Accessible versions

Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Date 2-year 10-year
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
November 2018 2.86 3.12
December 2018 2.68 2.83
January 2019 2.54 2.71
February 2019 2.50 2.68
March 2019 2.41 2.57
April 2019 2.36 2.53

Note: The 2-year and 10-year Treasury yields 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

Percentage points

Date Term Premium
January 1997 1.48
February 1997 1.51
March 1997 1.67
April 1997 1.57
May 1997 1.58
June 1997 1.48
July 1997 1.19
August 1997 1.38
September 1997 1.27
October 1997 1.09
November 1997 1.05
December 1997 0.95
January 1998 0.90
February 1998 0.96
March 1998 0.99
April 1998 1.03
May 1998 0.95
June 1998 0.87
July 1998 0.90
August 1998 0.69
September 1998 0.48
October 1998 0.62
November 1998 0.64
December 1998 0.67
January 1999 0.67
February 1999 1.01
March 1999 1.05
April 1999 1.04
May 1999 1.16
June 1999 1.28
July 1999 1.37
August 1999 1.35
September 1999 1.37
October 1999 1.35
November 1999 1.33
December 1999 1.46
January 2000 1.43
February 2000 1.31
March 2000 1.05
April 2000 1.17
May 2000 1.16
June 2000 1.00
July 2000 0.91
August 2000 0.78
September 2000 0.82
October 2000 0.72
November 2000 0.60
December 2000 0.55
January 2001 0.79
February 2001 0.76
March 2001 0.94
April 2001 1.24
May 2001 1.39
June 2001 1.38
July 2001 1.20
August 2001 1.16
September 2001 1.31
October 2001 1.23
November 2001 1.62
December 2001 1.86
January 2002 1.77
February 2002 1.69
March 2002 1.74
April 2002 1.79
May 2002 1.73
June 2002 1.63
July 2002 1.41
August 2002 1.15
September 2002 0.89
October 2002 1.10
November 2002 1.35
December 2002 1.10
January 2003 1.20
February 2003 0.99
March 2003 1.11
April 2003 1.11
May 2003 0.73
June 2003 0.90
July 2003 1.52
August 2003 1.56
September 2003 1.20
October 2003 1.42
November 2003 1.42
December 2003 1.39
January 2004 1.32
February 2004 1.20
March 2004 1.10
April 2004 1.53
May 2004 1.48
June 2004 1.44
July 2004 1.33
August 2004 1.07
September 2004 0.99
October 2004 0.89
November 2004 0.98
December 2004 0.86
January 2005 0.75
February 2005 0.81
March 2005 0.88
April 2005 0.65
May 2005 0.51
June 2005 0.43
July 2005 0.54
August 2005 0.39
September 2005 0.53
October 2005 0.59
November 2005 0.54
December 2005 0.43
January 2006 0.44
February 2006 0.44
March 2006 0.59
April 2006 0.67
May 2006 0.67
June 2006 0.62
July 2006 0.52
August 2006 0.40
September 2006 0.36
October 2006 0.31
November 2006 0.23
December 2006 0.37
January 2007 0.44
February 2007 0.27
March 2007 0.35
April 2007 0.35
May 2007 0.55
June 2007 0.64
July 2007 0.48
August 2007 0.52
September 2007 0.62
October 2007 0.55
November 2007 0.50
December 2007 0.50
January 2008 0.63
February 2008 0.68
March 2008 0.70
April 2008 0.89
May 2008 0.98
June 2008 0.90
July 2008 0.93
August 2008 0.79
September 2008 1.02
October 2008 1.43
November 2008 0.84
December 2008 0.50
January 2009 0.84
February 2009 0.88
March 2009 0.60
April 2009 0.93
May 2009 1.23
June 2009 1.23
July 2009 1.26
August 2009 1.15
September 2009 1.06
October 2009 1.14
November 2009 0.98
December 2009 1.36
January 2010 1.22
February 2010 1.19
March 2010 1.31
April 2010 1.20
May 2010 0.97
June 2010 0.74
July 2010 0.67
August 2010 0.40
September 2010 0.37
October 2010 0.42
November 2010 0.58
December 2010 0.94
January 2011 0.96
February 2011 1.01
March 2011 1.06
April 2011 0.95
May 2011 0.73
June 2011 0.81
July 2011 0.53
August 2011 0.15
September 2011 0.02
October 2011 0.16
November 2011 0.08
December 2011 -0.01
January 2012 -0.09
February 2012 -0.02
March 2012 0.15
April 2012 -0.04
May 2012 -0.26
June 2012 -0.24
July 2012 -0.31
August 2012 -0.27
September 2012 -0.26
October 2012 -0.19
November 2012 -0.27
December 2012 -0.15
January 2013 0.00
February 2013 -0.10
March 2013 -0.15
April 2013 -0.20
May 2013 0.11
June 2013 0.39
July 2013 0.47
August 2013 0.62
September 2013 0.48
October 2013 0.43
November 2013 0.53
December 2013 0.73
January 2014 0.53
February 2014 0.51
March 2014 0.61
April 2014 0.57
May 2014 0.45
June 2014 0.49
July 2014 0.52
August 2014 0.41
September 2014 0.50
October 2014 0.40
November 2014 0.30
December 2014 0.27
January 2015 -0.01
February 2015 0.21
March 2015 0.10
April 2015 0.20
May 2015 0.26
June 2015 0.39
July 2015 0.26
August 2015 0.24
September 2015 0.16
October 2015 0.22
November 2015 0.21
December 2015 0.24
January 2016 -0.02
February 2016 -0.12
March 2016 -0.10
April 2016 -0.06
May 2016 -0.08
June 2016 -0.30
July 2016 -0.30
August 2016 -0.24
September 2016 -0.23
October 2016 -0.10
November 2016 0.25
December 2016 0.30
January 2017 0.29
February 2017 0.23
March 2017 0.17
April 2017 0.08
May 2017 -0.02
June 2017 0.02
July 2017 0.00
August 2017 -0.10
September 2017 0.01
October 2017 0.02
November 2017 -0.01
December 2017 -0.02
January 2018 0.17
February 2018 0.20
March 2018 0.19
April 2018 0.19
May 2018 0.10
June 2018 0.10
July 2018 0.14
August 2018 0.05
September 2018 0.14
October 2018 0.15
November 2018 0.04
December 2018 -0.17
January 2019 -0.19
February 2019 -0.15
March 2019 -0.32
April 2019 -0.22

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 sta? estimates.

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Figure 1-3. Option-Implied Volatility on the 10-YearSwap Rate

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 2020. 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 in 2009. It then drops steeply to around 100 basis points in 2010, and then gradually declines to around 55 basis points in April 2019, 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. Corporate Bond Yields

This is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2020. 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 April 2019, with a recent increase to 7.39 in December 2018 followed by a decline to about 6 in April. 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 2it 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 April 2019. It also had an uptick in late 2018 but has since declined to about 4 percent.

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. Corporate Bond Spreads to Similar-Maturity Treasury Securities

This is a line chart titled "Corporate Bond Spreads to Similar Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2020. 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. It then increases in November and December 2018 but decreases to around 3.5 percentage points in April 2019. 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. It then increases in November and December 2018 but decreases to around 1.5 percentage points in April 2019.

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

Standard deviations from the mean

Date corporate bond premium
January 1997 -0.498
February 1997 -0.700
March 1997 -0.715
April 1997 -0.638
May 1997 -0.676
June 1997 -0.799
July 1997 -0.755
August 1997 -0.742
September 1997 -0.833
October 1997 -0.602
November 1997 -0.502
December 1997 -0.616
January 1998 -0.530
February 1998 -0.504
March 1998 -0.570
April 1998 -0.688
May 1998 -0.620
June 1998 -0.587
July 1998 -0.513
August 1998 0.054
September 1998 0.021
October 1998 0.214
November 1998 0.214
December 1998 0.008
January 1999 0.016
February 1999 -0.339
March 1999 -0.293
April 1999 -0.366
May 1999 -0.353
June 1999 -0.274
July 1999 -0.194
August 1999 -0.111
September 1999 0.082
October 1999 0.100
November 1999 0.042
December 1999 -0.292
January 2000 -0.026
February 2000 0.067
March 2000 0.431
April 2000 0.670
May 2000 0.955
June 2000 1.012
July 2000 1.108
August 2000 1.346
September 2000 1.495
October 2000 2.066
November 2000 2.184
December 2000 2.173
January 2001 1.561
February 2001 1.596
March 2001 1.515
April 2001 1.241
May 2001 1.018
June 2001 1.359
July 2001 0.989
August 2001 0.974
September 2001 1.638
October 2001 1.374
November 2001 -0.332
December 2001 0.523
January 2002 0.734
February 2002 1.031
March 2002 0.305
April 2002 0.493
May 2002 0.664
June 2002 1.365
July 2002 2.168
August 2002 2.033
September 2002 2.250
October 2002 2.005
November 2002 1.460
December 2002 1.233
January 2003 1.191
February 2003 0.839
March 2003 0.065
April 2003 -0.040
May 2003 -0.948
June 2003 -0.713
July 2003 -1.703
August 2003 -0.354
September 2003 -0.936
October 2003 -0.842
November 2003 -0.869
December 2003 -0.804
January 2004 -1.122
February 2004 -0.556
March 2004 -0.835
April 2004 -1.158
May 2004 -0.575
June 2004 -0.598
July 2004 -0.519
August 2004 -0.693
September 2004 -0.892
October 2004 -0.854
November 2004 -1.043
December 2004 -1.125
January 2005 -1.107
February 2005 -1.469
March 2005 -1.028
April 2005 -0.720
May 2005 -0.581
June 2005 -0.824
July 2005 -0.974
August 2005 -0.990
September 2005 -0.829
October 2005 -0.662
November 2005 -0.622
December 2005 -0.599
January 2006 -0.685
February 2006 -0.634
March 2006 -0.737
April 2006 -0.785
May 2006 -0.623
June 2006 -0.685
July 2006 -0.550
August 2006 -0.591
September 2006 -0.704
October 2006 -0.731
November 2006 -0.691
December 2006 -0.859
January 2007 -0.936
February 2007 -0.977
March 2007 -0.663
April 2007 -0.664
May 2007 -0.988
June 2007 -0.688
July 2007 -0.123
August 2007 0.058
September 2007 -0.050
October 2007 -0.191
November 2007 0.307
December 2007 0.514
January 2008 0.863
February 2008 1.155
March 2008 1.488
April 2008 0.771
May 2008 0.819
June 2008 0.968
July 2008 1.349
August 2008 1.575
September 2008 2.355
October 2008 4.614
November 2008 3.877
December 2008 4.085
January 2009 3.613
February 2009 4.327
March 2009 3.597
April 2009 3.007
May 2009 1.744
June 2009 1.128
July 2009 0.272
August 2009 -0.143
September 2009 -0.121
October 2009 -0.398
November 2009 -0.187
December 2009 -0.839
January 2010 -0.400
February 2010 -0.092
March 2010 -0.287
April 2010 -0.489
May 2010 -0.357
June 2010 -0.133
July 2010 0.100
August 2010 -0.696
September 2010 -0.203
October 2010 -0.150
November 2010 -0.349
December 2010 -0.720
January 2011 -0.061
February 2011 -0.454
March 2011 -0.510
April 2011 -0.460
May 2011 -0.280
June 2011 -0.083
July 2011 -0.188
August 2011 -0.387
September 2011 0.359
October 2011 -0.411
November 2011 0.506
December 2011 0.152
January 2012 0.004
February 2012 -0.154
March 2012 -0.757
April 2012 -0.492
May 2012 -0.457
June 2012 -0.039
July 2012 -0.309
August 2012 -0.613
September 2012 -0.490
October 2012 -0.504
November 2012 -0.307
December 2012 -0.444
January 2013 -0.301
February 2013 -0.232
March 2013 -0.324
April 2013 -0.377
May 2013 -0.925
June 2013 -0.711
July 2013 -0.134
August 2013 -0.298
September 2013 -0.325
October 2013 -0.159
November 2013 -0.082
December 2013 -0.285
January 2014 -0.560
February 2014 -0.411
March 2014 -0.511
April 2014 -0.649
May 2014 -0.682
June 2014 -0.575
July 2014 -0.595
August 2014 -0.602
September 2014 -0.459
October 2014 -0.474
November 2014 -0.084
December 2014 -0.095
January 2015 -0.364
February 2015 -0.708
March 2015 -0.444
April 2015 -0.226
May 2015 -0.147
June 2015 0.044
July 2015 0.097
August 2015 0.369
September 2015 0.530
October 2015 0.390
November 2015 0.498
December 2015 0.752
January 2016 1.027
February 2016 1.062
March 2016 0.560
April 2016 0.058
May 2016 0.066
June 2016 -0.284
July 2016 -0.349
August 2016 -0.334
September 2016 -0.419
October 2016 -0.373
November 2016 -1.410
December 2016 -0.563
January 2017 -0.481
February 2017 -0.472
March 2017 -0.446
April 2017 -0.381
May 2017 -0.474
June 2017 -0.418
July 2017 -0.450
August 2017 -0.367
September 2017 -0.648
October 2017 -0.562
November 2017 -0.449
December 2017 -0.551
January 2018 -0.837
February 2018 -0.612
March 2018 -0.413
April 2018 -0.694
May 2018 -0.569
June 2018 -0.228
July 2018 -0.461
August 2018 -0.421
September 2018 -0.539
October 2018 -0.272
November 2018 -0.092
December 2018 0.136
January 2019 -0.099
February 2019 0.012
March 2019 0.089

Note: Data are normalized to have a sample mean of 0 and standard deviation of 1.

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

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

Percentage points

Date 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 NA
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 NA
October 2001 4.25 NA
November 2001 3.44 NA
December 2001 3.10 NA
January 2002 3.33 4.00
February 2002 2.83 4.00
March 2002 3.01 4.25
April 2002 3.00 NA
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 NA
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 NA 3.39
September 2007 NA 3.17
October 2007 2.25 3.26
November 2007 2.42 3.29
December 2007 2.50 3.50
January 2008 NA 3.64
February 2008 NA 4.04
March 2008 NA 4.06
April 2008 NA 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 NA NA
November 2008 NA NA
December 2008 NA NA
January 2009 NA NA
February 2009 NA NA
March 2009 NA NA
April 2009 NA NA
May 2009 NA NA
June 2009 NA NA
July 2009 NA NA
August 2009 NA NA
September 2009 NA NA
October 2009 NA 4.66
November 2009 3.65 4.13
December 2009 3.25 4.31
January 2010 NA 3.96
February 2010 NA 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 NA 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 NA 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
October 2018 2.27 3.53
November 2018 2.31 3.71
December 2018 NA 5.08
January 2019 3.53 4.20
February 2019 3.10 4.39
March 2019 2.58 4.03

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

Ratio

Date Forward price-to-earnings ratio
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 14.81
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 15.61
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 19.72
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 13.68
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 16.68
June 2018 16.84
July 2018 17.03
August 2018 16.82
September 2018 17.21
October 2018 16.49
November 2018 15.72
December 2018 14.65
January 2019 15.45
February 2019 16.34
March 2019 16.62
April 2019 17.09
   
Median line 15.42

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

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

Return to text

Figure 1-9. Spread of Forward Earnings-to-Price Ratio of S&P 500 Firms to 10-Year Real Treasury Yield

Percentage points

Date Spread of forward price-to-earnings ratio
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 3.34
April 1996 3.10
May 1996 2.74
June 1996 2.81
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 2.29
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 4.82
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 5.12
November 2018 5.45
December 2018 6.20
January 2019 5.97
February 2019 5.65
March 2019 5.65
April 2019 5.48
Median 4.57

Note:Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Real Treasury yields are calculated from the 10-year CPI inflation forecast and the smoothed nominal yield curve estimated from off-the-run securities.

