Accessible versions

Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Period 2-Year Treasury Rate 10-Year Treasury Rate
January 1997 6.01 6.58
February 1997 5.90 6.42
March 1997 6.22 6.69
April 1997 6.45 6.89
May 1997 6.28 6.71
June 1997 6.09 6.49
July 1997 5.89 6.22
August 1997 5.94 6.30
September 1997 5.88 6.21
October 1997 5.77 6.03
November 1997 5.71 5.88
December 1997 5.72 5.81
January 1998 5.36 5.54
February 1998 5.42 5.57
March 1998 5.56 5.65
April 1998 5.56 5.64
May 1998 5.59 5.65
June 1998 5.52 5.50
July 1998 5.46 5.46
August 1998 5.27 5.34
September 1998 4.67 4.81
October 1998 4.09 4.53
November 1998 4.54 4.83
December 1998 4.51 4.65
January 1999 4.62 4.72
February 1999 4.88 5.00
March 1999 5.05 5.23
April 1999 4.98 5.18
May 1999 5.25 5.54
June 1999 5.62 5.90
July 1999 5.55 5.79
August 1999 5.68 5.94
September 1999 5.66 5.92
October 1999 5.86 6.11
November 1999 5.86 6.03
December 1999 6.10 6.28
January 2000 6.44 6.66
February 2000 6.61 6.52
March 2000 6.53 6.26
April 2000 6.40 5.99
May 2000 6.81 6.44
June 2000 6.48 6.10
July 2000 6.34 6.05
August 2000 6.23 5.83
September 2000 6.08 5.80
October 2000 5.91 5.74
November 2000 5.88 5.72
December 2000 5.35 5.24
January 2001 4.76 5.16
February 2001 4.66 5.10
March 2001 4.34 4.89
April 2001 4.23 5.14
May 2001 4.26 5.39
June 2001 4.08 5.28
July 2001 4.04 5.24
August 2001 3.76 4.97
September 2001 3.12 4.73
October 2001 2.73 4.57
November 2001 2.78 4.65
December 2001 3.11 5.09
January 2002 3.03 5.04
February 2002 3.02 4.91
March 2002 3.56 5.28
April 2002 3.42 5.21
May 2002 3.26 5.16
June 2002 2.99 4.93
July 2002 2.56 4.65
August 2002 2.13 4.26
September 2002 2.00 3.87
October 2002 1.91 3.94
November 2002 1.92 4.05
December 2002 1.84 4.03
January 2003 1.74 4.05
February 2003 1.63 3.90
March 2003 1.57 3.81
April 2003 1.62 3.96
May 2003 1.42 3.57
June 2003 1.23 3.33
July 2003 1.47 3.98
August 2003 1.86 4.45
September 2003 1.71 4.27
October 2003 1.75 4.29
November 2003 1.93 4.30
December 2003 1.91 4.27
January 2004 1.76 4.15
February 2004 1.74 4.08
March 2004 1.58 3.83
April 2004 2.07 4.35
May 2004 2.53 4.72
June 2004 2.76 4.73
July 2004 2.64 4.50
August 2004 2.51 4.28
September 2004 2.53 4.13
October 2004 2.58 4.10
November 2004 2.85 4.19
December 2004 3.01 4.23
January 2005 3.22 4.22
February 2005 3.38 4.17
March 2005 3.73 4.50
April 2005 3.65 4.34
May 2005 3.64 4.14
June 2005 3.64 4.00
July 2005 3.87 4.18
August 2005 4.04 4.26
September 2005 3.95 4.20
October 2005 4.27 4.46
November 2005 4.42 4.54
December 2005 4.40 4.47
January 2006 4.40 4.42
February 2006 4.67 4.57
March 2006 4.73 4.72
April 2006 4.89 4.99
May 2006 4.97 5.11
June 2006 5.12 5.11
July 2006 5.12 5.09
August 2006 4.90 4.88
September 2006 4.77 4.72
October 2006 4.80 4.73
November 2006 4.74 4.60
December 2006 4.67 4.56
January 2007 4.88 4.76
February 2007 4.85 4.72
March 2007 4.57 4.56
April 2007 4.67 4.69
May 2007 4.77 4.75
June 2007 4.98 5.10
July 2007 4.82 5.00
August 2007 4.31 4.67
September 2007 4.01 4.52
October 2007 3.97 4.53
November 2007 3.34 4.15
December 2007 3.12 4.10
January 2008 2.48 3.74
February 2008 1.97 3.74
March 2008 1.62 3.51
April 2008 2.05 3.68
May 2008 2.45 3.88
June 2008 2.77 4.10
July 2008 2.57 4.01
August 2008 2.42 3.89
September 2008 2.08 3.69
October 2008 1.61 3.81
November 2008 1.21 3.53
December 2008 0.82 2.42
January 2009 0.81 2.52
February 2009 0.98 2.87
March 2009 0.93 2.82
April 2009 0.93 2.93
May 2009 0.93 3.29
June 2009 1.18 3.72
July 2009 1.02 3.56
August 2009 1.12 3.59
September 2009 0.96 3.40
October 2009 0.95 3.39
November 2009 0.80 3.40
December 2009 0.87 3.59
January 2010 0.93 3.73
February 2010 0.86 3.69
March 2010 0.96 3.73
April 2010 1.06 3.85
May 2010 0.83 3.42
June 2010 0.72 3.20
July 2010 0.62 3.01
August 2010 0.52 2.70
September 2010 0.48 2.65
October 2010 0.38 2.54
November 2010 0.45 2.76
December 2010 0.62 3.29
January 2011 0.61 3.39
February 2011 0.77 3.58
March 2011 0.70 3.41
April 2011 0.73 3.46
May 2011 0.56 3.17
June 2011 0.41 3.00
July 2011 0.41 3.00
August 2011 0.23 2.30
September 2011 0.21 1.98
October 2011 0.28 2.15
November 2011 0.25 2.01
December 2011 0.26 1.98
January 2012 0.24 1.97
February 2012 0.28 1.97
March 2012 0.34 2.17
April 2012 0.29 2.05
May 2012 0.29 1.80
June 2012 0.29 1.62
July 2012 0.25 1.53
August 2012 0.27 1.68
September 2012 0.26 1.72
October 2012 0.28 1.75
November 2012 0.27 1.65
December 2012 0.26 1.72
January 2013 0.27 1.91
February 2013 0.27 1.98
March 2013 0.26 1.96
April 2013 0.23 1.76
May 2013 0.25 1.93
June 2013 0.33 2.30
July 2013 0.34 2.58
August 2013 0.36 2.74
September 2013 0.40 2.81
October 2013 0.34 2.62
November 2013 0.30 2.72
December 2013 0.34 2.90
January 2014 0.39 2.86
February 2014 0.33 2.71
March 2014 0.40 2.72
April 2014 0.42 2.71
May 2014 0.39 2.56
June 2014 0.45 2.60
July 2014 0.51 2.54
August 2014 0.47 2.42
September 2014 0.57 2.53
October 2014 0.45 2.30
November 2014 0.53 2.33
December 2014 0.64 2.21
January 2015 0.55 1.88
February 2015 0.62 1.98
March 2015 0.64 2.04
April 2015 0.54 1.94
May 2015 0.61 2.20
June 2015 0.69 2.36
July 2015 0.67 2.32
August 2015 0.70 2.17
September 2015 0.71 2.17
October 2015 0.64 2.07
November 2015 0.88 2.26
December 2015 0.98 2.24
January 2016 0.90 2.09
February 2016 0.73 1.78
March 2016 0.88 1.89
April 2016 0.77 1.81
May 2016 0.82 1.81
June 2016 0.73 1.64
July 2016 0.67 1.50
August 2016 0.74 1.56
September 2016 0.77 1.63
October 2016 0.84 1.76
November 2016 0.98 2.14
December 2016 1.20 2.49
January 2017 1.21 2.43
February 2017 1.20 2.42
March 2017 1.31 2.48
April 2017 1.24 2.30
May 2017 1.30 2.30
June 2017 1.34 2.19
July 2017 1.37 2.32
August 2017 1.34 2.21
September 2017 1.38 2.20
October 2017 1.55 2.36
November 2017 1.70 2.35
December 2017 1.84 2.40
January 2018 2.03 2.58
February 2018 2.18 2.86
March 2018 2.28 2.84
April 2018 2.38 2.87
May 2018 2.51 2.98
June 2018 2.53 2.91
July 2018 2.61 2.89
August 2018 2.64 2.89
September 2018 2.77 3.00
October 2018 2.86 3.15

Note: The 2-year and 10-year Treasury rates are the constant-maturity yields based on the most actively traded securities.

Source: Federal Reserve Board, Statistical Release H.15, "Selected Interest Rates."

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Figure 1-2. Term Premium on 10-Year Nominal Treasury Securities

Period Percentage points
January 1997 1.478
February 1997 1.506
March 1997 1.669
April 1997 1.552
May 1997 1.584
June 1997 1.482
July 1997 1.252
August 1997 1.376
September 1997 1.272
October 1997 1.094
November 1997 1.046
December 1997 0.949
January 1998 0.896
February 1998 0.959
March 1998 0.988
April 1998 1.017
May 1998 0.939
June 1998 0.874
July 1998 0.897
August 1998 0.688
September 1998 0.481
October 1998 0.623
November 1998 0.640
December 1998 0.670
January 1999 0.712
February 1999 1.042
March 1999 1.055
April 1999 1.036
May 1999 1.288
June 1999 1.278
July 1999 1.367
August 1999 1.349
September 1999 1.366
October 1999 1.341
November 1999 1.332
December 1999 1.462
January 2000 1.410
February 2000 1.315
March 2000 1.052
April 2000 1.181
May 2000 1.161
June 2000 1.005
July 2000 0.881
August 2000 0.779
September 2000 0.820
October 2000 0.718
November 2000 0.595
December 2000 0.549
January 2001 0.760
February 2001 0.743
March 2001 0.937
April 2001 1.225
May 2001 1.365
June 2001 1.379
July 2001 1.223
August 2001 1.163
September 2001 1.312
October 2001 1.222
November 2001 1.623
December 2001 1.860
January 2002 1.747
February 2002 1.737
March 2002 1.758
April 2002 1.778
May 2002 1.727
June 2002 1.634
July 2002 1.374
August 2002 1.151
September 2002 0.888
October 2002 1.137
November 2002 1.351
December 2002 1.104
January 2003 1.201
February 2003 0.985
March 2003 1.109
April 2003 1.100
May 2003 0.735
June 2003 0.902
July 2003 1.526
August 2003 1.559
September 2003 1.197
October 2003 1.419
November 2003 1.423
December 2003 1.386
January 2004 1.316
February 2004 1.200
March 2004 1.104
April 2004 1.530
May 2004 1.484
June 2004 1.438
July 2004 1.332
August 2004 1.069
September 2004 0.991
October 2004 0.901
November 2004 0.979
December 2004 0.863
January 2005 0.742
February 2005 0.822
March 2005 0.876
April 2005 0.652
May 2005 0.463
June 2005 0.433
July 2005 0.558
August 2005 0.388
September 2005 0.534
October 2005 0.598
November 2005 0.538
December 2005 0.426
January 2006 0.449
February 2006 0.452
March 2006 0.586
April 2006 0.686
May 2006 0.657
June 2006 0.621
July 2006 0.512
August 2006 0.402
September 2006 0.359
October 2006 0.290
November 2006 0.232
December 2006 0.374
January 2007 0.438
February 2007 0.274
March 2007 0.345
April 2007 0.348
May 2007 0.573
June 2007 0.638
July 2007 0.474
August 2007 0.525
September 2007 0.621
October 2007 0.530
November 2007 0.496
December 2007 0.505
January 2008 0.611
February 2008 0.679
March 2008 0.698
April 2008 0.900
May 2008 0.983
June 2008 0.903
July 2008 0.920
August 2008 0.791
September 2008 1.024
October 2008 1.427
November 2008 0.840
December 2008 0.497
January 2009 0.840
February 2009 0.881
March 2009 0.604
April 2009 0.942
May 2009 1.296
June 2009 1.230
July 2009 1.258
August 2009 1.149
September 2009 1.062
October 2009 1.144
November 2009 0.977
December 2009 1.358
January 2010 1.230
February 2010 1.183
March 2010 1.314
April 2010 1.197
May 2010 0.966
June 2010 0.739
July 2010 0.674
August 2010 0.399
September 2010 0.374
October 2010 0.410
November 2010 0.583
December 2010 0.943
January 2011 0.998
February 2011 1.011
March 2011 1.057
April 2011 0.946
May 2011 0.700
June 2011 0.814
July 2011 0.489
August 2011 0.149
September 2011 0.020
October 2011 0.092
November 2011 0.080
December 2011 -0.009
January 2012 -0.087
February 2012 -0.016
March 2012 0.147
April 2012 -0.038
May 2012 -0.264
June 2012 -0.239
July 2012 -0.289
August 2012 -0.270
September 2012 -0.255
October 2012 -0.186
November 2012 -0.267
December 2012 -0.147
January 2013 0.000
February 2013 -0.102
March 2013 -0.157
April 2013 -0.213
May 2013 0.113
June 2013 0.394
July 2013 0.503
August 2013 0.617
September 2013 0.482
October 2013 0.455
November 2013 0.531
December 2013 0.734
January 2014 0.528
February 2014 0.515
March 2014 0.613
April 2014 0.549
May 2014 0.448
June 2014 0.489
July 2014 0.490
August 2014 0.410
September 2014 0.503
October 2014 0.398
November 2014 0.303
December 2014 0.273
January 2015 -0.009
February 2015 0.206
March 2015 0.104
April 2015 0.235
May 2015 0.296
June 2015 0.385
July 2015 0.256
August 2015 0.242
September 2015 0.161
October 2015 0.217
November 2015 0.208
December 2015 0.236
January 2016 -0.017
February 2016 -0.120
March 2016 -0.098
April 2016 -0.064
May 2016 -0.075
June 2016 -0.304
July 2016 -0.286
August 2016 -0.239
September 2016 -0.231
October 2016 -0.107
November 2016 0.254
December 2016 0.301
January 2017 0.300
February 2017 0.262
March 2017 0.167
April 2017 0.084
May 2017 -0.027
June 2017 0.019
July 2017 -0.015
August 2017 -0.096
September 2017 0.011
October 2017 0.007
November 2017 -0.005
December 2017 -0.017
January 2018 0.190
February 2018 0.178
March 2018 0.187
April 2018 0.196
May 2018 0.129
June 2018 0.097
July 2018 0.151
August 2018 0.046
September 2018 0.142
October 2018 0.151

Note: Term premiums are estimated from a three-factor term structure model using Treasury yields and Blue Chip interest rate forecasts.

Source: Department of the Treasury; Wolters Kluwer, Blue Chip Financial Forecasts; Federal Reserve Bank of New York; Federal Reserve Board staff estimates.

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Figure 1-3

This is a line chart titled "Option-Implied Volatility on the 10-Year Swap Rate." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 200 basis points. The data are monthly. The variable plotted, the option-implied volatility on the 10-year swap rate, is designated by a black line. It begins in 1997 at around 100 basis points. It rises to around 150 basis points in 2001, then steadily declines from 2003 to 2007 where it reaches around 50 basis points. It gradually rises from 2007 to 2009 peak of around 175 basis points. It then drops steeply to around 100 basis points in 2010, and then gradually declines to around 65 basis points in October 2018, with a brief rise to around 100 basis points in 2013.

Note: Implied volatility on the 10-year swap rate 1 year ahead, derived from swaptions.

Source: Barclays PLC, Barclays Live.

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Figure 1-4

The is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2018. The y-axis ranges from 0 to 18 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "10-year high-yield" and is designated by a black line. It begins at around 9 percent in 1997 and rises gradually to around 13 percent in 1999 and 2000. It falls to around 7 percent in 2003, and then peaks sharply in 2008 and 2009 at around 17 percent before falling sharply to around 8 percent in late 2009. It remains between 6 and 8 percent from 2010 to October 2018. The second line is labeled "10-year triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, and fluctuates between 7 and 9 percent until it drops to around 5 percent in 2002 and 2003. It gradually rises until it sharply increases to around 10 percent in 2008 and 2009, and then sharply declines to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to October 2018.

Note: The 10-year triple-B reflects the effective yield of the ICE BofAML 7-to-10-year triple-B U.S. Corporate Index (C4A4), and the 10-year high-yield reflects the effective yield of the ICE BofAML 7-to-10-year U.S. Cash Pay High Yield Index (J4A0).

Source: ICE Data Indices, LLC, used with permission.

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Figure 1-5

This is a line chart titled "Corporate Bond Spreads to Similar Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2018. The data are monthly, and there are two variables plotted on the chart. The first line is labeled "10-year high-yield" and is designated by a black line. This line corresponds to the values on the right y-axis, which ranges from 0 to 16 percentage points. It begins at around 3 percentage points in 1997, rises to around 8 percentage points from 2000 to 2002, then drops sharply to around 3 percentage points in 2003. It remains around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 15 percentage points. It then falls steeply in 2009 to around 4 percentage points, goes briefly up to around 6 percentage points in 2011 and 2012, falls gradually to around 3 percentage points from 2012 to 2014, rises gradually from 2014 to 2016 to 6 percentage points, then falls to around 4 percentage points again from 2016 to October 2018. The second line is labeled "10-year triple-B" and is designated by a blue line. This line corresponds to the values on the left y-axis, which ranges from 0 to 8 percentage points. It begins at just under 1 percentage point in 1997, rises to around 3 percentage points from 2000 to 2002, then drops sharply to around 1 percentage point in 2003. It remains around 1 percentage point until 2008 when it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 1.5 percentage points and goes briefly up to around 2.5 percentage points in 2011 and 2012. It then falls gradually to around 1.5 percentage points from 2012 to 2014, rises gradually to around 2 percentage points in 2016, then declines to around 1.5 percentage points again from 2016 to October 2018.

Note: The 10-year triple-B reflects the effective yield of the ICE BofAML 7-to-10-year triple-B U.S. Corporate Index (C4A4), and the 10-year high-yield reflects the effective yield of the ICE BofAML 7-to-10-year U.S. Cash Pay High Yield Index (J4A0). Treasury yields from smoothed yield curve estimated from off-the-run securities.

Source: ICE Data Indices, LLC, used with permission; Department of the Treasury.

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Figure 1-6. Corporate Bond Premium over Expected Losses

Period Standard deviations from the mean
January 1997 -0.50
February 1997 -0.70
March 1997 -0.71
April 1997 -0.64
May 1997 -0.68
June 1997 -0.80
July 1997 -0.76
August 1997 -0.74
September 1997 -0.83
October 1997 -0.60
November 1997 -0.50
December 1997 -0.61
January 1998 -0.53
February 1998 -0.50
March 1998 -0.57
April 1998 -0.69
May 1998 -0.62
June 1998 -0.58
July 1998 -0.51
August 1998 0.06
September 1998 0.03
October 1998 0.21
November 1998 0.22
December 1998 0.01
January 1999 0.01
February 1999 -0.34
March 1999 -0.29
April 1999 -0.36
May 1999 -0.35
June 1999 -0.27
July 1999 -0.20
August 1999 -0.11
September 1999 0.08
October 1999 0.10
November 1999 0.04
December 1999 -0.29
January 2000 -0.02
February 2000 0.07
March 2000 0.44
April 2000 0.67
May 2000 0.96
June 2000 1.01
July 2000 1.11
August 2000 1.35
September 2000 1.48
October 2000 2.07
November 2000 2.19
December 2000 2.17
January 2001 1.56
February 2001 1.60
March 2001 1.52
April 2001 1.26
May 2001 1.01
June 2001 1.34
July 2001 0.99
August 2001 0.97
September 2001 1.63
October 2001 1.37
November 2001 -0.34
December 2001 0.50
January 2002 0.72
February 2002 1.00
March 2002 0.28
April 2002 0.49
May 2002 0.64
June 2002 1.28
July 2002 2.12
August 2002 2.00
September 2002 2.22
October 2002 1.97
November 2002 1.44
December 2002 1.22
January 2003 1.17
February 2003 0.82
March 2003 0.05
April 2003 -0.05
May 2003 -0.95
June 2003 -0.71
July 2003 -1.70
August 2003 -0.36
September 2003 -0.94
October 2003 -0.84
November 2003 -0.87
December 2003 -0.81
January 2004 -1.12
February 2004 -0.56
March 2004 -0.84
April 2004 -1.16
May 2004 -0.58
June 2004 -0.60
July 2004 -0.52
August 2004 -0.70
September 2004 -0.89
October 2004 -0.85
November 2004 -1.04
December 2004 -1.12
January 2005 -1.10
February 2005 -1.46
March 2005 -1.02
April 2005 -0.71
May 2005 -0.57
June 2005 -0.82
July 2005 -0.96
August 2005 -0.98
September 2005 -0.82
October 2005 -0.65
November 2005 -0.61
December 2005 -0.58
January 2006 -0.67
February 2006 -0.61
March 2006 -0.71
April 2006 -0.77
May 2006 -0.61
June 2006 -0.67
July 2006 -0.53
August 2006 -0.58
September 2006 -0.69
October 2006 -0.72
November 2006 -0.68
December 2006 -0.84
January 2007 -0.92
February 2007 -0.96
March 2007 -0.65
April 2007 -0.65
May 2007 -0.98
June 2007 -0.68
July 2007 -0.11
August 2007 0.07
September 2007 -0.04
October 2007 -0.18
November 2007 0.31
December 2007 0.52
January 2008 0.86
February 2008 1.16
March 2008 1.49
April 2008 0.77
May 2008 0.82
June 2008 0.97
July 2008 1.35
August 2008 1.57
September 2008 2.35
October 2008 4.59
November 2008 3.88
December 2008 4.04
January 2009 3.55
February 2009 4.23
March 2009 3.53
April 2009 2.96
May 2009 1.71
June 2009 1.09
July 2009 0.24
August 2009 -0.14
September 2009 -0.12
October 2009 -0.40
November 2009 -0.19
December 2009 -0.84
January 2010 -0.40
February 2010 -0.10
March 2010 -0.29
April 2010 -0.48
May 2010 -0.35
June 2010 -0.13
July 2010 0.11
August 2010 -0.68
September 2010 -0.19
October 2010 -0.13
November 2010 -0.33
December 2010 -0.70
January 2011 -0.05
February 2011 -0.44
March 2011 -0.50
April 2011 -0.44
May 2011 -0.27
June 2011 -0.09
July 2011 -0.19
August 2011 -0.38
September 2011 0.35
October 2011 -0.41
November 2011 0.50
December 2011 0.15
January 2012 0.00
February 2012 -0.16
March 2012 -0.75
April 2012 -0.49
May 2012 -0.46
June 2012 -0.04
July 2012 -0.31
August 2012 -0.61
September 2012 -0.49
October 2012 -0.50
November 2012 -0.31
December 2012 -0.44
January 2013 -0.30
February 2013 -0.23
March 2013 -0.32
April 2013 -0.38
May 2013 -0.92
June 2013 -0.71
July 2013 -0.14
August 2013 -0.30
September 2013 -0.33
October 2013 -0.16
November 2013 -0.09
December 2013 -0.29
January 2014 -0.56
February 2014 -0.41
March 2014 -0.51
April 2014 -0.65
May 2014 -0.68
June 2014 -0.58
July 2014 -0.60
August 2014 -0.61
September 2014 -0.46
October 2014 -0.48
November 2014 -0.09
December 2014 -0.10
January 2015 -0.36
February 2015 -0.71
March 2015 -0.44
April 2015 -0.22
May 2015 -0.15
June 2015 0.05
July 2015 0.10
August 2015 0.37
September 2015 0.53
October 2015 0.39
November 2015 0.50
December 2015 0.75
January 2016 1.04
February 2016 1.07
March 2016 0.57
April 2016 0.07
May 2016 0.07
June 2016 -0.27
July 2016 -0.34
August 2016 -0.32
September 2016 -0.41
October 2016 -0.36
November 2016 -1.39
December 2016 -0.55
January 2017 -0.47
February 2017 -0.47
March 2017 -0.44
April 2017 -0.37
May 2017 -0.46
June 2017 -0.41
July 2017 -0.44
August 2017 -0.36
September 2017 -0.64
October 2017 -0.55
November 2017 -0.44
December 2017 -0.54
January 2018 -0.83
February 2018 -0.60
March 2018 -0.40
April 2018 -0.67
May 2018 -0.54
June 2018 -0.21
July 2018 -0.44
August 2018 -0.39
September 2018 -0.51
October 2018 -0.29

Note: Data are normalized to have a sample mean of zero and standard deviation of one.

