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December 2011 Tealbook A Tables and Charts


Financial Developments

Policy Expectations and Treasury Yields

Figure: Selected Interest Rates

Line chart, by percent, October 31, 2011 to December 6, 2011. There is a vertical line on November 2nd noting the November FOMC, on November 3rd noting ISM, on November 4th noting Nonfarm payrolls, on November 15th noting Retail Sales, on November 16th noting CPI, on November 22nd noting the FOMC minutes, on November 30th noting the swap line announcement and on December 2nd noting nonfarm payrolls. There are two series, 2-year Treasury yield and 10-year Treasury yield. 2-year Treasury yield begins on October 31st at about 0.29 and generally decreases to about 0.21 by November 2nd. From November 2nd to November 15th it fluctuates between about 0.21 and 0.23. It then generally increases to about 0.29 by November 18th. From November 18th to December 6th it fluctuates between about 0.24 and 0.29. On December 6th it is at about 0.25. 10-year Treasury yield begins on October 31st at about 2.24 and generally decreases to about 1.94 by November 1st. It then generally increases to about 2.1 by November 4th and then generally decreases to about 1.91 by November 9th. By November 10th it has generally increased to about 2.09 and by November 23rd it has generally decreased to about 1.88. It then generally increases to about 2.13 by December 1st and then generally decreases to about 2.09 by December 6th.

Note: 5-minute intervals. 8:00 a.m. to 4:00 p.m. No adjustments for term premiums.

Source: Bloomberg.

Figure: Long-Term Interest Rate Implied Volatility

Line chart, by percent, January 2010 to December 2011. Data are daily. There is a vertical line in early November 2011 marking the November FOMC. The series begins in January 2010 at about 7 and generally decreases to about 5 by March 2010. It then generally increases to about 8.1 by May 2010 and then generally decreases to about 5.8 by early August 2010. By late August 2010 it has generally increased to about 7.6 and by November 2010 it has generally decreased to about 6.0. It then generally increases to about 9.1 by December 2010 and then generally decreases to about 5.9 by May 2011. By October 2011 it has generally increased to about 8 and by December 6, 2011 it has generally decreased to about 6.6.

Note: Derived from options on 10-year Treasury note futures.

Source: Bloomberg.

Figure: Implied Federal Funds Rate

Line chart, by percent, 2012:Q1 to 2015:Q3. There are four series, "Mean: December 6, 2011", "Mean: November 1, 2011", "Mode: December 6, 2011" and "Mode: November 1, 2011". "Mean: December 6, 2011" begins in 2012:Q2 at about 0.12 and remains relatively stable here until 2013:Q1. It then generally increases to about 1.35 by 2015:Q3. "Mean: November 1, 2011" begins in 2012:Q1 at about 0.1 and generally decreases to about 0.09 by 2012:Q4. It then increases to about 1.25 by 2015:Q2. "Mode: December 6, 2011" begins in 2012:Q1 at about 0.09 and generally decreases to about 0.05 by 2012:Q3. It then generally increases to about 0.25 by 2015:Q2. "Mode: November 1, 2011" begins in 2012:Q1 at about 0.1 and generally decreases to about 0.03 by 2013:Q1. It then generally increases to about 0.17 by 2015:Q2.

Note: Mean is estimated using overnight index swap quotes. Mode is estimated from the distribution of federal funds rate implied by interest rate caps. Both include a term premium of zero basis points per month.

Source: Bloomberg and CME Group.

Figure: Distribution of Modal Timing of First Rate Increase from the Desk's Dealer Survey

Bar chart, by percent, from 2013:Q1 to 2016:Q4. There are two series, "Recent: 19 respondents" and "Nov. FOMC: 19 respondents". "Recent: 19 respondents" begins in 2013:Q1 at about 0 and increases to about 11 by 2013:Q3. It then decreases to about 5 by 2013:Q4 and then increases to about 26 by 2014:Q2. By 2015:Q2 it has decreased to 0 and remains constant here until 2016:Q1. It then increases to about 5 by 2016:Q2 and then decreases to 0 in 2016:Q3 and remains here until 2016:Q4. "Nov. FOMC: 19 respondents" begins in 2013:Q1 at about 0 and increases to about 15 by 2013:Q3. It then decreases to about 11 by 2014:Q1 and then increases to about 26 by 2014:Q2. By 2015:Q1 it has decreased to about 0 and by 2015:Q2 it has increased to about 5. It then decreases to about 0 by 2015:Q3 and remains constant here until 2016:Q4.

Source: Desk's Dealer Survey from December 5, 2011.

Figure: Inflation Compensation

Line chart, by percent, 2010 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are two series, 5 to 10 years ahead and Next 5 years. 5 to 10 years ahead begins in 2010:Q1 at about 3.25 and generally decreases to about 2.1 by 2010:Q3. It then generally increases to about 3.3 by 2010:Q4 and then generally decreases to about 2.7 by 2011:Q2. By 2011:Q3 it has generally increased to about 3.25 and by December 6, 2011 it has generally decreased to about 2.5. Next 5 years begins in 2010:Q1 at about 2.0 and decreases to about 1.1 by 2010:Q3. It then generally increases to about 2.3 by 2011:Q1 and then generally decreases to about 1.4 by 2011:Q3. By December 6, 2011 it has generally increased to about 1.9.

Note: Estimates based on smoothed nominal and inflation-indexed Treasury yield curves. Next 5 years is adjusted for the indexation-lag (carry) effect.

Source: Barclays PLC and staff estimates.


