997:Q1 -6.92
1997:Q2 -6.67
1997:Q3 -6.42
1997:Q4 -5.68
1998:Q1 -4.28
1998:Q2 -3.89
1998:Q3 -3.21
1998:Q4 -2.31
1999:Q1 -1.77
1999:Q2 -0.55
1999:Q3 0.68
1999:Q4 1.69
2000:Q1 3.34
2000:Q2 5.17
2000:Q3 6.21
2000:Q4 6.89
2001:Q1 8.36
2001:Q2 8.66
2001:Q3 9.35
2001:Q4 9.66
2002:Q1 10.76
2002:Q2 12.56
2002:Q3 14.21
2002:Q4 14.68
2003:Q1 16.24
2003:Q2 17.55
2003:Q3 19.86
2003:Q4 21.88
2004:Q1 25.59
2004:Q2 28.93
2004:Q3 31.14
2004:Q4 33.48
2005:Q1 38.44
2005:Q2 41.01
2005:Q3 43.22
2005:Q4 44.45
2006:Q1 46.08
2006:Q2 43.94
2006:Q3 41.91
2006:Q4 40.66
2007:Q1 38.17
2007:Q2 34.71
2007:Q3 30.68
2007:Q4 26.10
2008:Q1 21.02
2008:Q2 15.78
2008:Q3 10.08
2008:Q4 2.85
2009:Q1 -3.76
2009:Q2 -3.18
2009:Q3 -2.07
2009:Q4 -1.79
2010:Q1 -1.44
2010:Q2 -1.39
2010:Q3 -5.29
2010:Q4 -7.62
2011:Q1 -10.52

Note: Deviation from long-run relationship between house prices and rents.

Source: CoreLogic and Federal Reserve staff estimates.


 

Figure 2: Corporate Bond Market

Credit spreads

Series: 10-year high-yield and 10-year BBB

Horizon: 2002 to mid-2011

Description: Data are plotted as two curves. Data are daily. Units are basis points (for 10-year high-yield, right scale; for 10-year BBB, left scale).

The panel shows daily credit spreads of 10-year high-yield and 10-year BBB corporate bonds relative to off-the-run 10-year Treasury bonds.

For 10-year high-yield, the series begins at the start of 2002 just above 500 basis points. It steadily rises, peaking just below about 800 in late 2002 before falling for the next two years. From the end of 2004 through most of 2007, the series stabilizes in a range between approximately 300 and 400. At the end of 2007, the series skyrockets to a bit above 1,650 in late 2008. The series consistently and dramatically declines thereafter, except for a brief 200-point jump in mid-2010, and hovers at about 400 in mid-2011.

For 10-year BBB, the series follows a trajectory identical to that of the 10-year high-yield series, but with the former trading at a substantially lower spread. In general, the spread between the series is about 200 to 300. However, that spread widens noticeably in 2008 and 2009. The BBB series peaks in late 2008 at approximately 650. After 2008, the series precipitously declines and finishes in mid-2011 at approximately 180, having traded at about that value over the previous five months.

The curve for 10-year high-yield corporate bonds and the curve for 10-year BBB corporate bonds overlap in late 2008 and early 2009.

Note: Measured relative to an estimated off-the-run Treasury yield curve.

Source: Merrill Lynch and Federal Reserve staff estimates.


 

Far-term forward spreads

Series: High-yield and BBB

Horizon: 2000 to mid-2011

Description: Data are plotted as two curves. Data are daily. Units are percent (for high-yield, right scale; for BBB, left scale).

The panel shows far-term forward spreads for high-yield and BBB corporate bonds. The far-term forward spread is calculated by subtracting the yield of a 9-year bond from that of a 10-year bond for a given bond rating.

For high-yield, the series begins in 2000 at 3 percent before rapidly rising to above 6 in late 2000. The series then generally falls through early 2002 to below 3 before rising precipitously to almost reach 6 in late 2002. The series falls from 2003 until the end of 2004; after trending at around 2 in late 2004, it increases to above 3 in early 2005. It stagnates near 3 for the next two years before increasing dramatically in late 2007 through 2008, peaking at about 13 in late 2008. The series falls swiftly for the next two years, finishing in mid-2011 at about 1.5.

For BBB, the series follows a trajectory similar to that of the high-yield series over the time shown. The BBB series starts in 2000 at approximately 1.5 before rising to about 3 late in the year. It generally falls for about the next four years, bottoming out in early 2005 at approximately 1. The series gradually rises in 2005, 2006, and 2007 before accelerating to a peak of about 5 in late 2008. It steadily declines for the rest of the time shown, finishing in mid-2011 at a bit more than 1.