Source: Federal Reserve Board staff calculations based on Lehman Brothers Fixed Income Database (Warga); Intercontinental Exchange, Inc., ICE Data Services; Center for Research in Security Prices, CRSP/Compustat Merged data, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.

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Figure 1-7. Spreads on Newly Issued Institutional Leveraged Loans

Percentage points

Period BB/BB- B+/B
January 1998 2.64 2.67
February 1998 2.54 2.84
March 1998 2.65 2.89
April 1998 2.44 2.74
May 1998 2.32 2.85
June 1998 2.45 2.91
July 1998 2.50 2.81
August 1998 2.42 2.79
September 1998 2.89 2.92
October 1998 3.10 3.32
November 1998 3.37 3.66
December 1998 3.47 3.77
January 1999 3.05 3.35
February 1999 3.05 3.37
March 1999 2.67 3.45
April 1999 2.71 3.42
May 1999 2.78 3.29
June 1999 2.79 3.36
July 1999 2.77 3.34
August 1999 3.07 3.53
September 1999 3.20 3.65
October 1999 3.43 3.69
November 1999 3.25 3.73
December 1999 3.00 3.54
January 2000 2.92 3.45
February 2000 2.76 3.21
March 2000 3.02 3.52
April 2000 3.08 3.65
May 2000 2.92 3.50
June 2000 2.96 3.64
July 2000 3.27 3.87
August 2000 3.61 3.89
September 2000 3.61 3.90
October 2000 3.53 ND
November 2000 3.12 3.94
December 2000 3.35 3.63
January 2001 3.34 3.59
February 2001 3.31 3.88
March 2001 3.14 3.70
April 2001 3.31 3.83
May 2001 2.94 3.60
June 2001 3.16 3.63
July 2001 3.29 3.92
August 2001 3.33 4.00
September 2001 3.45 ND
October 2001 4.25 ND
November 2001 3.44 ND
December 2001 3.10 ND
January 2002 3.33 4.00
February 2002 2.83 4.00
March 2002 3.01 4.25
April 2002 3.00 ND
May 2002 2.61 3.88
June 2002 2.48 3.25
July 2002 2.82 3.70
August 2002 3.17 4.17
September 2002 3.25 3.81
October 2002 3.75 ND
November 2002 3.93 4.08
December 2002 3.71 4.00
January 2003 3.07 3.92
February 2003 3.25 4.15
March 2003 3.83 4.25
April 2003 3.18 4.25
May 2003 3.12 4.05
June 2003 2.79 3.20
July 2003 2.69 3.45
August 2003 2.75 3.57
September 2003 2.95 3.50
October 2003 2.61 3.32
November 2003 2.38 2.90
December 2003 2.48 2.91
January 2004 2.16 3.07
February 2004 2.36 2.94
March 2004 2.25 2.79
April 2004 2.38 2.98
May 2004 2.29 3.27
June 2004 2.15 2.93
July 2004 2.04 2.74
August 2004 2.23 3.00
September 2004 2.28 2.72
October 2004 2.25 2.71
November 2004 2.10 2.66
December 2004 1.96 2.55
January 2005 2.02 2.65
February 2005 2.00 2.55
March 2005 1.81 2.35
April 2005 1.69 2.63
May 2005 2.04 2.86
June 2005 1.89 2.68
July 2005 1.81 2.43
August 2005 1.78 2.50
September 2005 1.77 2.54
October 2005 1.75 2.69
November 2005 1.69 2.66
December 2005 1.85 2.63
January 2006 1.88 2.62
February 2006 1.69 2.53
March 2006 1.64 2.54
April 2006 1.61 2.36
May 2006 1.75 2.45
June 2006 1.93 2.77
July 2006 2.13 2.85
August 2006 1.94 3.01
September 2006 1.92 2.64
October 2006 2.03 2.74
November 2006 2.00 2.83
December 2006 1.88 2.71
January 2007 1.65 2.34
February 2007 1.57 2.14
March 2007 1.72 2.19
April 2007 1.73 2.37
May 2007 1.70 2.33
June 2007 1.78 2.44
July 2007 2.40 2.93
August 2007 ND 3.39
September 2007 ND 3.17
October 2007 2.25 3.26
November 2007 2.42 3.29
December 2007 2.50 3.50
January 2008 ND 3.64
February 2008 ND 4.04
March 2008 ND 4.06
April 2008 ND 3.92
May 2008 2.17 3.60
June 2008 2.42 3.53
July 2008 3.06 3.89
August 2008 3.08 3.88
September 2008 3.74 4.42
October 2008 ND ND
November 2008 ND ND
December 2008 ND ND
January 2009 ND ND
February 2009 ND ND
March 2009 ND ND
April 2009 ND ND
May 2009 ND ND
June 2009 ND ND
July 2009 ND ND
August 2009 ND ND
September 2009 ND ND
October 2009 ND 4.66
November 2009 3.65 4.13
December 2009 3.25 4.31
January 2010 ND 3.96
February 2010 ND 3.97
March 2010 3.25 4.00
April 2010 3.28 4.06
May 2010 3.39 4.28
June 2010 4.17 5.18
July 2010 4.13 5.48
August 2010 4.13 5.00
September 2010 4.11 4.75
October 2010 3.71 4.79
November 2010 3.75 4.62
December 2010 3.65 4.72
January 2011 3.36 4.30
February 2011 3.20 3.81
March 2011 3.05 4.30
April 2011 2.94 4.21
May 2011 3.08 4.08
June 2011 3.26 4.55
July 2011 3.50 5.14
August 2011 3.42 5.48
September 2011 4.25 5.92
October 2011 4.08 6.25
November 2011 3.35 5.16
December 2011 3.13 5.18
January 2012 3.21 5.38
February 2012 3.14 4.58
March 2012 3.30 4.44
April 2012 3.50 4.72
May 2012 3.85 5.13
June 2012 4.18 5.64
July 2012 3.82 5.29
August 2012 3.29 4.51
September 2012 3.16 4.29
October 2012 3.50 4.34
November 2012 3.36 4.71
December 2012 3.00 4.55
January 2013 2.73 3.66
February 2013 2.82 3.74
March 2013 2.86 4.00
April 2013 2.60 3.77
May 2013 2.56 3.69
June 2013 3.04 4.00
July 2013 3.21 3.96
August 2013 2.79 3.90
September 2013 2.86 3.90
October 2013 2.75 3.96
November 2013 2.80 3.67
December 2013 2.67 3.63
January 2014 2.48 3.54
February 2014 2.62 3.76
March 2014 2.75 3.59
April 2014 3.13 3.86
May 2014 3.44 4.12
June 2014 3.20 4.07
July 2014 2.92 3.78
August 2014 3.17 4.13
September 2014 3.42 4.18
October 2014 3.64 4.53
November 2014 3.50 4.64
December 2014 3.75 4.65
January 2015 ND 4.78
February 2015 3.42 4.76
March 2015 3.13 4.08
April 2015 3.28 4.00
May 2015 3.11 3.83
June 2015 3.06 4.05
July 2015 3.21 4.04
August 2015 3.10 3.89
September 2015 ND 4.42
October 2015 3.25 4.63
November 2015 3.39 4.51
December 2015 3.95 4.52
January 2016 3.79 4.58
February 2016 3.88 5.04
March 2016 3.63 5.07
April 2016 3.69 4.66
May 2016 3.06 4.28
June 2016 3.05 4.21
July 2016 3.16 4.47
August 2016 3.15 4.51
September 2016 2.85 4.10
October 2016 2.77 4.00
November 2016 2.89 4.03
December 2016 2.68 3.88
January 2017 2.48 3.67
February 2017 2.56 3.98
March 2017 2.43 3.82
April 2017 2.50 3.93
May 2017 2.39 3.52
June 2017 2.40 3.70
July 2017 2.49 4.04
August 2017 2.75 3.85
September 2017 2.30 3.68
October 2017 2.45 4.04
November 2017 2.44 3.72
December 2017 2.33 3.75
January 2018 2.29 3.38
February 2018 2.26 3.39
March 2018 2.10 3.36
April 2018 2.17 3.44
May 2018 2.04 3.47
June 2018 2.32 3.79
July 2018 2.58 3.83
August 2018 2.36 3.69
September 2018 2.74 3.86

Note: Breaks in the series represent periods with no issuance. Spreads are calculated against three-month LIBOR (London interbank offered rate). The spreads do not include up-front fees.

Source: S&P Global, Leveraged Commentary & Data.

Return to text

Figure 1-8

This is a line chart titled "Change in Bank Lending Standards for C&I Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled "Easing" and positive y-axis values are labeled "Tightening." The data are quarterly. The variable begins around -15 percent in 1997, and increases to around 60 percent in 1998, before dropping to around 5 percent in 1999. It increases sharply to around 80 percent by the end of 2000, and gradually falls from 2001 to 2005, reaching around -55 percent. It gradually increases from 2005 to 2008, reaching its peak of around 80 percent near the end of 2008. It drops sharply in 2009, reaching around 0 percent by the end of the year. It gradually declines to around -20 percent in 2011 before increasing back to 0 percent in 2012. It decreases back to around -20 in 2013, slowly increases to around 10 percent from 2014 to 2016, then decreases back towards around -20 percent, ending just above -20 percent in the third quarter of 2018.

Note: Banks' responses are weighted by their C&I loan market shares. Results are shown for loans to large and medium-sized firms. The 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. C&I is commercial and industrial.

Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

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Figure 1-9. Forward Price-to-Earnings Ratio of S&P 500 Firms

Period Ratio
January 1988 10.33
February 1988 10.89
March 1988 11.05
April 1988 10.98
May 1988 9.88
June 1988 10.66
July 1988 10.33
August 1988 9.78
September 1988 9.99
October 1988 10.12
November 1988 9.47
December 1988 9.81
January 1989 10.06
February 1989 10.14
March 1989 10.12
April 1989 10.43
May 1989 10.73
June 1989 10.85
July 1989 11.24
August 1989 11.56
September 1989 11.51
October 1989 11.47
November 1989 11.52
December 1989 11.88
January 1990 11.53
February 1990 11.32
March 1990 11.49
April 1990 11.65
May 1990 12.07
June 1990 12.38
July 1990 12.39
August 1990 11.50
September 1990 10.79
October 1990 10.30
November 1990 11.18
December 1990 11.66
January 1991 11.25
February 1991 13.43
March 1991 13.77
April 1991 14.45
May 1991 13.64
June 1991 13.90
July 1991 14.15
August 1991 14.40
September 1991 14.21
October 1991 14.31
November 1991 14.46
December 1991 14.01
January 1992 15.37
February 1992 15.00
March 1992 14.85
April 1992 14.81
May 1992 14.70
June 1992 14.01
July 1992 14.43
August 1992 14.45
September 1992 14.41
October 1992 14.00
November 1992 14.52
December 1992 14.70
January 1993 14.62
February 1993 14.67
March 1993 15.01
April 1993 15.04
May 1993 14.71
June 1993 14.64
July 1993 14.63
August 1993 14.76
September 1993 14.81
October 1993 14.64
November 1993 14.67
December 1993 14.48
January 1994 14.74
February 1994 14.60
March 1994 14.33
April 1994 13.46
May 1994 13.42
June 1994 13.46
July 1994 13.00
August 1994 13.20
September 1994 13.10
October 1994 12.92
November 1994 12.56
December 1994 12.09
January 1995 12.32
February 1995 12.48
March 1995 12.50
April 1995 12.66
May 1995 12.90
June 1995 13.05
July 1995 13.30
August 1995 13.36
September 1995 13.68
October 1995 13.77
November 1995 13.80
December 1995 14.32
January 1996 14.01
February 1996 15.23
March 1996 14.80
April 1996 14.79
May 1996 15.20
June 1996 14.71
July 1996 14.40
August 1996 14.92
September 1996 15.25
October 1996 15.62
November 1996 16.07
December 1996 15.85
January 1997 16.46
February 1997 17.36
March 1997 16.65
April 1997 16.02
May 1997 17.38
June 1997 18.39
July 1997 19.23
August 1997 18.68
September 1997 18.92
October 1997 19.20
November 1997 18.60
December 1997 18.87
January 1998 18.66
February 1998 20.36
March 1998 21.42
April 1998 21.90
May 1998 21.69
June 1998 21.42
July 1998 22.77
August 1998 21.16
September 1998 20.01
October 1998 19.28
November 1998 22.02
December 1998 22.30
January 1999 23.71
February 1999 23.53
March 1999 24.73
April 1999 24.96
May 1999 24.74
June 1999 24.30
July 1999 25.44
August 1999 23.91
September 1999 23.47
October 1999 22.55
November 1999 24.50
December 1999 24.42
January 2000 24.85
February 2000 24.03
March 2000 23.73
April 2000 23.91
May 2000 23.89
June 2000 24.10
July 2000 24.09
August 2000 23.86
September 2000 23.85
October 2000 21.44
November 2000 22.24
December 2000 22.10
January 2001 21.98
February 2001 22.07
March 2001 19.71
April 2001 21.41
May 2001 22.23
June 2001 21.67
July 2001 21.61
August 2001 21.17
September 2001 18.42
October 2001 20.37
November 2001 21.49
December 2001 21.57
January 2002 21.00
February 2002 20.47
March 2002 20.75
April 2002 20.17
May 2002 19.40
June 2002 18.11
July 2002 16.15
August 2002 16.60
September 2002 15.72
October 2002 15.77
November 2002 16.01
December 2002 16.12
January 2003 16.48
February 2003 15.33
March 2003 15.70
April 2003 15.67
May 2003 16.55
June 2003 17.68
July 2003 17.27
August 2003 16.94
September 2003 17.41
October 2003 17.50
November 2003 17.10
December 2003 17.43
January 2004 18.10
February 2004 18.09
March 2004 17.40
April 2004 17.10
May 2004 15.97
June 2004 16.41
July 2004 15.92
August 2004 15.51
September 2004 15.77
October 2004 15.49
November 2004 16.17
December 2004 16.32
January 2005 15.95
February 2005 16.17
March 2005 15.64
April 2005 15.30
May 2005 15.27
June 2005 15.41
July 2005 15.41
August 2005 15.14
September 2005 14.95
October 2005 14.33
November 2005 14.61
December 2005 14.98
January 2006 14.90
February 2006 14.93
March 2006 15.06
April 2006 14.99
May 2006 14.29
June 2006 13.69
July 2006 13.90
August 2006 14.13
September 2006 14.26
October 2006 14.65
November 2006 14.81
December 2006 14.83
January 2007 15.01
February 2007 15.39
March 2007 14.56
April 2007 15.31
May 2007 15.51
June 2007 15.30
July 2007 15.41
August 2007 13.87
September 2007 15.01
October 2007 15.01
November 2007 14.32
December 2007 14.20
January 2008 13.49
February 2008 13.67
March 2008 13.09
April 2008 13.80
May 2008 14.30
June 2008 13.51
July 2008 12.60
August 2008 13.29
September 2008 12.01
October 2008 9.93
November 2008 9.74
December 2008 11.87
January 2009 11.48
February 2009 12.46
March 2009 12.42
April 2009 13.51
May 2009 14.66
June 2009 14.73
July 2009 14.80
August 2009 15.20
September 2009 15.91
October 2009 15.85
November 2009 15.12
December 2009 14.89
January 2010 14.80
February 2010 13.81
March 2010 14.44
April 2010 14.83
May 2010 12.99
June 2010 12.82
July 2010 12.49
August 2010 12.10
September 2010 12.36
October 2010 12.84
November 2010 12.57
December 2010 13.03
January 2011 13.21
February 2011 13.70
March 2011 12.61
April 2011 12.97
May 2011 12.90
June 2011 12.07
July 2011 12.64
August 2011 11.28
September 2011 11.24
October 2011 11.50
November 2011 11.68
December 2011 11.40
January 2012 12.33
February 2012 12.63
March 2012 12.96
April 2012 12.66
May 2012 12.01
June 2012 11.89
July 2012 12.59
August 2012 12.92
September 2012 13.34
October 2012 13.21
November 2012 12.19
December 2012 12.86
January 2013 13.12
February 2013 13.53
March 2013 13.72
April 2013 13.59
May 2013 14.48
June 2013 14.10
July 2013 14.51
August 2013 14.58
September 2013 14.84
October 2013 14.71
November 2013 15.03
December 2013 15.20
January 2014 15.42
February 2014 15.44
March 2014 15.60
April 2014 15.49
May 2014 15.45
June 2014 15.83
July 2014 15.97
August 2014 15.55
September 2014 15.89
October 2014 14.76
November 2014 16.19
December 2014 16.11
January 2015 16.23
February 2015 17.35
March 2015 17.27
April 2015 17.29
May 2015 17.09
June 2015 16.96
July 2015 16.98
August 2015 16.75
September 2015 16.09
October 2015 16.14
November 2015 16.80
December 2015 16.69
January 2016 15.29
February 2016 15.91
March 2016 16.71
April 2016 17.09
May 2016 16.67
June 2016 16.74
July 2016 17.39
August 2016 17.52
September 2016 16.92
October 2016 16.89
November 2016 16.95
December 2016 17.33
January 2017 17.27
February 2017 17.91
March 2017 18.04
April 2017 17.54
May 2017 17.50
June 2017 17.91
July 2017 18.23
August 2017 18.09
September 2017 18.18
October 2017 18.44
November 2017 18.15
December 2017 18.64
January 2018 18.72
February 2018 17.28
March 2018 17.37
April 2018 16.92
May 2018 16.69
June 2018 16.84
July 2018 17.03
August 2018 16.83
September 2018 17.21
October 2018 16.49

Note: Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Median: 15.0037.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates.