Short-Term Funding Markets and Financial Institutions

Figure: Selected Interest Rate Spreads

Line chart, by basis points, January 2010 to December 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are two series, 3-month Libor over OIS and 1-week Libor over OIS. 3-month Libor over OIS begins in January 2010 at about 9 and generally decreases to about 6 by March 2010. It then generally increases to about 34 by July 2010 and then generally decreases to about 10 by September 2010. By March 2011 it has generally increased to about 17 and by June 2011 it has generally decreased to about 11. It then generally increases to about 43 by December 6, 2011. 1-week Libor over OIS begins in January 2010 at about 8 and generally decreases to about 2 by April 2010. It then generally increases to about 17 by June 2010 and then generally decreases to about 5 by December 2010. By March 2011 it has generally increased to about 11 and by June 2011 it has generally decreased to about 5. It then generally increases to about 11 by December 6, 2011.

Source: Bloomberg.

Figure: Dollar Funding Spreads

Line chart, by basis points, April 2010 to December 2011. Data are daily. There is a vertical line in November 2011 representing the November FOMC. There are two series, USD 3x6 FRA-OIS and 3-month euro-dollar implied basis swap. USD 3x6 FRA-OIS begins in April 2010 at about 13 and generally increases to about 69 by May 2010. It then generally decreases to about 17 by October 2010 and then generally increases to about 38 by November 2010. By April 2011 it has generally decreased to about 14 and by December 6, 2011 it has generally increased to about 48. 3-month euro-dollar implied basis swap begins in April 2010 at about 30 and generally increases to about 62 by May 2010. It then generally decreases to about 18 in July 2010 and then generally increases to about 46 by August 2010. By October 2010 it has generally decreased to about 12 and by December 2010 it has generally increased to about 55. By May 2011 it has generally decreased to about -1 and by December 6, 2011 it has generally increased to about 108.

Note: For USD 3x6 FRA-OIS the spread is calculated from a Libor forward rate agreement (FRA) 3 to 6 months in the future and the implied forward overnight index swap (OIS) rate for the same period.

Source: Bloomberg; staff estimates.

Figure: Unsecured Dollar Financial Commercial Paper Outstanding

Line chart, by billions of dollars, January 2011 to December 2011. Data are daily. There is a vertical line in November 2011 representing the November FOMC. There are two series, European issuers and U.S. issuers. European issuers begins in January at about 340 and generally increases to about 410 by May. It then generally decreases to about 225 by December 6. U.S. issuers begins in January at about 100 and remains relatively stable here until late April. It then gradually decreases to about 80 by December 6.

Source: Depository Trust & Clearing Corporation.

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

Line chart, by days, January 2010 to November 2011. Data are weekly. There is a vertical line in November 2011 representing the November FOMC. There are two series, U.S. parent and European parent. U.S. parent begins in January 2010 at about 41.5 and generally increases to about 49.5 by March 2010. It then generally decreases to about 35 by June 2010 and then generally increases to about 52.5 by September 2010. By January 2011 it has generally decreased to about 39.8 and by March 2011 it has generally increased to about 51. It then generally decreases to about 44 by May 2011 and then generally increases to about 50 by June 2011. By August 2011 it has generally decreased to about 43 and by November 30, 2011 it has generally increased to about 46. European parent begins in January 2010 at about 41.5 and generally increases to about 48 by March 2011. It then generally decreases to about 35 by June 2010 and then generally increases to about 56.5 by November 2010. By January 2011 it has generally decreased to about 43 and by June 2011 it has generally increased to about 55. It then generally decreases to about 38 by November 30, 2011.

Source: Federal Reserve Board staff calculations based on data from the Depository Trust & Clearing Corporation.

Figure: S&P 500 Diversified Financials Stock Price Index

Line chart, by log scale where Nov. 1, 2011 = 100, January 2010 to December 2011. Data are daily. There is a vertical line in November 2011 representing the November FOMC. The series begins in January 2010 at about 139 and generally decreases to about 123 by February 2010. It then generally increases to about 159 by April 2010 and then generally decreases to about 116 by August 2010. By February 2011 it has generally increased to about 151 and by early October 2011 it has generally decreased to about 87. It then generally increases to about 113 by late October 2011. By November 2011 it has generally decreased to about 88 and by December 6, 2011 it has generally increased to about 101.

Source: Bloomberg.

Figure: CDS Spreads of Large Bank Holding Companies

Line chart, by basis points, January 2010 to December 2011. Data are daily. There is a vertical line in November 2011 representing the November FOMC. There are six series, Citigroup, JPMorgan Chase, Wells Fargo, Goldman Sachs, Bank of America, and Morgan Stanley. Citigroup begins in January 2010 at about 155 and increases to about 235 by February 2010. It then generally decreases to about 125 by April 2010 and then generally increases to about 220 by June 2010. By April 2011 it has generally decreased to about 110 and by early October 2011 it has generally increased to about 360. It then generally decreases to about 200 by late October 2011 and then generally increases to about 320 by November 2011. By December 6, 2011 it has generally decreased to about 240. JPMorgan Chase begins in January 2010 at about 50 and generally increases to about 90 by February 2010. It then generally decreases to about 50 by April 2010 and then generally increases to about 120 by June 2010. By February 2011 it has generally decreased to about 60 and by December 6, 2011 it has generally increased to about 140. Wells Fargo begins in January 2010 at about 90 and generally increases to about 110 by February 2010. It then generally decreases to about 75 by April 2010 and then generally increases to about 145 by June 2010. By August 2010 it has generally decreased to about 90 and by October 2010 it has generally increased to about 130. It then generally decreases to about 80 by April 2011 and then generally increases to about 140 by December 6, 2011. Goldman Sachs begins in January 2010 at about 90 and generally increases to about 145 by February 2010. It then generally decreases to about 95 by April 2010 and then generally increases to about 210 by June 2010. By February 2011 it has generally decreased to about 100 and by December 6, 2011 it has generally increased to about 300. Bank of America begins in January 2010 at about 100 and generally increases to about 150 by February 2010. It then generally decreases to about 100 by April 2010 and then generally increases to about 220 by November 2010. By April 2011 it has generally decreased to about 120 and by December 6, 2011 it has generally increased to about 400. Morgan Stanley begins in January 2010 at about 100 and generally increases to about 160 by February 2010. It then generally decreases to about 120 by April 2010 and then generally increases to about 300 by June 2010. By April 2011 it has generally decreased to about 125 and by September 2011 it has generally increased to about 598. It then generally decreases to about 300 by October 2011 and then generally increases to about 530 by November 2011. By December 6, 2011 it has generally decreased to about 397.

