Consumer Credit - G.19
Part I. What Consumer Credit Data Are Available on the G.19 Statistical Release, "Consumer Credit," and How Are These Data Calculated?
The G.19 Statistical Release, "Consumer Credit," reports outstanding credit extended to individuals for household, family, and other personal expenditures, excluding loans secured by real estate. Total consumer credit comprises two major types: revolving and nonrevolving. Revolving credit plans may be unsecured or secured by collateral and allow a consumer to borrow up to a prearranged limit and repay the debt in one or more installments. Credit card loans comprise most of revolving consumer credit measured in the G.19, but other types, such as prearranged overdraft plans, are also included. Nonrevolving credit is closed-end credit extended to consumers that is repaid on a prearranged repayment schedule and may be secured or unsecured. To borrow additional funds, the consumer must enter into an additional contract with the lender. Consumer motor vehicle and education loans comprise the majority of nonrevolving credit, but other loan types, such as boat loans, recreational vehicle loans, and personal loans, are also included.
The G.19 also reports selected terms of credit, including interest rates on new car loans, personal loans, and credit card plans at commercial banks. Historically, the G.19 also included series that measure the terms of credit for auto loans at finance companies. In the first quarter of 2011, publication of these series was temporarily suspended because of the deterioration of their statistical foundation. The statistical foundation is in the process of being improved, and publication will resume as soon as possible.
Annual Growth Rates, Levels, and Flows of Outstanding Credit
The first table of the G.19 shows seasonally adjusted data for consumer credit outstanding. These data include simple annual percent changes of total, revolving, and nonrevolving credit. The percent change in a given period is calculated as the flow of credit in the current period divided by the level in the previous period. The seasonally adjusted levels of outstanding total, revolving, and nonrevolving credit are also given in the first table. Percent changes and levels are calculated from unrounded data.
The second and third pages of the G.19 show data that are not seasonally adjusted. The second page contains levels of outstanding credit held by six major holders, while the third page contains flow of credit by these major holders. These major holders are depository institutions, finance companies, credit unions, the federal government, nonfinancial business, and pools of securitized assets. Historically, the G.19 comprised seven major holders. In June 2012, data for commercial banks and savings institutions were combined to form the depository institutions sector.
The second and third pages of the G.19 include consumer loans held in securitized pools. As of June 2012, this sector includes off-balance-sheet securitized loans originated by depository institutions, finance companies, and nonfinancial businesses. Note that if any reporting entity holds securitized loans on its balance sheet, these loans do not contribute to the securitized pools sector but to the sector on whose balance sheet they are consolidated.
Benchmark and Indicator Data
We estimate monthly consumer credit for each major holder using benchmark and indicator data. Benchmark data are the most comprehensive and accurate measure of outstanding credit in each sector. These data may come from either mandatory or voluntary surveys. Because of their large scope, benchmark data are collected at a lower frequency than the monthly G.19. Indicator data, however, allow us to measure the monthly movements between benchmarks. Indicator series are data whose movements represent changes in outstanding credit for the entire sector. For example, the indicator for depository institutions is generated from a voluntary weekly report filed by a sample of commercial banks. If revolving credit increases by a given percentage at this panel of banks, it is probable that revolving credit increased by this percentage at all depository institutions.
Generating Monthly Estimates: Not Seasonally Adjusted Levels
The monthly estimates on the second page of the G.19 are calculated from indicator data using proportional interpolation.1 Proportional interpolation solves the following optimization problem:
where t = 0 is the previous benchmark period and t = T is the current or upcoming benchmark period. In addition, , and are the monthly estimate and indicator at time t, respectively, and is the benchmark at time t. Proportional interpolation minimizes the sum of the squared differences between the ratio of the estimate to the indicator in each month and the one previous, subject to the constraint that the estimate equals the benchmark in each benchmark period. The solution to this optimization problem is:
Generating Monthly Estimates: Not Seasonally Adjusted Flows
The flows shown on the third page of the G.19 are calculated as break-adjusted period-to-period changes in the corresponding levels on the second page. Flows are break-adjusted in order to account for changes or discontinuities in source data or changes in methodology. It is important to exclude the effect of such breaks because they are not representative of real movements in outstanding consumer credit. For example, if a financial institution in the scope of the G.19 sells loans to an institution outside the scope of the G.19, the estimates of total consumer credit will decline. However, such a sale is not indicative of a real decline in outstanding credit held by households, in which case a break in the series is recorded so that growth rates may be calculated excluding this break.
Generating Monthly Estimates: Seasonally Adjusted Annual Growth Rates and Total Consumer Credit
We estimate seasonal factors for revolving and nonrevolving credit separately. The seasonal factor series is benchmarked annually before the September G.19 using 10 years (120 months) of historical data. We then apply the seasonal factors estimated for the calendar year immediately prior to the benchmarking month to the consumer credit estimates of the ensuing year.