Return to text

Figure 1-10. Spread of Forward Earnings-to-Price Ratio of S&P 500 Firms to 10-Year Real Treasury Bond Yield

Period Percentage points
January 1988 5.15
February 1988 5.08
March 1988 4.79
April 1988 4.52
May 1988 5.21
June 1988 4.67
July 1988 4.88
August 1988 5.25
September 1988 5.33
October 1988 5.33
November 1988 5.87
December 1988 5.36
January 1989 5.02
February 1989 4.87
March 1989 4.72
April 1989 4.59
May 1989 4.61
June 1989 5.06
July 1989 4.91
August 1989 4.57
September 1989 4.51
October 1989 4.77
November 1989 4.90
December 1989 4.68
January 1990 4.32
February 1990 4.21
March 1990 3.96
April 1990 3.93
May 1990 3.65
June 1990 3.70
July 1990 3.71
August 1990 4.08
September 1990 4.49
October 1990 5.06
November 1990 4.63
December 1990 4.55
January 1991 4.71
February 1991 3.50
March 1991 3.07
April 1991 2.81
May 1991 3.17
June 1991 2.84
July 1991 2.75
August 1991 2.96
September 1991 3.29
October 1991 3.32
November 1991 3.30
December 1991 3.81
January 1992 2.88
February 1992 2.80
March 1992 2.74
April 1992 3.00
May 1992 3.14
June 1992 3.59
July 1992 3.58
August 1992 3.78
September 1992 3.93
October 1992 3.84
November 1992 3.38
December 1992 3.39
January 1993 3.49
February 1993 3.80
March 1993 3.87
April 1993 4.09
May 1993 4.23
June 1993 4.41
July 1993 4.33
August 1993 4.35
September 1993 4.65
October 1993 4.77
November 1993 4.38
December 1993 4.45
January 1994 4.36
February 1994 4.18
March 1994 3.80
April 1994 3.83
May 1994 3.68
June 1994 3.74
July 1994 3.80
August 1994 3.75
September 1994 3.59
October 1994 3.44
November 1994 3.47
December 1994 3.89
January 1995 3.54
February 1995 3.76
March 1995 3.99
April 1995 4.09
May 1995 4.38
June 1995 4.72
July 1995 4.32
August 1995 4.08
September 1995 4.18
October 1995 4.12
November 1995 4.22
December 1995 4.16
January 1996 4.37
February 1996 3.65
March 1996 3.35
April 1996 3.10
May 1996 2.74
June 1996 2.82
July 1996 3.03
August 1996 3.03
September 1996 2.65
October 1996 2.80
November 1996 2.94
December 1996 2.95
January 1997 2.45
February 1997 2.28
March 1997 2.22
April 1997 2.11
May 1997 1.82
June 1997 1.70
July 1997 1.88
August 1997 1.93
September 1997 1.94
October 1997 1.68
November 1997 2.03
December 1997 2.05
January 1998 2.30
February 1998 1.78
March 1998 1.46
April 1998 1.27
May 1998 1.29
June 1998 1.50
July 1998 1.28
August 1998 1.76
September 1998 2.48
October 1998 2.86
November 1998 1.96
December 1998 2.04
January 1999 1.44
February 1999 1.20
March 1999 0.76
April 1999 1.01
May 1999 0.71
June 1999 0.43
July 1999 0.33
August 1999 0.40
September 1999 0.46
October 1999 0.43
November 1999 0.24
December 1999 0.03
January 2000 -0.30
February 2000 -0.04
March 2000 0.21
April 2000 0.42
May 2000 0.02
June 2000 0.32
July 2000 0.41
August 2000 0.63
September 2000 0.63
October 2000 1.21
November 2000 1.10
December 2000 1.57
January 2001 1.67
February 2001 1.68
March 2001 2.39
April 2001 1.78
May 2001 1.40
June 2001 1.61
July 2001 1.68
August 2001 1.98
September 2001 2.88
October 2001 2.60
November 2001 2.26
December 2001 1.78
January 2002 1.94
February 2002 2.15
March 2002 1.72
April 2002 1.97
May 2002 2.26
June 2002 2.86
July 2002 3.79
August 2002 3.99
September 2002 4.70
October 2002 4.54
November 2002 4.37
December 2002 4.34
January 2003 4.27
February 2003 4.88
March 2003 4.83
April 2003 4.72
May 2003 4.80
June 2003 4.65
July 2003 4.15
August 2003 3.76
September 2003 3.80
October 2003 3.77
November 2003 3.90
December 2003 3.83
January 2004 3.75
February 2004 3.81
March 2004 4.29
April 2004 3.85
May 2004 3.88
June 2004 3.71
July 2004 4.14
August 2004 4.51
September 2004 4.58
October 2004 4.72
November 2004 4.36
December 2004 4.29
January 2005 4.40
February 2005 4.39
March 2005 4.26
April 2005 4.61
May 2005 4.83
June 2005 4.92
July 2005 4.74
August 2005 4.77
September 2005 4.91
October 2005 4.92
November 2005 4.69
December 2005 4.60
January 2006 4.71
February 2006 4.54
March 2006 4.32
April 2006 4.10
May 2006 4.31
June 2006 4.62
July 2006 4.54
August 2006 4.64
September 2006 4.72
October 2006 4.53
November 2006 4.59
December 2006 4.61
January 2007 4.18
February 2007 4.05
March 2007 4.57
April 2007 4.16
May 2007 4.03
June 2007 3.76
July 2007 3.81
August 2007 4.81
September 2007 4.43
October 2007 4.43
November 2007 5.08
December 2007 5.17
January 2008 5.99
February 2008 5.87
March 2008 6.41
April 2008 5.86
May 2008 5.40
June 2008 5.60
July 2008 6.25
August 2008 5.96
September 2008 6.93
October 2008 8.31
November 2008 8.73
December 2008 7.99
January 2009 8.05
February 2009 7.04
March 2009 7.20
April 2009 6.65
May 2009 5.70
June 2009 5.24
July 2009 5.39
August 2009 5.20
September 2009 5.11
October 2009 4.94
November 2009 5.24
December 2009 5.20
January 2010 5.25
February 2010 5.78
March 2010 5.46
April 2010 5.21
May 2010 6.54
June 2010 6.85
July 2010 7.16
August 2010 7.77
September 2010 7.63
October 2010 7.35
November 2010 7.33
December 2010 6.48
January 2011 6.40
February 2011 5.96
March 2011 6.74
April 2011 6.58
May 2011 6.91
June 2011 7.61
July 2011 7.23
August 2011 8.90
September 2011 9.25
October 2011 8.98
November 2011 9.01
December 2011 9.26
January 2012 8.42
February 2012 8.23
March 2012 7.81
April 2012 8.31
May 2012 9.01
June 2012 9.28
July 2012 8.78
August 2012 8.40
September 2012 8.13
October 2012 8.14
November 2012 8.87
December 2012 8.38
January 2013 8.02
February 2013 7.71
March 2013 7.63
April 2013 7.92
May 2013 7.28
June 2013 7.07
July 2013 6.49
August 2013 6.28
September 2013 6.10
October 2013 6.45
November 2013 6.19
December 2013 5.93
January 2014 5.89
February 2014 6.03
March 2014 5.95
April 2014 5.96
May 2014 6.14
June 2014 5.94
July 2014 5.89
August 2014 6.17
September 2014 5.92
October 2014 6.63
November 2014 6.00
December 2014 6.16
January 2015 6.34
February 2015 5.83
March 2015 5.79
April 2015 5.93
May 2015 5.72
June 2015 5.60
July 2015 5.68
August 2015 5.92
September 2015 6.15
October 2015 6.24
November 2015 5.78
December 2015 5.84
January 2016 6.52
February 2016 6.57
March 2016 6.16
April 2016 6.21
May 2016 6.35
June 2016 6.50
July 2016 6.37
August 2016 6.27
September 2016 6.40
October 2016 6.35
November 2016 5.93
December 2016 5.43
January 2017 5.61
February 2017 5.42
March 2017 5.32
April 2017 5.67
May 2017 5.67
June 2017 5.67
July 2017 5.39
August 2017 5.54
September 2017 5.53
October 2017 5.25
November 2017 5.34
December 2017 5.14
January 2018 5.00
February 2018 5.15
March 2018 5.15
April 2018 5.34
May 2018 5.31
June 2018 5.31
July 2018 5.17
August 2018 5.25
September 2018 5.00
October 2018 5.11

Note: Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Treasury yields from smoothed yield curve estimated from off-the-run securities. Median: 4.560285.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), IBES Estimates; Department of the Treasury.

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Figure 1-11

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from 0 to 70 percent. The data are monthly averages. The first line is labeled "S&P 500 volatility index (VIX)" and is designated by a black line. The line is jagged throughout the plot. It starts around 20 percent in 1997, rises to and falls from around 30 percent at the end of 1997, and rises up from around 20 percent to around 40 percent in both 2001 and 2002. It gradually falls from 2002 through 2006 to around 10 percent, before it rapidly increases to its peak of around 60 percent in late 2008. It quickly declines to around 15 percent in 2010, and rises to 30 percent in late 2010 before falling again to around 15 percent. It rises from 15 percent to around 35 percent and falls back down to around 15 percent in late 2011, and remains steady around 15 percent until 2016, when it rises to almost 25 percent. It falls again from 2016 to the beginning of 2018, when it rises from around 10 percent to around 20 percent. It spikes again in mid-2018 to around 20 percent, before ending in October 2018 at around 20 percent. The second line is labeled "Realized volatility," and is designated by a blue line. It follows mainly the same trends as the black line, but at a slightly lower percent. It begins at just above 10 percent in 1997, rises to just below 20 percent and falls back to around 10 during 1997, and rises in 1998 to around 25 percent before falling to around 15 percent in 1999. It remains between 15 and just above 20 percent until 2002, when it spikes from around 15 percent to almost 30 percent. It then falls gradually from 2002 to 2004, reaching just under 10 percent and staying steadily around 10 percent through the end of 2006. It then quickly increases through 2007 and 2008, reaching its peak of around 60 percent in late 2008. It quickly declines to around 10 percent in 2010, and rises to around 20 percent in late 2010 before falling again to around 10 percent. It rises from 10 to around 25 percent in late 2011, and falls again to below 10 percent, where it gradually declines until late 2015, when it increases from below 10 percent to just above 20 percent. It falls again from around 20 percent to just under 10 percent in 2015, and continues to decline until early 2018, when it spikes to around 15 percent before ending in October 2018 at around 10 percent.

Note: Realized volatility estimated from five-minute returns using an exponentially weighted moving average with 75 percent of the weight distributed over the past 20 days.

Source: Bloomberg Finance LP.

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Figure 1-12

This is a line chart titled "Commercial Real Estate Prices (Real)." The x-axis measures time and ranges from the years 1998 to 2018. The y-axis ranges from 60 to 200, which are indexed prices, with 100 being prices in January 2011. The data are monthly. There is one variable plotted, which is the commercial real estate prices index. It is designated by a black line and ranges from around 80-170. The curve rises from around 80 in 1998 to about 160 in 2007. It then decreases at a slightly steeper rate to around 100 in 2011. From then it increases again to reach around 170 in 2017, and ends at a similar level in August 2018.

Note: Series deflated using the consumer price index for all urban consumers less food and energy and seasonally adjusted by Board staff.

Source: CoStar Group, Inc., CoStar Commercial Repeat Sale Indices (CCRSI); Bureau of Labor Statistics consumer price index via Haver Analytics.

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Figure 1-13. Capitalization Rate at Property Purchase

Period Percent
January 2001 8.51
February 2001 8.55
March 2001 8.57
April 2001 8.58
May 2001 8.65
June 2001 8.69
July 2001 8.77
August 2001 8.85
September 2001 8.98
October 2001 9.00
November 2001 8.99
December 2001 9.02
January 2002 9.01
February 2002 9.01
March 2002 8.93
April 2002 8.90
May 2002 8.74
June 2002 8.68
July 2002 8.58
August 2002 8.51
September 2002 8.43
October 2002 8.37
November 2002 8.36
December 2002 8.37
January 2003 8.35
February 2003 8.38
March 2003 8.42
April 2003 8.47
May 2003 8.35
June 2003 8.20
July 2003 8.11
August 2003 8.01
September 2003 8.05
October 2003 8.01
November 2003 8.07
December 2003 7.95
January 2004 7.90
February 2004 7.79
March 2004 7.73
April 2004 7.71
May 2004 7.75
June 2004 7.74
July 2004 7.73
August 2004 7.67
September 2004 7.62
October 2004 7.55
November 2004 7.46
December 2004 7.29
January 2005 7.25
February 2005 7.25
March 2005 7.28
April 2005 7.25
May 2005 7.17
June 2005 7.11
July 2005 7.06
August 2005 7.01
September 2005 6.95
October 2005 6.88
November 2005 6.86
December 2005 6.82
January 2006 6.80
February 2006 6.78
March 2006 6.75
April 2006 6.75
May 2006 6.74
June 2006 6.75
July 2006 6.69
August 2006 6.67
September 2006 6.65
October 2006 6.71
November 2006 6.71
December 2006 6.69
January 2007 6.64
February 2007 6.62
March 2007 6.59
April 2007 6.57
May 2007 6.53
June 2007 6.53
July 2007 6.55
August 2007 6.57
September 2007 6.58
October 2007 6.60
November 2007 6.66
December 2007 6.70
January 2008 6.69
February 2008 6.79
March 2008 6.87
April 2008 6.98
May 2008 6.95
June 2008 6.99
July 2008 6.98
August 2008 6.99
September 2008 6.97
October 2008 6.96
November 2008 7.05
December 2008 7.16
January 2009 7.40
February 2009 7.40
March 2009 7.36
April 2009 7.20
May 2009 7.26
June 2009 7.40
July 2009 7.74
August 2009 7.82
September 2009 7.88
October 2009 7.79
November 2009 7.82
December 2009 7.87
January 2010 7.85
February 2010 7.84
March 2010 7.81
April 2010 7.90
May 2010 7.84
June 2010 7.75
July 2010 7.68
August 2010 7.75
September 2010 7.70
October 2010 7.65
November 2010 7.54
December 2010 7.52
January 2011 7.52
February 2011 7.49
March 2011 7.41
April 2011 7.43
May 2011 7.41
June 2011 7.37
July 2011 7.27
August 2011 7.21
September 2011 7.18
October 2011 7.23
November 2011 7.23
December 2011 7.25
January 2012 7.15
February 2012 7.21
March 2012 7.15
April 2012 7.18
May 2012 7.09
June 2012 7.05
July 2012 7.05
August 2012 7.08
September 2012 7.08
October 2012 7.05
November 2012 6.97
December 2012 6.96
January 2013 6.97
February 2013 7.00
March 2013 7.06
April 2013 7.02
May 2013 7.08
June 2013 7.00
July 2013 7.01
August 2013 6.91
September 2013 6.97
October 2013 7.00
November 2013 7.08
December 2013 7.00
January 2014 6.91
February 2014 6.83
March 2014 6.77
April 2014 6.78
May 2014 6.80
June 2014 6.80
July 2014 6.76
August 2014 6.72
September 2014 6.65
October 2014 6.62
November 2014 6.60
December 2014 6.59
January 2015 6.55
February 2015 6.52
March 2015 6.56
April 2015 6.54
May 2015 6.53
June 2015 6.53
July 2015 6.54
August 2015 6.51
September 2015 6.48
October 2015 6.45
November 2015 6.43
December 2015 6.42
January 2016 6.46
February 2016 6.46
March 2016 6.49
April 2016 6.37
May 2016 6.39
June 2016 6.36
July 2016 6.35
August 2016 6.33
September 2016 6.30
October 2016 6.32
November 2016 6.33
December 2016 6.45
January 2017 6.42
February 2017 6.40
March 2017 6.37
April 2017 6.38
May 2017 6.35
June 2017 6.24
July 2017 6.18
August 2017 6.19
September 2017 6.19
October 2017 6.23
November 2017 6.23
December 2017 6.26
January 2018 6.24
February 2018 6.22
March 2018 6.20
April 2018 6.21
May 2018 6.19
June 2018 6.21
July 2018 6.24
August 2018 6.24
September 2018 6.21

Note: The data are three-month moving averages of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), "Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market," Journal of Real Estate Portfolio Management, vol. 16 (May-August), pp. 101-18.

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Figure 1-14. Spread of Capitalization Rate at Property Purchase to 10-Year Treasury Yield

Period Percentage points
March 2001 3.52
April 2001 3.54
May 2001 3.51
June 2001 3.42
July 2001 3.47
August 2001 3.69
September 2001 4.00
October 2001 4.24
November 2001 4.34
December 2001 4.25
January 2002 4.08
February 2002 4.00
March 2002 3.86
April 2002 3.77
May 2002 3.52
June 2002 3.58
July 2002 3.67
August 2002 3.90
September 2002 4.17
October 2002 4.35
November 2002 4.40
December 2002 4.36
January 2003 4.30
February 2003 4.38
March 2003 4.50
April 2003 4.58
May 2003 4.57
June 2003 4.58
July 2003 4.49
August 2003 4.09
September 2003 3.82
October 2003 3.68
November 2003 3.79
December 2003 3.67
January 2004 3.66
February 2004 3.63
March 2004 3.71
April 2004 3.62
May 2004 3.45
June 2004 3.14
July 2004 3.08
August 2004 3.17
September 2004 3.32
October 2004 3.38
November 2004 3.32
December 2004 3.12
January 2005 3.04
February 2005 3.04
March 2005 2.99
April 2005 2.91
May 2005 2.85
June 2005 2.95
July 2005 2.95
August 2005 2.86
September 2005 2.74
October 2005 2.57
November 2005 2.46
December 2005 2.33
January 2006 2.32
February 2006 2.29
March 2006 2.18
April 2006 1.99
May 2006 1.80
June 2006 1.68
July 2006 1.58
August 2006 1.65
September 2006 1.76
October 2006 1.93
November 2006 2.02
December 2006 2.06
January 2007 2.00
February 2007 1.94
March 2007 1.91
April 2007 1.92
May 2007 1.86
June 2007 1.69
July 2007 1.60
August 2007 1.65
September 2007 1.85
October 2007 2.03
November 2007 2.26
December 2007 2.44
January 2008 2.69
February 2008 2.93
March 2008 3.20
April 2008 3.34
May 2008 3.26
June 2008 3.10
July 2008 2.99
August 2008 2.99
September 2008 3.11
October 2008 3.16
November 2008 3.37
December 2008 3.90
January 2009 4.58
February 2009 4.80
March 2009 4.62
April 2009 4.32
May 2009 4.25
June 2009 4.08
July 2009 4.22
August 2009 4.20
September 2009 4.36
October 2009 4.33
November 2009 4.43
December 2009 4.41
January 2010 4.27
February 2010 4.17
March 2010 4.09
April 2010 4.15
May 2010 4.18
June 2010 4.26
July 2010 4.47
August 2010 4.78
September 2010 4.91
October 2010 5.02
November 2010 4.89
December 2010 4.65
January 2011 4.37
February 2011 4.07
March 2011 3.95
April 2011 3.95
May 2011 4.06
June 2011 4.16
July 2011 4.21
August 2011 4.44
September 2011 4.76
October 2011 5.09
November 2011 5.19
December 2011 5.20
January 2012 5.16
February 2012 5.23
March 2012 5.11
April 2012 5.12
May 2012 5.08
June 2012 5.23
July 2012 5.40
August 2012 5.47
September 2012 5.43
October 2012 5.34
November 2012 5.26
December 2012 5.26
January 2013 5.21
February 2013 5.13
March 2013 5.11
April 2013 5.12
May 2013 5.20
June 2013 5.00
July 2013 4.74
August 2013 4.37
September 2013 4.26
October 2013 4.27
November 2013 4.36
December 2013 4.25
January 2014 4.09
February 2014 4.00
March 2014 4.00
April 2014 4.06
May 2014 4.14
June 2014 4.17
July 2014 4.19
August 2014 4.20
September 2014 4.15
October 2014 4.20
November 2014 4.22
December 2014 4.31
January 2015 4.41
February 2015 4.50
March 2015 4.59
April 2015 4.55
May 2015 4.47
June 2015 4.36
July 2015 4.25
August 2015 4.23
September 2015 4.26
October 2015 4.32
November 2015 4.26
December 2015 4.23
January 2016 4.27
February 2016 4.43
March 2016 4.57
April 2016 4.54
May 2016 4.55
June 2016 4.61
July 2016 4.70
August 2016 4.77
September 2016 4.74
October 2016 4.67
November 2016 4.49
December 2016 4.32
January 2017 4.06
February 2017 3.95
March 2017 3.92
April 2017 3.98
May 2017 3.99
June 2017 3.98
July 2017 3.91
August 2017 3.95
September 2017 3.94
October 2017 3.97
November 2017 3.93
December 2017 3.89
January 2018 3.79
February 2018 3.60
March 2018 3.44
April 2018 3.35
May 2018 3.29
June 2018 3.29
July 2018 3.31
August 2018 3.35
September 2018 3.29

Note: The data are three-month moving averages of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), "Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market," Journal of Real Estate Portfolio Management, vol. 16 (May-August), pp. 101-18.

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Figure 1-15

This is a line chart titled "Change in Bank Standards for CRE Loans," with one variable plotted. The x-axis measures time and ranges from 1997 to 2018. The y-axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled "Easing" and positive y-axis values are labeled "Tightening." The data are quarterly. The variable begins at 0 percent in 1997, and spikes in late 1998 to around 40 percent before dropping down to just above 0 percent in 1999. It rises to around 40 percent in 2001 before declining from 2002 to 2005, reaching around -20 percent. It gradually increases from 2005 to 2008 when it reaches its peak of around 90 percent before declining from late 2008 to 2011 to around -20 percent. It remains around -20 percent from 2011 to 2015, when it quickly rises again to around 50 percent by 2016. It falls during 2017 to around -20 percent again, and briefly rises to around 0 percent in 2018 before ending at just above -20 percent in the third quarter of 2018.

Note: Banks' responses are weighted by their CRE loan market shares. The 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. CRE is commercial real estate.

Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

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Figure 1-16. Cropland Values

2015 dollars per acre

Year Midwest index United States
1967 2504.14 ND
1968 2626.67 ND
1969 2576.16 ND
1970 2464.35 ND
1971 2303.13 ND
1972 2306.87 ND
1973 2481.68 ND
1974 2996.39 ND
1975 3338.33 ND
1976 3925.10 ND
1977 4711.90 ND
1978 4920.59 ND
1979 4993.82 ND
1980 4998.48 ND
1981 4755.64 ND
1982 4333.72 ND
1983 3678.89 ND
1984 3231.65 ND
1985 2304.24 ND
1986 1829.45 ND
1987 1555.77 ND
1988 1705.18 ND
1989 1866.13 ND
1990 1874.11 ND
1991 1833.54 ND
1992 1838.50 ND
1993 1840.64 ND
1994 2231.56 ND
1995 2153.38 ND
1996 2300.47 ND
1997 2116.22 1992.49
1998 2237.04 2070.28
1999 2258.92 2116.56
2000 2229.23 2135.38
2001 2213.73 2148.01
2002 2247.50 2226.29
2003 2277.46 2272.09
2004 2380.93 2333.04
2005 2750.55 2656.89
2006 2966.87 2986.29
2007 3288.16 3073.01
2008 3668.94 3229.18
2009 3486.35 3133.92
2010 3672.11 3118.10
2011 4261.06 3336.70
2012 4990.17 3674.81
2013 5714.24 4119.02
2014 6166.59 4362.23
2015 5958.67 4388.84
2016 5723.30 4291.76
2017 5597.26 4201.90
2018 5511.17 4130.00

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states. Values are given in real terms. Median of Midwest index: 2601.415.

Source: Department of Agriculture.

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Figure 1-17. Cropland Price-to-Rent Ratio

Year Midwest Index United States
1967 14.13 ND
1968 14.19 ND
1969 14.18 ND
1970 13.99 ND
1971 13.50 ND
1972 13.40 ND
1973 14.17 ND
1974 14.52 ND
1975 14.60 ND
1976 16.15 ND
1977 18.02 ND
1978 19.55 ND
1979 20.57 ND
1980 21.55 ND
1981 21.25 ND
1982 19.56 ND
1983 17.42 ND
1984 15.94 ND
1985 12.99 ND
1986 11.89 ND
1987 11.71 ND
1988 12.52 ND
1989 13.29 ND
1990 13.41 ND
1991 13.50 ND
1992 13.73 ND
1993 13.88 ND
1994 17.96 ND
1995 17.34 ND
1996 18.35 ND
1997 16.65 ND
1998 17.46 20.15
1999 18.19 20.74
2000 17.83 20.86
2001 17.95 21.27
2002 18.17 22.21
2003 18.63 22.74
2004 19.45 22.88
2005 22.50 26.41
2006 24.61 30.06
2007 25.79 32.65
2008 26.32 32.28
2009 24.42 26.97
2010 25.43 26.47
2011 27.81 26.85
2012 28.46 26.80
2013 30.45 28.01
2014 32.24 29.08
2015 31.85 28.68
2016 32.63 30.07
2017 33.12 30.07
2018 33.15 29.93

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states. Median of Midwest index: 17.9543.