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

Return to text

Figure 1-10. S&P 500 Return Volatility

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2020. The y-axis ranges from 0 to 70 percent. The data are monthly. 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 beginning October 2018 and ending in December around 25 percent. It then declines throughout 2019, ending around 13 percent in April. 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. It then spikes up in October 2018 and continues to rise until January 2019, where it peaks around 20 percent and then declines to about 10 percent in April 2019.

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 1-11. Commercial Real Estate Prices (Real)

This is a line chart titled “Commercial Real Estate Prices (Real)”. The x axis measures time and ranges from the years 1996 to 2020. The y axis ranges from 0 to 180, which are indexed prices, with 100 being prices in January 2001. The data is monthly. There are two variables charted on the plot. The first is the equal weighted commercial index price series, which is designated by the black line. It begins in Jan. 1997 and ranges from 80 to 165. The variable rises from around 80 in 1997 to about 155 in early 2006 where it remains until it begins to decline in November 2006. It continues to decline until January 2011 where it gradually begins to rise. It continues this gradual increase until Feb. 2019 where it ends around 160. The second variable is the value weighed commercial index price series, which is designated by the blue line. It begins in January 1996 and ranges from 70 to 145. The variable rises from around 70 to 145 in late 2006. It then declines sharply until early 2009 to around 90. It then steadily increases to around 145 in February 2019.

Note: Series deflated using the consumer price index 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 1-12. Capitalization Rate at Property Purchase

Percent

Date Capitalization rate
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 7.24
March 2005 7.28
April 2005 7.24
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 6.79
February 2006 6.78
March 2006 6.75
April 2006 6.75
May 2006 6.74
June 2006 6.75
July 2006 6.68
August 2006 6.67
September 2006 6.65
October 2006 6.71
November 2006 6.70
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 6.99
August 2008 6.99
September 2008 6.97
October 2008 6.95
November 2008 7.04
December 2008 7.16
January 2009 7.40
February 2009 7.40
March 2009 7.38
April 2009 7.21
May 2009 7.27
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 7.88
January 2010 7.85
February 2010 7.84
March 2010 7.81
April 2010 7.90
May 2010 7.84
June 2010 7.74
July 2010 7.68
August 2010 7.75
September 2010 7.70
October 2010 7.65
November 2010 7.53
December 2010 7.51
January 2011 7.51
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 7.19
October 2011 7.23
November 2011 7.24
December 2011 7.25
January 2012 7.15
February 2012 7.20
March 2012 7.15
April 2012 7.18
May 2012 7.09
June 2012 7.05
July 2012 7.05
August 2012 7.07
September 2012 7.06
October 2012 7.05
November 2012 6.96
December 2012 6.96
January 2013 6.96
February 2013 6.99
March 2013 7.04
April 2013 6.99
May 2013 7.04
June 2013 6.96
July 2013 6.98
August 2013 6.87
September 2013 6.88
October 2013 6.91
November 2013 6.99
December 2013 6.94
January 2014 6.85
February 2014 6.78
March 2014 6.74
April 2014 6.77
May 2014 6.80
June 2014 6.77
July 2014 6.73
August 2014 6.68
September 2014 6.62
October 2014 6.60
November 2014 6.60
December 2014 6.58
January 2015 6.54
February 2015 6.51
March 2015 6.53
April 2015 6.50
May 2015 6.48
June 2015 6.47
July 2015 6.49
August 2015 6.46
September 2015 6.44
October 2015 6.41
November 2015 6.37
December 2015 6.35
January 2016 6.39
February 2016 6.39
March 2016 6.39
April 2016 6.30
May 2016 6.34
June 2016 6.34
July 2016 6.31
August 2016 6.30
September 2016 6.26
October 2016 6.28
November 2016 6.29
December 2016 6.36
January 2017 6.37
February 2017 6.36
March 2017 6.36
April 2017 6.38
May 2017 6.34
June 2017 6.24
July 2017 6.18
August 2017 6.19
September 2017 6.18
October 2017 6.23
November 2017 6.23
December 2017 6.26
January 2018 6.24
February 2018 6.22
March 2018 6.21
April 2018 6.22
May 2018 6.20
June 2018 6.21
July 2018 6.22
August 2018 6.24
September 2018 6.24
October 2018 6.25
November 2018 6.22
December 2018 6.19
January 2019 6.14
February 2019 6.13

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 1-13. Spread of Capitalization Rate at Property Purchase to 10-Year Treasury Yield

Percentage points

Date Spread of capitalization rate
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 4.37
January 2003 4.30
February 2003 4.39
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 3.67
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 2.98
April 2005 2.90
May 2005 2.84
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 1.75
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 1.91
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 3.91
January 2009 4.58
February 2009 4.80
March 2009 4.64
April 2009 4.34
May 2009 4.26
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 4.42
January 2010 4.27
February 2010 4.17
March 2010 4.09
April 2010 4.15
May 2010 4.18
June 2010 4.25
July 2010 4.47
August 2010 4.78
September 2010 4.91
October 2010 5.02
November 2010 4.88
December 2010 4.65
January 2011 4.36
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 5.11
May 2012 5.08
June 2012 5.23
July 2012 5.40
August 2012 5.46
September 2012 5.42
October 2012 5.33
November 2012 5.26
December 2012 5.25
January 2013 5.20
February 2013 5.12
March 2013 5.09
April 2013 5.09
May 2013 5.16
June 2013 4.96
July 2013 4.71
August 2013 4.33
September 2013 4.17
October 2013 4.19
November 2013 4.28
December 2013 4.20
January 2014 4.02
February 2014 3.95
March 2014 3.97
April 2014 4.05
May 2014 4.13
June 2014 4.15
July 2014 4.16
August 2014 4.16
September 2014 4.13
October 2014 4.18
November 2014 4.21
December 2014 4.30
January 2015 4.40
February 2015 4.49
March 2015 4.56
April 2015 4.51
May 2015 4.42
June 2015 4.31
July 2015 4.20
August 2015 4.18
September 2015 4.22
October 2015 4.27
November 2015 4.21
December 2015 4.16
January 2016 4.19
February 2016 4.35
March 2016 4.47
April 2016 4.48
May 2016 4.50
June 2016 4.59
July 2016 4.66
August 2016 4.74
September 2016 4.69
October 2016 4.63
November 2016 4.44
December 2016 4.23
January 2017 4.02
February 2017 3.92
March 2017 3.92
April 2017 3.98
May 2017 3.98
June 2017 3.98
July 2017 3.91
August 2017 3.95
September 2017 3.94
October 2017 3.97
November 2017 3.92
December 2017 3.89
January 2018 3.79
February 2018 3.61
March 2018 3.45
April 2018 3.36
May 2018 3.30
June 2018 3.29
July 2018 3.30
August 2018 3.34
September 2018 3.31
October 2018 3.23
November 2018 3.13
December 2018 3.15
January 2019 3.25
February 2019 3.39

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. Change in Bank Standards for CRE Loans

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 2019. 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 declining at just above -20 percent in the third quarter of 2018. It then rises again in 2018 Q4 to end around 10 percent. There are two blue bars indicating recessions as defined by the National Bureau of Economic Research. They appear behind the line in 2001, and from 2008 to halfway through 2009.

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 1-15. Cropland Values

2015 dollars per acre

Date Midwest index United States
1967 2514 NA
1968 2637 NA
1969 2587 NA
1970 2474 NA
1971 2313 NA
1972 2316 NA
1973 2492 NA
1974 3009 NA
1975 3352 NA
1976 3941 NA
1977 4731 NA
1978 4941 NA
1979 5014 NA
1980 5019 NA
1981 4775 NA
1982 4351 NA
1983 3694 NA
1984 3245 NA
1985 2314 NA
1986 1837 NA
1987 1562 NA
1988 1712 NA
1989 1874 NA
1990 1882 NA
1991 1841 NA
1992 1846 NA
1993 1848 NA
1994 2241 NA
1995 2162 NA
1996 2310 NA
1997 2125 2001
1998 2246 2079
1999 2268 2125
2000 2238 2144
2001 2223 2157
2002 2257 2235
2003 2287 2281
2004 2391 2343
2005 2762 2668
2006 2979 2999
2007 3302 3086
2008 3684 3242
2009 3501 3147
2010 3687 3131
2011 4278 3350
2012 5011 3690
2013 5738 4136
2014 6192 4380
2015 5983 4407
2016 5747 4309
2017 5620 4219
2018 5511 4130

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.

Source:Department of Agriculture.

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Figure 1-16. Cropland Price-to-Rent Ratio

Ratio

Date Midwest index United States
1967 14.13 NA
1968 14.19 NA
1969 14.18 NA
1970 13.99 NA
1971 13.50 NA
1972 13.40 NA
1973 14.17 NA
1974 14.52 NA
1975 14.60 NA
1976 16.15 NA
1977 18.02 NA
1978 19.55 NA
1979 20.57 NA
1980 21.55 NA
1981 21.25 NA
1982 19.56 NA
1983 17.42 NA
1984 15.94 NA
1985 12.99 NA
1986 11.89 NA
1987 11.71 NA
1988 12.52 NA
1989 13.29 NA
1990 13.41 NA
1991 13.50 NA
1992 13.73 NA
1993 13.88 NA
1994 17.96 NA
1995 17.34 NA
1996 18.35 NA
1997 16.65 NA
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.

Source: Department of Agriculture.

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Figure 1-17. Growth of Nominal Prices of Existing Homes

Twelve-month percent change

Date Core Logic Zillow
January 2011 -3.60 -4.72
February 2011 -3.54 -5.45
March 2011 -4.35 -5.71
April 2011 -4.55 -5.62
May 2011 -4.43 -5.70
June 2011 -3.89 -6.07
July 2011 -3.04 -6.22
August 2011 -2.30 -6.06
September 2011 -1.60 -5.84
October 2011 -1.34 -5.50
November 2011 -1.32 -5.20
December 2011 -0.94 -4.73
January 2012 -0.32 -4.19
February 2012 0.64 -3.63
March 2012 1.97 -3.06
April 2012 2.77 -2.42
May 2012 3.45 -1.77
June 2012 3.83 -1.12
July 2012 4.18 -0.33
August 2012 4.74 0.33
September 2012 5.38 1.00
October 2012 6.07 1.54
November 2012 7.04 2.01
December 2012 7.85 2.55
January 2013 8.68 3.29
February 2013 9.32 3.77
March 2013 9.92 4.30
April 2013 9.96 4.76
May 2013 9.78 5.08
June 2013 9.39 5.47
July 2013 9.44 5.92
August 2013 9.61 6.30
September 2013 9.94 6.54
October 2013 10.16 6.78
November 2013 10.11 6.82
December 2013 9.93 6.86
January 2014 9.91 6.96
February 2014 9.89 6.93
March 2014 9.05 6.77
April 2014 8.06 6.59
May 2014 7.09 6.49
June 2014 6.36 6.20
July 2014 5.75 5.90
August 2014 5.34 5.67
September 2014 5.11 5.46
October 2014 5.16 5.18
November 2014 5.11 5.10
December 2014 5.01 4.95
January 2015 5.03 4.81
February 2015 5.13 4.85
March 2015 5.26 4.83
April 2015 5.30 4.80
May 2015 5.29 4.84
June 2015 5.25 5.00
July 2015 5.13 5.10
August 2015 5.12 5.01
September 2015 5.31 5.06
October 2015 5.39 5.22
November 2015 5.48 5.38
December 2015 5.68 5.48
January 2016 5.76 5.51
February 2016 5.69 5.55
March 2016 5.64 5.70
April 2016 5.61 5.85
May 2016 5.41 5.93
June 2016 5.17 6.07
July 2016 5.18 6.15
August 2016 5.20 6.40
September 2016 5.28 6.66
October 2016 5.42 6.85
November 2016 5.59 6.93
December 2016 5.55 7.13
January 2017 5.56 7.26
February 2017 5.76 7.39
March 2017 5.82 7.41
April 2017 5.75 7.58
May 2017 5.79 7.75
June 2017 5.93 7.65
July 2017 5.97 7.55
August 2017 6.03 7.55
September 2017 6.06 7.50
October 2017 6.12 7.35
November 2017 6.19 7.26
December 2017 6.16 7.22
January 2018 6.11 7.38
February 2018 6.38 7.65
March 2018 6.63 7.81
April 2018 6.61 7.65
May 2018 6.45 7.54
June 2018 6.15 7.65
July 2018 5.85 7.66
August 2018 5.54 7.51
September 2018 5.27 7.52
October 2018 5.10 7.67
November 2018 4.71 7.93
December 2018 4.32 7.98
January 2019 4.09 7.74
February 2019 4.04 7.20

Source: CoreLogic; Zillow.