Let denote the level of a series in time t. The monthly flow of the series, is then computed as
where is the seasonal factor series estimated using the statistical package X-12-ARIMA. The algorithm forces the seasonal factors estimated from January to December in any given year to sum to zero. The seasonally adjusted level series is then defined recursively as
Part II. Source Data: Consumer Credit Outstanding
Estimates of consumer credit held by commercial banks and savings institutions are separately benchmarked to quarterly data from the Consolidated Reports of Income and Condition (Call Report) (FFIEC 031 and 0413). This mandatory report is filed by every national bank, state member bank, insured state nonmember bank, and savings association and includes an income statement, balance sheet, and other detailed financial information.4 Specifically, we aggregate data on loans available in Call Report schedules RC-C, Loans and Lease Financing Receivables, and RC-D, Trading Assets and Liabilities (table 1).
Table 1. FFIEC 031 and 041 Call Report Items in Commercial Banks Benchmark
|Revolving credit = Credit card loans + other revolving credit|
|Credit card loans: RCONB538 - (RCONF586 - RCONF598) + RCONF633|
|Other revolving credit: RCONB359 - (RCONF587 - RCONF599) + RCONF634|
|Nonrevolving credit = Consumer motor vehicle Loans + other consumer loans|
|Consumer motor vehicle loans: RCONK137 - (RCONK196 - RCONK195) +
|Other consumer loans: RCONK207 - (RCONK208 - RCONK209) + RCONK211|
May include loans reported either at market value or book value.
This term adjusted for any market value loans reported in the previous item. We make market-to-book adjustments by subtracting the amount of any loans that are reported at market value and adding back their unpaid principal balance.
Unpaid principal balance of loans held as trading assets.
Commercial Banks Indicator Data
Monthly estimates for commercial banks are generated from the Weekly Report of Selected Assets and Liabilities of Domestically Chartered Commercial Banks and U.S. Branches and Agencies of Foreign Banks (FR 2644).5 Data collected for this report include the outstanding amount of selected balance sheet items, including items on loans, securities, and borrowings from a sample of member and nonmember domestically chartered commercial banks and U.S. branches and agencies of foreign banks. As of April 2011, the panel consists of an authorized random stratified sample of about 875 domestically chartered commercial banks and U.S. branches and agencies of foreign banks. Participation in the survey is voluntary. See table 2 for the specific FR 2644 line items used in our calculations.
Table 2. FR 2644 Items in Indicator for Commercial Banks
|Revolving credit = WRSS2008|
|Nonrevolving credit = WRSS2011|
To convert these data to a monthly frequency, we linearly interpolate between data for the last Wednesday of the G.19 month and the first Wednesday of the following month as follows:
Savings Institutions Indicator Data
Monthly estimates for savings institutions are generated from the break-adjusted monthly estimates for commercial banks. Because both savings institutions and commercial banks are regulated depository institutions, we assume they behave similarly at the monthly frequency.
Every five years since 1955, the Federal Reserve has conducted the Finance Company Survey (FR 3033s), which is sent to a stratified random sample of finance and mortgage companies. In the most recent survey, the Board surveyed roughly 2,400 finance companies to collect balance sheet data as of December 2010. Approximately 1,000 companies responded. The survey comprises detailed information from both sides of the respondents' balance sheets. See table 3 for the specific items used in our calculations.
Table 3. FR 3033s Items in Benchmark for Finance Companies
|Revolving credit = Revolving consumer credit|
|Revolving consumer credit: QFCS1682 (item 3.B.2)|
|Nonrevolving credit = Consumer motor vehicle loans + other consumer loans|
|Consumer motor vehicle loans: QFCS2751 (item 3.B.1)|
|Other consumer loans: QFCS1987 (item 3.B.3)|
Indicator data for finance companies are collected from the Domestic Finance Company Report of Consolidated Assets and Liabilities (FR 2248). This report collects balance sheet and, where appropriate, off-balance-sheet data on major categories of consumer and business credit receivables and on major short-term liabilities held or securitized by finance companies. For quarter-end months (March, June, September, and December), additional asset and liability items are collected to provide a full balance sheet. The Board is currently authorized to survey 70 companies each month; because of consolidation and attrition, the current reporting panel as of November 2011 consists of a random sample of about 50 companies. See table 4 for the specific items used in our calculations.
Table 4. FR 2248 Items in Indicator for Finance Companies
|Revolving credit = Revolving consumer credit|
|Revolving consumer credit: DFCR1682|
|Nonrevolving credit = Consumer motor vehicle loans + other consumer loans|
|Consumer motor vehicle loans: DFCR2751|
|Other consumer loans: DFCR1987|
Credit unions' monthly estimates are benchmarked to the National Credit Union Administration's (NCUA) Statement of Financial Condition (Call Report) (NCUA 5300). This quarterly report is filed by all federal- and state-chartered credit unions and contains statements of financial condition, income and expense, and other miscellaneous financial information. Consumer credit data are found in the assets section of the loans and leases portion of the NCUA 5300 Call Report. See table 5 for the specific items used in the calculations.