Source: Department of Agriculture.

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Figure 1-18. Growth of Nominal Prices of Existing Homes

Percent change, annual rate

Period CoreLogic Zillow
January 2011 -2.91 -9.52
February 2011 -3.81 -7.46
March 2011 -3.91 -6.05
April 2011 -3.20 -5.34
May 2011 -1.52 -4.61
June 2011 0.52 -4.63
July 2011 2.05 -5.40
August 2011 2.26 -3.90
September 2011 1.25 -3.92
October 2011 0.27 -2.38
November 2011 -0.17 -1.59
December 2011 0.22 -1.59
January 2012 1.99 -3.17
February 2012 4.34 -0.80
March 2012 6.92 0.81
April 2012 9.32 2.45
May 2012 10.69 3.27
June 2012 10.47 3.26
July 2012 9.15 3.25
August 2012 7.97 4.07
September 2012 7.67 4.88
October 2012 8.14 4.04
November 2012 8.84 4.02
December 2012 9.31 4.83
January 2013 9.73 5.63
February 2013 10.58 4.79
March 2013 11.35 7.23
April 2013 11.69 8.01
May 2013 11.31 7.14
June 2013 10.61 7.91
July 2013 10.19 9.50
August 2013 10.18 7.80
September 2013 9.92 7.75
October 2013 9.17 6.12
November 2013 8.35 5.31
December 2013 7.59 6.06
January 2014 6.56 6.03
February 2014 5.21 5.23
March 2014 3.71 5.21
April 2014 2.65 5.95
May 2014 2.46 5.16
June 2014 3.19 4.39
July 2014 4.45 5.12
August 2014 5.66 5.84
September 2014 6.43 4.33
October 2014 6.59 3.59
November 2014 6.30 4.31
December 2014 5.89 4.29
January 2015 5.55 5.00
February 2015 5.27 5.71
March 2015 5.01 4.96
April 2015 4.81 4.94
May 2015 4.90 5.64
June 2015 5.21 6.33
July 2015 5.52 6.30
August 2015 5.71 4.14
September 2015 5.88 4.83
October 2015 6.09 6.22
November 2015 6.21 6.90
December 2015 6.02 6.15
January 2016 5.64 6.12
February 2016 5.24 5.40
March 2016 4.85 6.76
April 2016 4.54 6.72
May 2016 4.41 6.68
June 2016 4.53 7.33
July 2016 5.04 6.61
August 2016 5.86 6.57
September 2016 6.58 7.21
October 2016 6.89 7.84
November 2016 6.73 7.12
December 2016 6.34 7.74
January 2017 5.85 8.36
February 2017 5.54 8.30
March 2017 5.49 6.94
April 2017 5.56 8.20
May 2017 5.63 8.79
June 2017 5.78 6.16
July 2017 6.03 5.50
August 2017 6.50 8.64
September 2017 6.92 7.31
October 2017 6.94 6.65
November 2017 6.69 7.23
December 2017 6.55 7.19
January 2018 6.81 9.63
February 2018 7.17 11.43
March 2018 7.04 9.46
April 2018 6.05 6.97
May 2018 4.45 8.12
June 2018 2.96 6.29
July 2018 2.45 5.67
August 2018 2.38 6.23
September 2018 ND 7.36

Source: CoreLogic; Zillow.

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Figure 1-19. Housing Price-to-Rent Ratio

Trend at Aug. 2018 = 100

Period Long-run trend Price-to-rent ratio
January 1983 79.95 76.27
February 1983 79.99 76.09
March 1983 80.04 76.13
April 1983 80.08 76.06
May 1983 80.12 76.31
June 1983 80.17 76.35
July 1983 80.22 76.47
August 1983 80.27 76.57
September 1983 80.33 76.49
October 1983 80.37 76.65
November 1983 80.42 76.76
December 1983 80.46 76.82
January 1984 80.51 76.84
February 1984 80.56 76.89
March 1984 80.60 76.68
April 1984 80.66 76.39
May 1984 80.71 76.49
June 1984 80.76 76.39
July 1984 80.82 76.35
August 1984 80.88 76.27
September 1984 80.93 76.26
October 1984 80.98 76.16
November 1984 81.02 76.07
December 1984 81.06 75.69
January 1985 81.11 75.60
February 1985 81.15 75.40
March 1985 81.20 75.47
April 1985 81.24 75.61
May 1985 81.29 75.38
June 1985 81.33 75.43
July 1985 81.37 75.52
August 1985 81.41 75.42
September 1985 81.45 75.57
October 1985 81.50 75.46
November 1985 81.54 75.41
December 1985 81.58 75.74
January 1986 81.63 76.02
February 1986 81.67 76.54
March 1986 81.71 76.42
April 1986 81.75 75.98
May 1986 81.80 76.44
June 1986 81.84 76.82
July 1986 81.89 77.03
August 1986 81.94 77.75
September 1986 81.99 78.06
October 1986 82.03 78.30
November 1986 82.07 78.65
December 1986 82.12 79.16
January 1987 82.16 79.57
February 1987 82.20 80.09
March 1987 82.24 80.65
April 1987 82.30 81.23
May 1987 82.36 81.72
June 1987 82.42 82.48
July 1987 82.46 82.78
August 1987 82.51 82.96
September 1987 82.56 83.24
October 1987 82.61 83.64
November 1987 82.66 84.31
December 1987 82.72 84.24
January 1988 82.76 84.47
February 1988 82.80 84.71
March 1988 82.84 85.00
April 1988 82.89 85.45
May 1988 82.94 85.99
June 1988 82.99 86.62
July 1988 83.04 87.32
August 1988 83.09 87.91
September 1988 83.14 88.38
October 1988 83.19 89.06
November 1988 83.24 89.57
December 1988 83.29 90.04
January 1989 83.34 90.41
February 1989 83.39 90.74
March 1989 83.44 91.15
April 1989 83.49 91.48
May 1989 83.53 91.65
June 1989 83.58 91.55
July 1989 83.62 91.53
August 1989 83.67 91.70
September 1989 83.71 92.07
October 1989 83.76 92.02
November 1989 83.81 92.09
December 1989 83.85 92.17
January 1990 83.91 92.25
February 1990 83.96 92.39
March 1990 84.01 92.26
April 1990 84.06 92.05
May 1990 84.10 91.79
June 1990 84.15 91.34
July 1990 84.19 90.83
August 1990 84.24 90.26
September 1990 84.28 89.81
October 1990 84.33 89.31
November 1990 84.38 88.99
December 1990 84.42 88.42
January 1991 84.47 88.04
February 1991 84.51 87.57
March 1991 84.56 87.06
April 1991 84.60 86.76
May 1991 84.65 86.58
June 1991 84.70 86.61
July 1991 84.75 86.33
August 1991 84.80 86.32
September 1991 84.84 85.68
October 1991 84.89 85.55
November 1991 84.93 85.17
December 1991 84.97 84.92
January 1992 85.03 84.76
February 1992 85.08 84.67
March 1992 85.13 84.16
April 1992 85.17 84.38
May 1992 85.22 84.15
June 1992 85.26 83.83
July 1992 85.31 83.53
August 1992 85.35 83.49
September 1992 85.40 83.47
October 1992 85.45 83.03
November 1992 85.49 82.76
December 1992 85.54 82.80
January 1993 85.59 82.66
February 1993 85.63 82.61
March 1993 85.67 82.65
April 1993 85.71 82.42
May 1993 85.76 82.34
June 1993 85.80 82.27
July 1993 85.84 82.50
August 1993 85.89 82.50
September 1993 85.93 82.72
October 1993 85.98 82.78
November 1993 86.03 82.99
December 1993 86.08 82.95
January 1994 86.13 82.91
February 1994 86.18 82.65
March 1994 86.23 82.44
April 1994 86.28 82.57
May 1994 86.34 82.67
June 1994 86.40 82.83
July 1994 86.45 82.72
August 1994 86.50 82.52
September 1994 86.54 82.39
October 1994 86.59 82.41
November 1994 86.64 82.32
December 1994 86.69 82.32
January 1995 86.74 82.22
February 1995 86.78 82.21
March 1995 86.83 82.10
April 1995 86.87 82.10
May 1995 86.91 82.09
June 1995 86.95 82.16
July 1995 87.00 82.17
August 1995 87.04 82.27
September 1995 87.09 82.35
October 1995 87.13 82.31
November 1995 87.18 82.28
December 1995 87.23 82.24
January 1996 87.27 82.24
February 1996 87.32 82.28
March 1996 87.37 82.39
April 1996 87.42 82.46
May 1996 87.47 82.45
June 1996 87.53 82.37
July 1996 87.57 82.26
August 1996 87.62 82.29
September 1996 87.67 82.25
October 1996 87.71 82.20
November 1996 87.76 82.21
December 1996 87.80 82.23
January 1997 87.85 82.26
February 1997 87.89 82.29
March 1997 87.94 82.34
April 1997 87.99 82.36
May 1997 88.04 82.39
June 1997 88.09 82.48
July 1997 88.14 82.65
August 1997 88.18 82.78
September 1997 88.22 82.94
October 1997 88.27 83.18
November 1997 88.32 83.44
December 1997 88.36 83.74
January 1998 88.41 84.10
February 1998 88.46 84.46
March 1998 88.50 84.76
April 1998 88.55 85.00
May 1998 88.60 85.21
June 1998 88.65 85.38
July 1998 88.69 85.62
August 1998 88.74 85.87
September 1998 88.78 86.17
October 1998 88.83 86.55
November 1998 88.88 86.87
December 1998 88.92 87.22
January 1999 88.97 87.52
February 1999 89.02 87.84
March 1999 89.07 88.12
April 1999 89.12 88.43
May 1999 89.17 88.86
June 1999 89.22 89.33
July 1999 89.27 89.77
August 1999 89.32 90.22
September 1999 89.37 90.62
October 1999 89.42 91.10
November 1999 89.47 91.29
December 1999 89.51 91.77
January 2000 89.57 92.11
February 2000 89.61 92.72
March 2000 89.67 93.29
April 2000 89.71 93.92
May 2000 89.76 94.49
June 2000 89.81 94.99
July 2000 89.85 95.35
August 2000 89.90 95.70
September 2000 89.94 96.07
October 2000 89.99 96.40
November 2000 90.03 96.82
December 2000 90.07 97.20
January 2001 90.12 97.67
February 2001 90.16 98.07
March 2001 90.20 98.39
April 2001 90.25 98.65
May 2001 90.30 98.76
June 2001 90.35 99.01
July 2001 90.39 99.26
August 2001 90.44 99.48
September 2001 90.48 99.72
October 2001 90.53 99.92
November 2001 90.57 100.11
December 2001 90.62 100.19
January 2002 90.67 100.44
February 2002 90.72 100.69
March 2002 90.77 101.09
April 2002 90.81 101.66
May 2002 90.86 102.31
June 2002 90.90 102.91
July 2002 90.95 103.53
August 2002 90.99 104.16
September 2002 91.03 104.70
October 2002 91.08 105.14
November 2002 91.12 105.57
December 2002 91.17 106.04
January 2003 91.22 106.34
February 2003 91.26 106.81
March 2003 91.31 107.23
April 2003 91.35 107.64
May 2003 91.40 108.09
June 2003 91.44 108.73
July 2003 91.49 109.36
August 2003 91.55 110.09
September 2003 91.60 110.90
October 2003 91.64 111.84
November 2003 91.69 112.70
December 2003 91.74 113.61
January 2004 91.78 114.55
February 2004 91.82 115.44
March 2004 91.87 116.40
April 2004 91.92 117.37
May 2004 91.98 118.39
June 2004 92.03 119.40
July 2004 92.07 120.39
August 2004 92.12 121.24
September 2004 92.17 122.19
October 2004 92.21 123.20
November 2004 92.26 124.29
December 2004 92.31 125.23
January 2005 92.36 126.27
February 2005 92.40 127.39
March 2005 92.45 128.54
April 2005 92.50 129.65
May 2005 92.55 130.70
June 2005 92.59 131.68
July 2005 92.64 132.52
August 2005 92.69 133.45
September 2005 92.73 134.30
October 2005 92.78 135.05
November 2005 92.83 135.76
December 2005 92.88 136.43
January 2006 92.93 137.01
February 2006 92.97 137.24
March 2006 93.01 137.21
April 2006 93.06 136.95
May 2006 93.11 136.45
June 2006 93.16 135.81
July 2006 93.21 135.16
August 2006 93.25 134.47
September 2006 93.30 133.89
October 2006 93.34 133.42
November 2006 93.39 133.02
December 2006 93.43 132.50
January 2007 93.48 131.99
February 2007 93.53 131.20
March 2007 93.58 130.28
April 2007 93.63 129.20
May 2007 93.68 127.89
June 2007 93.73 126.51
July 2007 93.78 125.12
August 2007 93.83 123.86
September 2007 93.87 122.53
October 2007 93.92 121.07
November 2007 93.96 119.62
December 2007 94.01 118.14
January 2008 94.05 116.61
February 2008 94.09 114.97
March 2008 94.14 113.16
April 2008 94.19 111.18
May 2008 94.24 109.34
June 2008 94.29 107.38
July 2008 94.34 105.54
August 2008 94.39 103.67
September 2008 94.43 101.73
October 2008 94.48 99.65
November 2008 94.52 97.59
December 2008 94.56 95.75
January 2009 94.61 94.13
February 2009 94.64 92.95
March 2009 94.69 92.17
April 2009 94.73 91.74
May 2009 94.78 91.62
June 2009 94.82 91.72
July 2009 94.87 91.92
August 2009 94.92 92.05
September 2009 94.97 92.22
October 2009 95.02 92.47
November 2009 95.06 92.67
December 2009 95.11 92.78
January 2010 95.16 92.77
February 2010 95.20 92.77
March 2010 95.25 92.72
April 2010 95.30 92.63
May 2010 95.34 92.40
June 2010 95.39 91.88
July 2010 95.43 91.23
August 2010 95.48 90.60
September 2010 95.52 89.84
October 2010 95.57 89.39
November 2010 95.62 88.87
December 2010 95.67 88.47
January 2011 95.72 88.03
February 2011 95.76 87.55
March 2011 95.81 87.06
April 2011 95.85 86.67
May 2011 95.90 86.40
June 2011 95.94 86.28
July 2011 95.99 86.27
August 2011 96.03 86.12
September 2011 96.07 85.99
October 2011 96.12 85.72
November 2011 96.17 85.49
December 2011 96.21 85.27
January 2012 96.26 85.25
February 2012 96.31 85.38
March 2012 96.35 85.75
April 2012 96.40 86.25
May 2012 96.44 86.91
June 2012 96.49 87.58
July 2012 96.54 88.08
August 2012 96.58 88.52
September 2012 96.63 88.88
October 2012 96.67 89.15
November 2012 96.72 89.67
December 2012 96.76 90.21
January 2013 96.81 90.75
February 2013 96.86 91.34
March 2013 96.91 91.98
April 2013 96.96 92.73
May 2013 97.01 93.34
June 2013 97.05 93.97
July 2013 97.11 94.61
August 2013 97.16 95.06
September 2013 97.21 95.65
October 2013 97.26 96.19
November 2013 97.30 96.65
December 2013 97.35 96.96
January 2014 97.40 97.24
February 2014 97.44 97.47
March 2014 97.49 97.44
April 2014 97.54 97.33
May 2014 97.58 97.25
June 2014 97.63 97.22
July 2014 97.68 97.29
August 2014 97.72 97.50
September 2014 97.77 97.72
October 2014 97.82 98.01
November 2014 97.86 98.17
December 2014 97.91 98.43
January 2015 97.95 98.60
February 2015 97.99 98.70
March 2015 98.04 98.78
April 2015 98.09 98.91
May 2015 98.14 99.03
June 2015 98.19 99.12
July 2015 98.23 99.23
August 2015 98.28 99.41
September 2015 98.33 99.49
October 2015 98.38 99.70
November 2015 98.42 99.96
December 2015 98.47 100.19
January 2016 98.52 100.34
February 2016 98.56 100.45
March 2016 98.61 100.54
April 2016 98.65 100.57
May 2016 98.70 100.59
June 2016 98.74 100.63
July 2016 98.79 100.73
August 2016 98.84 100.92
September 2016 98.88 101.12
October 2016 98.94 101.32
November 2016 98.98 101.53
December 2016 99.04 101.72
January 2017 99.09 101.91
February 2017 99.13 102.05
March 2017 99.18 102.21
April 2017 99.23 102.37
May 2017 99.27 102.50
June 2017 99.32 102.64
July 2017 99.37 102.86
August 2017 99.42 103.03
September 2017 99.46 103.34
October 2017 99.51 103.62
November 2017 99.56 103.85
December 2017 99.60 104.04
January 2018 99.66 104.26
February 2018 99.70 104.62
March 2018 99.76 104.92
April 2018 99.80 105.04
May 2018 99.86 105.13
June 2018 99.90 105.14
July 2018 99.95 105.11
August 2018 100.00 105.09

Note: Chart shows the log of the price-to-rent ratio. Long-run trend is estimated using data from 1978 to 2001, with the last value of the trend normalized to equal 100.

Source: For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.