The curve for high-yield corporate bonds and the curve for BBB corporate bonds overlap in late 2001, early 2002, late 2003, early 2004, late 2008, mid-2010, and late 2010.

Note: Far-term forward spread between years 9 and 10.

Source: Merrill Lynch and Federal Reserve staff estimates.


 

Figure 3: Syndicated Leveraged Loan Market

By lender type

Series: Bank and institutional

Horizon: 1998 to 2011:Q1

Description: Data are plotted as bars. Units are billions of dollars, annual rate.

Bank issuance begins in 1998 with about $230 billion. It increases about 30 to reach approximately 265 in 1999, where it remains in 2000. Bank issuance suffers large declines to about 185 in 2001 and about 165 in 2002. However, the series rebounds strongly over the next several years. In 2003, it reaches a bit more than 200. For 2004 through 2008, bank issuance remains over 220. In 2009, it declines to about 180. In the first half of 2010, it drops to approximately 170, and in the second half of the year, it finishes slightly lower than that. Bank issuance continues to fall in the first quarter of 2011, ending at approximately 150.

Institutional (nonbank) issuance is far more volatile than bank issuance. In 1998, institutional issuance totals about 45. It remains below 100 until 2003, when it reaches approximately 120. It nearly doubles in 2004 to about 225 and increases sharply over the next three years to peak at approximately 425 in 2007. Institutional issuance tumbles in 2008 to about 70 and remains close to that amount in 2009. It recovers in the first half of 2010 to approximately 175, rises in the second half to about 225, and skyrockets in the first quarter of 2011 to about 415.

Source: Thomson Reuters LPC -- LoanConnector.


 

By use

Series: Refinancings and new money

Horizon: 1998 to 2011:Q1

Description: Data are plotted as bars. Units are billions of dollars, annual rate.

Issuance for refinancings begins in 1998 when it accounts for approximately $100 billion and for roughly similar amounts through 2002; it first cracks the 200 barrier in 2003. After reaching approximately 250 in 2004, the series generally declines over the next four years, hitting its nadir at about 100 in 2008. In 2009 and the first and second halves of 2010, refinancing issuance remains between about 150 and 200; it skyrockets in the first quarter of 2011 to just below 400.

New money issuance hovers between about 150 and 180 from 1998 through 2000. In 2001, it declines sharply to approximately 100, where it generally remains until 2004, when it about doubles in value. The series rises to about 250 in 2005 and to about 400 in 2006; it then briskly increases to a bit above 470 in 2007 before tumbling over the next two years to a low of approximately 80 in 2009. New money issuance recovers in 2010, reaching about 125 in the first half and slightly over 200 in the second half; it declines slightly below 200 in the first quarter of 2011.

Source: Thomson Reuters LPC -- LoanConnector.


 

Figure 4: Senior Loan Officer Opinion Survey on Bank Lending Practices

Net fraction of banks tightening standards on C&I loans

Quarterly

Period Percent
1990:Q2 56.90
1990:Q3 39.45
1990:Q4 48.90
1991:Q1 36.00
1991:Q2 15.50
1991:Q3 12.25
1991:Q4 9.00
1992:Q1 5.25
1992:Q2 0.90
1992:Q3 -1.70
1992:Q4 4.35
1993:Q1 2.65
1993:Q2 -7.85
1993:Q3 -19.45
1993:Q4 -17.75
1994:Q1 -12.95
1994:Q2 -12.20
1994:Q3 -6.95
1994:Q4 -17.40
1995:Q1 -6.85
1995:Q2 -5.90
1995:Q3 -6.05
1995:Q4 -3.45
1996:Q1 6.95
1996:Q2 -0.90
1996:Q3 -3.70
1996:Q4 -7.80
1997:Q1 -5.45
1997:Q2 -6.95
1997:Q3 -5.70
1997:Q4 -7.00
1998:Q1 1.80
1998:Q2 -7.10
1998:Q3 0.00
1998:Q4 36.40
1999:Q1 7.40
1999:Q2 10.00
1999:Q3 5.40
1999:Q4 9.10
2000:Q1 10.90
2000:Q2 24.60
2000:Q3 33.90
2000:Q4 43.80
2001:Q1 59.70
2001:Q2 50.90
2001:Q3 40.40
2001:Q4 50.90
2002:Q1 45.40
2002:Q2 25.00
2002:Q3 21.40
2002:Q4 20.00
2003:Q1 22.00
2003:Q2 8.90
2003:Q3 3.50
2003:Q4 0.00
2004:Q1 -17.90
2004:Q2 -23.20
2004:Q3 -20.00
2004:Q4 -21.10
2005:Q1 -23.60
2005:Q2 -24.10
2005:Q3 -16.70
2005:Q4 -8.80
2006:Q1 -10.70
2006:Q2 -12.30
2006:Q3 -8.90
2006:Q4 0.00
2007:Q1 0.00
2007:Q2 -3.70
2007:Q3 7.50
2007:Q4 19.20
2008:Q1 32.20
2008:Q2 55.40
2008:Q3 57.60
2008:Q4 83.60
2009:Q1 64.20
2009:Q2 39.60
2009:Q3 31.50
2009:Q4 14.00
2010:Q1 -5.50
2010:Q2 -7.10
2010:Q3 -8.80
2010:Q4 -10.50
2011:Q1 -10.50
2011:Q2 -16.40