Source: Markit.


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

Figure: Dollar Funding Costs in Europe

Line chart, by basis points, January 2011 to December 2011. Data are three-month dollar funding costs. There is shading from the end of October through December to denote the period since the previous FOMC meeting. There are three series, Swap line cost, Cost of 3-month funding through FX swap market and Dollar Libor. Swap line cost begins in January 2011 at about 119 and generally declines slowly to about 115 by late November 2011. It then drops abruptly to about 60 by early December 2011. Cost of 3-month funding through FX swap market begins in January 2011 at about 76 and generally decreases to about 28 by May 2011. It then generally increases to about 203 by November 2011 and then generally decreases to about 156 by December 2011. Dollar Libor begins in January 2011 at about 30 and remains relatively constant here until late March 2011. It then generally decreases to about 25 by late July 2011. By December 2011 it has generally increased to about 55.

Note: The cost of 3-month funding through FX swap market series is assuming banks pay euro Libor to obtain funding. The new swap line cost was announced November 30, 2011 for the swap line cost series.


Foreign Developments

Figure: Euro-Area 10-Year Government Bond Spreads

Line chart, by percentage points, 2010 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are five series, Greece, Portugal, Spain, Ireland, and Italy. Greece begins in 2010:Q1 at about 2.2 and generally increases to about 9.7 by early 2010:Q2. It then generally decreases to about 4.2 by mid-2010:Q2 and then generally increases to about 9.56 by late 2010:Q3. By early 2010:Q4 it has generally decreased to about 6.5 and by early 2011:Q1 has generally increased to about 9.8. It then generally decreases to about 7.5 by mid-2011:Q1 and then generally increases to about 15.8 by early 2011:Q3. Within a week or so it decreases to about 11.8 and by December 6, 2011 it has generally increased to about 31.0. Portugal begins in 2010:Q1 at about 0.6 and generally increases to about 3.7 by mid-2010:Q2. It then generally decreases to about 1.5 within a week or so. By mid-2010:Q4 it has generally increased to about 4.5 and by late 2010:Q4 it has generally decreased to about 3. It then generally increases to about 11.0 by early 2011:Q3 and then generally decreases to about 7.7 by mid-2011:Q3. By December 6, 2011 it has generally increased to about 10.8. Spain begins in early 2010:Q1 at about 0.6 and generally increases to about 2.2 by late 2010:Q2. From late 2010:Q2 to early 2010:Q4 it generally fluctuates between 1.3 and 2.2. It then generally increases to about 3.0 by mid-2010:Q4 and then generally decreases to about 1.5 by early 2011:Q2. By mid-2011:Q4 it has generally increased to about 4.7 and by December 6, 2011 it has generally decreased to about 2.8. Ireland begins in 2010:Q1 at about 1.4 and generally increases to about 3.0 by mid-2010:Q2. It then generally decreases to about 1.7 within a week or so. By mid-2010:Q4 it has generally increased to about 7.0 and by late 2010:Q4 it has generally decreased to about 5.0. It then generally increases to about 11.7 by early 2011:Q3 and then generally decreases to about 5.2 by the end of 2011:Q3. It then generally increases to about 6.8 by December 6, 2011. Italy begins in early 2010:Q1 at about 0.65 and generally increases to about 1.7 by late 2010:Q2. From late 2010:Q2 to late 2011:Q2 it generally fluctuates between 1.0 and 2.0. It then generally increases to about 6.0 by mid-2011:Q4 and then generally decreases to about 3.6 by December 6, 2011.

Note: Spread over German bunds.

Source: Bloomberg.

Figure: Nominal 10-Year Government Bond Yields

Line chart, by percent, 2010 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are three series, Germany, United Kingdom, and Japan. Germany begins in 2010:Q1 at about 3.3 and generally decreases to about 2.05 by 2010:Q3. It then generally increases to about 3.5 by 2011:Q2 and then generally decreases to about 1.55 by late 2011:Q3. By December 6, 2011 it has generally increased to about 2.2. United Kingdom begins in early 2010:Q1 at about 4.0. From early 2010:Q1 to early 2010:Q2 it fluctuates between about 3.9 and 4.2. It then generally decreases to about 2.7 by 2010:Q3 and then generally increases to about 3.9 by 2011:Q1. By December 6, 2011 it has generally decreased to about 2.25. Japan begins in early 2010:Q1 at about 1.3. From early 2010:Q1 to early 2010:Q2 it fluctuates between about 1.25 and 1.4. It then generally decreases to about 0.9 by early 2010:Q4 and then increases to about 1.25 by late 2011:Q1. It then generally decreases to about 1.01 by December 6, 2011.