Return to text

Figure 1-20. Selected Local Housing Price-to-Rent Ratio Indexes

Jan. 2010 = 100

Period Los Angeles Miami Phoenix 10th percent of markets Median 90th percent of markets
January 1990 105.19 94.60 ND 75.17 95.58 105.19
February 1990 105.84 94.35 ND 75.42 95.37 105.84
March 1990 105.04 97.25 ND 75.68 96.75 105.04
April 1990 105.47 95.52 ND 75.69 95.74 105.47
May 1990 105.11 95.50 ND 75.85 95.61 105.11
June 1990 104.49 94.38 ND 76.16 94.87 104.49
July 1990 103.85 93.04 ND 76.09 94.14 103.85
August 1990 103.69 92.91 ND 76.22 93.94 103.69
September 1990 102.47 92.04 ND 76.10 93.37 102.88
October 1990 101.86 92.31 ND 75.96 93.10 102.16
November 1990 100.79 93.22 ND 75.83 93.15 101.62
December 1990 100.39 93.29 ND 75.64 92.76 100.39
January 1991 99.40 93.61 ND 75.18 92.62 100.04
February 1991 98.28 93.13 ND 74.76 91.78 100.22
March 1991 97.84 91.62 ND 74.71 90.70 99.91
April 1991 96.73 91.42 ND 75.07 89.82 100.42
May 1991 97.63 91.24 ND 75.36 89.57 99.87
June 1991 97.60 91.75 ND 75.62 89.66 99.91
July 1991 97.91 92.61 ND 75.10 89.22 100.14
August 1991 97.87 92.62 ND 75.27 89.46 100.96
September 1991 97.35 92.38 ND 75.28 89.20 100.73
October 1991 96.55 91.58 ND 75.41 89.19 101.02
November 1991 96.06 90.16 ND 75.19 88.27 100.97
December 1991 95.66 90.40 ND 75.14 88.33 100.50
January 1992 95.40 90.72 ND 74.99 88.13 100.42
February 1992 94.98 91.08 ND 75.32 88.26 100.15
March 1992 94.34 90.20 ND 75.06 87.95 100.68
April 1992 93.51 91.01 ND 75.23 88.44 100.98
May 1992 92.90 91.46 ND 74.84 88.38 101.02
June 1992 92.48 91.08 ND 74.50 88.24 100.86
July 1992 92.09 90.53 ND 74.28 88.05 100.96
August 1992 91.54 90.98 ND 73.92 87.93 100.83
September 1992 91.25 92.73 ND 73.04 88.24 101.03
October 1992 90.26 91.58 ND 72.48 88.01 101.65
November 1992 89.28 90.76 ND 72.29 87.54 101.58
December 1992 88.23 89.95 ND 71.92 87.12 102.57
January 1993 87.45 89.30 ND 71.61 86.86 102.44
February 1993 87.32 89.47 ND 71.54 86.87 102.64
March 1993 87.34 91.57 ND 71.73 86.85 103.66
April 1993 86.48 92.14 ND 71.66 86.50 103.00
May 1993 85.51 92.66 ND 71.69 86.04 102.83
June 1993 84.85 93.17 ND 71.94 85.63 103.79
July 1993 84.14 92.33 ND 71.76 85.46 104.09
August 1993 83.30 91.25 ND 71.95 85.14 103.27
September 1993 83.29 91.75 ND 71.44 85.20 103.16
October 1993 83.24 92.25 ND 72.56 85.23 102.67
November 1993 82.85 94.19 ND 72.86 85.26 102.92
December 1993 82.39 93.74 ND 72.80 85.47 103.14
January 1994 81.91 93.39 ND 73.31 85.64 104.13
February 1994 81.32 92.85 ND 73.38 85.70 103.80
March 1994 80.58 92.08 ND 73.44 85.74 103.40
April 1994 80.25 92.07 ND 73.55 85.87 103.26
May 1994 80.27 92.08 ND 73.73 86.14 103.30
June 1994 80.08 92.36 ND 74.60 86.33 103.25
July 1994 79.54 92.70 ND 74.77 86.37 103.98
August 1994 79.20 93.33 ND 74.13 86.36 104.33
September 1994 78.68 92.85 ND 73.32 86.50 104.41
October 1994 78.20 93.04 ND 74.07 86.72 105.03
November 1994 78.82 92.91 ND 73.56 86.82 103.89
December 1994 79.06 93.17 ND 74.04 86.94 103.05
January 1995 79.17 93.15 ND 73.70 87.17 103.17
February 1995 78.68 92.74 ND 73.45 87.44 102.75
March 1995 78.43 93.00 ND 73.45 87.47 102.50
April 1995 78.22 93.10 ND 73.16 87.50 102.41
May 1995 78.02 92.88 ND 73.60 87.42 102.36
June 1995 77.70 93.04 ND 73.73 87.38 102.49
July 1995 77.83 93.40 ND 73.82 87.28 102.29
August 1995 77.55 93.22 ND 74.00 87.13 102.39
September 1995 77.69 93.42 ND 73.83 86.92 102.55
October 1995 77.61 92.94 ND 73.72 86.70 102.76
November 1995 77.56 93.26 ND 73.80 86.62 102.80
December 1995 77.18 93.27 ND 73.92 86.55 102.86
January 1996 77.24 93.48 ND 73.41 86.60 103.13
February 1996 77.03 93.48 ND 73.61 86.67 103.01
March 1996 76.85 93.44 ND 73.92 86.64 102.94
April 1996 76.71 93.27 ND 74.02 86.70 102.95
May 1996 76.57 93.30 ND 74.01 86.69 102.77
June 1996 76.50 93.40 ND 73.63 86.62 102.58
July 1996 76.33 93.54 ND 74.28 86.57 102.63
August 1996 76.01 93.29 ND 73.59 86.41 102.09
September 1996 76.12 93.10 ND 73.17 86.36 101.81
October 1996 76.05 92.97 ND 72.98 86.44 101.51
November 1996 76.10 93.04 ND 72.68 86.54 101.46
December 1996 76.29 92.97 ND 72.58 86.74 101.50
January 1997 76.34 93.15 ND 72.62 86.41 101.11
February 1997 76.26 93.57 ND 72.41 86.51 101.07
March 1997 76.72 93.91 ND 72.46 86.53 101.25
April 1997 76.76 93.67 ND 72.35 86.65 101.20
May 1997 76.92 93.60 ND 72.24 86.69 101.12
June 1997 77.19 93.30 ND 72.33 86.82 100.99
July 1997 77.55 93.06 ND 71.82 87.87 100.18
August 1997 77.97 93.28 ND 73.05 87.99 100.52
September 1997 78.14 93.55 ND 72.99 88.17 100.40
October 1997 78.44 93.90 ND 73.45 88.35 100.46
November 1997 78.87 94.05 ND 73.98 88.36 100.44
December 1997 79.48 94.37 ND 74.62 88.47 100.64
January 1998 80.09 94.56 ND 74.68 88.84 100.68
February 1998 80.65 94.33 ND 75.45 88.75 100.81
March 1998 81.21 94.15 ND 75.70 88.69 101.05
April 1998 81.57 94.30 ND 75.99 88.79 100.94
May 1998 82.24 94.53 ND 76.22 88.89 100.94
June 1998 82.67 94.91 ND 76.82 89.07 100.84
July 1998 83.22 94.97 ND 77.06 89.14 101.07
August 1998 83.89 95.19 ND 77.73 89.40 101.47
September 1998 84.26 95.55 ND 77.83 89.61 101.64
October 1998 84.68 95.42 ND 78.02 89.95 101.82
November 1998 85.05 95.83 ND 78.29 90.34 102.04
December 1998 85.10 95.49 ND 78.45 90.79 101.91
January 1999 85.55 96.27 ND 78.45 91.43 102.34
February 1999 85.86 96.07 ND 78.80 91.45 102.88
March 1999 86.04 96.25 ND 79.26 91.72 103.38
April 1999 86.56 96.81 ND 80.09 92.00 103.50
May 1999 87.05 97.04 ND 81.02 92.31 103.79
June 1999 87.21 97.24 ND 81.97 92.64 104.30
July 1999 87.28 98.04 ND 82.75 92.94 104.43
August 1999 87.40 98.39 ND 84.28 93.69 104.98
September 1999 87.61 98.95 ND 84.99 94.34 105.35
October 1999 88.08 99.37 ND 85.28 94.87 105.82
November 1999 88.33 99.60 ND 85.36 95.36 106.20
December 1999 88.81 99.83 ND 85.68 95.90 106.91
January 2000 89.17 100.33 ND 86.20 96.45 108.38
February 2000 89.61 101.12 ND 86.66 96.65 108.10
March 2000 90.26 102.04 ND 87.49 97.08 108.31
April 2000 90.70 102.45 ND 88.66 97.57 108.73
May 2000 91.21 103.07 ND 88.63 97.94 109.21
June 2000 91.69 103.11 ND 88.98 98.45 109.69
July 2000 91.86 103.57 ND 88.90 98.85 109.35
August 2000 92.28 103.97 ND 88.86 99.32 109.83
September 2000 92.84 104.30 ND 88.95 99.92 110.20
October 2000 93.04 105.10 ND 88.78 100.46 110.62
November 2000 93.65 105.68 ND 89.19 101.00 111.29
December 2000 94.04 106.96 ND 89.34 101.68 111.56
January 2001 94.46 107.32 ND 89.61 102.39 111.57
February 2001 95.06 107.84 ND 89.77 102.98 112.16
March 2001 95.59 108.44 ND 89.81 103.51 112.07
April 2001 95.83 109.36 ND 90.29 103.95 112.40
May 2001 95.85 110.21 ND 90.24 104.48 112.44
June 2001 95.90 111.25 ND 90.08 104.38 112.66
July 2001 95.80 111.91 ND 89.46 104.16 112.74
August 2001 96.34 112.81 ND 89.35 104.59 113.32
September 2001 96.54 113.55 ND 88.97 104.21 113.55
October 2001 97.16 114.49 ND 88.50 104.19 114.49
November 2001 97.86 115.12 ND 88.60 103.60 115.12
December 2001 97.90 115.61 ND 87.86 103.46 115.61
January 2002 98.26 116.35 107.27 88.17 102.49 116.35
February 2002 98.84 117.27 107.87 87.87 103.02 117.27
March 2002 99.58 118.34 108.50 88.42 103.69 118.34
April 2002 100.45 119.16 108.97 89.66 104.37 119.16
May 2002 101.65 119.78 109.27 91.10 106.24 119.78
June 2002 102.78 120.80 109.38 91.90 106.42 120.80
July 2002 104.42 121.64 109.62 92.86 106.54 121.64
August 2002 105.52 122.93 109.91 92.40 106.79 122.93
September 2002 106.58 123.73 110.10 92.17 107.24 123.73
October 2002 107.45 124.17 110.49 92.84 107.52 124.17
November 2002 108.54 125.75 110.94 93.18 107.84 125.75
December 2002 109.52 127.16 111.33 93.53 108.20 127.16
January 2003 110.36 129.12 112.28 94.58 109.09 129.12
February 2003 111.24 129.24 112.56 94.35 109.70 129.24
March 2003 112.17 130.67 113.02 94.39 110.06 130.67
April 2003 113.14 131.92 113.59 94.14 110.07 131.92
May 2003 114.12 133.21 114.10 94.36 110.28 133.21
June 2003 115.36 134.23 114.51 94.87 111.32 134.23
July 2003 116.43 135.49 115.02 96.27 111.86 135.49
August 2003 118.32 136.45 115.57 97.06 112.16 136.45
September 2003 120.13 137.91 116.37 98.18 112.68 137.91
October 2003 121.91 138.80 117.43 99.12 113.85 138.80
November 2003 123.76 139.96 118.49 99.72 114.86 139.96
December 2003 125.75 141.32 119.52 100.42 115.15 141.32
January 2004 127.45 142.28 120.74 101.29 115.87 142.28
February 2004 129.68 143.89 121.71 101.90 116.50 143.89
March 2004 132.46 145.81 122.96 102.35 117.27 145.81
April 2004 135.15 146.11 124.36 103.02 117.81 147.79
May 2004 137.38 147.67 125.96 103.95 118.50 150.57
June 2004 139.44 149.73 127.76 105.07 120.23 154.14
July 2004 140.82 151.11 129.59 106.64 121.19 157.19
August 2004 142.05 153.62 131.78 106.62 120.76 159.12
September 2004 142.99 154.96 134.42 107.45 121.13 160.31
October 2004 143.96 157.32 137.47 108.40 122.54 161.61
November 2004 145.29 159.00 140.86 109.78 123.91 162.36
December 2004 146.50 161.11 144.86 111.28 124.61 164.26
January 2005 147.95 163.86 148.70 113.13 125.12 165.19
February 2005 150.08 166.75 152.64 113.57 125.85 166.75
March 2005 152.18 169.16 158.09 114.08 127.38 169.16
April 2005 153.74 172.20 162.94 114.40 128.74 172.20
May 2005 155.67 175.25 167.79 114.85 129.77 175.25
June 2005 157.53 178.44 173.28 114.93 130.25 178.44
July 2005 158.98 180.35 178.81 115.36 130.75 180.35
August 2005 160.71 183.98 183.57 115.91 131.63 183.98
September 2005 162.72 186.75 187.70 116.06 132.33 186.75
October 2005 165.16 189.75 190.78 115.88 133.31 189.75
November 2005 166.41 192.73 193.67 115.84 133.81 192.73
December 2005 168.48 195.98 196.01 117.04 134.47 194.52
January 2006 169.96 198.02 197.59 117.57 135.73 193.79
February 2006 171.36 200.74 198.82 118.10 135.91 192.94
March 2006 171.36 203.82 200.23 117.77 136.62 191.96
April 2006 170.67 204.52 200.24 117.33 136.91 193.27
May 2006 169.99 205.98 199.79 116.94 136.60 190.77
June 2006 169.19 205.60 198.19 116.14 136.76 188.71
July 2006 168.75 202.35 196.34 115.18 134.73 186.13
August 2006 168.28 204.86 194.39 114.93 135.76 183.30
September 2006 167.61 205.44 192.16 114.84 135.56 181.22
October 2006 166.51 205.05 190.12 114.68 136.02 178.74
November 2006 165.54 203.41 188.07 114.60 136.44 178.12
December 2006 163.57 201.31 186.04 114.62 136.61 176.33
January 2007 161.42 199.66 184.29 114.50 135.88 176.37
February 2007 160.42 200.39 181.57 113.77 137.29 174.72
March 2007 156.99 198.00 179.12 113.16 136.93 171.29
April 2007 155.07 196.76 176.70 112.80 136.25 167.53
May 2007 152.62 192.79 173.76 112.19 134.92 162.19
June 2007 150.22 188.43 170.57 111.70 133.84 160.56
July 2007 147.69 183.72 167.81 111.53 132.40 157.85
August 2007 145.77 182.25 164.94 111.34 131.05 153.92
September 2007 143.46 178.08 161.52 110.91 129.42 150.11
October 2007 140.58 173.85 157.65 109.97 127.59 147.65
November 2007 136.94 169.79 153.63 109.17 125.89 144.36
December 2007 133.70 165.34 149.70 107.86 124.34 142.36
January 2008 131.27 160.24 146.13 107.27 122.19 137.86
February 2008 126.80 154.89 142.83 106.41 120.68 135.02
March 2008 123.79 148.49 138.45 105.99 118.02 133.60
April 2008 121.11 141.50 134.10 104.67 116.10 132.00
May 2008 117.84 135.46 130.63 104.80 115.23 130.34
June 2008 115.04 131.74 127.23 104.22 113.64 127.43
July 2008 111.47 129.07 123.62 103.34 111.47 125.21
August 2008 109.02 124.70 120.35 102.62 109.49 121.93
September 2008 106.32 120.94 116.89 101.39 108.12 119.83
October 2008 103.79 116.51 113.86 100.35 106.02 116.13
November 2008 101.92 113.52 111.03 99.69 104.31 113.52
December 2008 99.67 109.78 107.32 98.31 102.46 110.41
January 2009 98.71 108.10 104.27 97.32 102.44 108.10
February 2009 97.35 104.32 101.82 96.97 101.89 106.74
March 2009 96.17 102.07 99.31 95.87 100.76 105.11
April 2009 95.15 100.47 98.10 94.72 100.55 104.09
May 2009 94.40 98.73 97.71 94.65 99.72 103.21
June 2009 94.83 98.11 97.47 95.57 99.33 102.45
July 2009 96.29 98.13 97.40 96.29 99.65 101.63
August 2009 96.12 97.94 97.51 95.99 98.68 101.37
September 2009 96.67 98.80 97.26 96.56 98.80 101.01
October 2009 97.26 99.41 98.21 97.26 99.41 100.63
November 2009 98.00 100.25 99.53 98.00 100.20 100.81
December 2009 99.09 100.01 100.03 98.81 100.01 100.82
January 2010 100.00 100.00 100.00 100.00 100.00 100.00
February 2010 99.11 98.45 99.98 98.34 99.25 99.97
March 2010 99.29 98.54 100.44 97.98 99.29 100.32
April 2010 99.03 98.19 100.56 98.19 99.31 100.21
May 2010 99.51 97.71 100.31 97.71 99.29 100.53
June 2010 98.98 97.65 99.85 97.32 98.98 100.61
July 2010 99.00 96.03 99.38 96.03 98.77 100.90
August 2010 97.88 94.25 98.40 94.25 97.79 100.12
September 2010 97.59 91.94 97.24 93.35 97.10 99.96
October 2010 97.13 91.44 97.07 92.24 96.40 99.68
November 2010 96.87 90.37 96.70 91.50 96.44 98.89
December 2010 96.60 90.84 95.99 90.84 96.19 98.73
January 2011 96.39 90.72 95.92 90.72 95.24 98.42
February 2011 95.86 90.49 94.83 90.49 94.90 98.28
March 2011 95.45 90.43 93.98 89.98 93.96 98.13
April 2011 95.45 91.27 92.95 90.03 94.17 98.19
May 2011 95.12 92.31 91.86 89.62 93.62 98.17
June 2011 95.06 93.03 91.09 89.59 93.87 98.16
July 2011 95.24 94.82 90.29 89.45 93.99 98.15
August 2011 94.26 94.98 90.31 89.59 94.12 97.82
September 2011 93.81 95.70 90.72 89.84 93.81 97.58
October 2011 93.53 96.06 91.35 88.22 93.53 97.31
November 2011 93.39 96.48 92.11 87.95 93.39 97.43
December 2011 93.21 97.65 93.16 87.13 93.21 97.65
January 2012 92.94 98.59 94.11 86.46 92.97 97.66
February 2012 92.72 98.89 95.37 86.46 93.36 97.66
March 2012 92.73 100.01 97.04 86.72 93.47 97.81
April 2012 93.81 100.39 99.07 86.57 94.07 98.33
May 2012 94.57 101.10 100.86 86.65 94.57 98.66
June 2012 95.17 102.23 102.55 86.55 95.17 99.07
July 2012 95.60 103.33 104.20 86.80 95.60 98.91
August 2012 96.62 104.91 105.46 86.45 96.13 99.60
September 2012 97.40 104.79 106.47 86.86 96.59 99.85
October 2012 98.31 105.07 107.54 86.73 97.12 101.12
November 2012 99.32 106.53 108.33 87.35 97.67 101.57
December 2012 100.72 107.11 108.83 87.49 98.82 102.89
January 2013 101.94 108.75 109.99 87.18 99.00 103.42
February 2013 103.49 110.67 111.02 87.06 99.65 104.69
March 2013 105.01 112.32 111.82 87.75 100.54 106.60
April 2013 106.56 114.05 112.62 88.35 100.57 107.95
May 2013 107.54 114.75 113.48 89.16 101.09 109.36
June 2013 108.88 115.12 114.21 89.60 101.51 109.92
July 2013 110.42 115.93 115.11 90.28 102.30 111.10
August 2013 111.60 118.57 116.04 90.48 102.95 111.60
September 2013 112.33 117.81 116.59 90.22 103.71 112.65
October 2013 113.26 118.68 117.08 90.14 103.90 113.26
November 2013 113.96 119.09 117.43 90.11 104.04 114.16
December 2013 114.45 119.59 117.66 90.32 104.12 115.64
January 2014 115.31 119.38 117.87 91.01 104.30 116.13
February 2014 116.00 119.88 117.81 91.02 103.93 117.64
March 2014 116.30 120.41 117.95 90.84 103.89 116.78
April 2014 116.44 121.33 117.65 90.95 104.12 118.23
May 2014 116.72 121.50 117.56 90.79 104.14 118.79
June 2014 117.03 121.96 117.51 91.08 104.04 118.25
July 2014 117.00 121.34 117.52 91.06 104.06 119.40
August 2014 117.54 121.50 117.47 91.11 103.97 119.94
September 2014 117.98 121.82 117.51 90.93 103.71 119.96
October 2014 118.22 123.03 117.67 91.06 104.02 120.87
November 2014 118.40 122.04 117.85 90.95 104.71 121.45
December 2014 118.69 122.11 118.12 90.99 104.19 122.11
January 2015 119.40 122.53 118.50 90.24 103.73 122.53
February 2015 120.14 122.58 118.78 89.35 104.34 123.08
March 2015 119.99 121.34 118.91 89.81 105.27 123.87
April 2015 119.92 122.34 119.19 89.89 105.61 124.43
May 2015 120.22 123.80 119.33 90.41 106.20 124.38
June 2015 120.43 124.08 119.48 90.89 106.80 124.72
July 2015 120.28 124.10 119.58 91.32 106.86 124.19
August 2015 120.89 123.67 119.64 91.49 107.52 124.96
September 2015 121.40 124.92 119.75 91.11 107.22 125.16
October 2015 122.06 125.47 119.87 91.75 106.90 125.47
November 2015 122.42 126.19 120.00 91.46 106.68 126.19
December 2015 122.55 126.09 120.08 91.73 106.91 126.09
January 2016 122.60 125.90 120.07 92.43 106.75 125.90
February 2016 123.06 126.95 120.11 92.50 107.59 126.58
March 2016 123.04 126.82 120.07 92.32 106.61 126.82
April 2016 123.54 126.70 120.05 92.43 106.61 126.70
May 2016 123.65 126.45 119.96 92.60 106.91 126.45
June 2016 123.65 126.24 119.97 92.85 107.30 126.24
July 2016 122.85 125.39 119.95 92.90 107.68 125.39
August 2016 123.79 126.29 119.99 92.83 108.12 126.29
September 2016 124.14 126.68 119.95 93.05 108.46 126.68
October 2016 124.31 126.74 119.87 93.09 108.97 126.74
November 2016 124.58 127.10 119.99 93.56 109.45 127.10
December 2016 124.92 127.28 120.19 93.78 109.72 127.28
January 2017 124.78 127.84 120.48 93.96 110.34 127.84
February 2017 124.68 127.62 120.65 94.07 111.07 127.62
March 2017 124.90 127.47 120.73 94.25 111.76 127.47
April 2017 125.14 126.75 120.82 94.91 112.19 126.75
May 2017 125.44 126.63 120.88 94.56 112.30 126.63
June 2017 125.59 126.25 121.18 94.39 112.24 126.25
July 2017 125.39 126.89 121.50 94.11 112.30 126.89
August 2017 126.27 127.80 121.79 94.60 113.14 127.80
September 2017 126.68 127.94 122.13 95.10 113.50 127.94
October 2017 127.18 128.39 122.58 95.35 113.67 128.39
November 2017 127.74 127.89 122.86 95.43 114.02 129.53
December 2017 128.29 128.35 123.37 95.15 114.29 129.16
January 2018 128.57 128.37 121.44 94.71 114.49 129.27
February 2018 129.74 128.41 123.07 95.90 115.18 129.89
March 2018 129.60 129.13 123.22 96.67 115.42 129.60
April 2018 129.43 129.61 123.15 95.78 115.62 130.32
May 2018 129.33 129.21 123.75 95.79 115.64 130.96
June 2018 129.28 128.35 123.67 95.94 115.71 131.27
July 2018 130.45 129.62 123.33 96.25 116.27 132.12
August 2018 129.60 128.56 123.56 96.31 114.76 130.70

Note: Seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 25 metropolitan statistical areas.

Source: For house prices, CoreLogic; for rent data, Bureau of Labor Statistics.

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Figure 2-1. Private Nonfinancial-Sector Credit-to-GDP Ratio

Period Ratio
1980:Q1 0.976
1980:Q2 0.985
1980:Q3 0.985
1980:Q4 0.970
1981:Q1 0.945
1981:Q2 0.962
1981:Q3 0.956
1981:Q4 0.971
1982:Q1 0.991
1982:Q2 0.994
1982:Q3 0.997
1982:Q4 1.001
1983:Q1 0.998
1983:Q2 0.992
1983:Q3 0.988
1983:Q4 0.990
1984:Q1 0.994
1984:Q2 1.005
1984:Q3 1.016
1984:Q4 1.036
1985:Q1 1.054
1985:Q2 1.068
1985:Q3 1.077
1985:Q4 1.103
1986:Q1 1.114
1986:Q2 1.132
1986:Q3 1.150
1986:Q4 1.172
1987:Q1 1.176
1987:Q2 1.183
1987:Q3 1.191
1987:Q4 1.180
1988:Q1 1.194
1988:Q2 1.196
1988:Q3 1.201
1988:Q4 1.202
1989:Q1 1.202
1989:Q2 1.206
1989:Q3 1.208
1989:Q4 1.220
1990:Q1 1.219
1990:Q2 1.217
1990:Q3 1.219
1990:Q4 1.232
1991:Q1 1.232
1991:Q2 1.222
1991:Q3 1.207
1991:Q4 1.201
1992:Q1 1.190
1992:Q2 1.175
1992:Q3 1.166
1992:Q4 1.154
1993:Q1 1.155
1993:Q2 1.155
1993:Q3 1.158
1993:Q4 1.153
1994:Q1 1.155
1994:Q2 1.151
1994:Q3 1.154
1994:Q4 1.156
1995:Q1 1.164
1995:Q2 1.176
1995:Q3 1.178
1995:Q4 1.182
1996:Q1 1.189
1996:Q2 1.185
1996:Q3 1.187
1996:Q4 1.182
1997:Q1 1.187
1997:Q2 1.186
1997:Q3 1.191
1997:Q4 1.197
1998:Q1 1.212
1998:Q2 1.229
1998:Q3 1.232
1998:Q4 1.238
1999:Q1 1.254
1999:Q2 1.266
1999:Q3 1.281
1999:Q4 1.280
2000:Q1 1.302
2000:Q2 1.300
2000:Q3 1.317
2000:Q4 1.324
2001:Q1 1.334
2001:Q2 1.345
2001:Q3 1.375
2001:Q4 1.382
2002:Q1 1.389
2002:Q2 1.392
2002:Q3 1.399
2002:Q4 1.414
2003:Q1 1.423
2003:Q2 1.439
2003:Q3 1.432
2003:Q4 1.429
2004:Q1 1.445
2004:Q2 1.451
2004:Q3 1.459
2004:Q4 1.470
2005:Q1 1.473
2005:Q2 1.492
2005:Q3 1.500
2005:Q4 1.515
2006:Q1 1.529
2006:Q2 1.552
2006:Q3 1.570
2006:Q4 1.588
2007:Q1 1.601
2007:Q2 1.624
2007:Q3 1.644
2007:Q4 1.659
2008:Q1 1.688
2008:Q2 1.680
2008:Q3 1.694
2008:Q4 1.704
2009:Q1 1.714
2009:Q2 1.711
2009:Q3 1.692
2009:Q4 1.650
2010:Q1 1.633
2010:Q2 1.602
2010:Q3 1.584
2010:Q4 1.558
2011:Q1 1.555
2011:Q2 1.535
2011:Q3 1.526
2011:Q4 1.510
2012:Q1 1.495
2012:Q2 1.486
2012:Q3 1.486
2012:Q4 1.489
2013:Q1 1.478
2013:Q2 1.479
2013:Q3 1.474
2013:Q4 1.462
2014:Q1 1.472
2014:Q2 1.460
2014:Q3 1.450
2014:Q4 1.454
2015:Q1 1.459
2015:Q2 1.459
2015:Q3 1.461
2015:Q4 1.468
2016:Q1 1.483
2016:Q2 1.479
2016:Q3 1.485
2016:Q4 1.481
2017:Q1 1.486
2017:Q2 1.489
2017:Q3 1.486
2017:Q4 1.484
2018:Q1 1.481
2018:Q2 1.478

Note: The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009. GDP is gross domestic product.

Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."

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Figure 2-2. Business- and Household-Sector Credit-to-GDP Ratio

Period Business Household
1980:Q1 0.496 0.480
1980:Q2 0.502 0.483
1980:Q3 0.501 0.484
1980:Q4 0.494 0.476
1981:Q1 0.483 0.462
1981:Q2 0.495 0.466
1981:Q3 0.496 0.460
1981:Q4 0.506 0.465
1982:Q1 0.519 0.472
1982:Q2 0.524 0.470
1982:Q3 0.532 0.466
1982:Q4 0.531 0.470
1983:Q1 0.535 0.463
1983:Q2 0.530 0.462
1983:Q3 0.527 0.461
1983:Q4 0.526 0.464
1984:Q1 0.530 0.464
1984:Q2 0.538 0.466
1984:Q3 0.547 0.469
1984:Q4 0.559 0.477
1985:Q1 0.562 0.491
1985:Q2 0.569 0.499
1985:Q3 0.570 0.507
1985:Q4 0.579 0.524
1986:Q1 0.585 0.529
1986:Q2 0.596 0.536
1986:Q3 0.604 0.546
1986:Q4 0.615 0.557
1987:Q1 0.620 0.556
1987:Q2 0.620 0.563
1987:Q3 0.623 0.568
1987:Q4 0.621 0.560
1988:Q1 0.627 0.567
1988:Q2 0.628 0.568
1988:Q3 0.629 0.572
1988:Q4 0.631 0.571
1989:Q1 0.630 0.571
1989:Q2 0.632 0.574
1989:Q3 0.629 0.578
1989:Q4 0.634 0.586
1990:Q1 0.630 0.589
1990:Q2 0.626 0.591
1990:Q3 0.625 0.594
1990:Q4 0.629 0.604
1991:Q1 0.622 0.610
1991:Q2 0.613 0.610
1991:Q3 0.600 0.607
1991:Q4 0.589 0.612
1992:Q1 0.580 0.610
1992:Q2 0.569 0.606
1992:Q3 0.561 0.605
1992:Q4 0.551 0.603
1993:Q1 0.549 0.605
1993:Q2 0.548 0.607
1993:Q3 0.547 0.611
1993:Q4 0.543 0.610
1994:Q1 0.543 0.611
1994:Q2 0.540 0.611
1994:Q3 0.541 0.614
1994:Q4 0.539 0.617
1995:Q1 0.543 0.621
1995:Q2 0.549 0.627
1995:Q3 0.548 0.631
1995:Q4 0.549 0.633
1996:Q1 0.548 0.640
1996:Q2 0.546 0.639
1996:Q3 0.547 0.639
1996:Q4 0.544 0.639
1997:Q1 0.546 0.641
1997:Q2 0.546 0.639
1997:Q3 0.551 0.640
1997:Q4 0.555 0.641
1998:Q1 0.565 0.646
1998:Q2 0.576 0.653
1998:Q3 0.580 0.652
1998:Q4 0.584 0.654
1999:Q1 0.594 0.660
1999:Q2 0.598 0.668
1999:Q3 0.610 0.671
1999:Q4 0.609 0.671
2000:Q1 0.619 0.683
2000:Q2 0.621 0.679
2000:Q3 0.627 0.690
2000:Q4 0.630 0.694
2001:Q1 0.633 0.702
2001:Q2 0.635 0.710
2001:Q3 0.642 0.733
2001:Q4 0.645 0.738
2002:Q1 0.642 0.746
2002:Q2 0.639 0.753
2002:Q3 0.636 0.764
2002:Q4 0.635 0.779
2003:Q1 0.631 0.792
2003:Q2 0.625 0.814
2003:Q3 0.615 0.817
2003:Q4 0.604 0.825
2004:Q1 0.609 0.835
2004:Q2 0.604 0.847
2004:Q3 0.605 0.854
2004:Q4 0.603 0.867
2005:Q1 0.603 0.870
2005:Q2 0.607 0.885
2005:Q3 0.607 0.893
2005:Q4 0.612 0.903
2006:Q1 0.616 0.914
2006:Q2 0.624 0.929
2006:Q3 0.628 0.942
2006:Q4 0.640 0.949
2007:Q1 0.649 0.952
2007:Q2 0.662 0.962
2007:Q3 0.677 0.967
2007:Q4 0.688 0.971
2008:Q1 0.704 0.984
2008:Q2 0.710 0.970
2008:Q3 0.718 0.977
2008:Q4 0.733 0.972
2009:Q1 0.736 0.978
2009:Q2 0.732 0.979
2009:Q3 0.719 0.973
2009:Q4 0.694 0.956
2010:Q1 0.688 0.944
2010:Q2 0.674 0.928
2010:Q3 0.670 0.914
2010:Q4 0.657 0.901
2011:Q1 0.656 0.899
2011:Q2 0.652 0.884
2011:Q3 0.653 0.873
2011:Q4 0.650 0.860
2012:Q1 0.646 0.849
2012:Q2 0.646 0.840
2012:Q3 0.652 0.834
2012:Q4 0.658 0.831
2013:Q1 0.656 0.822
2013:Q2 0.661 0.819
2013:Q3 0.663 0.811
2013:Q4 0.659 0.804
2014:Q1 0.668 0.804
2014:Q2 0.664 0.796
2014:Q3 0.664 0.786
2014:Q4 0.671 0.784
2015:Q1 0.679 0.781
2015:Q2 0.683 0.776
2015:Q3 0.688 0.773
2015:Q4 0.696 0.772
2016:Q1 0.709 0.774
2016:Q2 0.708 0.771
2016:Q3 0.713 0.772
2016:Q4 0.712 0.770
2017:Q1 0.717 0.769
2017:Q2 0.720 0.768
2017:Q3 0.721 0.764
2017:Q4 0.720 0.764
2018:Q1 0.718 0.762
2018:Q2 0.725 0.754

Note: The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009. GDP is gross domestic product.

Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."

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Figure 2-3. Growth of Real Aggregate Debt of the Business Sector

Period Percent change, annual rate
1997:Q1 4.36
1997:Q2 6.58
1997:Q3 9.20
1997:Q4 6.82
1998:Q1 11.43
1998:Q2 11.93
1998:Q3 8.84
1998:Q4 10.43
1999:Q1 11.04
1999:Q2 6.52
1999:Q3 11.17
1999:Q4 6.49
2000:Q1 9.58
2000:Q2 9.15
2000:Q3 4.26
2000:Q4 5.53
2001:Q1 2.00
2001:Q2 4.79
2001:Q3 3.80
2001:Q4 3.08
2002:Q1 3.50
2002:Q2 -0.09
2002:Q3 0.66
2002:Q4 1.01
2003:Q1 0.07
2003:Q2 0.08
2003:Q3 1.81
2003:Q4 -2.09
2004:Q1 3.23
2004:Q2 0.67
2004:Q3 4.18
2004:Q4 2.40
2005:Q1 4.18
2005:Q2 4.28
2005:Q3 2.89
2005:Q4 6.06
2006:Q1 8.12
2006:Q2 6.41
2006:Q3 4.53
2006:Q4 11.86
2007:Q1 7.58
2007:Q2 10.50
2007:Q3 11.47
2007:Q4 10.24
2008:Q1 7.23
2008:Q2 5.74
2008:Q3 2.49
2008:Q4 0.09
2009:Q1 -3.75
2009:Q2 -1.14
2009:Q3 -5.34
2009:Q4 -5.41
2010:Q1 -3.26
2010:Q2 -4.66
2010:Q3 1.59
2010:Q4 -2.13
2011:Q1 -0.99
2011:Q2 0.27
2011:Q3 0.78
2011:Q4 1.95
2012:Q1 1.84
2012:Q2 1.66
2012:Q3 4.39
2012:Q4 4.97
2013:Q1 2.96
2013:Q2 3.44
2013:Q3 4.43
2013:Q4 0.94
2014:Q1 4.96
2014:Q2 2.95
2014:Q3 4.48
2014:Q4 6.48
2015:Q1 8.42
2015:Q2 6.20
2015:Q3 3.99
2015:Q4 6.07
2016:Q1 9.39
2016:Q2 1.10
2016:Q3 4.67
2016:Q4 1.53
2017:Q1 3.94
2017:Q2 4.97
2017:Q3 3.18
2017:Q4 1.53
2018:Q1 1.45
2018:Q2 1.13

Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for nonfinancial business-sector output.

Source: Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."

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Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period Total Institutional leveraged loans High-yield and unrated bonds
2005:Q1 6.34 13.32 -6.99
2005:Q2 8.07 13.65 -5.58
2005:Q3 7.25 13.89 -6.64
2005:Q4 9.24 13.82 -4.59
2006:Q1 10.39 17.99 -7.60
2006:Q2 21.10 23.80 -2.70
2006:Q3 24.65 26.44 -1.79
2006:Q4 42.69 37.87 4.83
2007:Q1 48.17 41.24 6.93
2007:Q2 55.90 44.79 11.11
2007:Q3 55.97 46.75 9.21
2007:Q4 39.76 39.19 0.57
2008:Q1 25.64 29.57 -3.94
2008:Q2 12.79 22.55 -9.76
2008:Q3 11.57 17.77 -6.20
2008:Q4 -2.95 9.96 -12.90
2009:Q1 -5.71 6.45 -12.16
2009:Q2 -15.10 -3.99 -11.11
2009:Q3 -24.17 -8.95 -15.22
2009:Q4 -27.20 -16.40 -10.81
2010:Q1 -22.48 -17.91 -4.58
2010:Q2 -20.90 -16.45 -4.45
2010:Q3 -5.59 -10.20 4.61
2010:Q4 3.87 -7.78 11.65
2011:Q1 5.99 -4.44 10.43
2011:Q2 16.57 4.36 12.22
2011:Q3 4.84 0.04 4.80
2011:Q4 7.23 4.85 2.38
2012:Q1 13.03 4.35 8.67
2012:Q2 4.47 2.59 1.88
2012:Q3 13.65 2.88 10.77
2012:Q4 24.92 8.39 16.53
2013:Q1 29.55 12.83 16.71
2013:Q2 38.84 16.05 22.79
2013:Q3 51.95 28.43 23.51
2013:Q4 55.29 32.83 22.46
2014:Q1 57.72 37.36 20.35
2014:Q2 61.64 40.94 20.70
2014:Q3 61.83 41.76 20.07
2014:Q4 53.76 37.42 16.35
2015:Q1 55.05 31.67 23.38
2015:Q2 41.14 19.49 21.65
2015:Q3 24.24 9.53 14.71
2015:Q4 19.58 10.18 9.40
2016:Q1 8.76 10.84 -2.08
2016:Q2 11.04 12.87 -1.83
2016:Q3 4.04 7.50 -3.46
2016:Q4 -2.82 2.10 -4.92
2017:Q1 -5.22 -1.23 -3.98
2017:Q2 1.81 9.77 -7.96
2017:Q3 10.69 16.25 -5.55
2017:Q4 17.13 18.65 -1.52
2018:Q1 24.76 28.30 -3.54
2018:Q2 25.33 29.76 -4.43
2018:Q3 30.97 37.78 -6.80

Note: Total net issuance of risky debt is the sum of the net issuance of speculative-grade and unrated bonds and leveraged loans. The data are four-quarter moving averages.

Source: Mergent, Fixed Investment Securities Database (FISD); S&P Global, Leveraged Commentary & Data.

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Figure 2-5. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio

Percent

Period Debt multiples ≤ 4x Debt multiples 4x-4.99x Debt multiples 5x-5.99x Debt multiples ≥ 6x
2001 61.1 26.2 10.1 2.7
2002 54.6 27.3 12.2 5.9
2003 52.6 29.3 11.5 6.7
2004 45.0 28.6 17.6 8.8
2005 41.8 25.1 25.1 8.0
2006 36.4 26.3 21.1 16.3
2007 31.2 23.7 17.5 27.7
2008 63.1 14.2 12.1 10.7
2009 53.1 17.7 11.5 17.7
2010 53.7 22.6 17.9 5.8
2011 43.8 22.6 19.2 14.4
2012 35.9 26.6 21.8 15.8
2013 31.5 29.0 23.1 16.4
2014 28.7 22.6 21.5 27.2
2015 29.9 24.8 26.5 18.9
2016 22.0 32.3 24.7 21.0
2017 22.4 28.2 27.7 21.7
2018:Q1 23.0 23.0 29.0 25.2
2018:Q2 26.2 24.0 24.0 25.7
2018:Q3 13.4 20.6 32.0 34.0

Note: The data for 2018 are quarterly. Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 billion and exclude existing tranches of add-ons and amendments and restatements with no new money.

Source: S&P Global, Leveraged Commentary & Data.

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Figure 2-6. Default Rates of Leveraged Loans

Period Percent
December 1998 1.51
January 1999 1.40
February 1999 0.62
March 1999 0.96
April 1999 0.91
May 1999 1.08
June 1999 1.51
July 1999 1.47
August 1999 2.59
September 1999 2.84
October 1999 2.80
November 1999 4.23
December 1999 4.17
January 2000 5.32
February 2000 5.64
March 2000 5.79
April 2000 7.39
May 2000 7.13
June 2000 7.50
July 2000 7.39
August 2000 6.66
September 2000 6.60
October 2000 6.74
November 2000 5.80
December 2000 6.57
January 2001 5.89
February 2001 5.65
March 2001 5.48
April 2001 4.78
May 2001 6.42
June 2001 6.28
July 2001 6.82
August 2001 6.80
September 2001 6.50
October 2001 6.72
November 2001 6.50
December 2001 6.30
January 2002 7.25
February 2002 7.25
March 2002 6.85
April 2002 6.95
May 2002 5.69
June 2002 7.41
July 2002 6.84
August 2002 6.78
September 2002 6.41
October 2002 6.59
November 2002 6.53
December 2002 6.01
January 2003 5.13
February 2003 5.01
March 2003 5.47
April 2003 5.26
May 2003 5.35
June 2003 2.62
July 2003 2.64
August 2003 2.67
September 2003 2.91
October 2003 2.30
November 2003 2.28
December 2003 2.25
January 2004 1.89
February 2004 1.61
March 2004 1.11
April 2004 0.94
May 2004 0.68
June 2004 0.94
July 2004 0.91
August 2004 0.88
September 2004 1.01
October 2004 1.02
November 2004 1.02
December 2004 1.01
January 2005 1.03
February 2005 1.37
March 2005 1.26
April 2005 1.48
May 2005 1.54
June 2005 1.29
July 2005 1.46
August 2005 1.43
September 2005 1.65
October 2005 2.56
November 2005 2.29
December 2005 3.02
January 2006 2.96
February 2006 2.89
March 2006 2.79
April 2006 2.47
May 2006 2.30
June 2006 2.28
July 2006 2.08
August 2006 2.08
September 2006 1.56
October 2006 0.99
November 2006 1.07
December 2006 0.48
January 2007 0.45
February 2007 0.24
March 2007 0.23
April 2007 0.22
May 2007 0.16
June 2007 0.15
July 2007 0.21
August 2007 0.21
September 2007 0.42
October 2007 0.33
November 2007 0.25
December 2007 0.24
January 2008 0.72
February 2008 0.94
March 2008 1.07
April 2008 1.30
May 2008 1.73
June 2008 1.70
July 2008 1.90
August 2008 2.03
September 2008 1.91
October 2008 1.97
November 2008 1.94
December 2008 3.75
January 2009 4.95
February 2009 5.25
March 2009 8.02
April 2009 8.03
May 2009 8.66
June 2009 9.15
July 2009 9.57
August 2009 9.68
September 2009 9.75
October 2009 10.71
November 2009 10.81
December 2009 9.61
January 2010 8.82
February 2010 8.59
March 2010 5.82
April 2010 5.65
May 2010 4.64
June 2010 4.02
July 2010 3.47
August 2010 3.57
September 2010 3.55
October 2010 2.28
November 2010 2.25
December 2010 1.87
January 2011 1.46
February 2011 1.27
March 2011 1.11
April 2011 0.95
May 2011 0.91
June 2011 0.91
July 2011 0.77
August 2011 0.33
September 2011 0.32
October 2011 0.32
November 2011 0.17
December 2011 0.17
January 2012 0.21
February 2012 0.21
March 2012 0.21
April 2012 0.56
May 2012 1.05
June 2012 1.04
July 2012 1.04
August 2012 1.07
September 2012 1.00
October 2012 1.06
November 2012 1.28
December 2012 1.27
January 2013 1.42
February 2013 1.40
March 2013 2.21
April 2013 1.91
May 2013 1.40
June 2013 1.37
July 2013 2.02
August 2013 2.16
September 2013 2.41
October 2013 2.31
November 2013 2.08
December 2013 2.11
January 2014 1.88
February 2014 1.86
March 2014 1.21
April 2014 4.64
May 2014 4.60
June 2014 4.41
July 2014 3.89
August 2014 3.61
September 2014 3.34
October 2014 3.28
November 2014 3.33
December 2014 3.24
January 2015 3.99
February 2015 3.92
March 2015 3.79
April 2015 1.26
May 2015 1.26
June 2015 1.24
July 2015 1.10
August 2015 1.30
September 2015 1.27
October 2015 1.27
November 2015 1.42
December 2015 1.50
January 2016 1.29
February 2016 1.41
March 2016 1.75
April 2016 1.69
May 2016 1.96
June 2016 1.97
July 2016 2.17
August 2016 1.98
September 2016 1.95
October 2016 1.95
November 2016 1.66
December 2016 1.58
January 2017 1.56
February 2017 1.41
March 2017 1.49
April 2017 1.43
May 2017 1.42
June 2017 1.54
July 2017 1.36
August 2017 1.36
September 2017 1.53
October 2017 1.51
November 2017 1.95
December 2017 2.05
January 2018 1.95
February 2018 2.00
March 2018 2.42
April 2018 2.37
May 2018 2.12
June 2018 1.98
July 2018 1.99
August 2018 1.99
September 2018 1.81
October 2018 1.92

Note: The default rate is calculated as the amount in default over the past 12 months divided by the total outstanding volume at the beginning of the 12-month period. The 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.

Source: S&P Global, Leveraged Commentary & Data.

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Figure 2-7. Gross Balance Sheet Leverage of Public Nonfinancial Corporations

Percent

Period All firms Risky firms
2000:Q1 30.64 37.97
2000:Q2 29.85 37.32
2000:Q3 29.30 36.27
2000:Q4 29.52 36.82
2001:Q1 29.53 38.24
2001:Q2 29.66 39.03
2001:Q3 29.65 38.18
2001:Q4 30.32 39.25
2002:Q1 30.94 39.51
2002:Q2 30.02 37.98
2002:Q3 29.81 37.86
2002:Q4 29.57 37.93
2003:Q1 29.24 37.79
2003:Q2 28.42 37.68
2003:Q3 28.05 36.73
2003:Q4 27.08 36.52
2004:Q1 26.55 35.35
2004:Q2 25.94 34.86
2004:Q3 25.63 35.02
2004:Q4 25.41 34.22
2005:Q1 25.16 34.17
2005:Q2 25.02 32.65
2005:Q3 24.28 31.48
2005:Q4 24.35 32.21
2006:Q1 24.82 33.08
2006:Q2 24.66 32.82
2006:Q3 24.63 33.06
2006:Q4 24.91 34.52
2007:Q1 25.19 35.12
2007:Q2 25.45 34.74
2007:Q3 25.86 35.52
2007:Q4 26.16 35.84
2008:Q1 26.41 36.49
2008:Q2 26.53 36.23
2008:Q3 27.56 38.45
2008:Q4 29.15 40.50
2009:Q1 29.37 40.72
2009:Q2 28.35 38.84
2009:Q3 27.38 36.94
2009:Q4 27.13 37.63
2010:Q1 26.73 36.54
2010:Q2 26.60 36.53
2010:Q3 26.57 36.66
2010:Q4 26.33 36.20
2011:Q1 26.12 36.08
2011:Q2 26.19 36.14
2011:Q3 26.51 36.07
2011:Q4 26.40 35.48
2012:Q1 26.34 35.92
2012:Q2 26.90 36.75
2012:Q3 27.03 36.96
2012:Q4 27.33 37.86
2013:Q1 27.28 37.60
2013:Q2 27.72 38.28
2013:Q3 27.98 38.25
2013:Q4 28.19 38.71
2014:Q1 28.82 39.28
2014:Q2 28.61 38.18
2014:Q3 28.75 38.08
2014:Q4 29.30 38.99
2015:Q1 30.17 39.63
2015:Q2 30.70 39.73
2015:Q3 31.23 41.02
2015:Q4 32.16 40.55
2016:Q1 32.77 42.18
2016:Q2 32.96 41.78
2016:Q3 33.04 41.62
2016:Q4 33.00 40.98
2017:Q1 33.22 40.79
2017:Q2 33.61 41.72
2017:Q3 33.42 41.90
2017:Q4 33.26 41.16
2018:Q1 33.34 40.80
2018:Q2 33.27 41.16

Note: Gross leverage is the ratio of the book value of total debt to the book value of total assets. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.

Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.