Note: Lending to large and medium-sized firms. The most recent Senior Loan Officer Opinion Survey on Bank Lending Practices is as of April 2011.

C&I Commercial and industrial.  Return to text

Source: Federal Reserve Board.


 

Net fraction of banks increasing spreads on C&I loans

Quarterly

Period Percent
1990:Q2 12.00
1990:Q3 25.85
1990:Q4 51.80
1991:Q1 59.00
1991:Q2 45.50
1991:Q3 31.25
1991:Q4 31.50
1992:Q1 11.35
1992:Q2 11.65
1992:Q3 0.00
1992:Q4 -3.60
1993:Q1 -0.90
1993:Q2 -23.65
1993:Q3 -39.35
1993:Q4 -55.90
1994:Q1 -46.55
1994:Q2 -58.30
1994:Q3 -52.20
1994:Q4 -46.10
1995:Q1 -44.45
1995:Q2 -52.10
1995:Q3 -45.70
1995:Q4 -33.70
1996:Q1 -30.65
1996:Q2 -36.10
1996:Q3 -28.75
1996:Q4 -34.55
1997:Q1 -33.25
1997:Q2 -32.45
1997:Q3 -38.50
1997:Q4 -40.40
1998:Q1 -25.40
1998:Q2 -34.00
1998:Q3 -14.30
1998:Q4 47.30
1999:Q1 31.40
1999:Q2 7.10
1999:Q3 21.50
1999:Q4 23.60
2000:Q1 25.00
2000:Q2 35.20
2000:Q3 35.80
2000:Q4 54.40
2001:Q1 57.10
2001:Q2 44.40
2001:Q3 50.80
2001:Q4 58.90
2002:Q1 40.00
2002:Q2 23.70
2002:Q3 41.10
2002:Q4 29.10
2003:Q1 27.10
2003:Q2 14.60
2003:Q3 -12.30
2003:Q4 -13.80
2004:Q1 -26.80
2004:Q2 -39.30
2004:Q3 -30.80
2004:Q4 -50.00
2005:Q1 -45.50
2005:Q2 -70.40
2005:Q3 -46.30
2005:Q4 -45.60
2006:Q1 -42.50
2006:Q2 -59.70
2006:Q3 -41.80
2006:Q4 -29.60
2007:Q1 -44.60
2007:Q2 -52.80
2007:Q3 -32.10
2007:Q4 34.60
2008:Q1 43.60
2008:Q2 71.00
2008:Q3 80.80
2008:Q4 98.20
2009:Q1 92.50
2009:Q2 79.20
2009:Q3 59.30
2009:Q4 40.40
2010:Q1 9.10
2010:Q2 -7.10
2010:Q3 -49.10
2010:Q4 -33.30
2011:Q1 -47.40
2011:Q2 -54.50

Note: Spreads of loan rates over banks' cost of funds. Lending to large and medium-sized firms. The most recent Senior Loan Officer Opinion Survey on Bank Lending Practices is as of April 2011.

C&I Commercial and industrial.

Source: Federal Reserve Board.


 

Figure 5: Senior Credit Officer Opinion Survey on Dealer Financing Terms

Tightening of terms to private pools of capital

Percent; Quarterly

Period Price terms Nonprice terms
2010:Q2 -15 -25
2010:Q3 -15 -25
2010:Q4 -25 -45
2011:Q1 -30 -35

Note: The most recent Senior Credit Officer Opinion Survey on Dealer Financing Terms is as of March 2011.

