Accessible Version

A. Corporate Bond Spreads to 10-Year Treasury

It measures high-yield spreads by a solid red line. It is measured on the right side y-axis that ranges from 200 to 2200 basis points. It measures triple-b by a solid black line on the left side y-axis that ranges from 100 to 750 basis points. The x-axis ranges from 2007 to 2020. The data are daily. There is a black vertical line on March 23, 2020 labeled PMCCF/SMCCF. There is a second vertical black line at April 9, 2020 labeled PMCCF/SMCC expanded. The High-yield line begins around 300 basis points in 2007. It then jumps to its peak of almost 2000 basis points in late 2008. It then drops quickly to about 450 basis points in early 2010. It then ranges from roughly 400 to 800 from 2010 to 2020 with small spikes in 2012 and 2016. In 2020, the figure zooms in on the data to show the red line going from 400 to roughly 800 in March and leveling off around 600 on April 23, 2020. Thereafter, the red line continues a slow descent to a little less than 500 basis points in late October. The Triple-B line begins around 120 basis points in 2007. It then jumps to its peak of almost 680 in 2008. It then drops quickly to 110 in very early 2010. It then ranges from roughly 200 to 300 from 2010 to 2020 with small spikes in 2012 and 2016. In 2020, the figure zooms in on the data to show the black line going from 150 to roughly 400 in March and leveling off around 250 on April 23, 2020. Thereafter, the black line continues to slowly decrease through October and near the end of October is a little more than 150 basis points.

Note: The shaded area with a top cap represents an expanded window focusing on the period from February 17 onward. The triple-B reflects the effective yield of the ICE Bank of America Merrill Lynch triple-B U.S. Corporate Index (C0A4), and the high yield reflects the effective yield of the ICE BofAML U.S. High Yield Index (H0A0). Treasury yields from smoothed yield curve are estimated from off-the-run securities. Spreads over 10-year Treasury yield. PMCCF is the Primary Market Corporate Credit Facility, and SMCCF is the Secondary Market Corporate Credit Facility.

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

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B. Municipal Bond Yields, by rating

The x axis ranges from 2018 to 2020. The Y axis ranges from 0 to 5 percent. The data is business daily. There are two variables charted on the plot. The first line is labeled Triple-A; is designated by a solid black line; and ranges from 0.95% to 2.78%. This variable starts at about 2 percent in 2018 and begins to increase in late 2018 to 2.75 percent. After increasing in late 2018, there is a steady decline throughout 2019 and into the early part of 2020 where it hits the minimum value of 0.95 percent. In mid-March, the line spikes up to the maximum value of 2.78 percent and then equally as suddenly begins to decrease to about 1.5 percent. Thereafter, there are much less notable spikes around early April and May. After the spike in early May, the line continually decreases throughout the third quarter of 2020 until August where the line begins to gradually increase all the way through October. The line ends at 1.3 percent in mid-October. The second line is labeled Triple B; is designated by a solid red line; and ranges from 1.8% to 4.2%. This variable starts at about 3 percent in 2018 and slightly increases to 3.5 percent in late 2018. After increasing in late 2018, there is a steady decline throughout 2019 and into the early part of 2020 where it hits the minimum value of 1.8 percent. In mid-March, the line spikes up to the maximum value of 4.2 percent and then equally as suddenly begins to decrease to about 3.5 percent. Thereafter, there are much less notable spikes around early April and May. After the spike in early May, the line continually decreases throughout the third quarter of 2020 until August where the line begins to gradually increase all the way through October. The line ends at 3 percent in mid-October.

Source: ICE Data Indices, LLC.

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C. Municipal Bond Spreads, by Rating

The x axis ranges from January 2020 to October 2020. The Y axis ranges from -200 to 500 in basis point units. The data is business daily. There are two variables charted on the plot. The first line is labeled Triple-A; is designated by a solid black line; and ranges from -55 basis points to 216 basis points. This variable starts at -43 basis points and remains near this value through January and February. The line spikes sharply in late March to 216 basis points and then in early April decreases to 64 basis points. There is one less notable spike in mid-April and, thereafter, the line decreases throughout June before leveling out. The last value is 6.6 basis points in mid-October. The second line is labeled Triple-B; is designated by a solid red line; and ranges from 14 basis points to 376 basis points. This variable starts at 29 basis points and remains near this value through January and February. The line spikes sharply in late March to 376 basis points and then in early April decreases to 250 basis points. There is one less notable spike in mid-April and, thereafter, the line decreases fairly significantly throughout August before leveling out. The last value is 163 basis points in mid-October.

Note: Spreads on municipal bonds are relative to comparable-maturity Treasury yields.

Source: ICE Data Indices, LLC.