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Figure 2-8. Interest Expense Ratio for Public Nonfinancial Corporations

Percent

Period All firms Risky firms
2000:Q1 16.18 29.08
2000:Q2 15.60 27.02
2000:Q3 15.85 27.25
2000:Q4 15.97 28.18
2001:Q1 17.42 31.77
2001:Q2 17.03 31.44
2001:Q3 16.81 30.94
2001:Q4 16.00 28.70
2002:Q1 17.13 32.20
2002:Q2 15.60 29.59
2002:Q3 15.68 29.06
2002:Q4 15.17 27.76
2003:Q1 15.32 29.54
2003:Q2 15.23 29.44
2003:Q3 14.60 26.47
2003:Q4 13.96 24.96
2004:Q1 13.46 25.03
2004:Q2 12.48 22.58
2004:Q3 12.59 21.64
2004:Q4 11.95 20.21
2005:Q1 12.17 21.82
2005:Q2 11.72 20.76
2005:Q3 11.82 22.05
2005:Q4 10.95 19.32
2006:Q1 12.22 22.24
2006:Q2 11.79 21.19
2006:Q3 11.51 21.52
2006:Q4 12.22 22.44
2007:Q1 12.52 23.97
2007:Q2 11.74 20.79
2007:Q3 12.52 22.56
2007:Q4 12.41 23.36
2008:Q1 12.33 24.61
2008:Q2 11.07 21.47
2008:Q3 10.78 19.59
2008:Q4 14.43 27.95
2009:Q1 14.09 26.52
2009:Q2 13.81 25.18
2009:Q3 13.35 25.50
2009:Q4 12.19 22.82
2010:Q1 12.14 23.52
2010:Q2 11.82 22.44
2010:Q3 11.62 22.67
2010:Q4 11.26 21.35
2011:Q1 10.84 22.23
2011:Q2 10.45 21.39
2011:Q3 10.20 19.99
2011:Q4 10.75 20.14
2012:Q1 10.75 21.75
2012:Q2 10.55 20.73
2012:Q3 10.55 20.80
2012:Q4 11.05 21.80
2013:Q1 11.15 22.41
2013:Q2 10.82 19.89
2013:Q3 10.56 19.79
2013:Q4 10.48 20.90
2014:Q1 10.99 22.30
2014:Q2 10.46 19.51
2014:Q3 10.22 18.37
2014:Q4 10.98 19.15
2015:Q1 11.13 21.41
2015:Q2 10.75 19.57
2015:Q3 10.60 18.93
2015:Q4 11.20 18.51
2016:Q1 12.56 22.88
2016:Q2 12.29 21.30
2016:Q3 11.98 20.79
2016:Q4 11.39 19.88
2017:Q1 12.28 21.72
2017:Q2 12.12 19.75
2017:Q3 11.60 19.43
2017:Q4 11.51 18.76
2018:Q1 11.84 19.79
2018:Q2 11.14 18.29

Note: Series calculated as the ratio of total interest expenses to earnings before interest, depreciation, and taxes. The sample of risky firms is composed of firms with positive short-term or long-term debt that either have an S&P firm rating of speculative grade or have no S&P rating.

Source: Federal Reserve Board staff calculations based on S&P Global, Compustat.

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Figure 2-9

This is a line chart titled "Total Household Loan Balances." The x-axis measures time and ranges from the years 1999 to 2018 (Q2). The y-axis measures billions of dollars (real) and ranges from 1000 to 9800. The data are quarterly. There are 3 variables plotted. The first line is labeled "Prime" and is designated by a black line. It ranges from about 3400 to 9000 billion dollars. This variable rises from around 3400 to 9000 billion dollars from 1999 to 2008 and then declines to 7400 billion dollars in 2014. After 2014, this variable rises slowly until it reaches around 9000 billion again in 2018. The second variable is labeled "Near prime" and is designated by a blue line. It ranges from around 2600 to around 3800 billion dollars. The variable has a slight increase to around 3800 billion dollars from 2002 to 2008 but otherwise is stable at a little more than 2600 billion dollars for most of the time period. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from 1000 to around 3000 billion dollars. There is a slight increase from a little more than 1000 billion dollars in 1999 to around 1800 in 2007, and there is a steeper increase to around 3000 billion dollars between 2007 and 2010. The variable then decreases and remains at around 1800 billion dollars from 2014 through 2018.

Note: Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. Student loan balances before 2004 are estimated using average growth from 2004 to 2007, by risk score. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

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Figure 2-10

This is a bar graph titled "Estimate of New Mortgage Volume to Households." The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 1400, in billions of dollars (real). There are 3 variables plotted. The first variable is labeled "Subprime" and is designated by the orange bars. It ranges from around 100 to around 300 billion dollars. It starts at a little more than 200 billion dollars in 2000 and very gradually increases to around 300 billion dollars between 2001 to 2007. Then it decreases more quickly to around 100 billion dollars in 2010, and remains fairly unchanged until 2018. The second variable is labeled "Near prime" and is designated by the blue bars. It ranges from 200 to around 800 billion dollars. The variable starts at around 500 billion dollars in 2000 and falls to 400 the next year before increasing quickly. It peaks at a little more than 800 billion dollars in 2006 before steeply falling to around 200 billion dollars by 2012. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2018. The third variable is labeled "Prime" and is designated by the black bars. It ranges from around 500 to 1200 billion dollars. The variable starts at around 600 billion dollars in 2000 and falls to 500 billion dollars the next year before steeply increasing to 1000 billion dollars in 2002. The variable peaks at around 1200 billion dollars in 2004 and then decreases to around 500 billion dollars in 2012. It increased to around 800 billion dollars in 2014 and has remained at that level up to 2018, except for a decrease to 600 billion dollars in 2015.

Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores were measured a year ago. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

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Figure 2-11. Transition Rates into Mortgage Delinquency

Percent of previously current loans

Period FHA/VA Nonprime Prime
January 2000 3.19 4.16 1.11
February 2000 3.02 3.87 1.03
March 2000 2.94 3.75 0.99
April 2000 3.02 3.65 1.01
May 2000 3.04 3.62 1.03
June 2000 3.05 3.68 1.04
July 2000 2.95 3.71 1.02
August 2000 2.99 3.82 1.02
September 2000 3.03 3.91 1.05
October 2000 3.03 3.96 1.04
November 2000 3.05 3.90 1.04
December 2000 3.19 4.06 1.09
January 2001 3.14 4.08 1.08
February 2001 3.20 4.34 1.11
March 2001 3.11 4.44 1.09
April 2001 3.23 4.90 1.12
May 2001 3.24 4.98 1.13
June 2001 3.29 4.96 1.14
July 2001 3.27 4.69 1.14
August 2001 3.15 4.65 1.10
September 2001 3.29 4.79 1.18
October 2001 3.26 4.80 1.17
November 2001 3.31 4.81 1.17
December 2001 3.22 4.77 1.11
January 2002 3.25 4.80 1.10
February 2002 3.30 4.82 1.11
March 2002 3.38 4.73 1.12
April 2002 3.33 4.60 1.10
May 2002 3.29 4.68 1.07
June 2002 3.32 4.98 1.05
July 2002 3.34 5.00 1.04
August 2002 3.40 4.94 1.06
September 2002 3.29 4.62 1.04
October 2002 3.34 4.64 1.06
November 2002 3.42 4.72 1.10
December 2002 3.41 4.79 1.10
January 2003 3.37 4.82 1.09
February 2003 3.33 4.82 1.07
March 2003 3.46 4.83 1.11
April 2003 3.61 4.88 1.15
May 2003 3.66 4.78 1.18
June 2003 3.61 4.77 1.15
July 2003 3.49 4.63 1.12
August 2003 3.51 4.68 1.11
September 2003 3.34 4.48 1.06
October 2003 3.27 4.42 1.00
November 2003 3.46 4.36 1.02
December 2003 3.48 4.31 0.99
January 2004 3.63 4.33 1.01
February 2004 3.40 4.22 0.92
March 2004 3.38 4.22 0.92
April 2004 3.23 4.09 0.88
May 2004 3.40 4.15 0.93
June 2004 3.41 4.05 0.93
July 2004 3.40 3.99 0.92
August 2004 3.19 3.84 0.86
September 2004 3.25 3.80 0.86
October 2004 3.46 3.88 0.93
November 2004 3.38 3.71 0.90
December 2004 3.29 3.61 0.89
January 2005 3.18 3.49 0.86
February 2005 3.18 3.49 0.87
March 2005 3.22 3.51 0.89
April 2005 3.18 3.45 0.87
May 2005 3.24 3.48 0.87
June 2005 3.27 3.47 0.86
July 2005 3.39 3.57 0.90
August 2005 3.29 3.47 0.87
September 2005 3.31 3.52 0.90
October 2005 3.29 3.51 0.89
November 2005 3.38 3.60 0.93
December 2005 3.31 3.53 0.90
January 2006 3.15 3.41 0.86
February 2006 3.07 3.39 0.84
March 2006 3.03 3.32 0.81
April 2006 3.31 3.54 0.88
May 2006 3.28 3.52 0.87
June 2006 3.29 3.61 0.89
July 2006 3.07 3.51 0.86
August 2006 3.08 3.54 0.88
September 2006 3.10 3.64 0.92
October 2006 3.03 3.60 0.91
November 2006 3.06 3.64 0.92
December 2006 3.17 3.76 0.97
January 2007 3.07 3.76 0.97
February 2007 3.06 3.86 1.00
March 2007 2.93 3.85 1.00
April 2007 3.06 4.07 1.06
May 2007 3.05 4.15 1.07
June 2007 3.08 4.32 1.09
July 2007 3.03 4.32 1.09
August 2007 2.88 4.29 1.06
September 2007 3.01 4.50 1.12
October 2007 2.97 4.54 1.11
November 2007 3.04 4.71 1.15
December 2007 2.95 4.60 1.12
January 2008 3.00 4.77 1.15
February 2008 2.84 4.78 1.12
March 2008 2.81 5.01 1.14
April 2008 2.76 5.11 1.15
May 2008 2.78 5.16 1.18
June 2008 2.65 5.03 1.14
July 2008 2.58 5.02 1.13
August 2008 2.77 5.34 1.22
September 2008 2.75 5.37 1.22
October 2008 2.76 5.53 1.27
November 2008 2.91 5.85 1.35
December 2008 2.85 5.97 1.36
January 2009 2.84 6.06 1.37
February 2009 2.53 5.83 1.25
March 2009 2.59 5.96 1.30
April 2009 2.59 5.80 1.29
May 2009 2.66 5.72 1.34
June 2009 2.58 5.50 1.30
July 2009 2.49 5.43 1.29
August 2009 2.44 5.35 1.28
September 2009 2.43 5.35 1.28
October 2009 2.41 5.29 1.28
November 2009 2.36 5.18 1.27
December 2009 2.29 5.02 1.24
January 2010 2.38 5.19 1.27
February 2010 2.33 5.15 1.26
March 2010 2.28 5.14 1.23
April 2010 2.12 4.81 1.15
May 2010 2.16 4.82 1.14
June 2010 2.17 4.72 1.13
July 2010 2.21 4.69 1.14
August 2010 2.10 4.49 1.09
September 2010 2.10 4.48 1.09
October 2010 2.17 4.68 1.14
November 2010 2.12 4.62 1.11
December 2010 2.07 4.51 1.08
January 2011 1.95 4.31 1.01
February 2011 2.03 4.33 1.03
March 2011 1.97 4.30 1.01
April 2011 1.99 4.33 1.02
May 2011 1.93 4.29 1.01
June 2011 2.03 4.38 1.04
July 2011 2.09 4.50 1.08
August 2011 2.07 4.42 1.07
September 2011 2.01 4.38 1.04
October 2011 1.94 4.18 0.99
November 2011 1.97 4.18 0.99
December 2011 1.98 4.17 0.99
January 2012 1.87 3.80 0.95
February 2012 1.79 3.41 0.93
March 2012 1.79 3.20 0.95
April 2012 1.82 3.33 0.96
May 2012 1.85 3.47 0.98
June 2012 1.83 3.45 0.97
July 2012 1.79 3.35 0.96
August 2012 1.73 3.32 0.94
September 2012 1.91 3.68 1.02
October 2012 1.87 3.55 0.99
November 2012 1.88 3.47 1.00
December 2012 1.72 3.03 0.92
January 2013 1.77 3.13 0.92
February 2013 1.82 3.25 0.93
March 2013 1.87 3.44 0.95
April 2013 1.81 3.31 0.92
May 2013 1.75 3.22 0.89
June 2013 1.80 3.23 0.90
July 2013 1.83 3.33 0.92
August 2013 1.88 3.31 0.94
September 2013 1.73 3.09 0.86
October 2013 1.76 3.16 0.85
November 2013 1.76 3.25 0.84
December 2013 1.75 3.29 0.84
January 2014 1.70 3.26 0.82
February 2014 1.62 3.20 0.80
March 2014 1.60 3.13 0.78
April 2014 1.64 3.13 0.79
May 2014 1.69 3.19 0.80
June 2014 1.70 3.23 0.79
July 2014 1.71 3.20 0.79
August 2014 1.80 3.25 0.85
September 2014 1.77 3.14 0.83
October 2014 1.70 3.11 0.80
November 2014 1.76 3.18 0.79
December 2014 1.72 3.13 0.78
January 2015 1.80 3.17 0.81
February 2015 1.63 2.90 0.74
March 2015 1.66 2.95 0.75
April 2015 1.62 2.88 0.73
May 2015 1.73 3.14 0.77
June 2015 1.73 3.13 0.77
July 2015 1.71 3.13 0.76
August 2015 1.64 2.96 0.74
September 2015 1.69 3.03 0.76
October 2015 1.74 3.00 0.77
November 2015 1.71 2.97 0.76
December 2015 1.66 2.90 0.73
January 2016 1.85 3.17 0.81
February 2016 1.72 2.95 0.76
March 2016 1.77 3.04 0.78
April 2016 1.63 2.86 0.71
May 2016 1.77 3.12 0.77
June 2016 1.76 3.07 0.77
July 2016 1.84 3.24 0.80
August 2016 1.78 3.13 0.78
September 2016 1.75 3.13 0.77
October 2016 1.64 2.93 0.72
November 2016 1.67 3.00 0.73
December 2016 1.70 3.07 0.74
January 2017 1.69 3.04 0.74
February 2017 1.70 3.11 0.74
March 2017 1.65 3.00 0.72
April 2017 1.85 3.31 0.79
May 2017 1.80 3.17 0.78
June 2017 1.80 3.16 0.78
July 2017 1.63 2.89 0.71
August 2017 1.68 2.93 0.74
September 2017 1.95 3.24 0.83
October 2017 1.99 3.26 0.85
November 2017 1.97 3.22 0.84
December 2017 1.85 2.99 0.80
January 2018 1.75 2.89 0.76
February 2018 1.75 2.88 0.76
March 2018 1.65 2.78 0.73
April 2018 1.65 2.74 0.73
May 2018 1.64 ND 0.72
June 2018 1.67 ND 0.72
July 2018 1.67 ND 0.73
August 2018 1.64 ND 0.72

Note: Percent of previously current mortgages that transition from being current to being at least 30 days delinquent each month. The data are three-month moving averages. FHA is Federal Housing Administration; VA is U.S. Department of Veterans Affairs. Prime and nonprime are defined among conventional loans.

Source: For prime and FHA/VA, Black Knight McDash Data; for nonprime, CoreLogic.

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Figure 2-12

This is a line chart titled "Estimates of Housing Leverage." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 70 to 150, which measures indexed ratios of outstanding mortgage debt to home values (with 100 being the ratio in 1991:Q1). The data are quarterly. There are two variables plotted. The first line is labeled "Relative to model-implied values" and is designated by the black line. It ranges from 100 to a little less than 130. The variable has a hill shape, starting at 100 in 1999 and increasing to a little less than 130 in 2008 before decreasing to 100 again in 2018. The second line is labeled "Relative to market value" and is designated by the blue line. The variable also starts at 100 in 1999 but declines to reach 80 in 2006. It then rises sharply to around 125-130 in the years 2009-2012 before decreasing to around 90 by 2018.

Note: This measure is estimated as an index of the ratio of the average outstanding mortgage loan balance for owner-occupied homes with a mortgage to (1) current home values using the CoreLogic national house price index and (2) model-implied house prices estimated by a staff model based on rents, interest rates, and a time trend.

Source: FRBNY Consumer Credit Panel/Equifax; CoreLogic; Bureau of Labor Statistics.

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Figure 2-13. Estimate of Mortgages with Negative Equity

CoreLogic

Period Percent
January 2011 25.28
February 2011 25.14
March 2011 24.99
April 2011 24.93
May 2011 24.87
June 2011 24.81
July 2011 24.65
August 2011 24.50
September 2011 24.36
October 2011 24.65
November 2011 24.93
December 2011 25.23
January 2012 24.69
February 2012 24.20
March 2012 23.67
April 2012 23.21
May 2012 22.74
June 2012 22.28
July 2012 22.17
August 2012 22.06
September 2012 21.96
October 2012 21.84
November 2012 21.72
December 2012 21.60
January 2013 21.11
February 2013 20.67
March 2013 20.18
April 2013 18.43
May 2013 16.62
June 2013 14.87
July 2013 14.35
August 2013 13.83
September 2013 13.33
October 2013 13.37
November 2013 13.41
December 2013 13.45
January 2014 13.25
February 2014 13.07
March 2014 12.88
April 2014 12.23
May 2014 11.56
June 2014 10.92
July 2014 10.74
August 2014 10.56
September 2014 10.39
October 2014 10.49
November 2014 10.59
December 2014 10.69
January 2015 10.54
February 2015 10.41
March 2015 10.27
April 2015 9.81
May 2015 9.34
June 2015 8.88
July 2015 8.70
August 2015 8.53
September 2015 8.36
October 2015 8.36
November 2015 8.36
December 2015 8.36
January 2016 8.28
February 2016 8.20
March 2016 8.12
April 2016 7.77
May 2016 7.41
June 2016 7.06
July 2016 6.82
August 2016 6.58
September 2016 6.34
October 2016 6.32
November 2016 6.29
December 2016 6.26
January 2017 6.19
February 2017 6.12
March 2017 6.05
April 2017 5.85
May 2017 5.65
June 2017 5.45
July 2017 5.28
August 2017 5.12
September 2017 4.96
October 2017 4.94
November 2017 4.92
December 2017 4.91
January 2018 4.84
February 2018 4.78
March 2018 4.71
April 2018 4.56
May 2018 4.41
June 2018 4.27

Note: Estimated share of mortgages with negative equity according to CoreLogic. The data are monthly.

Source: CoreLogic.

Zillow

Period Percent
2011:Q1 30.58
2011:Q2 30.04
2011:Q3 30.58
2011:Q4 31.12
2012:Q1 31.41
2012:Q2 30.93
2012:Q3 28.24
2012:Q4 27.46
2013:Q1 25.45
2013:Q2 23.77
2013:Q3 20.95
2013:Q4 19.39
2014:Q1 18.83
2014:Q2 17.89
2014:Q3 16.95
2014:Q4 16.89
2015:Q1 15.41
2015:Q2 14.43
2015:Q3 13.43
2015:Q4 13.09
2016:Q1 12.72
2016:Q2 12.11
2016:Q3 10.86
2016:Q4 10.55
2017:Q1 10.37
2017:Q2 ND
2017:Q3 ND
2017:Q4 9.14

Note: Estimated share of mortgages with negative equity according to Zillow. The data are quarterly and, for 2017, are available only for the first and fourth quarters.

Source: Zillow.

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Figure 2-14

This is a line chart titled "Consumer Credit Balances." The x-axis ranges from the years 1999 to 2018 (Q2). The y-axis ranges from 200 to 1800, in the units billions of dollars (real). The data are quarterly. There are 3 variables plotted on the chart. The first line is labeled "Auto loans" and is designated by a black line. It ranges from around 500 to 1200 billion dollars. It starts around 500 in 1999 and increases to around 1000 billion dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but begin increasing again afterwards. The curve ends at about 1200 billion dollars in 2018. The second variable is labeled "Credit cards" and is represented by a blue line. It ranges from around 700 to 1000 billion dollars. Starting at around 700 billion dollars in 1999, credit cards balances increase to a little under 1000 billion and remain fairly steady for several years with a peak at a little above 1000 billion in 2009. Balances began to decrease after 2009 to around 700 billion dollars in 2013, and have made a very small increase to around 800 by 2018. The third variable is labeled "Student loans" and is represented by an orange line. The variable starts at around 400 billion dollars in 2005. There are two small, brief dips in 2008 and 2012, but otherwise balances steadily increase to about 1400 billion dollars by 2018.

Note: The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

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Figure 2-15

This is a line chart labeled "Auto Loan Balances." The x-axis ranges from the years 1999 to 2018 (Q2), and the y-axis ranges from 150 to 600 billion dollars (real). The data are quarterly. There are 3 variables plotted on the chart. The first variable is labeled "Prime" and is designated by a black line. It ranges from around 175 to 600 billion dollars. Auto loans to borrowers with prime credit scores started at around 175 billion dollars in 1999 and continued to increase to around 400 billion in 2006. There is a slight decline from 2006 until balances were close to 350 billion in 2010 and 2011. From 2011 onwards, the balances labeled "Prime" have only been increasing, reaching almost 600 billion dollars at the end of the time period. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 200 to 350 billion dollars. Starting at 200 billion in 1999, balances of those with near prime credit increases to almost 350 billion dollars in 2005 to 2006. Near prime balances decrease to around 250 billion dollars in 2010 to 2011 before increasing again. The level has been fairly stable around 350 billion since 2016. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 150 to 300 billion dollars. It starts at around 150 billion dollars in 1999 and increases with fluctuations until reaching a peak at around 300 billion dollars in 2008. It decreases to around 200 billion in 2012 before beginning to increase to around 300 billion in 2018.

Note: Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2018 dollars using the consumer price index.

Source: FRBNY Consumer Credit Panel/Equifax; Bureau of Labor Statistics consumer price index.

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Figure 2-16

This is a line chart titled "Auto Loan Delinquency Rates." The x-axis ranges from the years 2000 to 2018 (Q2). The y-axis ranges from 0 to 16 percent, measuring delinquency rates on auto loans. The data are quarterly. There are 3 variables plotted on the chart. The first variable is labeled "Prime" and is denoted by the black line. It is fairly stable at around 0 and has the shape of a horizontal line. The second variable is labeled "Near prime" and is represented by a blue line. It ranges from around 2 to 3 percent. The variable is mostly flat at 2 percent except for a small one-percent increase between 2009 and 2011. The third variable is labeled "Subprime" and is designated by an orange line. It ranges from around 9 to 14 percent. This line starts around 10 percent in 2001 and increases slightly until 2004. It decreases to around 9 percent in 2006 before quickly increasing. The rates peak at around 14 percent in 2010. They fall to 10 percent again by 2013 before increasing to reach almost 12 percent at the end of the period.