Source: Bloomberg.

Figure: Stock Price Indexes

Line chart, by index where January 1, 2010=100, 2010 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are four series, DJ Euro, Topix, FTSE, and MSCI Emerging Markets. DJ Euro begins in early 2010:Q1 at about 100 and generally decreases to about 90 by mid-2010:Q1. It then generally increases to about 104 by early 2010:Q2 and then generally decreases to about 86 by mid-2010:Q2. By mid-2011:Q1 it has generally increased to about 109 and by late 2011:Q1 it has generally decreased to about 97. It then generally increases to about 107 by mid-2011:Q2 and then generally decreases to about 72 by late 2011:Q3. By early 2011:Q1 it has generally increased to about 89 and by mid-2011:Q4 it has generally decreased to about 73. It then generally increases to about 84 by December 6, 2011. Topix begins in early 2010:Q1 at about 100 and generally increases to about 107 within a few weeks. It then generally decreases to about 97 by mid-2010:Q1 and then generally increases to about 110 by early 2010:Q2. By 2010:Q4 it has generally decreased to about 89 and by mid-2011:Q1 it has generally increased to about 108. It then generally decreases to about 84 by late 2011:Q1. Within a week or so it generally increases to about 97 and by late 2011:Q2 it has generally decreased to about 89. It then generally increases to about 97 by early 2011:Q3 and then generally decreases to about 81 by December 6, 2011. FTSE begins in early 2010:Q1 at about 100 and generally decreases to about 93 by mid-2010:Q1. It then generally increases to about 109 by early 2010:Q2 and then generally decreases to about 88 by early 2010:Q3. It then generally increases to about 113 by early 2011:Q1 and then generally decreases to about 103 by late 2011:Q1. By early 2011:Q3 it has generally increased to about 112.5 and by early 2011:Q4 it has generally decreased to about 91. It then generally increases to about 103 by December 6, 2011. MSCI Emerging Markets begins in early 2010:Q1 at about 100 and generally increases to about 104 within a few weeks. It then generally decreases to about 90 by mid-2010:Q1 and then generally increases to about 106 by early 2010:Q2. By mid-2010:Q2 it has generally decreased to about 86 and by 2010:Q4 it has generally increased to about 117. From early 2010:Q4 to mid-2011:Q1 it fluctuates between about 109 and 119. It then generally increases to about 122 by early 2011:Q2 and then generally decreases to about 83 by early 2011:Q4. By December 6, 2011 it has generally increased to about 97.

Source: Bloomberg.

Figure: Nominal Trade-Weighted Dollar Indexes

Line chart, by index where January 1, 2010 = 100, 2010 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are three series, Broad, Major, and OITP (other important trading partners). Broad begins in early 2010:Q1 at about 100 and generally increases to about 102 by mid-2010:Q1. It then generally decreases to about 99 by early 2010:Q2 and then generally increases to about 105 by mid-2010:Q2. By early 2010:Q3 it has generally decreased to about 99.8 and by mid-2010:Q3 it has generally increased to about 102. It then generally decreases to about 95.2 by early 2010:Q4 and then generally increases to about 99.5 by mid-2010:Q4. By 2011:Q2 it has generally decreased to about 92 and by early 2011:Q4 it has generally increased to about 100. It then generally decreases to about 96 by mid-2011:Q4 and then generally increases to about 97.5 by December 6, 2011. Major begins in early 2010:Q1 at about 100 and generally increases to about 103 by mid-2010:Q1. From mid-2010:Q1 to early 2010:Q2 it fluctuates between about 100.3 and 103. It then generally increases to about 109 by mid-2010:Q2. By early 2010:Q3 it has generally decreased to about 100.5 and by mid-2010:Q3 it has generally increased to about 104.3. It then generally decreases to about 95.5 by early 2010:Q4 and then generally increases to about 101 by mid-2010:Q4. By 2011:Q3 it has generally decreased to about 91.5 and by December 6, 2011 it has generally increased to about 97.5. OITP begins in early 2010:Q1 at about 100 and generally increases to about 101.5 by mid-2010:Q1. It then generally decreases to about 97.5 by early 2010:Q2 and then generally increases to about 101.8 by mid-2010:Q2. By 2011:Q2 it has generally decreased to about 92.5 and by early 2011:Q4 it has generally increased to about 100. By mid-2011:Q4 it has generally increased to about 95.3and by December 6, 2011 it has generally increased to about 97.5.

Source: Federal Reserve Board; Bloomberg.

Figure: Policy Rates

Line chart, by percent, 2010 to 2011. There is a vertical line in November 2011 marking the November FOMC. There are three series, China required reserve rate, Brazil, and Euro Area. China required reserve rate begins in 2010:Q1 at about 16 and generally increases to about 17 by mid-2010:Q2. It remains constant here until 2010:Q4 and then generally increases to about 21.5 by 2011:Q2. It remains constant at 21.5 until mid-2011:Q4 and then decreases to about 21 by December 6, 2011. Brazil begins in early 2010:Q1 at about 8.5 and remains constant here until early 2010:Q2. It then generally increases to about 10.5 by early 2010:Q3 and remains constant here until early 2011:Q1. By 2011:Q3 it has generally increased to about 12.5 and by December 6, 2011 it has generally decreased to about 11. Euro area begins in 2010:Q1 at about 1 and remains constant here until 2011:Q2. It then generally increases to about 1.75 by 2011:Q3 and remains constant here until 2011:Q4. It then decreases to about 1.5 by December 6, 2011.

Note: The China required reserve rate is for large banks.