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Figure 1-18. Housing Price-to-Rent Ratio

Trend at Feb. 2019 =100

Date Long-run trend Price-to-rent ratio
January 1983 79.45 75.73
February 1983 79.49 75.54
March 1983 79.54 75.59
April 1983 79.58 75.53
May 1983 79.62 75.78
June 1983 79.66 75.83
July 1983 79.72 75.95
August 1983 79.78 76.05
September 1983 79.83 75.97
October 1983 79.88 76.14
November 1983 79.92 76.24
December 1983 79.97 76.30
January 1984 80.02 76.31
February 1984 80.06 76.36
March 1984 80.11 76.15
April 1984 80.17 75.86
May 1984 80.22 75.96
June 1984 80.28 75.87
July 1984 80.34 75.84
August 1984 80.40 75.76
September 1984 80.46 75.75
October 1984 80.50 75.64
November 1984 80.54 75.55
December 1984 80.59 75.19
January 1985 80.64 75.12
February 1985 80.68 74.93
March 1985 80.72 74.99
April 1985 80.77 75.11
May 1985 80.81 74.86
June 1985 80.85 74.90
July 1985 80.89 75.00
August 1985 80.93 74.90
September 1985 80.97 75.05
October 1985 81.01 74.96
November 1985 81.05 74.91
December 1985 81.10 75.22
January 1986 81.14 75.50
February 1986 81.18 76.01
March 1986 81.22 75.90
April 1986 81.26 75.47
May 1986 81.31 75.94
June 1986 81.35 76.32
July 1986 81.40 76.52
August 1986 81.45 77.25
September 1986 81.50 77.55
October 1986 81.54 77.79
November 1986 81.58 78.14
December 1986 81.62 78.64
January 1987 81.67 79.05
February 1987 81.71 79.57
March 1987 81.75 80.13
April 1987 81.81 80.73
May 1987 81.87 81.23
June 1987 81.93 82.00
July 1987 81.98 82.31
August 1987 82.03 82.49
September 1987 82.08 82.77
October 1987 82.13 83.15
November 1987 82.19 83.83
December 1987 82.24 83.77
January 1988 82.28 84.03
February 1988 82.32 84.29
March 1988 82.36 84.57
April 1988 82.41 85.01
May 1988 82.47 85.53
June 1988 82.52 86.16
July 1988 82.57 86.86
August 1988 82.63 87.45
September 1988 82.68 87.93
October 1988 82.73 88.60
November 1988 82.78 89.12
December 1988 82.83 89.58
January 1989 82.88 89.96
February 1989 82.93 90.30
March 1989 82.99 90.73
April 1989 83.03 91.07
May 1989 83.08 91.24
June 1989 83.12 91.16
July 1989 83.17 91.13
August 1989 83.21 91.30
September 1989 83.25 91.67
October 1989 83.30 91.63
November 1989 83.35 91.72
December 1989 83.40 91.82
January 1990 83.46 91.91
February 1990 83.51 92.05
March 1990 83.56 91.93
April 1990 83.61 91.73
May 1990 83.66 91.49
June 1990 83.70 91.05
July 1990 83.75 90.55
August 1990 83.79 90.00
September 1990 83.83 89.56
October 1990 83.88 89.06
November 1990 83.93 88.74
December 1990 83.98 88.16
January 1991 84.02 87.76
February 1991 84.06 87.28
March 1991 84.11 86.78
April 1991 84.16 86.49
May 1991 84.20 86.31
June 1991 84.25 86.34
July 1991 84.30 86.06
August 1991 84.35 86.04
September 1991 84.40 85.40
October 1991 84.44 85.28
November 1991 84.49 84.91
December 1991 84.53 84.65
January 1992 84.58 84.48
February 1992 84.63 84.38
March 1992 84.69 83.85
April 1992 84.73 84.06
May 1992 84.78 83.83
June 1992 84.83 83.52
July 1992 84.87 83.23
August 1992 84.91 83.20
September 1992 84.95 83.18
October 1992 85.01 82.74
November 1992 85.06 82.47
December 1992 85.11 82.49
January 1993 85.15 82.34
February 1993 85.19 82.29
March 1993 85.23 82.33
April 1993 85.27 82.10
May 1993 85.31 82.00
June 1993 85.35 81.92
July 1993 85.40 82.12
August 1993 85.44 82.10
September 1993 85.49 82.31
October 1993 85.54 82.36
November 1993 85.59 82.56
December 1993 85.64 82.52
January 1994 85.69 82.48
February 1994 85.74 82.23
March 1994 85.79 82.02
April 1994 85.85 82.15
May 1994 85.91 82.24
June 1994 85.97 82.39
July 1994 86.02 82.29
August 1994 86.07 82.09
September 1994 86.12 81.95
October 1994 86.18 81.97
November 1994 86.23 81.88
December 1994 86.28 81.89
January 1995 86.33 81.79
February 1995 86.37 81.77
March 1995 86.42 81.66
April 1995 86.45 81.66
May 1995 86.49 81.65
June 1995 86.53 81.72
July 1995 86.57 81.73
August 1995 86.62 81.82
September 1995 86.67 81.91
October 1995 86.71 81.87
November 1995 86.76 81.84
December 1995 86.81 81.80
January 1996 86.85 81.80
February 1996 86.90 81.84
March 1996 86.95 81.95
April 1996 87.00 82.03
May 1996 87.06 82.01
June 1996 87.12 81.94
July 1996 87.17 81.82
August 1996 87.21 81.85
September 1996 87.26 81.81
October 1996 87.30 81.76
November 1996 87.35 81.77
December 1996 87.39 81.79
January 1997 87.44 81.82
February 1997 87.49 81.85
March 1997 87.54 81.90
April 1997 87.59 81.92
May 1997 87.64 81.94
June 1997 87.69 82.04
July 1997 87.73 82.20
August 1997 87.77 82.34
September 1997 87.81 82.50
October 1997 87.86 82.73
November 1997 87.91 82.99
December 1997 87.96 83.29
January 1998 88.01 83.66
February 1998 88.05 84.01
March 1998 88.10 84.32
April 1998 88.15 84.56
May 1998 88.20 84.77
June 1998 88.25 84.94
July 1998 88.29 85.18
August 1998 88.34 85.43
September 1998 88.38 85.73
October 1998 88.43 86.11
November 1998 88.48 86.43
December 1998 88.52 86.79
January 1999 88.58 87.08
February 1999 88.62 87.40
March 1999 88.68 87.68
April 1999 88.73 87.99
May 1999 88.78 88.42
June 1999 88.83 88.88
July 1999 88.88 89.32
August 1999 88.93 89.77
September 1999 88.99 90.18
October 1999 89.04 90.66
November 1999 89.08 90.85
December 1999 89.13 91.33
January 2000 89.19 91.67
February 2000 89.24 92.27
March 2000 89.29 92.84
April 2000 89.34 93.48
May 2000 89.39 94.04
June 2000 89.43 94.55
July 2000 89.48 94.91
August 2000 89.52 95.26
September 2000 89.56 95.62
October 2000 89.61 95.95
November 2000 89.65 96.38
December 2000 89.69 96.75
January 2001 89.74 97.23
February 2001 89.78 97.63
March 2001 89.82 97.95
April 2001 89.87 98.20
May 2001 89.92 98.32
June 2001 89.97 98.57
July 2001 90.01 98.81
August 2001 90.06 99.03
September 2001 90.11 99.27
October 2001 90.15 99.46
November 2001 90.19 99.65
December 2001 90.24 99.73
January 2002 90.29 99.98
February 2002 90.34 100.22
March 2002 90.39 100.63
April 2002 90.44 101.20
May 2002 90.48 101.85
June 2002 90.53 102.45
July 2002 90.57 103.08
August 2002 90.61 103.71
September 2002 90.65 104.25
October 2002 90.70 104.69
November 2002 90.74 105.11
December 2002 90.79 105.58
January 2003 90.84 105.88
February 2003 90.88 106.34
March 2003 90.93 106.76
April 2003 90.97 107.16
May 2003 91.02 107.61
June 2003 91.06 108.26
July 2003 91.12 108.89
August 2003 91.17 109.62
September 2003 91.22 110.43
October 2003 91.27 111.36
November 2003 91.32 112.22
December 2003 91.36 113.13
January 2004 91.41 114.06
February 2004 91.45 114.94
March 2004 91.50 115.90
April 2004 91.55 116.85
May 2004 91.61 117.85
June 2004 91.66 118.83
July 2004 91.71 119.79
August 2004 91.76 120.63
September 2004 91.80 121.57
October 2004 91.85 122.57
November 2004 91.90 123.66
December 2004 91.95 124.59
January 2005 92.00 125.62
February 2005 92.04 126.74
March 2005 92.10 127.88
April 2005 92.14 128.97
May 2005 92.19 130.02
June 2005 92.24 131.00
July 2005 92.28 131.84
August 2005 92.33 132.76
September 2005 92.38 133.61
October 2005 92.43 134.34
November 2005 92.48 135.05
December 2005 92.53 135.71
January 2006 92.57 136.28
February 2006 92.62 136.50
March 2006 92.66 136.47
April 2006 92.71 136.20
May 2006 92.76 135.72
June 2006 92.81 135.08
July 2006 92.86 134.44
August 2006 92.90 133.74
September 2006 92.95 133.17
October 2006 92.99 132.70
November 2006 93.04 132.30
December 2006 93.08 131.77
January 2007 93.14 131.27
February 2007 93.18 130.49
March 2007 93.24 129.57
April 2007 93.29 128.51
May 2007 93.34 127.21
June 2007 93.39 125.84
July 2007 93.44 124.46
August 2007 93.49 123.22
September 2007 93.54 121.91
October 2007 93.58 120.48
November 2007 93.62 119.05
December 2007 93.67 117.60
January 2008 93.71 116.10
February 2008 93.75 114.49
March 2008 93.80 112.69
April 2008 93.85 110.74
May 2008 93.90 108.91
June 2008 93.95 106.96
July 2008 94.00 105.13
August 2008 94.05 103.26
September 2008 94.10 101.32
October 2008 94.14 99.25
November 2008 94.18 97.18
December 2008 94.23 95.34
January 2009 94.27 93.73
February 2009 94.30 92.54
March 2009 94.34 91.77
April 2009 94.39 91.35
May 2009 94.44 91.23
June 2009 94.48 91.34
July 2009 94.53 91.54
August 2009 94.58 91.66
September 2009 94.63 91.83
October 2009 94.68 92.09
November 2009 94.72 92.28
December 2009 94.77 92.39
January 2010 94.82 92.38
February 2010 94.87 92.38
March 2010 94.92 92.32
April 2010 94.96 92.24
May 2010 95.01 92.01
June 2010 95.05 91.48
July 2010 95.10 90.84
August 2010 95.14 90.20
September 2010 95.18 89.44
October 2010 95.23 88.99
November 2010 95.28 88.47
December 2010 95.33 88.07
January 2011 95.38 87.64
February 2011 95.43 87.16
March 2011 95.48 86.67
April 2011 95.52 86.28
May 2011 95.57 86.01
June 2011 95.61 85.89
July 2011 95.65 85.88
August 2011 95.70 85.73
September 2011 95.74 85.60
October 2011 95.79 85.33
November 2011 95.83 85.10
December 2011 95.88 84.88
January 2012 95.93 84.86
February 2012 95.97 84.99
March 2012 96.02 85.36
April 2012 96.06 85.86
May 2012 96.11 86.51
June 2012 96.16 87.18
July 2012 96.20 87.67
August 2012 96.25 88.12
September 2012 96.29 88.48
October 2012 96.34 88.76
November 2012 96.38 89.28
December 2012 96.43 89.82
January 2013 96.48 90.37
February 2013 96.53 90.95
March 2013 96.58 91.59
April 2013 96.63 92.33
May 2013 96.68 92.93
June 2013 96.73 93.55
July 2013 96.78 94.19
August 2013 96.84 94.64
September 2013 96.89 95.23
October 2013 96.94 95.77
November 2013 96.98 96.24
December 2013 97.03 96.54
January 2014 97.08 96.82
February 2014 97.12 97.05
March 2014 97.17 97.03
April 2014 97.22 96.90
May 2014 97.27 96.82
June 2014 97.31 96.78
July 2014 97.36 96.84
August 2014 97.41 97.05
September 2014 97.46 97.27
October 2014 97.50 97.58
November 2014 97.55 97.76
December 2014 97.59 98.03
January 2015 97.64 98.21
February 2015 97.68 98.29
March 2015 97.73 98.36
April 2015 97.77 98.46
May 2015 97.83 98.58
June 2015 97.87 98.69
July 2015 97.92 98.81
August 2015 97.97 98.99
September 2015 98.02 99.07
October 2015 98.07 99.27
November 2015 98.12 99.50
December 2015 98.16 99.71
January 2016 98.21 99.84
February 2016 98.25 99.93
March 2016 98.30 100.02
April 2016 98.34 100.06
May 2016 98.39 100.10
June 2016 98.44 100.16
July 2016 98.48 100.30
August 2016 98.53 100.48
September 2016 98.58 100.68
October 2016 98.63 100.85
November 2016 98.68 101.08
December 2016 98.74 101.28
January 2017 98.79 101.48
February 2017 98.83 101.59
March 2017 98.89 101.71
April 2017 98.93 101.82
May 2017 98.98 101.91
June 2017 99.02 102.05
July 2017 99.07 102.31
August 2017 99.12 102.51
September 2017 99.17 102.86
October 2017 99.22 103.17
November 2017 99.26 103.47
December 2017 99.31 103.69
January 2018 99.37 103.92
February 2018 99.42 104.23
March 2018 99.47 104.45
April 2018 99.52 104.48
May 2018 99.57 104.54
June 2018 99.62 104.53
July 2018 99.67 104.48
August 2018 99.72 104.44
September 2018 99.77 104.49
October 2018 99.82 104.56
November 2018 99.87 104.50
December 2018 99.92 104.57
January 2019 99.96 104.61
February 2019 100.00 104.73

Note:Chart shows the log of the price-to-rent ratio. Long-run trend is estimated using data from 1978 to 2001 and includes the effect of carrying costs on the expected price-rent ratio. The last value of the trend is normalized to equal 100.