Source: Federal Reserve Board.


 

Changes in demand for securities financing

Percent; Quarterly

Period High-grade corporates Agency MBS ABS
2010:Q2 23.53 33.33 50.00
2010:Q3 26.67 29.41 23.08
2010:Q4 20.00 27.78 30.77
2011:Q1 33.33 52.94 80.00

Note: The most recent Senior Credit Officer Opinion Survey on Dealer Financing Terms is as of March 2011.

MBS Mortgage-backed securities; ABS Asset-backed securities.  Return to table

Source: Federal Reserve Board.


 

Figure 6: Triparty Repo Market

Volume

Monthly

Period Billions of dollars
May 2002 799.99998
June 2002 816.98711
July 2002 833.97430
August 2002 850.97428
September 2002 867.94863
October 2002 884.93575
November 2002 901.92288
December 2002 918.91001
January 2003 935.89714
February 2003 952.88426
March 2003 969.87146
April 2003 986.85859
May 2003 1,003.84570
June 2003 1,020.83280
July 2003 1,037.82000
August 2003 1,054.80710
September 2003 1,071.79430
October 2003 1,088.78140
November 2003 1,105.76860
December 2003 1,122.75570
January 2004 1,139.74290
February 2004 1,156.72990
March 2004 1,173.71710
April 2004 1,190.70420
May 2004 1,207.69140
June 2004 1,224.67860
July 2004 1,241.66560
August 2004 1,258.65280
September 2004 1,275.63990
October 2004 1,292.62710
November 2004 1,309.61430
December 2004 1,326.60130
January 2005 1,343.58850
February 2005 1,360.57560
March 2005 1,392.03050
April 2005 1,423.48530
May 2005 1,454.94010
June 2005 1,486.39500
July 2005 1,517.84980
August 2005 1,549.30460
September 2005 1,588.85750
October 2005 1,628.41050
November 2005 1,667.96340
December 2005 1,687.39760
January 2006 1,706.83190
February 2006 1,726.26610
March 2006 1,754.23870
April 2006 1,782.21110
May 2006 1,810.18370
June 2006 1,838.15630
July 2006 1,866.12880
August 2006 1,894.10140
September 2006 1,922.07400
October 2006 1,950.04660
November 2006 1,978.01910
December 2006 2,005.99170
January 2007 2,033.96430
February 2007 2,061.93690
March 2007 2,098.87860
April 2007 2,135.82030
May 2007 2,172.76190
June 2007 2,209.70380
July 2007 2,246.64540
August 2007 2,283.58720
September 2007 2,320.52880
October 2007 2,380.56870
November 2007 2,440.60890
December 2007 2,500.64880
January 2008 2,560.68870
February 2008 2,620.72880
March 2008 2,680.76870
April 2008 2,740.80860
May 2008 2,481.25250
June 2008 2,351.78010
July 2008 2,471.90890
August 2008 2,503.17610
September 2008 2,465.07450
October 2008 2,378.94920
November 2008 2,338.08410
December 2008 2,192.91650
January 2009 2,148.43200
February 2009 2,159.06110
March 2009 2,050.98560
April 2009 1,915.62400
May 2009 1,877.95660
June 2009 1,742.01750
July 2009 1,698.57870
August 2009 1,709.89160
September 2009 1,688.60780
October 2009 1,638.57240
November 2009 1,637.15890
December 2009 1,600.89360
January 2010 1,628.11940
February 2010 1,712.31960
March 2010 1,695.00860
April 2010 1,710.53670
May 2010 1,825.92260
June 2010 1,793.58450
July 2010 1,756.22140
August 2010 1,808.26320
September 2010 1,839.50740
October 2010 1,816.13220
November 2010 1,911.49610
December 2010 1,825.55080
January 2011 1,636.16860
February 2011 1,658.61540
March 2011 1,637.16400
April 2011 1,587.93100

Source: Federal Reserve Bank of New York.


 

Median haircuts applicable to specific collateral types

  May 2010 (percent) April 2011 (percent)
Treasury securities 2.0 2.0
Agency MBS 2.0 2.0
ABS IG 5.0 5.0
Corporates HY 8.0 8.0
Equities 8.0 8.0

MBS Mortgage-backed securities; ABS Asset-backed securities; IG Investment-grade; HY High-yield.  Return to text

Source: Federal Reserve Bank of New York.