Source: Bloomberg.

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

Bar chart, by billions of dollars, annual rate, 2009 to 2011. There is a horizontal line at zero. There are two series, Official and Private. Approximate values: 2009: Official 580, Private -10. 2010: Official 400, Private 240. 2011:H1: Official 200, Private -100. 2011:Q3: Official 190, Private 400. October 2011: Official -230, Private 150.

Source: Treasury International Capital data adjusted for staff estimates.


Domestic Asset Market Developments

Figure: S&P 500 Stock Price Index

Line chart, by log scale where November 1, 2011 = 100, January 2010 to December 2011. There is a vertical line in November 2011 marking the November FOMC. Data are daily. The series begins in January 2010 at about 93 and generally decreases to about 87 by February 2010. It then generally increases to about 100 by April 2010 and then generally decreases to about 84 by July 2010. By April 2011 it has generally increased to about 112 and by October 2011 it has generally decreased to about 90. It then generally increases to about 113 by December 6, 2011.

Source: Bloomberg.

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

Line chart, by percent, log scale, 2007 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. The series begins in 2007:Q1 at about 9 and generally increases to about 33 by 2008:Q1. It then generally decreases to about 13.2 by 2008:Q2 and then generally increases to about 80 by 2008:Q4. By early 2010:Q2 it has generally decreased to about 13 and by mid-2010:Q2 it has generally increased to about 45. It then generally decreases to about 12 by 2011:Q2 and then generally increases to about 48 by 2011:Q3. By December 6, 2011 it has generally decreased to about 28.

Source: Chicago Board Options Exchange.

Figure: Equity Risk Premium

Line chart, by percent, 1990 to 2011. Data are monthly. There are two series, Expected 10-year real equity return and Expected real yield on 10-year Treasury. Expected 10-year real equity return begins in early 1990 at about 7.6 and then increases to about 9.6 by late 1990. It then generally decreases to about 7 by 1992 and then generally increases to about 8.7 by 1995. By 2000 it has generally decreased to about 2.1 and by 2002 it has generally increased to about 6.9. It then generally decreases to about 4.8 by 2004 and then generally increases to about 12 by 2008. By 2010 it has generally decreased to about 8 and by December 6, 2011 it has generally increased to about 9.2. Expected real yield on 10-year Treasury begins in 1990 at about 4.3 and generally decreases to about 2 by 1993. It then generally increases to about 4.5 by 1995. From 1995 to 2000 it fluctuates between about 2.2 and 4.5. It then generally decreases to about 0.8 by 2003 and then generally increases to about 2.7 by 2007. By December 6, 2011 it has generally decreased to about -0.1.

Note: Expected real yield on 10-year Treasury is off-the-run 10-year Treasury yield less Philadelphia Fed 10-year expected inflation. December 6, 2011 values are the latest observations using daily interest rates and stock prices and latest earnings data.

Source: Thomson Financial.

Figure: S&P 500 Earnings per Share

Line chart, dollars per share, 2000 to 2011. Data are quarterly. The series begins in early 2000 at about 14 and generally increases to about 14.4 by mid-2000. It then generally decreases to about 10.3 by late 2001 and then generally increases to about 24 by mid-2007. By late 2007 it has generally decreased to about 16 and by early 2008 it has generally increased to about 19.5. It then generally decreases to about 5.6 by late 2008 and then generally increases to about 25.5 by 2011:Q3.

Note: Data are seasonally adjusted by staff.

Source: Thomson Financial.

Figure: Corporate Bond Spreads

Line chart, by basis points, 2007 to 2011. Data are daily. There is a vertical line in November 2011 marking the November FOMC. There are two series, 10-year high-yield and 10-year BBB. 10-year high-yield begins in 2007:Q1 at about 350 and generally increases to about 1680 by 2008:Q4 and then generally decreases to about 430 by early 2010:Q2 and generally increases to about 550 by mid-2010:Q2. It then generally decreases to about 360 by 2011:Q1 and then generally increases to about 550 by December 6, 2011. 10-year BBB begins in 2007:Q1 at about 140 and then generally increases to about 650 by 2008:Q4. It then generally decreases to about 160 by early 2010:Q2 and then generally increases to about 220 by late 2010:Q2. By 2011:Q2 it has generally decreased to about 170 and by December 6, 2011 it has generally increased to about 275.

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

Source: Merrill Lynch and staff estimates.

Figure: Spread on 30-Day A2/P2 Commercial Paper

Line chart, by basis points, 2009 to 2011. Data are 5-day moving averages. There is a vertical line in November 2011 marking the November FOMC. The series begins in April 2009 at about 86 and generally decreases to about 7 by January 2010. It then generally increases to about 25 by July 2010. From July 2010 to April 2011 it fluctuates between about 13 and 25. By December 6, 2011 it generally increases to about 39.

Note: The A2/P2 spread is the A2/P2 nonfinancial rate minus the AA nonfinancial rate. The December 6, 2011 value is the latest available single-day observation.

Source: Depository Trust & Clearing Corporation.


Business Finance

Figure: Selected Components of Net Debt Financing, Nonfinancial Firms

Bar chart, by billions of dollars, 2007 to 2011. Data are monthly rate. There is a horizontal line at zero. There are three series, Commercial paper, C&I loans, and Bonds. Commercial paper and C&I loans are seasonally adjusted on a period-end basis, bonds are not. There is also a "Total" series presented as a curve which sums the total of the other series. Approximate values are: 2007: Bonds 25, C&I 22, Commercial paper 0, Total 47. 2008: Bonds 17, C&I 6, Commercial paper 1, Total 24. 2009: Bonds 32, C&I -27, Commercial paper -5, Total 0. 2010: Bonds 34, C&I -5, Commercial paper 2, Total 31. 2011:H1: Bonds 34, C&I 6, Commercial paper 3, Total 43. 2011:Q3: Bonds 24, C&I 13, Commercial paper 3, Total 40. October 2011: Bonds 15, C&I 17, Commercial paper 17, Total 49. November 2011 (estimates): Bonds 53, C&I 5, Commercial paper 3, Total 61.