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

Return to text

Figure 1-19. Selected Local Housing Price-to-Rent Ratio Indexes

Jan. 2010 = 100

Date 90th percentile price 10th percentile price Median Phoenix Miami Los Angeles
January 1990 105.22 75.20 95.51   94.51 105.22
February 1990 105.89 75.45 95.31   94.30 105.89
March 1990 105.05 75.70 96.74   97.30 105.05
April 1990 105.51 75.71 95.65   95.41 105.51
May 1990 105.15 75.86 95.54   95.42 105.15
June 1990 104.53 76.16 94.81   94.32 104.53
July 1990 103.90 76.11 94.07   92.98 103.90
August 1990 103.73 76.23 93.86   92.82 103.73
September 1990 102.90 76.10 93.29   91.95 102.51
October 1990 102.18 75.95 93.15   92.22 101.89
November 1990 101.65 75.82 93.19   93.10 100.82
December 1990 100.44 75.64 92.83   93.24 100.44
January 1991 100.05 75.27 92.67   93.54 99.44
February 1991 100.24 74.79 91.81   93.09 98.32
March 1991 99.95 74.76 90.79   91.65 97.86
April 1991 100.46 75.12 89.89   91.37 96.77
May 1991 99.90 75.44 89.65   91.20 97.67
June 1991 99.94 75.66 89.73   91.74 97.63
July 1991 100.16 75.05 89.34   92.56 97.95
August 1991 100.98 75.30 89.52   92.53 97.91
September 1991 100.74 75.32 89.30   92.33 97.39
October 1991 101.04 75.47 89.25   91.53 96.59
November 1991 100.99 75.24 88.33   90.09 96.10
December 1991 100.53 75.18 88.41   90.37 95.70
January 1992 100.45 75.07 88.15   90.59 95.44
February 1992 100.16 75.36 88.30   91.00 95.02
March 1992 100.68 75.10 87.93   90.21 94.35
April 1992 100.98 75.27 88.37   90.95 93.55
May 1992 101.03 74.86 88.36   91.37 92.94
June 1992 100.87 74.51 88.19   91.04 92.52
July 1992 100.97 74.26 87.99   90.47 92.12
August 1992 100.85 73.88 87.87   90.89 91.58
September 1992 101.05 73.01 88.18   92.66 91.29
October 1992 101.67 72.49 87.99   91.51 90.31
November 1992 101.61 72.27 87.52   90.64 89.32
December 1992 102.60 71.92 87.10   89.85 88.27
January 1993 102.46 71.63 86.84   89.17 87.48
February 1993 102.65 71.54 86.85   89.37 87.35
March 1993 103.68 71.78 86.83   91.56 87.35
April 1993 103.02 71.79 86.50   92.04 86.52
May 1993 102.84 71.81 86.03   92.63 85.54
June 1993 103.81 72.07 85.62   93.17 84.88
July 1993 104.10 71.95 85.45   92.29 84.18
August 1993 103.30 72.07 85.13   91.19 83.34
September 1993 103.19 71.56 85.18   91.71 83.31
October 1993 102.69 72.68 85.22   92.20 83.27
November 1993 102.94 72.96 85.26   94.10 82.89
December 1993 103.16 72.91 85.46   93.68 82.43
January 1994 104.16 73.45 85.61   93.29 81.94
February 1994 103.82 73.50 85.68   92.82 81.36
March 1994 103.42 73.54 85.72   92.05 80.59
April 1994 103.29 73.66 85.84   92.00 80.28
May 1994 103.32 73.88 86.12   92.00 80.31
June 1994 103.27 74.74 86.32   92.30 80.13
July 1994 104.00 74.80 86.36   92.61 79.58
August 1994 104.34 74.25 86.35   93.23 79.24
September 1994 104.42 73.41 86.49   92.78 78.71
October 1994 105.05 74.18 86.71   93.00 78.24
November 1994 103.89 73.67 86.81   92.85 78.85
December 1994 103.06 74.16 86.92   93.13 79.11
January 1995 103.18 73.79 87.15   93.03 79.20
February 1995 102.76 73.53 87.41   92.65 78.72
March 1995 102.50 73.53 87.45   92.92 78.46
April 1995 102.40 73.24 87.48   93.04 78.26
May 1995 102.37 73.68 87.40   92.83 78.04
June 1995 102.50 73.75 87.37   93.01 77.73
July 1995 102.28 73.85 87.28   93.34 77.86
August 1995 102.39 74.03 87.15   93.12 77.59
September 1995 102.56 73.92 86.94   93.31 77.73
October 1995 102.79 73.84 86.73   92.84 77.64
November 1995 102.83 73.94 86.64   93.18 77.59
December 1995 102.89 74.04 86.56   93.21 77.21
January 1996 103.13 73.53 86.62   93.41 77.27
February 1996 103.02 73.69 86.67   93.42 77.06
March 1996 102.95 73.95 86.67   93.41 76.87
April 1996 102.96 74.04 86.73   93.26 76.74
May 1996 102.78 74.11 86.72   93.28 76.60
June 1996 102.61 73.75 86.65   93.36 76.53
July 1996 102.66 74.31 86.60   93.51 76.36
August 1996 102.12 73.58 86.42   93.23 76.05
September 1996 101.83 73.18 86.37   93.08 76.15
October 1996 101.53 72.99 86.46   92.91 76.07
November 1996 101.49 72.68 86.55   92.96 76.12
December 1996 101.53 72.59 86.75   92.90 76.32
January 1997 101.13 72.62 86.42   93.08 76.35
February 1997 101.10 72.41 86.51   93.49 76.28
March 1997 101.26 72.49 86.55   93.81 76.74
April 1997 101.22 72.37 86.67   93.61 76.79
May 1997 101.13 72.23 86.72   93.49 76.95
June 1997 101.01 72.33 86.85   93.22 77.22
July 1997 100.21 71.86 87.90   93.01 77.58
August 1997 100.52 73.05 88.01   93.23 78.00
September 1997 100.40 72.97 88.19   93.48 78.16
October 1997 100.47 73.43 88.38   93.84 78.47
November 1997 100.44 73.95 88.39   93.98 78.90
December 1997 100.65 74.60 88.49   94.26 79.51
January 1998 100.70 74.63 88.86   94.47 80.12
February 1998 100.83 75.39 88.76   94.24 80.68
March 1998 101.04 75.65 88.73   94.06 81.24
April 1998 100.96 75.97 88.82   94.21 81.59
May 1998 100.95 76.23 88.92   94.46 82.26
June 1998 100.86 76.82 89.10   94.82 82.69
July 1998 101.08 77.03 89.17   94.89 83.25
August 1998 101.48 77.71 89.43   95.09 83.92
September 1998 101.65 77.82 89.63   95.47 84.28
October 1998 101.82 78.01 89.98   95.35 84.70
November 1998 102.04 78.26 90.37   95.75 85.07
December 1998 101.91 78.43 90.82   95.41 85.12
January 1999 102.28 78.45 91.45   96.20 85.57
February 1999 102.82 78.80 91.48   96.00 85.88
March 1999 103.33 79.24 91.74   96.18 86.06
April 1999 103.42 80.04 92.03   96.73 86.59
May 1999 103.72 80.96 92.33   96.97 87.08
June 1999 104.25 81.90 92.67   97.15 87.23
July 1999 104.37 82.75 92.97   97.97 87.30
August 1999 104.93 84.24 93.73   98.33 87.42
September 1999 105.37 85.11 94.38   98.88 87.63
October 1999 105.82 85.41 94.90   99.28 88.10
November 1999 106.20 85.50 95.39   99.50 88.35
December 1999 106.92 85.81 95.93   99.73 88.84
January 2000 108.39 86.33 96.40   100.23 89.19
February 2000 108.10 86.78 96.60   101.04 89.63
March 2000 108.30 87.62 97.05   101.94 90.28
April 2000 108.74 88.72 97.52   102.35 90.72
May 2000 109.17 88.61 97.92   102.97 91.24
June 2000 109.63 88.95 98.49   103.00 91.72
July 2000 109.36 88.87 98.88   103.49 91.88
August 2000 109.77 88.85 99.35   103.88 92.30
September 2000 110.20 88.92 99.95   104.18 92.86
October 2000 110.62 88.77 100.51   104.99 93.07
November 2000 111.28 89.18 101.06   105.60 93.68
December 2000 111.57 89.32 101.73   106.84 94.06
January 2001 111.56 89.58 102.43   107.23 94.49
February 2001 112.17 89.73 103.03   107.76 95.08
March 2001 112.08 89.79 103.55   108.33 95.61
April 2001 112.41 90.34 103.90   109.25 95.84
May 2001 112.43 90.28 104.43   110.11 95.86
June 2001 112.67 90.12 104.31   111.15 95.91
July 2001 112.72 89.45 104.07   111.80 95.82
August 2001 113.31 89.32 104.40   112.69 96.36
September 2001 113.44 88.92 104.06   113.44 96.56
October 2001 114.39 88.44 103.93   114.39 97.18
November 2001 115.01 88.54 103.40   115.01 97.88
December 2001 115.49 87.78 103.31   115.49 97.92
January 2002 116.24 88.11 102.61 107.22 116.24 98.27
February 2002 117.16 87.81 103.13 107.82 117.16 98.86
March 2002 118.22 88.37 103.83 108.45 118.22 99.60
April 2002 119.04 89.64 104.51 108.92 119.04 100.47
May 2002 119.66 91.14 106.31 109.22 119.66 101.66
June 2002 120.66 91.93 106.46 109.33 120.66 102.80
July 2002 121.50 92.90 106.65 109.57 121.50 104.44
August 2002 122.81 92.44 106.82 109.85 122.81 105.54
September 2002 123.60 92.21 107.27 110.05 123.60 106.60
October 2002 124.08 92.88 107.52 110.45 124.08 107.47
November 2002 125.62 93.21 107.87 110.88 125.62 108.56
December 2002 127.03 93.55 108.30 111.28 127.03 109.54
January 2003 129.01 94.61 109.20 112.22 129.01 110.37
February 2003 129.16 94.38 109.82 112.51 129.16 111.24
March 2003 130.57 94.37 110.21 112.97 130.57 112.17
April 2003 131.79 94.08 110.21 113.53 131.79 113.15
May 2003 133.08 94.29 110.42 114.04 133.08 114.14
June 2003 134.10 94.83 111.32 114.45 134.10 115.37
July 2003 135.32 96.25 111.95 114.96 135.32 116.44
August 2003 136.31 97.02 112.23 115.52 136.31 118.33
September 2003 137.79 98.21 112.73 116.30 137.79 120.15
October 2003 138.67 99.14 113.90 117.36 138.67 121.92
November 2003 139.81 99.75 115.01 118.43 139.81 123.76
December 2003 141.15 100.45 115.22 119.45 141.15 125.75
January 2004 142.09 101.33 115.94 120.67 142.09 127.44
February 2004 143.73 101.95 116.56 121.64 143.73 129.66
March 2004 145.62 102.37 117.35 122.88 145.62 132.46
April 2004 147.70 103.05 117.90 124.29 145.96 135.15
May 2004 150.49 103.97 118.60 125.89 147.53 137.40
June 2004 154.07 105.10 120.34 127.68 149.63 139.44
July 2004 157.13 106.68 121.27 129.49 150.90 140.83
August 2004 159.08 106.66 120.82 131.68 153.46 142.06
September 2004 160.26 107.49 121.18 134.32 154.78 142.98
October 2004 161.56 108.45 122.59 137.36 157.12 143.96
November 2004 162.30 109.81 123.92 140.76 158.81 145.30
December 2004 164.19 111.29 124.63 144.75 160.90 146.48
January 2005 165.13 112.04 125.06 148.58 163.67 147.91
February 2005 166.58 111.71 125.77 152.50 166.58 150.05
March 2005 168.95 111.91 127.33 157.92 168.95 152.16
April 2005 172.01 112.20 128.69 162.78 172.01 153.73
May 2005 175.05 112.52 129.65 167.62 175.05 155.64
June 2005 178.38 112.49 130.16 173.12 178.38 157.50
July 2005 180.10 113.02 130.66 178.62 180.10 158.95
August 2005 183.80 113.58 131.54 183.43 183.80 160.66
September 2005 186.55 113.59 132.24 187.53 186.55 162.67
October 2005 189.51 113.49 133.22 190.61 189.51 165.13
November 2005 192.47 114.56 133.73 193.49 192.47 166.37
December 2005 194.69 114.46 134.38 195.86 195.71 168.45
January 2006 193.89 114.80 135.63 197.46 197.75 169.92
February 2006 193.09 115.43 135.82 198.70 200.55 171.32
March 2006 192.10 115.93 136.54 200.11 203.53 171.30
April 2006 193.34 116.30 136.84 200.08 204.30 170.61
May 2006 190.89 116.13 136.51 199.62 205.75 169.95
June 2006 188.85 115.81 136.66 198.00 205.65 169.15
July 2006 186.34 115.15 134.61 196.17 202.00 168.74
August 2006 183.51 114.96 135.64 194.24 204.54 168.23
September 2006 181.36 114.85 135.58 192.02 205.13 167.56
October 2006 178.80 114.70 136.03 189.98 204.78 166.45
November 2006 178.12 114.62 136.47 187.92 203.18 165.47
December 2006 176.57 114.64 136.63 185.85 201.00 163.50
January 2007 176.44 114.50 135.91 184.06 199.33 161.35
February 2007 174.82 113.80 137.31 181.38 200.14 160.37
March 2007 171.45 113.19 136.97 178.98 197.73 156.95
April 2007 167.76 112.83 136.20 176.62 196.60 155.03
May 2007 162.42 112.33 134.91 173.66 192.52 152.55
June 2007 160.74 111.84 133.85 170.48 188.49 150.16
July 2007 158.05 111.61 132.45 167.73 183.31 147.67
August 2007 154.10 111.38 131.09 164.89 181.88 145.72
September 2007 150.40 110.91 129.49 161.45 177.72 143.43
October 2007 147.89 110.09 127.64 157.58 173.61 140.55
November 2007 144.51 109.33 125.94 153.54 169.56 136.91
December 2007 142.44 108.00 124.33 149.62 165.11 133.67
January 2008 137.95 107.42 122.11 146.10 160.09 131.26
February 2008 135.14 106.52 120.56 142.78 154.76 126.83
March 2008 133.69 106.12 117.91 138.42 148.27 123.80
April 2008 132.11 104.98 116.09 134.09 141.34 121.10
May 2008 130.50 104.85 115.28 130.62 135.24 117.84
June 2008 127.49 104.29 113.53 127.22 131.80 115.05
July 2008 125.31 103.41 111.54 123.61 128.92 111.54
August 2008 122.03 102.74 109.48 120.33 124.65 109.05
September 2008 119.97 101.50 108.18 116.89 120.88 106.32
October 2008 116.22 100.38 106.08 113.87 116.40 103.78
November 2008 113.44 99.73 104.40 111.05 113.44 101.93
December 2008 110.42 98.40 102.46 107.38 109.81 99.68
January 2009 108.14 97.44 102.42 104.32 108.10 98.72
February 2009 106.78 97.07 101.91 101.86 104.25 97.36
March 2009 105.22 95.93 100.75 99.33 102.02 96.17
April 2009 104.11 94.71 100.50 98.10 100.47 95.15
May 2009 103.17 94.65 99.94 97.73 98.81 94.40
June 2009 102.41 95.56 99.38 97.50 98.30 94.85
July 2009 101.64 96.30 99.65 97.43 98.09 96.30
August 2009 101.39 96.08 98.70 97.53 97.92 96.13
September 2009 101.04 96.56 98.79 97.29 98.79 96.68
October 2009 100.62 97.28 99.39 98.23 99.37 97.28
November 2009 100.72 98.00 100.18 99.51 100.18 98.00
December 2009 100.78 98.92 99.94 100.04 99.94 99.10
January 2010 100.00 100.00 100.00 100.00 100.00 100.00
February 2010 99.98 98.36 99.27 99.98 98.38 99.11
March 2010 100.34 98.17 99.29 100.45 98.50 99.29
April 2010 100.20 98.15 99.28 100.57 98.15 99.06
May 2010 100.53 97.63 99.27 100.31 97.63 99.54
June 2010 100.62 97.35 98.97 99.82 97.73 98.97
July 2010 100.85 95.99 98.71 99.36 95.99 99.00
August 2010 100.13 94.26 97.88 98.37 94.26 97.88
September 2010 99.95 93.55 97.16 97.24 91.95 97.60
October 2010 99.68 92.52 96.41 97.07 91.43 97.13
November 2010 98.87 91.60 96.34 96.66 90.35 96.88
December 2010 98.73 90.84 96.20 95.95 90.84 96.60
January 2011 98.41 90.69 95.35 95.93 90.69 96.38
February 2011 98.30 90.49 94.95 94.81 90.49 95.86
March 2011 98.12 89.93 94.10 93.95 90.36 95.44
April 2011 98.20 89.97 94.25 92.92 91.31 95.44
May 2011 98.18 89.61 93.63 91.85 92.31 95.10
June 2011 98.15 89.57 93.85 91.10 93.11 95.05
July 2011 98.14 89.36 94.04 90.29 94.63 95.22
August 2011 97.83 89.54 94.10 90.35 94.91 94.23
September 2011 97.60 89.77 93.72 90.74 95.61 93.81
October 2011 97.32 88.20 93.54 91.36 96.05 93.54
November 2011 97.43 87.88 93.39 92.13 96.42 93.39
December 2011 97.58 87.07 93.19 93.20 97.58 93.19
January 2012 97.56 86.44 92.93 94.12 98.57 92.93
February 2012 97.51 86.43 93.30 95.38 98.91 92.73
March 2012 97.70 86.66 93.43 97.06 100.04 92.74
April 2012 98.23 86.49 94.02 99.07 100.27 93.77
May 2012 98.62 86.54 94.57 100.87 100.95 94.57
June 2012 99.02 86.45 95.06 102.58 102.22 95.16
July 2012 98.81 86.98 95.62 104.20 103.29 95.62
August 2012 99.51 86.42 96.17 105.45 105.02 96.61
September 2012 99.70 86.87 96.52 106.46 104.80 97.38
October 2012 101.10 86.66 97.01 107.51 105.08 98.30
November 2012 101.55 87.31 97.59 108.33 106.66 99.32
December 2012 102.89 87.40 98.82 108.84 107.22 100.75
January 2013 103.53 87.18 99.00 110.03 108.72 101.97
February 2013 104.64 87.05 99.65 111.02 110.64 103.48
March 2013 106.54 87.70 100.46 111.85 112.23 104.99
April 2013 108.04 88.34 100.56 112.63 114.02 106.56
May 2013 109.29 89.15 101.15 113.48 114.79 107.54
June 2013 109.85 89.58 101.53 114.21 115.14 108.87
July 2013 111.02 90.26 102.27 115.14 116.02 110.50
August 2013 111.58 90.49 103.06 116.08 118.77 111.58
September 2013 112.57 90.26 103.66 116.64 117.84 112.30
October 2013 113.23 90.23 103.90 117.12 118.59 113.23
November 2013 114.04 90.11 104.01 117.44 118.97 113.92
December 2013 115.51 90.20 104.18 117.68 119.47 114.42
January 2014 115.83 90.95 104.35 117.88 119.24 115.26
February 2014 117.29 90.95 104.00 117.83 119.56 115.91
March 2014 116.81 90.85 103.79 117.92 120.13 116.21
April 2014 118.13 90.90 104.07 117.64 121.14 116.37
May 2014 118.12 90.75 104.12 117.57 121.38 116.66
June 2014 117.83 91.05 104.02 117.49 121.77 116.98
July 2014 118.23 90.99 104.09 117.48 121.19 117.08
August 2014 118.67 91.02 104.07 117.46 121.37 117.48
September 2014 118.66 90.86 103.66 117.50 121.68 117.91
October 2014 119.74 91.24 104.06 117.66 122.93 118.15
November 2014 120.27 91.11 104.65 117.85 121.97 118.29
December 2014 121.25 91.11 104.17 118.08 122.20 118.60
January 2015 121.55 90.19 103.75 118.45 122.46 119.20
February 2015 122.53 89.40 104.32 118.72 122.53 120.01
March 2015 122.61 89.84 105.31 118.88 121.41 119.87
April 2015 123.23 89.91 105.68 119.16 122.22 119.80
May 2015 123.69 90.36 106.29 119.31 123.69 120.05
June 2015 123.86 90.91 106.79 119.48 123.86 120.31
July 2015 124.11 91.32 106.63 119.59 124.11 120.45
August 2015 123.92 91.65 107.29 119.61 123.74 120.73
September 2015 124.83 91.42 107.06 119.70 124.83 121.22
October 2015 125.27 91.91 106.75 119.82 125.27 121.88
November 2015 125.87 91.68 106.64 119.93 125.87 122.29
December 2015 125.67 91.94 106.74 120.03 125.67 122.48
January 2016 125.53 92.38 106.52 120.03 125.53 122.37
February 2016 125.51 92.44 107.33 120.06 126.67 122.88
March 2016 126.57 92.35 106.32 119.97 126.57 122.85
April 2016 126.40 92.46 106.61 119.99 126.40 123.34
May 2016 126.25 92.61 106.94 119.92 126.25 123.54
June 2016 125.84 92.83 107.30 119.94 125.84 123.57
July 2016 125.17 93.01 107.69 119.97 125.17 123.11
August 2016 125.96 92.83 108.13 120.02 125.96 123.62
September 2016 126.40 93.02 108.30 119.97 126.40 123.96
October 2016 126.49 93.08 109.00 119.78 126.49 124.11
November 2016 126.66 93.59 109.54 119.78 126.66 124.43
December 2016 126.80 93.82 109.81 120.02 126.80 124.83
January 2017 127.36 94.05 110.30 120.31 127.36 124.52
February 2017 127.35 94.16 111.07 120.56 127.35 124.45
March 2017 127.19 94.28 111.81 120.66 127.19 124.73
April 2017 126.52 94.92 112.15 120.83 126.52 125.00
May 2017 126.37 94.44 112.14 120.94 126.37 125.30
June 2017 125.81 94.28 112.06 121.27 125.81 125.52
July 2017 126.94 94.16 112.67 121.63 126.94 125.75
August 2017 127.57 94.47 112.97 121.90 127.57 126.06
September 2017 127.65 94.97 113.33 122.27 127.65 126.47
October 2017 128.11 95.27 113.47 122.55 128.11 127.00
November 2017 129.01 95.41 113.88 122.75 127.38 127.60
December 2017 129.00 95.32 114.48 123.26 127.69 128.22
January 2018 129.04 94.99 114.56 121.37 127.78 128.19
February 2018 129.96 96.19 115.41 123.08 128.30 129.51
March 2018 129.36 96.70 115.30 123.11 129.19 129.33
April 2018 130.31 95.85 115.36 123.18 129.67 129.18
May 2018 130.79 95.84 115.53 123.85 129.13 129.06
June 2018 130.89 95.93 115.63 123.78 128.00 128.97
July 2018 130.96 95.65 115.05 122.47 128.75 128.90
August 2018 130.08 96.21 114.74 123.79 128.63 129.08
September 2018 130.80 96.38 114.69 123.79 128.59 128.80
October 2018 130.57 95.77 115.51 124.23 128.52 128.39
November 2018 129.16 95.49 115.28 124.51 129.16 127.79
December 2018 129.09 95.24 115.35 124.71 129.09 127.35
January 2019 128.64 95.02 115.88 124.69 128.64 127.77
February 2019 127.06 95.04 114.31 124.62 127.06 126.56