Note: Delinquency is at least 30 days past due, excluding severe derogatory loans. The data are four-quarter moving averages. Near prime are those with an Equifax Risk Score from 620 to 719; prime are greater than 719. Credit scores are lagged four quarters.

Source: FRBNY Consumer Credit Panel/Equifax.

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Figure 3-1

This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x-axis measures time and ranges from years 1985 to 2018 (Q2). The y-axis ranges from 0 to 12 percent, measuring percent of total assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5% in 1985:Q1 to 10% in 2013:Q1. It has remained near 10% through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from 4 to 9 percent. This variable started at about 5% in 1985:Q1, fell to 4% in 1987:Q1, increased to 6% in 1993:Q4, remained near 6% through 2003:Q1, decreased to about 5% in 2008:Q4, and increased to 8% in 2012:Q1 where it has remained through 2018:Q2.

Note: Bank equity is total equity capital net of preferred equity and intangible assets, and assets are total assets. The data are seasonally adjusted by Board staff. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets. The shaded bars indicate periods of business recession as defined by the National Bureau of economic research: July 1990-March 1991, March 2001-November 2001, and December 2007-June 2009.

Source: Federal Financial Institutions Examination Council, Call Report Form FFIEC 031, Consolidated Reports of Condition and Income for a Bank with Domestic and Foreign Offices.

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Figure 3-2

This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x-axis measures time and ranges from years 2001 to 2018 (Q2). The y-axis ranges from 0 to 14 percent, measuring percent of risk-weighted assets. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Other BHCs," is designated by a solid orange line and ranges from 8 to just over 12 percent. This variable decreases slightly over 2001 to 2008 from 10 to 8 percent, increases rapidly from 8 percent in 2009 to 12 percent in 2012, and remains near 12 percent through 2018:Q2. The second line, labeled "Large BHCs," is designated by a solid black line and ranges from about 5 to 12 percent. This variable increases slowly from about 6 percent in 2001 to nearly 8 percent in 2006, decreases sharply to 5 percent in 2008, increases rapidly to just below 12 percent by the end of 2013, and remains near that level through 2018:Q2.

Note: The data are seasonally adjusted by Board staff. Sample includes banks as of 2018:Q2. Before 2014:Q1, the numerator of the common equity Tier 1 ratio is Tier 1 common capital for advanced-approaches bank holding companies (BHCs) (before 2015:Q1, for non-advanced-approaches BHCs). Afterward, the numerator is common equity Tier 1 capital. Large BHCs are those with greater than $50 billion in total assets. The denominator is risk-weighted assets. The 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.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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Figure 3-3. Borrower Leverage for Bank C&I Loans

Debt as percent of assets

Quarter Nonpublicly traded firms Publicly traded firms
2013:Q1 31.77 25.39
2013:Q2 32.09 25.95
2013:Q3 30.74 26.33
2013:Q4 31.51 26.13
2014:Q1 31.61 26.52
2014:Q2 31.89 26.69
2014:Q3 32.33 27.04
2014:Q4 31.89 26.94
2015:Q1 32.72 28.06
2015:Q2 32.84 28.23
2015:Q3 32.97 28.29
2015:Q4 33.34 28.50
2016:Q1 33.17 29.37
2016:Q2 33.74 30.08
2016:Q3 33.31 29.83
2016:Q4 33.26 29.58
2017:Q1 33.53 30.08
2017:Q2 33.68 30.16
2017:Q3 33.89 30.51
2017:Q4 33.78 30.42
2018:Q1 33.80 30.42
2018:Q2 33.31 30.56

Note: Weighted median leverage of firms (excluding financials) that borrow using commercial and industrial (C&I) loans from the 26 banks that have filed in every quarter since 2013:Q1. Leverage is measured as the ratio of the book value of total debt to the book value of total assets of the borrower, as reported by the lender, and the median is weighted by committed amounts.

Source: Federal Reserve Board, Form FR Y-14Q (Schedule H.1), Capital Assessments and Stress Testing.

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Figure 3-4. Leverage of Broker-Dealers

Period Ratio of assets to equity
1995:Q1 24.39
1995:Q2 25.53
1995:Q3 25.53
1995:Q4 26.53
1996:Q1 26.50
1996:Q2 26.88
1996:Q3 26.73
1996:Q4 27.50
1997:Q1 27.09
1997:Q2 27.41
1997:Q3 27.42
1997:Q4 26.54
1998:Q1 27.54
1998:Q2 27.06
1998:Q3 28.08
1998:Q4 24.61
1999:Q1 23.50
1999:Q2 21.82
1999:Q3 21.79
1999:Q4 21.83
2000:Q1 21.55
2000:Q2 21.45
2000:Q3 21.69
2000:Q4 22.42
2001:Q1 22.33
2001:Q2 23.59
2001:Q3 24.93
2001:Q4 24.47
2002:Q1 24.10
2002:Q2 24.69
2002:Q3 25.23
2002:Q4 23.97
2003:Q1 23.70
2003:Q2 24.68
2003:Q3 23.50
2003:Q4 24.00
2004:Q1 25.22
2004:Q2 25.94
2004:Q3 27.09
2004:Q4 27.09
2005:Q1 28.29
2005:Q2 29.22
2005:Q3 29.94
2005:Q4 28.69
2006:Q1 28.44
2006:Q2 29.11
2006:Q3 30.57
2006:Q4 31.18
2007:Q1 32.35
2007:Q2 32.99
2007:Q3 33.63
2007:Q4 34.64
2008:Q1 36.48
2008:Q2 32.90
2008:Q3 34.67
2008:Q4 26.74
2009:Q1 24.01
2009:Q2 20.79
2009:Q3 20.44
2009:Q4 19.13
2010:Q1 19.69
2010:Q2 19.32
2010:Q3 19.39
2010:Q4 18.65
2011:Q1 18.71
2011:Q2 18.82
2011:Q3 19.39
2011:Q4 19.97
2012:Q1 19.42
2012:Q2 19.48
2012:Q3 18.86
2012:Q4 18.96
2013:Q1 17.89
2013:Q2 17.63
2013:Q3 17.31
2013:Q4 16.76
2014:Q1 16.50
2014:Q2 16.48
2014:Q3 16.09
2014:Q4 15.51
2015:Q1 15.41
2015:Q2 15.22
2015:Q3 14.89
2015:Q4 14.43
2016:Q1 14.29
2016:Q2 14.48
2016:Q3 14.42
2016:Q4 14.41
2017:Q1 14.35
2017:Q2 14.87
2017:Q3 13.93
2017:Q4 14.70
2018:Q1 14.36
2018:Q2 15.13

Note: Leverage is calculated by dividing financial assets by equity.

Source: Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States."

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Figure 3-5. Leverage of Insurance Companies

Ratio of assets to equity

Period Life Property and casualty
2000:Q1 8.69 5.48
2000:Q2 8.46 5.38
2000:Q3 8.40 5.30
2000:Q4 8.90 5.73
2001:Q1 8.27 5.37
2001:Q2 8.74 5.47
2001:Q3 9.35 6.18
2001:Q4 9.85 6.33
2002:Q1 9.48 6.20
2002:Q2 9.67 6.29
2002:Q3 9.95 6.37
2002:Q4 10.53 6.62
2003:Q1 10.95 6.75
2003:Q2 10.96 6.67
2003:Q3 10.15 6.69
2003:Q4 10.31 6.65
2004:Q1 11.11 7.01
2004:Q2 12.21 6.71
2004:Q3 12.22 6.76
2004:Q4 12.35 7.07
2005:Q1 11.99 6.76
2005:Q2 11.40 6.55
2005:Q3 11.30 6.61
2005:Q4 11.35 6.69
2006:Q1 9.75 6.45
2006:Q2 9.63 6.35
2006:Q3 9.56 6.32
2006:Q4 9.49 6.26
2007:Q1 9.60 6.30
2007:Q2 9.47 6.29
2007:Q3 9.58 6.29
2007:Q4 9.39 6.06
2008:Q1 10.25 6.50
2008:Q2 10.19 6.42
2008:Q3 10.23 6.44
2008:Q4 10.36 5.95
2009:Q1 10.41 5.93
2009:Q2 9.53 5.59
2009:Q3 9.47 5.58
2009:Q4 8.59 5.20
2010:Q1 8.88 5.19
2010:Q2 9.06 5.12
2010:Q3 9.30 5.20
2010:Q4 8.48 4.47
2011:Q1 9.39 4.61
2011:Q2 9.13 4.56
2011:Q3 9.24 4.41
2011:Q4 8.75 4.14
2012:Q1 8.71 4.13
2012:Q2 8.75 4.10
2012:Q3 9.04 4.15
2012:Q4 9.21 4.16
2013:Q1 9.05 4.08
2013:Q2 8.72 3.95
2013:Q3 8.51 3.90
2013:Q4 8.35 3.87
2014:Q1 8.38 3.85
2014:Q2 8.20 3.67
2014:Q3 8.20 3.63
2014:Q4 8.24 3.57
2015:Q1 8.34 3.54
2015:Q2 8.06 3.50
2015:Q3 8.30 3.46
2015:Q4 8.83 3.45
2016:Q1 9.18 3.55
2016:Q2 9.54 3.56
2016:Q3 9.66 3.55
2016:Q4 10.06 3.78
2017:Q1 9.73 3.58
2017:Q2 9.84 3.59
2017:Q3 9.46 3.64
2017:Q4 10.31 3.72
2018:Q1 10.23 3.27
2018:Q2 9.39 2.93

Note: The data extend through 2018:Q2. Ratio is calculated as (total assets - separate account assets)/(total capital - accumulated other comprehensive income).

Source: Source: S&P Global, Inc., S&P Market Intelligence.

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Figure 3-6. Gross Leverage of Hedge Funds

Ratio

Period Mean Median
October 2013 5.4 2.3
November 2013 5.6 2.3
December 2013 5.3 2.3
January 2014 5.1 2.3
February 2014 5.2 2.3
March 2014 5.1 2.3
April 2014 5.1 2.2
May 2014 5.2 2.3
June 2014 5.1 2.3
July 2014 5.6 2.3
August 2014 5.8 2.3
September 2014 5.7 2.3
October 2014 5.2 2.2
November 2014 5.1 2.3
December 2014 4.8 2.3
January 2015 5.1 2.2
February 2015 5.3 2.3
March 2015 5.1 2.3
April 2015 5.4 2.4
May 2015 5.5 2.4
June 2015 4.9 2.3
July 2015 5.7 2.4
August 2015 5.8 2.4
September 2015 5.7 2.2
October 2015 5.7 2.5
November 2015 6.0 2.4
December 2015 4.9 2.3
January 2016 5.4 2.4
February 2016 5.8 2.3
March 2016 5.8 2.3
April 2016 5.8 2.3
May 2016 5.9 2.4
June 2016 5.6 2.3
July 2016 5.8 2.3
August 2016 6.0 2.3
September 2016 5.6 2.3
October 2016 6.1 2.4
November 2016 6.3 2.3
December 2016 5.7 2.3
January 2017 6.2 2.4
February 2017 6.3 2.4
March 2017 6.2 2.4
April 2017 5.9 2.4
May 2017 6.3 2.4
June 2017 5.7 2.3
July 2017 6.7 2.3
August 2017 7.2 2.4
September 2017 6.9 2.3
October 2017 6.7 2.3
November 2017 7.1 2.3
December 2017 6.5 2.3

Note: Leverage is computed as the ratio of hedge funds' gross notional exposure to net asset value, including derivative notional exposure and short positions. Data are reported on a three-quarter lag.

Source: Federal Reserve Board staff calculations based on Securities and Exchange Commission, Form PF, Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors.

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Figure 3-7. Change in the Use of Financial Leverage

Net percentage

Period Hedge funds Trading REITs Insurance companies Mutual funds
2011:Q4 -55.00 0.00 0.00 0.00
2012:Q1 -20.00 15.00 5.00 5.00
2012:Q2 -22.73 4.55 4.76 0.00
2012:Q3 -4.55 5.88 -4.76 0.00
2012:Q4 9.09 16.67 0.00 4.76
2013:Q1 27.27 5.56 4.76 0.00
2013:Q2 22.73 0.00 0.00 4.76
2013:Q3 -18.18 -33.33 -4.55 4.76
2013:Q4 -9.09 -33.33 0.00 5.00
2014:Q1 0.00 -38.89 0.00 5.00
2014:Q2 4.55 -5.56 -4.55 5.00
2014:Q3 22.73 11.76 -4.55 0.00
2014:Q4 0.00 0.00 0.00 4.76
2015:Q1 14.29 -5.88 0.00 10.00
2015:Q2 0.00 11.76 0.00 5.00
2015:Q3 -5.00 0.00 5.00 5.00
2015:Q4 9.52 5.88 4.76 0.00
2016:Q1 -4.76 5.88 5.00 0.00
2016:Q2 -15.00 6.25 0.00 0.00
2016:Q3 4.35 5.26 0.00 4.55
2016:Q4 17.39 -5.26 0.00 4.76
2017:Q1 0.00 0.00 0.00 0.00
2017:Q2 4.35 0.00 0.00 0.00
2017:Q3 17.39 5.26 0.00 4.55
2017:Q4 0.00 -15.00 0.00 4.76
2018:Q1 0.00 5.00 0.00 0.00
2018:Q2 0.00 5.00 0.00 5.00
2018:Q3 4.35 5.26 0.00 0.00

Note: Net percentage equals the percentage of institutions that reported increased use of financial leverage over the past three months minus the percentage of institutions that reported decreased use of financial leverage over the past three months. REIT is real estate investment trust.

Source: Federal Reserve Board, Senior Credit Officer Opinion Survey on Dealer Financing Terms.

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Figure 3-8

This is a stacked bar chart with six categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2018. The y-axis is in billions of dollars (real) and ranges from 0 to 2800. Data are annual. CDOs (including ABS, CDO, CLO), represented in dark blue, begin at about 80 in 2001, peak at about 480 in 2006, decrease to about 60 by 2008 and then 5 in 2011, and generally increase to end at about 140 in 2018. Auto loan/lease ABS, represented in yellow, begins at about 115 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 80 by 2012, and increases to around 105 by 2018. Esoteric ABS, represented in red, begins near 50 in 2001, increases to about 80 by 2006, and decreases to 10 in 2008. From 2009, it increases to end at about 100 in 2018. Private-label RMBS, represented in light blue, begins at about 260 in 2001, peaks at about 1200 in 2006, decreases to about zero by 2009, and increases slightly from 2009 to 2018, ending at about 25. Non-agency CMBS, represented in black, begins at about 95 in 2001, peaks at about 280 in 2007, drops to about zero from 2008 through 2009, and increases to end at about 70 in 2018. Other, represented in light gray, begins at about 240 in 2001, peaks at about 450 in 2007, decreases from 2008 to 2011, ending around 80. It stays in that range and ends at about 80 in 2018. All six categories together begin at about 800 in 2001 and peak near 2500 in 2006. The total then drops to about 300 in 2008, and ends at about 600 in 2018.

Note: The data from the first three quarters of 2018 are annualized to create the 2018 bar. Esoteric asset-backed securities (ABS) are backed by unsecured personal loans, mobile phones, reperforming residential mortgages, aircraft and shipping container leases, marketplace lending, and franchise payments. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; CLO is collateralized loan obligation; RMBS is residential mortgage-backed securities. The "Other" category consists of subprime mortgages, real estate mortgage investment conduit (Re-REMIC) RMBS, Re-REMIC CMBS, and ABS backed by credit card debt, student loans, equipment, and floorplans. The data are converted to 2018 dollars using the consumer price index. Key identifies bar segments in order from bottom to top.

Source: Harrison Scott Publications, Asset-Backed Alert (ABAIert.com) and Commercial Mortgage Alert (CMAIert.com); Bureau of Labor Statistics, consumer price index via Haver Analytics.

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Figure 3-9. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

Billions of dollars

Quarter Consumer lenders Real estate lenders Other lenders Broker-dealers Insurance Open-end investment funds Financial planning and pension funds Other financial vehicles
2013:Q1 58.62 23.54 33.62 66.48 86.56 70.34 31.65 193.09
2013:Q2 60.20 27.10 33.15 66.32 87.81 71.02 32.52 202.59
2013:Q3 59.22 30.41 35.30 68.83 89.13 74.21 35.25 206.45
2013:Q4 64.01 24.79 33.97 68.67 88.10 77.54 37.24 212.31
2014:Q1 64.16 23.96 33.97 76.84 90.67 81.00 37.58 216.46
2014:Q2 64.81 26.18 35.98 76.15 95.07 89.07 39.66 233.08
2014:Q3 63.49 27.52 39.38 73.19 88.83 92.56 43.24 229.31
2014:Q4 69.58 29.74 39.81 82.09 88.07 91.29 34.66 232.05
2015:Q1 66.17 34.08 40.78 90.14 89.93 92.76 35.83 226.46
2015:Q2 74.89 34.68 36.84 106.02 91.50 89.48 30.83 250.49
2015:Q3 75.55 32.65 37.95 106.47 110.42 95.82 29.11 265.70
2015:Q4 74.73 42.58 35.89 97.04 112.71 96.83 28.50 290.89
2016:Q1 74.06 39.99 34.97 89.97 111.98 107.03 34.06 292.37
2016:Q2 68.24 45.95 32.04 96.38 100.15 115.19 35.16 304.56
2016:Q3 82.55 47.17 32.54 101.87 103.20 118.23 34.54 317.09
2016:Q4 80.82 45.84 33.18 97.47 118.73 115.73 38.64 318.95
2017:Q1 82.74 40.96 30.60 93.90 116.49 114.17 37.14 327.85
2017:Q2 84.67 45.36 29.94 103.08 102.62 110.45 36.24 346.35
2017:Q3 86.83 51.13 30.82 100.62 105.62 111.16 39.11 356.06
2017:Q4 89.24 48.16 35.52 99.95 112.42 112.82 45.82 374.95
2018:Q1 89.36 42.94 36.87 106.67 143.01 113.76 50.26 391.24
2018:Q2 87.73 48.68 34.66 97.56 125.06 116.01 51.83 404.86

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 25 bank holding companies that have filed Form FR Y-14Q in every quarter since 2012:Q3. Nonbank financial firms are identified based on reported NAICS (North American Industry Classification System) codes, excluding other domestic and foreign banks, monetary authorities, and credit unions. Broker-dealers also include commodity contracts dealing and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds, real estate investment trusts, special purpose vehicles, and other vehicles.

Source: Federal Reserve Board, Form FR Y-14Q, Capital Assessments and Stress Testing.

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Figure 4-1

This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2018:Q2. The y-axis represents liquid assets as a percent of total assets, and ranges from 0 to 24 percent. The data are quarterly. There are two variables plotted on the chart. The first line, labeled "Large BHCs," is designated by a solid black line and ranges from about 3 to 22 percent. This variable rises from about 4.5% in 2001:Q1, remains near that level until mid-2004, decreases to about 3 by mid-2008, increases to nearly 12 by late 2012, increases to about 22 by late 2014, and ends at about 18 in 2018:Q2. The second line, labeled "Other BHCs," is designated by a solid blue line and ranges from about 2 to 12 percent. This variable begins at about 8% in 2001:Q1, decreases to about 2 by 2007:Q4, remains near that level through mid-2008, increases to about 12 by 2011, and decreases to end at about 8 in 2018:Q2.

Note: Liquid assets are excess reserves plus estimates of securities that qualify as high-quality liquid assets. Haircuts and Level 2 asset caps are incorporated into the estimate. Large bank holding companies (BHCs) are those with greater than $50 billion in total assets.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies; Federal Reserve Board, Form FR 2900, Report of Transaction Accounts, Other Deposits and Vault Cash.

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Figure 4-2

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2019. The y-axis represents short-term wholesale funding as a percent of assets, and ranges from 10 to 40 percent. The data are quarterly. There is one variable charted on the plot. The variable is designated by a solid black line and ranges from about 15 to 35 percent. The variable begins near 25 percent in 2000:Q1, declines steadily to about 23 percent in 2003:Q1, increases to about 33 percent in 2007:Q1 and remains there until 2008:Q1. It then steadily declines to about 15 percent in 2015:Q1 and remains near that level through 2018:Q2.

Note: Short-term wholesale funding is defined as the sum of large time deposits with maturity less than one year, federal funds purchased and securities sold under agreements to repurchase, deposits in foreign offices with maturity less than one year, trading liabilities (excluding revaluation losses on derivatives), and other borrowed money with maturity less than one year. The 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.

Source: : Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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Figure 4-3. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution

Percent of GDP

Period Uninsured deposits Repurchase agreements Domestic money market funds Commercial paper Securities lending Other
2002:Q1 11.22 19.01 20.83 13.04 3.67 4.79
2002:Q2 11.47 20.56 20.11 12.33 3.96 5.30
2002:Q3 12.37 20.94 19.63 12.15 2.75 5.45
2002:Q4 12.87 20.67 20.46 12.38 2.66 5.75
2003:Q1 13.18 20.99 19.66 12.11 3.24 5.92
2003:Q2 14.02 22.35 19.07 11.70 3.69 5.96
2003:Q3 13.51 21.63 18.07 11.16 4.51 5.65
2003:Q4 13.54 21.68 17.33 10.95 4.64 5.53
2004:Q1 14.04 23.21 16.72 11.12 4.50 5.63
2004:Q2 14.42 23.50 16.04 10.74 5.41 5.63
2004:Q3 14.67 25.33 15.38 10.61 4.79 5.84
2004:Q4 15.15 24.23 15.19 11.14 5.43 5.69
2005:Q1 15.05 25.40 14.61 11.25 6.02 5.74
2005:Q2 15.17 26.78 14.36 11.58 6.65 5.71
2005:Q3 15.28 27.66 14.47 11.85 6.12 5.69
2005:Q4 15.77 26.56 15.20 12.30 5.60 5.69
2006:Q1 15.49 28.20 14.95 12.48 5.61 5.71
2006:Q2 15.77 28.49 15.23 12.83 6.26 5.78
2006:Q3 15.47 30.69 15.83 13.45 7.03 6.24
2006:Q4 16.26 29.69 16.66 13.95 7.60 6.59
2007:Q1 15.40 32.30 17.02 14.10 8.57 6.93
2007:Q2 15.27 32.47 17.48 14.67 8.74 7.14
2007:Q3 15.24 32.26 19.48 12.78 7.55 7.40
2007:Q4 16.10 30.56 21.02 12.18 7.76 7.90
2008:Q1 16.13 32.95 23.48 12.18 6.36 8.43
2008:Q2 15.57 3