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

Figure: Gross Issuance of Institutional Leveraged Loans

Bar chart, by billions of dollars, 2007 to 2011. Data are monthly rate. The series begins in 2007 at about 36 and decreases to about 4 by 2009. It then increases to about 33 by 2011:H1 and then decreases to about 11 by 2011:Q3. By October 2011 it has increased to about 12.

Source: Reuters Loan Pricing Corporation.

Figure: Selected Components of Net Equity Issuance, Nonfinancial Firms

Bar chart, by billions of dollars, 2007 to 2011. Data are monthly rate. There is a horizontal line at zero. There are four series, Private issuance, Public issuance, Repurchases, and Cash mergers. There is also a "Total" series presented as a curve which sums the total of the other series. Approximate values are: 2007: Private issuance 20, Public issuance 5, Repurchases -46, Cash mergers -39, Total -60. 2008: Private issuance 22, Public issuance 4, Repurchases -31, Cash mergers -17, Total -22. 2009: Private issuance 15, Public issuance 6, Repurchases -12, Cash mergers -12, Total -3. 2010: Private issuance 9, Public issuance 5, Repurchases -25, Cash mergers -13, Total -23. 2011:H1: Private issuance 9, Public issuance 8, Repurchases -28, Cash mergers -16, Total -27. 2011:Q3 (estimates): Private issuance 10, Public issuance 1, Repurchases -40, Cash mergers -18, Total -47.

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

Figure: Financial Ratios for Nonfinancial Corporations

Line chart, by ratio, 1989 to 2011. There are two series, Debt over total assets, and Liquid assets over total assets. Debt over total assets begins in 1989 at about 0.333 and generally decreases to about 0.275 by 1996. It then generally increases to about 0.315 by 2002 and then generally decreases to about 0.248 by 2005. By 2009 it has generally increased to about 0.299 and by 2011:Q3 it has generally decreased to about 0.268. Liquid assets over total assets begins in 1989 at about 0.055 and decreases to about 0.048 by 1990. It then generally increases to about 0.103 by 2004 and generally decreases to about 0.085 by 2008. By 2011:Q3 it has generally increased to about 0.108.

Note: Data are annual through 1999 and quarterly thereafter. 2011:Q3 values are preliminary.

Source: Compustat.

Figure: Bond Ratings Changes of Nonfinancial Firms

Bar chart, by percent of outstandings, 1990 to 2011. Data are annual rate. There is a horizontal line at zero. There are two series, Upgrades and Downgrades. Upgrades begins in 1990 at about 10 and increases to about 16 by 1991. It then decreases to about 8 by 1992 and then increases to about 10 by 1993. By 1994 it has decreased to about 7 and by 1995 it has increased to about 21. It then decreases to about 9 by 1997 and then increases to about 14 by 1998. By 2002 it has decreased to about 3 and by 2007 it has generally increased to about 10. It then decreases to about 4 by 2008 and then generally increases to about 14 by 2011:H1. By 2011:Q3 it has decreased to about 9 and by October 2011 it increases to about 17. It then decreases to about 8 by November 2011. Downgrades begins in 1990 at about 32 and increases to about 44 by 1992. It then decreases to about 8 by 1995 and generally increases to about 37 by 2002. By 2004 it has decreased to about 10 and by 2009 it has generally increased to about 20. It then decreases to about 5 by 2011:Q3 and increases to about 9 by October 2011. By November 2011 it has decreased to about 8.

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

Figure: CMBS Issuance

Bar chart, by billions of dollars, 2007 to 2011. Data are annual rate. The series begins in 2007 at about 230 and decreases to about 0 by 2009. It then increases to about 35 by 2011:H1 and then decreases to about 30 by 2011:Q4. Part of the 2011:Q4 bar is hollow, about 1 billion dollars, indicating issuance in the pipeline.

Source: Commercial Mortgage Alert.


Household Finance

Figure: Mortgage Rate and MBS Yield

Line chart, by percent, 2007 to 2011. There is a vertical line in November 2011 marking the November FOMC. There are two series, 30-year conforming fixed mortgage rate and MBS yield. 30-year conforming fixed mortgage rate begins in 2007:Q1 at about 6.3 and generally increases to about 6.75 by 2007:Q2. It then generally decreases to about 5.49 by 2008:Q1 and then generally increases to about 6.6 by 2008:Q3. By early 2009:Q2 it has generally decreased to about 4.75 and by late 2009:Q2 it has generally increased to about 5.6. It then generally decreases to about 4.1 by 2010:Q4 and then generally increases to about 5.05 by 2011:Q1. By December 6, 2011 it has generally decreased to about 4.97. MBS yield begins in 2007:Q1 at about 5.8 and generally increases to about 6.45 by 2007:Q2. It then generally decreases to about 4.7 by 2008:Q1 and then generally increases to about 6.1 by 2008:Q4. By 2009:Q1 it has generally decreased to about 3.6 and by 2009:Q2 it has generally increased to about 5.1. It then generally decreases to about 3.85 by 2009:Q4 and then generally increases to about 4.6 by 2010:Q2. By 2010:Q4 it has generally decreased to about 3.2 and by 2011:Q1 it has generally increased to about 4.5. It then generally decreases to about 3.1 by December 6, 2011.