Note: Seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 19 metropolitan statistical areas.

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

Return to text

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

Ratio

Period Private Nonfinancial-Sector Credit-to-GDP 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 1.230
1998:Q3 1.234
1998:Q4 1.239
1999:Q1 1.255
1999:Q2 1.267
1999:Q3 1.282
1999:Q4 1.281
2000:Q1 1.303
2000:Q2 1.301
2000:Q3 1.318
2000:Q4 1.325
2001:Q1 1.336
2001:Q2 1.347
2001:Q3 1.376
2001:Q4 1.383
2002:Q1 1.390
2002:Q2 1.393
2002:Q3 1.401
2002:Q4 1.415
2003:Q1 1.424
2003:Q2 1.440
2003:Q3 1.433
2003:Q4 1.430
2004:Q1 1.446
2004:Q2 1.452
2004:Q3 1.460
2004:Q4 1.471
2005:Q1 1.474
2005:Q2 1.493
2005:Q3 1.501
2005:Q4 1.516
2006:Q1 1.530
2006:Q2 1.553
2006:Q3 1.571
2006:Q4 1.589
2007:Q1 1.601
2007:Q2 1.624
2007:Q3 1.643
2007:Q4 1.659
2008:Q1 1.687
2008:Q2 1.679
2008:Q3 1.693
2008:Q4 1.703
2009:Q1 1.713
2009:Q2 1.710
2009:Q3 1.690
2009:Q4 1.649
2010:Q1 1.631
2010:Q2 1.600
2010:Q3 1.582
2010:Q4 1.559
2011:Q1 1.556
2011:Q2 1.536
2011:Q3 1.526
2011:Q4 1.511
2012:Q1 1.496
2012:Q2 1.487
2012:Q3 1.487
2012:Q4 1.490
2013:Q1 1.478
2013:Q2 1.480
2013:Q3 1.474
2013:Q4 1.463
2014:Q1 1.473
2014:Q2 1.461
2014:Q3 1.450
2014:Q4 1.455
2015:Q1 1.460
2015:Q2 1.460
2015:Q3 1.461
2015:Q4 1.468
2016:Q1 1.484
2016:Q2 1.480
2016:Q3 1.486
2016:Q4 1.480
2017:Q1 1.486
2017:Q2 1.490
2017:Q3 1.488
2017:Q4 1.490
2018:Q1 1.486
2018:Q2 1.486
2018:Q3 1.482
2018:Q4 1.478

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 Ratios

Ratio

Period Household  Business
1980:Q1 0.480 0.496
1980:Q2 0.483 0.502
1980:Q3 0.484 0.501
1980:Q4 0.476 0.494
1981:Q1 0.462 0.483
1981:Q2 0.466 0.495
1981:Q3 0.460 0.496
1981:Q4 0.465 0.506
1982:Q1 0.472 0.519
1982:Q2 0.470 0.524
1982:Q3 0.466 0.532
1982:Q4 0.470 0.531
1983:Q1 0.463 0.535
1983:Q2 0.462 0.530
1983:Q3 0.461 0.527
1983:Q4 0.464 0.526
1984:Q1 0.464 0.530
1984:Q2 0.466 0.538
1984:Q3 0.469 0.547
1984:Q4 0.477 0.559
1985:Q1 0.491 0.562
1985:Q2 0.499 0.569
1985:Q3 0.507 0.570
1985:Q4 0.524 0.579
1986:Q1 0.529 0.585
1986:Q2 0.536 0.596
1986:Q3 0.546 0.604
1986:Q4 0.557 0.615
1987:Q1 0.556 0.620
1987:Q2 0.563 0.620
1987:Q3 0.568 0.623
1987:Q4 0.560 0.621
1988:Q1 0.567 0.627
1988:Q2 0.568 0.628
1988:Q3 0.572 0.629
1988:Q4 0.571 0.631
1989:Q1 0.571 0.630
1989:Q2 0.574 0.632
1989:Q3 0.578 0.629
1989:Q4 0.586 0.634
1990:Q1 0.589 0.630
1990:Q2 0.591 0.626
1990:Q3 0.594 0.625
1990:Q4 0.604 0.629
1991:Q1 0.610 0.622
1991:Q2 0.610 0.613
1991:Q3 0.607 0.600
1991:Q4 0.612 0.589
1992:Q1 0.610 0.580
1992:Q2 0.606 0.569
1992:Q3 0.605 0.561
1992:Q4 0.603 0.551
1993:Q1 0.605 0.549
1993:Q2 0.607 0.548
1993:Q3 0.611 0.547
1993:Q4 0.610 0.543
1994:Q1 0.611 0.543
1994:Q2 0.611 0.540
1994:Q3 0.614 0.541
1994:Q4 0.617 0.539
1995:Q1 0.621 0.543
1995:Q2 0.627 0.549
1995:Q3 0.631 0.548
1995:Q4 0.633 0.549
1996:Q1 0.640 0.548
1996:Q2 0.639 0.546
1996:Q3 0.639 0.547
1996:Q4 0.639 0.544
1997:Q1 0.641 0.546
1997:Q2 0.639 0.546
1997:Q3 0.640 0.551
1997:Q4 0.641 0.555
1998:Q1 0.646 0.565
1998:Q2 0.653 0.577
1998:Q3 0.652 0.582
1998:Q4 0.654 0.585
1999:Q1 0.660 0.595
1999:Q2 0.668 0.600
1999:Q3 0.671 0.611
1999:Q4 0.671 0.610
2000:Q1 0.683 0.620
2000:Q2 0.679 0.622
2000:Q3 0.690 0.628
2000:Q4 0.694 0.631
2001:Q1 0.702 0.634
2001:Q2 0.710 0.636
2001:Q3 0.733 0.643
2001:Q4 0.738 0.646
2002:Q1 0.746 0.643
2002:Q2 0.753 0.640
2002:Q3 0.764 0.637
2002:Q4 0.779 0.636
2003:Q1 0.792 0.632
2003:Q2 0.814 0.626
2003:Q3 0.817 0.616
2003:Q4 0.825 0.605
2004:Q1 0.836 0.610
2004:Q2 0.847 0.605
2004:Q3 0.854 0.606
2004:Q4 0.867 0.604
2005:Q1 0.870 0.604
2005:Q2 0.885 0.608
2005:Q3 0.893 0.608
2005:Q4 0.903 0.613
2006:Q1 0.913 0.616
2006:Q2 0.928 0.625
2006:Q3 0.942 0.629
2006:Q4 0.949 0.640
2007:Q1 0.951 0.650
2007:Q2 0.961 0.663
2007:Q3 0.966 0.677
2007:Q4 0.970 0.689
2008:Q1 0.983 0.704
2008:Q2 0.968 0.711
2008:Q3 0.974 0.719
2008:Q4 0.969 0.734
2009:Q1 0.976 0.737
2009:Q2 0.977 0.733
2009:Q3 0.970 0.720
2009:Q4 0.954 0.695
2010:Q1 0.942 0.689
2010:Q2 0.926 0.674
2010:Q3 0.911 0.671
2010:Q4 0.901 0.657
2011:Q1 0.899 0.657
2011:Q2 0.884 0.652
2011:Q3 0.873 0.654
2011:Q4 0.860 0.651
2012:Q1 0.849 0.647
2012:Q2 0.840 0.647
2012:Q3 0.834 0.653
2012:Q4 0.831 0.659
2013:Q1 0.822 0.657
2013:Q2 0.819 0.661
2013:Q3 0.811 0.663
2013:Q4 0.804 0.659
2014:Q1 0.804 0.669
2014:Q2 0.796 0.665
2014:Q3 0.786 0.664
2014:Q4 0.784 0.671
2015:Q1 0.781 0.679
2015:Q2 0.776 0.684
2015:Q3 0.773 0.688
2015:Q4 0.772 0.696
2016:Q1 0.774 0.710
2016:Q2 0.771 0.709
2016:Q3 0.773 0.713
2016:Q4 0.770 0.710
2017:Q1 0.769 0.717
2017:Q2 0.769 0.721
2017:Q3 0.764 0.724
2017:Q4 0.764 0.726
2018:Q1 0.762 0.724
2018:Q2 0.754 0.733
2018:Q3 0.751 0.731
2018:Q4 0.749 0.731

Figure 2.2 header columns "Business and Household" were swapped on October 16, 2019 to reflect the numbers in the associated graph.