 

Figure 7: Syndicated Leveraged Loan Market

Inflows into bank loan funds

Monthly

Period Billions of dollars
June 1998 0.39
July 1998 0.19
August 1998 0.58
September 1998 0.45
October 1998 0.17
November 1998 0.60
December 1998 0.48
January 1999 0.31
February 1999 0.58
March 1999 0.43
April 1999 0.10
May 1999 0.46
June 1999 0.35
July 1999 0.05
August 1999 0.53
September 1999 0.28
October 1999 0.19
November 1999 0.17
December 1999 -0.27
January 2000 -0.44
February 2000 0.17
March 2000 -0.02
April 2000 -0.58
May 2000 0.04
June 2000 -0.07
July 2000 -0.36
August 2000 0.13
September 2000 -0.13
October 2000 -0.54
November 2000 -0.31
December 2000 -0.51
January 2001 -0.44
February 2001 -0.26
March 2001 -0.34
April 2001 -0.44
May 2001 0.00
June 2001 -0.20
July 2001 -0.68
August 2001 -0.09
September 2001 -0.59
October 2001 -1.15
November 2001 -0.42
December 2001 -0.52
January 2002 -0.77
February 2002 -0.27
March 2002 -0.35
April 2002 -0.62
May 2002 -0.22
June 2002 -0.29
July 2002 -0.64
August 2002 -0.44
September 2002 -0.55
October 2002 -0.80
November 2002 -0.39
December 2002 -0.49
January 2003 -0.48
February 2003 -0.22
March 2003 -0.26
April 2003 -0.29
May 2003 -0.20
June 2003 -0.06
July 2003 0.11
August 2003 0.38
September 2003 0.23
October 2003 0.21
November 2003 0.24
December 2003 0.20
January 2004 0.27
February 2004 0.41
March 2004 0.41
April 2004 0.55
May 2004 1.22
June 2004 0.96
July 2004 0.91
August 2004 0.85
September 2004 0.65
October 2004 0.36
November 2004 0.51
December 2004 0.34
January 2005 0.44
February 2005 0.87
March 2005 0.74
April 2005 0.26
May 2005 0.01
June 2005 -0.20
July 2005 -0.33
August 2005 0.17
September 2005 0.05
October 2005 -0.01
November 2005 0.30
December 2005 0.02
January 2006 0.09
February 2006 0.52
March 2006 0.46
April 2006 0.41
May 2006 1.13
June 2006 1.04
July 2006 0.63
August 2006 1.05
September 2006 0.69
October 2006 0.53
November 2006 1.02
December 2006 0.95
January 2007 0.85
February 2007 0.77
March 2007 1.25
April 2007 0.53
May 2007 1.23
June 2007 0.94
July 2007 -2.68
August 2007 -1.66
September 2007 -0.53
October 2007 -0.23
November 2007 -1.53
December 2007 -2.17
January 2008 -1.63
February 2008 -3.16
March 2008 -1.61
April 2008 -0.17
May 2008 -0.01
June 2008 -0.78
July 2008 -0.75
August 2008 -0.49
September 2008 -1.02
October 2008 -1.22
November 2008 -0.49
December 2008 -0.21
January 2009 0.61
February 2009 0.38
March 2009 0.05
April 2009 0.58
May 2009 0.83
June 2009 0.51
July 2009 0.31
August 2009 0.01
September 2009 0.09
October 2009 -0.05
November 2009 -0.07
December 2009 0.57
January 2010 0.96
February 2010 0.99
March 2010 1.61
April 2010 1.99
May 2010 0.32
June 2010 -0.20
July 2010 0.76
August 2010 0.86
September 2010 1.54
October 2010 1.35
November 2010 1.68
December 2010 3.81
January 2011 5.32
February 2011 4.60
March 2011 3.77

Note: Data are through March 2011.

Source: Investment Company Institute.


 

Secondary-market prices

Series: Secondary-market prices

Horizon: Mid-2002 to mid-2011

Description: Data are plotted as a curve. Data are daily. Units are percent of par value.

The series begins at about 92 percent in mid-2002 before declining for the next several months, reaching approximately 88 late in the year. The series then rebounds and climbs gradually to about 97 in early 2004; it slightly increases over the next three years to nudge the 99 mark in mid-2007. The series declines sharply and reaches about 60 in late 2008 before staging a pronounced recovery and finishing a bit above 97 in mid-2011.

Note: Average bid price.

Source: LSTA/LPC Mark-to-Market Pricing.

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Last update: August 2, 2013