Note: For mortgage-backed securities (MBS) yield, the data are daily and consist of the Fannie Mae 30-year current-coupon rate; for mortgage rate, the data are weekly before 2010 and daily thereafter.

Source: For MBS yield, Barclays; for mortgage rate, Freddie Mac (before 2010) and Loansifter (after 2010).

Figure: Refinance Activity

Line chart, by index where March 16, 1990=100, 2002 to 2011. Data are weekly. The series begins in 2002 to about 1500 and generally increases to about 10,200 by 2003. It then generally decreases to about 1100 by 2006 and then generally increases to about 4100 by early 2008. By late 2008 it has generally decreased to about 1000 and by the end of 2008 it has generally increased to about 6500. It then generally decreases to about 1900 by mid-2009 and then generally increases to about 5000 by mid-2010. By early 2011 it has generally decreased to about 1800 and by December 2, 2011 it has generally increased to about 2700.

Note: Seasonally adjusted by FRB staff.

Source: Mortgage Bankers Association.

Figure: Delinquencies on Prime Mortgages, Transition Rate

Line chart, by percent of loans, 2003 to 2011. There are two series, 3-month moving average and monthly rate. 3-month moving average begins in 2003 at about 1.09 and generally decreases to about 0.81 by 2006. It then generally increases to about 1.47 by the beginning of 2009 and then generally decreases to about 1.07 by October 2011. Monthly rate begins in 2003 at about 1.03 and generally decreases to about 0.76 by 2006. It then generally increases to about 1.71 by 2008 and then generally decreases to about 1.1 by October 2011.

Note: Percent of previously current mortgages that transition to being at least 30 days delinquent each month.

Source: LPS Applied Analytics.

Figure: Prices of Existing Homes

Line chart, by index peaks normalized to 100, 2005 to 2011. Data are monthly. The series begins in 2005 at about 86 and generally increases to about 100 by early 2006. It then generally decreases to about 70 by early 2009 and then generally increases to about 72.5 by mid-2010. By October 2011 it has generally decreased to about 67.

Source: CoreLogic.

Figure: Volume of Credit Card Solicitation Mail

Line chart, by millions of mailings, 2002 to 2011. Data are monthly. The series begins in early 2002 at about 480 and increases to about 600 by mid-2002. It then generally decreases to about 370 by 2003 and then generally increases to about 660 by 2005. By 2009 it generally decreases to about 100 and by October 2011 it generally increases to about 390.

Note: In early 2010 there is a break in the series.

Source: Mintel.

Figure: Gross Consumer ABS Issuance

Bar chart, by billions of dollars, 2007 to 2011. Data are monthly rate. There are three series, Auto, Credit card, and Student loan. Approximate values are: 2007: Auto 6, Credit card 8, Student loan 5.6. 2008:H1: Auto 5, Credit card 8.5, Student loan 4.5. 2008:H2: Auto 0.9, Credit card 1.8, Student loan 1. 2009:H1: Auto 6.3, Credit card 7.8, Student loan 2.4. 2009:H2: Auto 9.5, Credit card 6, Student loan, 2.5. 2010:H1: Auto 4.5, Credit card 0.8, Student loan 2.2. 2010:H2: Auto 4.0, Credit card 0.2, Student loan 2.3. 2011:H1: Auto 4.1, Credit card 0.5, Student loan 2.2. 2011:Q3: Auto 5.0, Credit card 0.3, Student loan 1.7. October 2011: Auto 4.3, Credit card 1.5, Student loan 0.4. November 2011: Auto 8.6, Credit card 2.4, Student loan 1.6.

Source: Inside MBS & ABS; Merrill Lynch; Bloomberg; Federal Reserve Board.


Commercial Banking and Money

Figure: Changes in Bank Credit

Line chart, by percent, 2005 to 2011. Data are 3-month change, a.r. There is a horizontal line at zero. There are two series, Total bank credit and C&I loans. Total bank credit begins in 2005:Q1 at about 10. From 2005:Q1 to 2008:Q1 it fluctuates between about 4 and 13. It then generally decreases to about -1 by 2008:Q2 and then generally increases to about 9.8 by 2008:Q4. By 2009:Q3 it has generally decreased to about -12 and by 2010:Q3 it has generally increased to about 1.5. It then generally decreases to about -1.5 by 2011:Q2 and then generally increases to about 5 by November 2011. C&I loans begins in 2005:Q1 at about 12 and generally increases to about 17 by 2005:Q2. It then generally decreases to about 9.8 by 2005:Q4 and then generally increases to about 24 by 2006:Q2. By 2006:Q4 it has generally decreased to about 3 and by 2007:Q4 it has generally increased to about 29.5. It then generally decreases to about 5 by 2008:Q2 and then generally increases to about 25 by 2008:Q4. By 2009:Q3 it has generally decreased to about -29.8 and by November 2011 it has generally increased to about 9.

Source: Federal Reserve Board.

Figure: Return on Assets, by BHC Size

Line chart, by percent, 1997 to 2011. Data are quarterly, s.a.a.r. There is a horizontal line at zero. There are two series, Top 6 BHCs and All other BHCs. Top 6 BHCs begins in 1997 at about 1. From 1997 to late 2006 it fluctuates between about 0.4 and 1.7. It then generally decreases to about -1.3 by 2008 and then generally increases to about 0.95 by late 2010. By 2011:Q2 it has decreased to about 0 and by 2011:Q3 it has increased to about 1.05. All other BHCs begins in 1997 at about 1.2. From 1997 to early 2000 it fluctuates between about 1.1 and 1.3. It then generally decreases to about 0.7 by 2001 and then generally increases to about 1.3 by 2003. By late 2008 it has generally decreased to about -1.7 and by 2011:Q3 it has generally increased to about 0.85.