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

Percent change, annual rate

Period Growth of Real Aggregate Debt of the Business Sector
1997:Q1 4.36
1997:Q2 6.58
1997:Q3 9.20
1997:Q4 6.82
1998:Q1 11.43
1998:Q2 12.93
1998:Q3 8.82
1998:Q4 10.41
1999:Q1 11.01
1999:Q2 6.51
1999:Q3 11.14
1999:Q4 6.47
2000:Q1 9.56
2000:Q2 9.13
2000:Q3 4.24
2000:Q4 5.52
2001:Q1 1.99
2001:Q2 4.78
2001:Q3 3.79
2001:Q4 3.07
2002:Q1 3.50
2002:Q2 -0.09
2002:Q3 0.66
2002:Q4 1.00
2003:Q1 0.07
2003:Q2 0.08
2003:Q3 1.81
2003:Q4 -2.08
2004:Q1 3.18
2004:Q2 0.66
2004:Q3 4.15
2004:Q4 2.41
2005:Q1 4.17
2005:Q2 4.27
2005:Q3 2.88
2005:Q4 6.04
2006:Q1 7.90
2006:Q2 6.39
2006:Q3 4.52
2006:Q4 11.85
2007:Q1 7.56
2007:Q2 10.48
2007:Q3 11.45
2007:Q4 10.23
2008:Q1 7.22
2008:Q2 5.73
2008:Q3 2.46
2008:Q4 0.07
2009:Q1 -3.74
2009:Q2 -1.10
2009:Q3 -5.30
2009:Q4 -5.40
2010:Q1 -4.13
2010:Q2 -4.70
2010:Q3 1.59
2010:Q4 -2.03
2011:Q1 -1.00
2011:Q2 0.26
2011:Q3 0.76
2011:Q4 1.95
2012:Q1 1.84
2012:Q2 1.65
2012:Q3 4.38
2012:Q4 4.97
2013:Q1 2.96
2013:Q2 3.42
2013:Q3 4.42
2013:Q4 0.94
2014:Q1 4.95
2014:Q2 2.95
2014:Q3 4.48
2014:Q4 6.47
2015:Q1 8.39
2015:Q2 6.17
2015:Q3 3.94
2015:Q4 6.06
2016:Q1 9.44
2016:Q2 1.29
2016:Q3 4.55
2016:Q4 -0.04
2017:Q1 4.61
2017:Q2 5.82
2017:Q3 4.14
2017:Q4 0.72
2018:Q1 1.38
2018:Q2 -0.05
2018:Q3 2.56
2018:Q4 2.06

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 High-yield and unrated bonds Institutional leveraged loans
2005:Q1 6.33 -6.99 13.32
2005:Q2 8.07 -5.58 13.65
2005:Q3 7.25 -6.64 13.89
2005:Q4 9.24 -4.59 13.82
2006:Q1 10.39 -7.60 17.99
2006:Q2 21.10 -2.70 23.80
2006:Q3 24.65 -1.79 26.44
2006:Q4 42.69 4.83 37.87
2007:Q1 48.17 6.93 41.25
2007:Q2 55.90 11.11 44.79
2007:Q3 55.97 9.21 46.75
2007:Q4 39.76 0.57 39.19
2008:Q1 25.64 -3.94 29.58
2008:Q2 12.79 -9.76 22.55
2008:Q3 11.57 -6.20 17.77
2008:Q4 -2.95 -12.90 9.96
2009:Q1 -5.71 -12.16 6.45
2009:Q2 -15.10 -11.11 -3.99
2009:Q3 -24.18 -15.22 -8.95
2009:Q4 -27.20 -10.81 -16.40
2010:Q1 -22.48 -4.58 -17.90
2010:Q2 -20.90 -4.45 -16.45
2010:Q3 -5.59 4.61 -10.20
2010:Q4 3.87 11.65 -7.78
2011:Q1 5.98 10.43 -4.44
2011:Q2 16.57 12.22 4.35
2011:Q3 4.84 4.80 0.04
2011:Q4 7.23 2.38 4.85
2012:Q1 13.03 8.67 4.35
2012:Q2 4.48 1.88 2.60
2012:Q3 13.65 10.77 2.88
2012:Q4 24.92 16.53 8.39
2013:Q1 29.55 16.71 12.83
2013:Q2 38.84 22.79 16.05
2013:Q3 52.27 23.84 28.43
2013:Q4 55.86 23.03 32.83
2014:Q1 58.28 20.92 37.36
2014:Q2 62.32 21.38 40.94
2014:Q3 62.21 20.46 41.75
2014:Q4 53.91 16.49 37.42
2015:Q1 55.20 23.53 31.67
2015:Q2 41.17 21.69 19.49
2015:Q3 24.24 14.71 9.53
2015:Q4 19.67 9.49 10.18
2016:Q1 9.03 -1.81 10.84
2016:Q2 11.20 -1.67 12.87
2016:Q3 4.15 -3.35 7.50
2016:Q4 -2.81 -4.91 2.10
2017:Q1 -4.89 -3.65 -1.23
2017:Q2 2.45 -7.32 9.77
2017:Q3 11.26 -4.99 16.25
2017:Q4 17.38 -1.27 18.65
2018:Q1 24.54 -3.75 28.30
2018:Q2 26.21 -3.55 29.76
2018:Q3 31.82 -5.96 37.78
2018:Q4 42.27 -5.70 47.97
2019:Q1 43.66 -4.14 47.80

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

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

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Figure A. Corporate Debt, by Type of Debt and Holder

Billions of dollars

  Corporate bonds Bank C&I loans Leveraged loans
CLOs 0 0 709
Foreign investors, pension funds, and other 3008 0 60
Mutual funds 1076 0 224
Ics 1177 0 65
Banks 236 1192 89

Note: Data are taken from 2018:Q4. Corporate bonds are nonfinancial corporate bonds. C&I is commercial and industrial. CLO is collateralized loan obligation. The amount outstanding of leveraged loans shows institutional leveraged loans and generally excludes credit lines and the share of term loans primarily held by banks. Other includes the household sector; nonfinancial corporate and noncorporate business; federal, state, and local governments; federal, state, and local government retirement funds; money market funds; closed-end funds; exchange-traded funds; government-sponsored enterprises (GSEs); agency- and GSE-backed mortgage pools; asset-backed securities issuers; hedge funds; finance companies; real estate investment trusts; broker-dealers; holding companies; and funding corporations.

Source: For leveraged loans, S&P Global Market Intelligence, Leveraged Commentary & Data; for all other items, Federal Reserve Board, Statistical Release Z.1, \"Financial Accounts of the United States.\"

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

Percent

Period Debt multiples less than or equal to 4x Debt multiples 4x-4.99x Debt multiples 5x-5.99x Debt multiples greater than or equal to 6x
2001 61.10 26.20 10.10 2.70
2002 54.60 27.30 12.20 5.90
2003 52.60 29.30 11.50 6.70
2004 45.00 28.60 17.60 8.80
2005 41.80 25.10 25.10 8.00
2006 36.40 26.30 21.10 16.30
2007 31.20 23.70 17.50 27.70
2008 63.10 14.20 12.10 10.70
2009 53.10 17.70 11.50 17.70
2010 53.70 22.60 17.90 5.80
2011 43.80 22.60 19.20 14.40
2012 35.90 26.60 21.80 15.80
2013 31.50 29.00 23.10 16.40
2014 28.70 22.60 21.50 27.20
2015 29.90 24.80 26.50 18.90
2016 21.90 32.60 24.40 21.00
2017 22.70 27.60 27.60 22.00
2018 19.50 24.10 26.80 29.70
2019:Q1 18.90 18.90 20.30 41.90

Note The data for 2019 are quarterly. Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 million and exclude existing tranches of add-ons and amendments as well as restatements with no new money.

Source S&P Global, Leveraged Commentary & Data.

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Figure 2-6. Default Rates of Leveraged Loans

Percent

Period Default Rate of Leveraged Loans
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
November 2018 1.61
December 2018 1.63
January 2019 1.42
February 2019 1.62
March 2019 0.93

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 37.96
2000:Q2 29.84 37.31
2000:Q3 29.29 36.27
2000:Q4 29.52 36.82
2001:Q1 29.52 38.23
2001:Q2 29.65 39.03
2001:Q3 29.64 38.18
2001:Q4 30.32 39.25
2002:Q1 30.93 39.50
2002:Q2 30.01 37.98
2002:Q3 29.81 37.86
2002:Q4 29.57 37.93
2003:Q1 29.24 37.78
2003:Q2 28.42 37.68
2003:Q3 28.04 36.72
2003:Q4 27.07 36.52
2004:Q1 26.54 35.35
2004:Q2 25.93 34.86
2004:Q3 25.62 35.02
2004:Q4 25.39 34.22
2005:Q1 25.15 34.17
2005:Q2 25.01 32.67
2005:Q3 24.27 31.49
2005:Q4 24.34 32.22
2006:Q1 24.81 33.09
2006:Q2 24.65 32.83
2006:Q3 24.63 33.07
2006:Q4 24.91 34.54
2007:Q1 25.18 35.13
2007:Q2 25.44 34.75
2007:Q3 25.85 35.53
2007:Q4 26.16 35.85
2008:Q1 26.40 36.51
2008:Q2 26.52 36.26
2008:Q3 27.56 38.47
2008:Q4 29.14 40.49
2009:Q1 29.36 40.71
2009:Q2 28.34 38.84
2009:Q3 27.37 36.95
2009:Q4 27.12 37.63
2010:Q1 26.71 36.55
2010:Q2 26.59 36.53
2010:Q3 26.56 36.66
2010:Q4 26.33 36.24
2011:Q1 26.12 36.13
2011:Q2 26.18 36.18
2011:Q3 26.50 36.09
2011:Q4 26.39 35.51
2012:Q1 26.34 35.97
2012:Q2 26.90 36.80
2012:Q3 27.03 37.00
2012:Q4 27.33 37.91
2013:Q1 27.24 37.61
2013:Q2 27.67 38.29
2013:Q3 27.93 38.25
2013:Q4 28.14 38.71
2014:Q1 28.77 39.28
2014:Q2 28.55 38.18
2014:Q3 28.71 38.08
2014:Q4 29.26 38.99
2015:Q1 30.12 39.62
2015:Q2 30.66 39.73
2015:Q3 31.19 41.01
2015:Q4 32.13 40.54
2016:Q1 32.74 42.17
2016:Q2 32.94 41.78
2016:Q3 33.02 41.61
2016:Q4 32.95 40.73
2017:Q1 33.20 40.77
2017:Q2 33.57 41.70
2017:Q3 33.40 41.88
2017:Q4 33.20 40.91
2018:Q1 33.33 40.82
2018:Q2 33.25 40.94
2018:Q3 32.94 40.23
2018:Q4 32.89 40.37

Note Gross leverage is the ratio of the book value of total debt to the book value of total assets. Risky firms are firms with positive debt that are either rated as speculative grade by S&P or unrated.

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 29.07
2000:Q2 15.59 27.02
2000:Q3 15.84 27.25
2000:Q4 15.97 28.17
2001:Q1 17.42 31.77
2001:Q2 17.03 31.44
2001:Q3 16.81 30.94
2001:Q4 15.99 28.70
2002:Q1 17.13 32.19
2002:Q2 15.60 29.59
2002:Q3 15.69 29.06
2002:Q4 15.17 27.75
2003:Q1 15.32 29.53
2003:Q2 15.24 29.43
2003:Q3 14.61 26.46
2003:Q4 13.96 24.96
2004:Q1 13.47 25.03
2004:Q2 12.48 22.58
2004:Q3 12.60 21.64
2004:Q4 11.96 20.21
2005:Q1 12.18 21.82
2005:Q2 11.73 20.76
2005:Q3 11.83 22.07
2005:Q4 10.96 19.32
2006:Q1 12.23 22.26
2006:Q2 11.79 21.18
2006:Q3 11.51 21.50
2006:Q4 12.23 22.43
2007:Q1 12.52 23.95
2007:Q2 11.75 20.77
2007:Q3 12.52 22.54
2007:Q4 12.42 23.35
2008:Q1 12.33 24.58
2008:Q2 11.08 21.44
2008:Q3 10.79 19.60
2008:Q4 14.45 27.95
2009:Q1 14.11 26.53
2009:Q2 13.83 25.18
2009:Q3 13.36 25.47
2009:Q4 12.20 22.80
2010:Q1 12.15 23.52
2010:Q2 11.83 22.44
2010:Q3 11.62 22.64
2010:Q4 11.28 21.38
2011:Q1 10.86 22.22
2011:Q2 10.47 21.49
2011:Q3 10.21 19.99
2011:Q4 10.76 20.13
2012:Q1 10.78 21.89
2012:Q2 10.57 20.75
2012:Q3 10.56 20.79
2012:Q4 11.06 21.78
2013:Q1 11.18 22.39
2013:Q2 10.81 19.90
2013:Q3 10.55 19.78
2013:Q4 10.47 20.88
2014:Q1 10.97 22.27
2014:Q2 10.44 19.49
2014:Q3 10.21 18.38
2014:Q4 10.97 19.18
2015:Q1 11.13 21.41
2015:Q2 10.73 19.57
2015:Q3 10.58 18.95
2015:Q4 11.21 18.52
2016:Q1 12.58 22.86
2016:Q2 12.31 21.31
2016:Q3 11.97 20.81
2016:Q4 11.39 19.93
2017:Q1 12.27 21.74
2017:Q2 11.99 19.67
2017:Q3 11.70 19.54
2017:Q4 11.48 18.78
2018:Q1 11.86 19.82
2018:Q2 11.13 18.16
2018:Q3 10.65 17.84
2018:Q4 10.90 17.67

Note Series calculated as the ratio of total interest expenses to earnings before interest, depreciation, and taxes. Risky firms are firms with positive debt that are either rated as speculative grade by S&P or unrated.

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

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Figure 2-9. Total Household Loan Balances

This is a line chart titled “Total Household Loan Balances”. The x-axis measures time and ranges from the years 1999 to 2018 (Q4). The y-axis measures billions of dollars (real) and ranges from 0 to 9800. The data is quarterly. There are 3 variables charted on the plot. The first line is labeled 'Prime'; is designated by a black line; and ranges from about 3400 to 9000 billions of dollars. This variable rises from around 3400 to 9000 billions of dollars from 1999 to 2008 and then declines to 7400 billions of 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 billions of dollars. The variable has a slight increase to around 3800 billions of dollars from 2002 to 2008 but is otherwise is stable at a little more than 2600 billions of dollars for most of the time period. The third variable is labeled 'Subprime'; is designated by the orange line; and ranges from 1000 to around 3000 billions of dollars. There is a slight increase from a little more than 1000 billions of dollars in 1999 to around 1800 in 2007, and there is a steeper increase to around 3000 billions of dollars between 2007 and 2010. The variable then decreases and remains at around 1800 billions of dollars from 2014 to the end of the time period.