Table 5. NCUA 5300 Call Report Items in Benchmark for Credit Unions
|Revolving credit = Unsecured credit card loans|
|Unsecured credit cards loans: item 396|
|Nonrevolving credit = Nonrevolving vehicle loans + nonrevolving other loans|
|Nonrevolving vehicle loans: item 385 + item 370|
|Nonrevolving other loans = Total consumer loans - nonrevolving vehicle loans - revolving credit|
Total consumer loans: total consumer credit held by credit unions (item 025b) x (1 - shares of mortgage, business, and agriculture loans).
Monthly credit union data are collected by the Credit Union National Association (CUNA).5 The CUNA gathers data from a panel of approximately 750 credit unions who report voluntarily. The reporting form is a summarized version of the NCUA 5300 Call Report.
The federal government originates consumer credit solely in the form of nonrevolving student loans through the Department of Education. The federal government sector on the G.19 includes balances on loans issued through the William D. Ford Direct Loan Program as well as the Federal Family Education Loan Program loans purchased from depository institutions and finance companies through a program authorized by the Ensuring Continued Access to Student Loans Act. Benchmark data are received monthly, thus no indicator data are necessary.
Monthly estimates for the nonfinancial business sector are benchmarked to data from the U.S. Census Bureau's Annual Retail Trade Report, which samples employer businesses classified in the retail trade and the accommodation and food services sectors. This report contains information about sales, inventories, purchases, expenses, margins, and accounts receivable for a sample of businesses in the retail trade sector.7 The report includes accounts receivable data that measure amounts owed to retail stores by their customers for purchases made on credit. Revolving and nonrevolving credit are benchmarked to total open-end and closed-end retail accounts receivable, respectively.
Since suitable data for credit held by the nonfinancial business sector are not available at a monthly frequency, the indicators for these series are the seasonal factors for the remaining G.19 sectors.8 Because these series by construction closely follow the typical seasonal pattern within each year, their monthly movements have little effect on the seasonally adjusted growth in total consumer credit.
Pools of Securitized Assets
The securitized pools sector is the sum of all off-balance-sheet securitized assets originated by all major holders shown on the G.19. As of January 2012, we are aware of off-balance-sheet securitizations in the depository institution and finance company sectors.9
Depository institution off-balance-sheet data include securitized loans originated by commercial banks and savings institutions. Commercial bank data are generated from the Weekly Report of Selected Assets and Liabilities of Domestically Chartered Commercial Banks and U.S. Branches and Agencies of Foreign Banks (FR 2644). We convert these data to a monthly frequency in the same manner as the commercial banks on-book indicator data. (See table 6 for the FR 2644 line items used in our calculations.) We monitor securitization markets to produce savings institution estimates.
Finance company off-balance-sheet data come from the Domestic Finance Company Report of Consolidated Assets and Liabilities (FR 2248). (See table 6 for the FR 2248 line items used in our calculations.)
We monitor markets for new and existing securitizations at finance companies that do not submit form FR 2248. We also monitor markets for off-balance-sheet securitizations at nonfinancial businesses, although at this time we are not aware of any such securitizations.
Table 6: FR 2644 and FR 2248 Items in Securitized Pools
|Commercial banks: FR 2644|
|Revolving credit = WRSSB707|
|Nonrevolving credit = WRSSB150|
|Finance companies: FR 2248|
|Revolving consumer credit = DFCRA198|
|Nonrevolving credit = DFCR5001 + DFCR5005|
Part III: Terms of Credit at Commercial Banks and Finance Companies
Commercial Banks' Interest Rates
The Federal Reserve Board collects quarterly data on interest rates for 48-month new-car loans (item 7802) and 24-month personal credit card plans (item 7808) through the Quarterly Report of Interest Rates on Selected Direct Consumer Installment Loans (FR 2835). Banks are asked to report the "most common rate" for each type of loan-that is, the rate at which the largest dollar volume of loans was made during the reporting period. For variable-rate loans, the initial rate is used in determining the most common rate. These data are neither benchmarked nor seasonally adjusted. The Board is authorized to survey 150 companies, and the responses are voluntary; as of November 2011, about 75 banks report regularly.
The Quarterly Report of Credit Card Interest Rates (FR 2835a) is used to collect data from commercial banks on their average nominal finance rates, total finance charges for credit card accounts, and end-of-period balances for credit card accounts.
The interest rate on all accounts represents the average annual percentage rate (APR) offered to all credit card holders and is independent of the manner in which the accounts are actually used. This interest rate is calculated using the respondent banks' nominal finance rates on all accounts, which is a simple average of the nominal APR for purchases across all accounts (item 7164), weighted by their total number of accounts (item 8601). The interest rate on accounts assessed interest, however, measures the average finance rate for cardholders who revolve their balances to obtain credit during the period of the report. This interest rate is calculated using the respondent banks' average annual finance rates, weighted by their total balances for accounts with finance charges (item 8603). Each bank's average annual finance rate is calculated as
The panel is a sample of 50 credit card issuing banks, consisting of the largest issuers of credit cards and a randomly drawn sample representing the remainder of the bankcard industry. Participation is voluntary; as of November 2011, approximately 40 banks report regularly.