Note: BHC is a bank holding company.

Source: Federal Reserve Board.

Figure: Bank Holding Company Pretax Income

Bar chart, by percent of average total assets, 2005 to 2011. There is a horizontal line at zero. There are four series, Net interest income, Noninterest income, Noninterest expense, and Provisions. There is also a "Net pretax income" series presented as a curve which sums the total of the other series. Net interest income begins in 2005:Q1 at about 2.7 and generally decreases very gradually to 2.25 by 2007:Q3. It then generally increases to about 2.75 by 2008:Q4 and then decreases to about 2.25 by 2009:Q1. By 2010:Q1 it has generally increased to about 2.5 and by 2011:Q3 it has generally decreased to about 2.25. Noninterest income begins in 2005:Q1 at about 2.7. From 2005:Q1 to 2007:Q2 it fluctuates between about 2.5 and 3.0. It then generally decreases to about 1.2 by 2008:Q4 and then increases to about 2.8 by 2009:Q3. From 2009:Q3 to 2011:Q3 it fluctuates between about 2.4 and 2.8. Noninterest expense begins in 2005:Q1 at about -3.5 and generally decreases very gradually to -2.8 by 2008:Q1. It then increases to about -4 by 2008:Q4 and then decreases to about -3.2 by 2009:Q1. From 2009:Q1 to 2011:Q3 it fluctuates between about -3.1 and -3.5. Provisions begins in 2005:Q1 at about -0.2. From 2005:Q1 to 2006:Q4 it fluctuates between about -0.1 and -0.3. It then generally increases to about -1.7 by 2008:Q4 and then generally decreases to about -0.5 by 2011:Q3. Net pretax income begins in 2005:Q1 at about 1.75. From 2005:Q1 to 2006:Q4 it fluctuates between about 1.5 and 1.85. It then generally decreases to about -1.9 by 2008:Q4 and then generally increases to about 1.0 by 2011:Q3.

Note: Quarterly, s.a.a.r.

Source: Federal Reserve Board

Figure: Weighted-Average C&I Loan Rate Spread

Line chart, by basis points, 1997 to 2011. Data are quarterly. There are two series, Unadjusted and Adjusted. Unadjusted begins in 1997 at about 190 and generally increases to about 257 by 2003. It then generally decreases to about 220 by 2008 and then generally increases to about 347 by 2010. By 2011:Q4 it has generally decreased to about 320. Adjusted begins in 1997 at about 190 and generally increases to about 225 by 2002. It then generally decreases to about 170 by 2008 and then generally increases to about 302 by 2010. By 2011:Q4 it has generally decreased to about 285.

Note: The rate on C&I loans of less than $25 million over a market interest rate on an instrument of comparable maturity, adjusted for changes in nonprice loan characteristics.

Source: Survey of Terms of Business Lending.


Growth of M2 and Its Components
Percent, s.a.a.r.
M2 Liquid
deposits
Small time
deposits
Retail
MMMFs
Curr.
2010 3.2 10.9 -21.5 -15.5 5.9
2011:H1 5.6 10.0 -18.9 -6.7 10.1
2011:Q3 19.9 27.9 -20.5 11.2 7.9
Sept. 2011 6.0 9.7 -21.0 -1.2 6.4
Oct. 2011 3.7 5.9 -21.8 10.9 2.9
Nov. 2011 (e) 4.8 9.1 -22.8 -13.0 8.3

Note: Retail MMMFs are retail money market mutual funds.

e Estimate.  Return to table

Source: Federal Reserve Board.


Figure: Level of Liquid Deposits

Line chart, by trillion of dollars, 2008 to 2011. Data are weekly. There is a vertical line in November 2011 marking the November FOMC. The series begins in early 2008 at about 4.5 and generally increases to about 7.15 by November 28, 2011.

Note: Seasonally adjusted.

Source: Federal Reserve Board.

Note: The blue shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, and December 2007-June 2009.


[Box:] Balance Sheet Developments over the Intermeeting Period

Federal Reserve Balance Sheet
Billions of dollars
Change
since last
FOMC
Current
(12/05/11)
Total assets -21 2,812
Selected assets:
Liquidity programs for financial firms +0 2
Primary, secondary, and seasonal credit +0 +0
Foreign central bank liquidity swaps +0 2
Term Asset-Backed Securities Loan Facility (TALF) -1 10
Net portfolio holdings of Maiden Lane LLCs -3 38
Maiden Lane -2 11
Maiden Lane II -0 9
Maiden Lane III -0 18
Securities held outright* -21 2,599
U.S. Treasury securities 3 1,666
Agency debt securities -2 106
Agency mortgage-backed securities -22 827
Total liabilities -23 2,758
Selected liabilities:
Federal Reserve notes in circulation 13 1,020
Reverse repurchase agreements 4 87
Foreign official and international accounts 4 87
Others 0 0
Reserve balances of depository institutions** -30 1,546
Term deposits held by depository institutions 5 5
U.S. Treasury, General Account -34 27
U.S. Treasury, Supplementary Financing Account 0 0
Other deposits 17 54
Total capital 2 54

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

* Par value.  Return to table

** Includes required clearing balances and overdrafts. Excludes as-of adjustments.  Return to table


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

Last update: February 3, 2017