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. Estimate of New Mortgage Volume to Households

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 charted on the plot. The first variable is labeled 'Subprime' and is designated by the orange bar. It ranges from around 100 to around 400 billions of dollars. It starts at a little more than 200 billions of dollars in 2000 and very slightly increases to around 400 billions of dollars between 2001 and 2006. Then it decreases more quickly to around 100 billions of dollars in 2009, and remains fairly unchanged until 2018. The second variable is labeled 'Near prime'; is designated by the blue bars; and ranges from 200 to around 900 billions of dollars. The variable starts at around 500 billions of dollars in 2000 and increases quickly, peaking at around 900 billion dollars in 2006 before steeply falling to around 300 billion dollars by 2009. Since then it has increased and stabilized around 400 billion dollars from 2016 to 2018. The third variable is labeled 'Prime'; is designated by the black bars; and ranges from around 600 to 1300 billions of dollars. The variable starts at around 600 billions of dollars in 2000 and steeply increases to a peak of around 1300 billions of dollars in 2003. The variable remains between 1100 and 1200 billion dollars from 2004 to 2007 before falling sharply to 600 billion dollars in 2009. The variable then builds back up to 800 billion in 2013. It then drops back to 700 billion in 2014 before climbing close to 900 billion in 2017 and around 800 billion in 2018.

Note: Year-over-year change in balances for the fourth 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 Prime Nonprime FHA/VA
January 2000 1.11 4.16 3.19
February 2000 1.03 3.87 3.02
March 2000 0.99 3.75 2.94
April 2000 1.01 3.65 3.02
May 2000 1.03 3.62 3.04
June 2000 1.04 3.68 3.05
July 2000 1.02 3.71 2.95
August 2000 1.02 3.82 2.99
September 2000 1.05 3.91 3.03
October 2000 1.04 3.96 3.03
November 2000 1.04 3.90 3.05
December 2000 1.09 4.06 3.19
January 2001 1.08 4.08 3.14
February 2001 1.11 4.34 3.20
March 2001 1.09 4.44 3.11
April 2001 1.12 4.90 3.23
May 2001 1.13 4.98 3.24
June 2001 1.14 4.96 3.29
July 2001 1.14 4.69 3.27
August 2001 1.10 4.65 3.15
September 2001 1.18 4.79 3.29
October 2001 1.17 4.80 3.26
November 2001 1.17 4.81 3.31
December 2001 1.11 4.77 3.22
January 2002 1.10 4.80 3.25
February 2002 1.11 4.82 3.30
March 2002 1.12 4.73 3.38
April 2002 1.10 4.60 3.33
May 2002 1.07 4.68 3.29
June 2002 1.05 4.98 3.32
July 2002 1.04 5.00 3.34
August 2002 1.06 4.94 3.40
September 2002 1.04 4.62 3.29
October 2002 1.06 4.64 3.34
November 2002 1.10 4.72 3.42
December 2002 1.10 4.79 3.41
January 2003 1.09 4.82 3.37
February 2003 1.07 4.82 3.33
March 2003 1.11 4.83 3.46
April 2003 1.15 4.88 3.61
May 2003 1.18 4.78 3.66
June 2003 1.15 4.77 3.61
July 2003 1.12 4.63 3.49
August 2003 1.11 4.68 3.51
September 2003 1.06 4.48 3.34
October 2003 1.00 4.42 3.27
November 2003 1.02 4.36 3.46
December 2003 0.99 4.31 3.48
January 2004 1.01 4.33 3.63
February 2004 0.92 4.22 3.40
March 2004 0.92 4.22 3.38
April 2004 0.88 4.09 3.23
May 2004 0.93 4.15 3.40
June 2004 0.93 4.05 3.41
July 2004 0.92 3.99 3.40
August 2004 0.86 3.84 3.19
September 2004 0.86 3.80 3.25
October 2004 0.93 3.88 3.46
November 2004 0.90 3.71 3.38
December 2004 0.89 3.61 3.29
January 2005 0.86 3.49 3.18
February 2005 0.87 3.49 3.18
March 2005 0.89 3.51 3.22
April 2005 0.87 3.45 3.18
May 2005 0.87 3.48 3.24
June 2005 0.86 3.47 3.27
July 2005 0.90 3.57 3.39
August 2005 0.87 3.47 3.29
September 2005 0.90 3.52 3.31
October 2005 0.89 3.51 3.29
November 2005 0.93 3.60 3.38
December 2005 0.90 3.53 3.31
January 2006 0.86 3.41 3.15
February 2006 0.84 3.39 3.07
March 2006 0.81 3.32 3.03
April 2006 0.88 3.54 3.32
May 2006 0.87 3.52 3.28
June 2006 0.89 3.61 3.29
July 2006 0.86 3.51 3.07
August 2006 0.88 3.54 3.08
September 2006 0.92 3.64 3.10
October 2006 0.91 3.60 3.03
November 2006 0.92 3.64 3.06
December 2006 0.97 3.76 3.17
January 2007 0.97 3.76 3.07
February 2007 1.00 3.86 3.06
March 2007 1.00 3.85 2.93
April 2007 1.06 4.07 3.06
May 2007 1.07 4.15 3.05
June 2007 1.09 4.32 3.08
July 2007 1.09 4.32 3.03
August 2007 1.06 4.29 2.88
September 2007 1.12 4.50 3.01
October 2007 1.11 4.54 2.97
November 2007 1.15 4.71 3.04
December 2007 1.12 4.60 2.95
January 2008 1.15 4.77 3.00
February 2008 1.12 4.78 2.84
March 2008 1.14 5.01 2.81
April 2008 1.15 5.11 2.76
May 2008 1.18 5.16 2.78
June 2008 1.14 5.03 2.65
July 2008 1.13 5.02 2.58
August 2008 1.22 5.34 2.77
September 2008 1.22 5.37 2.75
October 2008 1.27 5.53 2.76
November 2008 1.35 5.85 2.91
December 2008 1.36 5.97 2.85
January 2009 1.37 6.06 2.84
February 2009 1.25 5.83 2.53
March 2009 1.30 5.96 2.59
April 2009 1.29 5.80 2.59
May 2009 1.34 5.72 2.66
June 2009 1.30 5.50 2.58
July 2009 1.29 5.43 2.49
August 2009 1.28 5.35 2.44
September 2009 1.28 5.35 2.43
October 2009 1.28 5.29 2.41
November 2009 1.27 5.18 2.36
December 2009 1.24 5.02 2.29
January 2010 1.27 5.19 2.38
February 2010 1.26 5.15 2.33
March 2010 1.23 5.14 2.28
April 2010 1.15 4.81 2.12
May 2010 1.14 4.82 2.16
June 2010 1.13 4.72 2.17
July 2010 1.14 4.69 2.21
August 2010 1.09 4.49 2.10
September 2010 1.09 4.48 2.10
October 2010 1.14 4.68 2.17
November 2010 1.11 4.62 2.12
December 2010 1.08 4.51 2.06
January 2011 1.01 4.31 1.95
February 2011 1.03 4.33 2.03
March 2011 1.01 4.30 1.97
April 2011 1.02 4.33 1.99
May 2011 1.01 4.29 1.93
June 2011 1.04 4.38 2.03
July 2011 1.08 4.50 2.09
August 2011 1.07 4.42 2.07
September 2011 1.04 4.38 2.01
October 2011 0.99 4.18 1.94
November 2011 0.99 4.18 1.97
December 2011 0.99 4.17 1.98
January 2012 0.95 3.80 1.87
February 2012 0.93 3.41 1.79
March 2012 0.95 3.20 1.79
April 2012 0.96 3.33 1.82
May 2012 0.98 3.47 1.85
June 2012 0.97 3.45 1.83
July 2012 0.96 3.35 1.79
August 2012 0.94 3.32 1.73
September 2012 1.02 3.68 1.91
October 2012 0.99 3.55 1.87
November 2012 1.00 3.47 1.88
December 2012 0.92 3.03 1.72
January 2013 0.92 3.13 1.77
February 2013 0.93 3.25 1.82
March 2013 0.95 3.44 1.88
April 2013 0.92 3.31 1.81
May 2013 0.89 3.22 1.75
June 2013 0.90 3.24 1.80
July 2013 0.92 3.33 1.83
August 2013 0.94 3.31 1.88
September 2013 0.86 3.09 1.73
October 2013 0.85 3.16 1.75
November 2013 0.84 3.25 1.76
December 2013 0.84 3.29 1.75
January 2014 0.82 3.26 1.70
February 2014 0.79 3.20 1.62
March 2014 0.78 3.13 1.60
April 2014 0.79 3.13 1.64
May 2014 0.80 3.20 1.69
June 2014 0.80 3.24 1.70
July 2014 0.79 3.21 1.71
August 2014 0.85 3.25 1.81
September 2014 0.82 3.12 1.76
October 2014 0.80 3.09 1.69
November 2014 0.79 3.16 1.75
December 2014 0.78 3.13 1.72
January 2015 0.81 3.17 1.80
February 2015 0.74 2.90 1.63
March 2015 0.75 2.96 1.67
April 2015 0.74 2.89 1.63
May 2015 0.77 3.15 1.73
June 2015 0.77 3.14 1.73
July 2015 0.77 3.15 1.72
August 2015 0.75 2.98 1.65
September 2015 0.75 3.00 1.67
October 2015 0.76 2.97 1.73
November 2015 0.75 2.94 1.70
December 2015 0.73 2.91 1.67
January 2016 0.82 3.18 1.85
February 2016 0.76 2.95 1.73
March 2016 0.78 3.05 1.78
April 2016 0.72 2.87 1.64
May 2016 0.77 3.14 1.79
June 2016 0.77 3.09 1.78
July 2016 0.81 3.26 1.85
August 2016 0.78 3.16 1.79
September 2016 0.76 3.08 1.72
October 2016 0.71 2.88 1.62
November 2016 0.72 2.95 1.65
December 2016 0.75 3.09 1.72
January 2017 0.74 3.05 1.70
February 2017 0.74 3.12 1.71
March 2017 0.73 3.02 1.66
April 2017 0.80 3.33 1.87
May 2017 0.78 3.19 1.82
June 2017 0.78 3.18 1.82
July 2017 0.72 2.91 1.64
August 2017 0.74 2.98 1.70
September 2017 0.81 3.16 1.89
October 2017 0.83 3.17 1.93
November 2017 0.83 3.13 1.92
December 2017 0.81 3.02 1.87
January 2018 0.76 2.92 1.76
February 2018 0.77 2.88 1.76
March 2018 0.73 2.80 1.67
April 2018 0.74 2.75 1.67
May 2018 0.72 2.75 1.65
June 2018 0.73 2.84 1.69
July 2018 0.73 2.87 1.69
August 2018 0.72 2.80 1.66
September 2018 0.74 2.73 1.76
October 2018 0.71 2.63 1.71
November 2018 0.70 2.53 1.71

Note Percent of previously current mortgages that transition from being current mortgages that transition from bein 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. Estimates of Housing Leverage

This is a line chart titled "Estimates of Housing Leverage". The x-axis ranges from the years 1999 to 2018. 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 is quarterly, ending in Q4 of 2018. There are two variables charted on the plot. 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 at the end of the time period.

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

Percent

Date Corelogic Zillow
January 2011 25.28  
February 2011 25.14  
March 2011 24.99 30.58
April 2011 24.93  
May 2011 24.87  
June 2011 24.81 30.04
July 2011 24.65  
August 2011 24.50  
September 2011 24.36 30.58
October 2011 24.65  
November 2011 24.93  
December 2011 25.23 31.12
January 2012 24.69  
February 2012 24.20  
March 2012 23.67 31.41
April 2012 23.21  
May 2012 22.74  
June 2012 22.28 30.93
July 2012 22.17  
August 2012 22.06  
September 2012 21.96 28.24
October 2012 21.84  
November 2012 21.72  
December 2012 21.60 27.46
January 2013 21.11  
February 2013 20.67  
March 2013 20.18 25.45
April 2013 18.43  
May 2013 16.62  
June 2013 14.87 23.77
July 2013 14.35  
August 2013 13.83  
September 2013 13.33 20.95
October 2013 13.37  
November 2013 13.41  
December 2013 13.45 19.39
January 2014 13.25  
February 2014 13.07  
March 2014 12.88 18.83
April 2014 12.23  
May 2014 11.56  
June 2014 10.92 17.89
July 2014 10.74  
August 2014 10.56  
September 2014 10.39 16.95
October 2014 10.49  
November 2014 10.59  
December 2014 10.69 16.89
January 2015 10.54  
February 2015 10.41  
March 2015 10.27 15.41
April 2015 9.81  
May 2015 9.34  
June 2015 8.88 14.43
July 2015 8.70  
August 2015 8.53  
September 2015 8.36 13.43
October 2015 8.36  
November 2015 8.36  
December 2015 8.36 13.09
January 2016 8.28  
February 2016 8.20  
March 2016 8.12 12.72
April 2016 7.77  
May 2016 7.41  
June 2016 7.06 12.11
July 2016 6.82  
August 2016 6.58  
September 2016 6.34 10.86
October 2016 6.32  
November 2016 6.29  
December 2016 6.26 10.55
January 2017 6.19  
February 2017 6.12  
March 2017 6.05 10.37
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 9.14
January 2018 4.84  
February 2018 4.78  
March 2018 4.71  
April 2018 4.57  
May 2018 4.42  
June 2018 4.28  
July 2018 4.23  
August 2018 4.18  
September 2018 4.13  
October 2018 4.14  
November 2018 4.14  
12/31/2018 4.15  

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

Source CoreLogic; Zillow.

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Figure 2-14. Consumer Credit Balances

This is a line chart titled "Consumer Credit Balances". The x-axis ranges from the years 1999 to 2018 (Q4). The y-axis ranges from 200 to 1800, in the units billions of dollars (real). The data is quarterly. There are 3 variables plotted on the chart. The first line is labeled 'Auto loans'; is designated by a black line; and ranges from around 500 to 1200 billions of dollars. It starts around at around 500 in 1999 and increases to around 1000 billions of dollars in 2005-2006. Auto loan balances fall slightly to around 800 in 2012 but began increasing again afterwards; the line ends at about 1200 billions of dollars in 2018. The second variable is labeled 'Credit cards' and is represented by a blue line. It ranges from around 500 to 1000 billions of dollars. Starting at around 700 billions of 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 billions of 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 billions of dollars in 2005. There are two small, brief dips in 2008 and 2012 but otherwise balances steadily increase to about 1400 billions of 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. Auto Loan Balances

This is a line chart labeled "Auto Loan Balances". The x-axis ranges from the years 1999 to 2018, and the y-axis ranges from 150 to 600 billions of dollars (real). The data is quarterly, ending in Q4 of 2018. 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 billions of dollars. Auto loans to borrowers with prime credit scores started at around 175 billions of 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 billions of dollars at the end of the time period. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 200 to 350 billions of dollars. Starting at 200 billion in 1999, balances to 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'; is designated by an orange line; and ranges from around 150 to 300 billions of 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. Auto Loan Delinquency Rates

This is a line chart titled "Auto Loan Delinquency Rates". The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 16 percent, measuring delinquency rates on auto loans. The data is quarterly, ending in Q4 of 2018. There are 3 variables charted on the plot. 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'; is represented by a blue line; and ranges from around 2 to 3 percent. The variable is mostly flat at 2 percent except for a small one percentage point 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 time 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 2-17. Credit Card Balances

This is a line chart labeled "Credit Card Balances". The x-axis ranges from the years 1999 to 2018, and the y-axis ranges from 50 to 450 billions of dollars (real). The data is quarterly, ending in Q4 of 2018. 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 200 to 450 billions of dollars. Auto loans to borrowers with prime credit scores started at around 200 billions of dollars in 1999 and continued to increase to around 450 billion in 2009. There is a slight decline from 2009 until balances were close to 350 billion in 2011 and 2012. From 2012 onwards, the balances labeled 'Prime' have been increasing with fluctuations, reaching almost 450 billions of dollars at the end of the time period. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 250 to 400 billions of dollars. Starting at 350 billion in 1999, balances to those with near prime credit increases to almost 400 billion dollars in 2002 to 2003. Near prime balances decrease to around 350 billion dollars in 2005 and remains mostly flat until 2008 before decreasing to around 250 billion dollars in 2011. The level has risen slowly since then, nearing 300 billion in 2018. The third variable is labeled 'Subprime'; is designated by an orange line; and ranges from around 100 to 250 billions of dollars. It starts at around 200 billion dollars in 1999 and increases until reaching a peak at around 250 billion dollars in 2002. It decreases to around 200 billion in 2005 before beginning to increase with fluctuations to around 250 billion in 2008. It decreases to around 100 billion dollars in 2013 before slowly climbing again, reaching close to 150 billion dollars 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 2-18. Credit Card Delinquency Rates

This is a line chart titled "Credit Card Delinquency Rates". The x-axis ranges from the years 2000 to 2018. The y-axis ranges from 0 to 30 percent, measuring delinquency rates on credit cards. The data is quarterly, ending in Q4 of 2018. There are 3 variables charted on the plot. The first variable is labeled 'Prime' and is denoted by the black line. It ranges from around 1 to 3 percent. The variable is mostly flat at 1 percent except for a small two percentage point increase between 2009 and 2011. The second variable is labeled 'Near prime'; is represented by a blue line; and ranges from around 4 to 8 percent. The variable is mostly flat at 4 percent except for a small four percentage point increase between 2009 and 2011. The third variable is labeled 'Subprime' and is designated by an orange line. It ranges from around 10 to 23 percent. This line starts around 15 percent in 2001 and increases to 20 percent in 2003. It decreases to around 15 percent in 2005 before quickly increasing. The rates peak at around 25 percent in 2010. It falls to 10 percent by 2016 before increasing to reach almost 15 percent in 2017 and leveling off.

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. Ratio of Tangible Bank Equity to Assets

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. The y-axis ranges from 0 to 12 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid red line and ranges from 6 to 10 percent. This variable rises slowly over the time period from about 6.5 percent in 1985 to 10 percent in 2013. It has remained near 10 percent through 2018. 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 percent in 1985, fell to 4 percent in 1987, increased to 6 percent in 1993, remained near 6 percent through 2003, decreased to about 5 percent in 2008, and increased to 8 percent in 2012 where it has remained through 2018.

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. Common Equity Tier 1 Ratio of Banks

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. The y-axis ranges from 0 to 14 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid red 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 has remained near 12 percent through 2018. 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 through the end of 2013 where it has remained through 2018.

Note: The data are seasonally adjusted by Board staff. Sample includes banks as of 2018:Q4. 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. Change in Bank Lending Standards for C&I Loans

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 fourth 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 3-4. Borrower Leverage for Bank C&I Loans

This is a line chart titled "Borrower Leverage for Bank C&I Loans." The x-axis measures time and ranges from years 2013 to 2018. The y-axis ranges from 24 to 36 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled 'Nonpublicly traded firms', is designated by a solid blue line and ranges from about 30 to 34 percent. This variable begins at 32 percent, quickly decreases to about 30 percent in 2013, rises slowly to 34 percent in 2018, and decreases to just above 33 percent in 2018:Q4. The second line, labeled 'Publicly traded firms', is designated by a solid black line and ranges from about 25 to 31 percent. This variable begins at about 25.5, increases steadily to 31 percent in 2016:Q2, decreases to 30 percent in 2016:Q4, and rises slowly to about 31 percent in 2018 before dropping close to 30 percent in 2018:Q4.

Note: Weighted median leverage of nonfinancial firms 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 3-5. Leverage of Broker-Dealers

Ratio of assets to equity

Period Leverage of Broker-Dealers
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 15.12
2018:Q3 15.03
2018:Q4 15.81

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 3-6. Leverage of Insurance Companies

Ratio of assets to equity

Period Life Property and casualty
2000:Q1 8.63 5.49
2000:Q2 8.45 5.40
2000:Q3 8.39 5.33
2000:Q4 8.96 5.75
2001:Q1 8.36 5.40
2001:Q2 8.83 5.50
2001:Q3 9.45 6.22
2001:Q4 10.03 6.37
2002:Q1 9.63 6.24
2002:Q2 9.83 6.32
2002:Q3 10.14 6.41
2002:Q4 10.79 6.66
2003:Q1 11.04 6.79
2003:Q2 11.16 6.71
2003:Q3 11.00 6.72
2003:Q4 10.93 6.68
2004:Q1 11.29 7.05
2004:Q2 11.37 6.74
2004:Q3 11.48 6.79
2004:Q4 11.68 6.80
2005:Q1 11.30 6.79
2005:Q2 10.67 6.58
2005:Q3 10.78 6.63
2005:Q4 10.87 6.45
2006:Q1 10.11 6.47
2006:Q2 10.00 6.38
2006:Q3 9.94 6.35
2006:Q4 9.87 6.28
2007:Q1 9.97 6.33
2007:Q2 9.83 6.32
2007:Q3 9.96 6.32
2007:Q4 9.74 6.09
2008:Q1 10.84 6.54
2008:Q2 10.72 6.45
2008:Q3 10.64 6.47
2008:Q4 10.77 5.99
2009:Q1 10.79 5.96
2009:Q2 9.97 5.62
2009:Q3 9.97 5.61
2009:Q4 8.92 5.23
2010:Q1 9.24 5.21
2010:Q2 9.45 5.14
2010:Q3 9.73 5.22
2010:Q4 8.63 4.49
2011:Q1 9.55 4.63
2011:Q2 9.36 4.58
2011:Q3 9.47 4.42
2011:Q4 8.83 4.15
2012:Q1 8.78 4.14
2012:Q2 8.81 4.14
2012:Q3 9.17 4.18
2012:Q4 9.43 4.20
2013:Q1 9.25 4.12
2013:Q2 8.89 3.99
2013:Q3 8.67 3.93
2013:Q4 8.53 3.92
2014:Q1 8.57 3.89
2014:Q2 8.44 3.71
2014:Q3 8.40 3.66
2014:Q4 8.44 3.62
2015:Q1 8.53 3.58
2015:Q2 8.24 3.55
2015:Q3 8.48 3.49
2015:Q4 9.12 3.50
2016:Q1 9.30 3.59
2016:Q2 9.73 3.61
2016:Q3 9.83 3.59
2016:Q4 9.70 3.83
2017:Q1 9.80 3.62
2017:Q2 9.87 3.63
2017:Q3 9.52 3.68
2017:Q4 9.65 3.77
2018:Q1 9.66 3.31
2018:Q2 9.68 2.96
2018:Q3 9.66 2.93
2018:Q4 9.87 3.03

Note: The data extend through 2018:Q4. Ratio is calculated as (total assets - separate account assets)/(total capital - accumulated other comprehensive income).

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

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Figure 3-7. 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 5.4 2.3
August 2016 5.7 2.3
September 2016 5.4 2.3
October 2016 6.0 2.4
November 2016 6.1 2.4
December 2016 5.5 2.3
January 2017 6.0 2.4
February 2017 6.2 2.4
March 2017 6.0 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 7.1 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
January 2018 7.8 2.4
February 2018 7.7 2.4
March 2018 7.4 2.3
April 2018 8.2 2.3
May 2018 8.3 2.4
June 2018 8.0 2.3

Note Leverage is computed as the ratio of hedge funds' gross notional exposure (including derivative notional exposures and the nominal value of all long and short positions) to net asset value. 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 3-8. 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
2018:Q4 0.00 0.00 0.00 0.00
2019:Q1 -8.70 -4.76 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 3-9. Issuance of Non-agency Securitized Products, by Asset Class

This is a stacked bar chart with five categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x-axis is in years and spans from 2001 to 2019. 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 100 in 2001, peak at about 500 in 2006, decrease to about 50 by 2008 and then zero in 2011, and generally increase to end at about 150 in 2019. Auto loan/lease ABS, represented in yellow, begins at about 100 in 2001 and remains at that level until 2008 where it decreases. The bar then increases to about 100 by 2012, and increases to around 120 by 2019. Non-agency CMBS, represented in orange, begins at about 100 in 2001, peaks at about 300 in 2007, drops to about zero from 2008 through 2011, and increases to end at about 70 in 2019. Private-label RMBS, represented in dark gray, begins at about 350 in 2001, peaks at about 1400 in 2005, decreases to about zero by 2008, and slowly increases to about 100 in 2019. Other, represented in light gray, begins at about 200 in 2001, peaks at about 275 in 2007, drops to about 150 in 2008, and remains near that level to end at about 100 in 2019. All five categories together begin at about 800 in 2001 and peak near 2400 in 2006. The total then drops to about 400 in 2008, and ends at about 500 in 2019.

Note: The data from the first quarter of 2019 are annualized to create the 2019 bar. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; RMBS is residential-mortgage-backed securities; CLO is collateralized loan obligation. The "Other" category consists of other asset-backed securities (ABS) backed by credit card debt, student loans, equipment, floor plans, and miscellaneous receivables; re-securitized real estate mortgage investment conduit (Re-REMIC) RMBS; and Re-REMIC CMBS. The data are converted to constant 2019 dollars using the consumer price index.

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 3-10. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

This is a stacked line chart titled "Large Bank Lending to Nonbank Financial Firms: Committed Amounts." The x-axis measures time and ranges from years 2013 to 2018. The y-axis measures billions of dollars and ranges from 0 to 1800. The data are quarterly. There are 10 variables charted on the plot, which sum up to represent total committed amounts extended to nonbank financials by large banks. The overall trend has been steadily increasing from about 600 billion in 2013 to about 1.3 trillion in 2018:Q4. The first variable, 'financial transactions processing', is designated by blue shading. This variable increases from 12 billion in 2013 to 25 billion in 2018. The second variable, 'Private equity, BDCs, and credit funds', is designated by red shading. This variable increases from 5 billion in 2013 to 60 billion in 2018. The third variable, 'Broker-dealers', is designated by light blue shading. This variable increases steadily from 66 billion in 2013:Q1 to 106 billion in 2015:Q3, and remains near 100 billion through 2018:Q4. The fourth variable, 'Insurance', is designated by purple shading. This variable remains constant through 2015:Q2 at about 90 billion, increases sharply in 2015:Q3 to 110 billion, decreases to 100 billion in 2016:Q2, increases to 119 billion in 2016:Q4, falls to 103 billion in 2017:Q2, and increases through 2018:Q1 to 143 billion before falling to 115 billion in 2018:Q4. The fifth variable, 'REITs', is designated by dark pink shading. Increases steadily from 60 billion in 2013:Q1 to 130 billion in 2018:Q3 before dropping to 115 billion in 2018:Q4. The sixth variable, 'Open-end investment funds', is designated by green shading. This variable increases steadily from 70 billion in 2013:Q1 to 123 billion in 2018:Q4. The seventh variable, 'Special purpose entities, CLOs, and ABS', is designated by light gray shading. Increases steadily from 60 billion in 2013:Q1 to 140 billion in 2018:Q4. The eighth variable, 'Other financial vehicles', is designated by dark gray shading. This variable increased from 130 billion in 2013:Q1 to 215 billion 2018:Q4. The ninth variable, 'Real estate lenders and lessors', is designated by beige shading. This variable has increased steadily from 95 billion in 2013:Q1 to nearly 200 billion in 2018:Q4. The tenth variable, 'Consumer lenders, other lenders, and lessors', is designated by dark blue shading. This variable increased slightly from near 130 billion in 2013:Q1 to 160 billion in 2015:Q4, before falling to 150 billion in 2016:Q2, and increases to 180 billion in 2017:Q4 where it has remained through 2018:Q4.

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 26 bank holding companies that have filed Form FR Y-14Q in every quarter since 2013:Q1. Nonbank financial firms are identified based on reported North American Industry Classification System (NAICS) codes. In addition to NAICS codes, a name-matching algorithm is applied to identify specific entities such as real estate investment trusts (REITs), special purpose entities, collateralized loan obligations (CLOs), and asset backed securities (ABS). REITs incorporate both mortgage (trading) REITs and equity REITs. Broker-dealers also include commodity contracts dealers and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds and financial planning and pension funds.

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

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Figure 4-1. Liquid Assets Held by Banks

This is a line chart titled "Liquid Assets Held by Banks." The x-axis measures time and ranges from the years 2001 to 2018. 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 charted on the plot. The first line, labeled 'Large BHCs', is designated by a solid black line and ranges from 4 to about 22 percent. This variable rises from about 4.5 percent in 2001:Q1, remains near that level until mid-2004, decreases to about25 by 2008:Q2, increases to nearly 18 by 2014:Q1, and remains near that level through 2018:Q4. 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 7 percent in 2001:Q1, decreases to about 2 by 2006:Q3, remains near that level through 2008:Q4, increases to about 12 by 2010:Q3, and remains near that level through 2013:Q1. It then decreases to about 9 percent in 2016:Q2 and has remained near that through 2018:Q4.

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. Short-Term Wholesale Funding of Banks

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x-axis measures time and ranges from the years 2000 to 2018. 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:Q4.

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

Date Uninsured deposits Repurchase agreements Domestic money market funds Commerical paper Securities lending Other
2002:Q1 11.22 19.01 20.83 13.04 3.67 3.80
2002:Q2 11.47 20.56 20.11 12.33 3.96 3.75
2002:Q3 12.37 20.94 19.63 12.15 2.75 3.85
2002:Q4 12.87 20.67 20.46 12.38 2.66 4.01
2003:Q1 13.18 20.99 19.66 12.11 3.24 4.22
2003:Q2 14.02 22.35 19.07 11.70 3.69 4.31
2003:Q3 13.51 21.63 18.07 11.16 4.51 4.09
2003:Q4 13.54 21.68 17.33 10.95 4.64 3.92
2004:Q1 14.04 23.21 16.72 11.12 4.50 3.93
2004:Q2 14.42 23.50 16.04 10.74 5.41 3.97
2004:Q3 14.67 25.33 15.38 10.61 4.79 4.20
2004:Q4 15.15 24.23 15.19 11.14 5.43 4.13
2005:Q1 15.05 25.40 14.61 11.25 6.02 4.07
2005:Q2 15.17 26.78 14.36 11.58 6.65 4.00
2005:Q3 15.28 27.66 14.47 11.85 6.12 4.00
2005:Q4 15.77 26.56 15.20 12.30 5.60 3.99
2006:Q1 15.49 28.20 14.95 12.48 5.61 3.95
2006:Q2 15.7