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D. Cumulative Corporate Credit Issuance

Billions of dollars

Week Number Average investment-grade (2015-19, left scale) Average high-yield (2015-19, right scale) Investment-grade (2020 YTD, left scale) High-yield (2020 YTD, right scale)
1 0.00 0.00 0.00 0.00
2 23.61 0.26 61.93 10.20
3 53.37 4.14 92.34 20.13
4 89.55 9.62 116.29 34.30
5 111.67 13.99 127.89 38.24
6 132.37 20.89 148.50 51.89
7 148.68 27.21 178.60 61.39
8 161.72 29.28 209.80 68.15
9 192.44 33.64 210.15 68.15
10 230.41 39.21 238.93 71.77
11 277.25 48.49 246.08 71.77
12 300.80 56.67 308.77 71.77
13 321.30 60.50 420.22 71.77
14 336.29 66.11 533.12 75.17
15 356.44 70.52 570.42 77.55
16 369.21 77.67 624.87 93.30
17 390.72 83.45 662.27 105.87
18 412.62 89.39 749.20 109.62
19 435.85 93.89 841.92 119.20
20 482.41 101.67 901.86 130.70
21 515.20 107.35 946.53 141.10
22 538.87 112.47 982.06 152.94
23 559.46 118.53 1028.96 165.97
24 588.54 123.58 1052.48 176.17
25 610.27 128.86 1102.04 198.40
26 626.06 133.67 1123.44 205.75
27 632.78 138.43 1139.31 209.57
28 645.07 138.63 1159.46 217.37
29 674.42 140.61 1170.86 223.14
30 702.99 145.88 1177.59 228.10
31 726.64 149.74 1201.74 235.06
32 750.95 155.54 1235.49 248.82
33 785.17 162.88 1282.31 271.22
34 805.32 166.13 1317.41 279.70
35 809.88 167.14 1334.67 280.68
36 813.11 167.14 1337.99 283.18
37 853.47 171.39 1405.54 298.03
38 893.94 181.30    
39 918.75 187.66    
40 932.85 193.61    
41 952.12 196.95    
42 967.44 199.79    
43 989.17 201.84    
44 1008.37 205.39    
45 1034.99 210.82    
46 1059.29 215.44    
47 1089.31 221.61    
48 1106.84 227.12    
49 1119.79 230.88    
50 1137.94 236.07    
51 1147.53 239.49    
52 1147.83 241.68    
53 1148.07 241.71    

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

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E. 2020 Weekly Municipal Bond Issuance, by Rating

The x-axis ranges from January 2020 to September 2020. The Y axis ranges from 0 to 22 in billions of dollars. The data is weekly. There are four black dotted lines in the chart. The first dotted black line is at March 27th, 2020 and labeled “A.” The second dotted black line is at April 10th, 2020 and labeled “B.” The third dotted black line is at May 15th, 2020 and labeled “B.” The fourth dotted black line is at August 7th, 2020 and labeled “D.” There are five variables charted on the plot. The overall trend in the chart is a collapse in issuance in March 2020 and then a return to more normal levels thereafter. The first section of the bars is labeled Double-A; is designated by the tan section of the bar; and ranges from 250 million to 10 billion. The second section of the bars is labeled Triple-A; is designated by the dark blue section of the bar; and ranges from 0 to 4.75 billion. The third section of the bars is labeled A; is designated by the orange section of the bar; and ranges from 0 million to 3 billion. The fourth section of the bars is labeled Triple-B; is designated by the light blue section of the bar; and ranges from 0 million to 2.5 billion. The fifth section of the bars is labeled Triple-B; is designated by the grey section of the bar; and ranges from 0 million to 375 million.

Note: Key identifies bars in order from bottom to top.

Source: Bloomberg.

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F. Consumer ABS Spreads (3-Year Triple-A)

The x-axis ranges from February 2020 to October 2020. The Y axis ranges from 0 to 350 in basis point units. The data is weekly. There is a solid black line at March 23th, 2020 and labeled “TALF announcement.” There are three variables charted on the plot. The first line is labeled “FFELP student loans”; is designated by a solid light blue line; and ranges from 50 to 180 basis points. This variable in mid-March spikes to 180 basis points and decreases quickly into early April. The variable continues to decrease through July and starts to level out thereafter. The last value for the variable is 70 basis points. The second line is labeled “Fixed credit cards”; is designated by a solid orange line; and ranges from 12 to 200 basis points. This variable in mid-March spikes to 180 basis points and decreases sharply into early April. The variable continues to decrease through May and starts to level out thereafter. The last value for the variable is 13 basis points. The third line is labeled “Fixed prime auto”; is designated by a solid grey line; and ranges from 19 to 200 basis points. This variable in mid-March spikes to 200 basis points and decreases sharply into early April. The variable increases in mid-April and then continues to decrease into June. Thereafter, the variable starts to level out and remains near its last value of 19 basis points.

Note: TALF is the Term Asset-Backed Securities Loan Facility. Spreads are to the swap rate for credit card and auto asset-backed securities (ABS) and to 3-month LIBOR (London interbank offered rate) for student loans. FFELP is Federal Family Education Loan Program.

Source: JPMorgan Chase & Co.

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A. Indicative U.S. Treasury Bid-Ask Spreads

The x-axis measures time and ranges from March 02, 2020 to September 11, 2020. The data is daily. There are two solid black lines in the chart. The first solid black line is at March 15th, 2020 and is labeled “Asset purchases announced.” The second solid black line is at March 23rd, 2020 and is labeled “Asset purchases expanded.” There are 3 variables charted on the plot. The left y-axis measures Cents per $100 and ranges from 0 to 60 with 2 variables associated with it. The first line is labeled ‘On-the-run bid-ask spread’; is designated by a red line; and ranges from 0 to 5. The variable rises gradually from March 2 to a peak of about 6 on March 10 before declining gradually to about 2 during early April. Thereafter, the variable remains steady around this level through September 25th. The last value for the variable is 1.56. The second variable is labeled 'First off-the-run bid-ask spread' and is designated by a blue line. It ranges from 0 to 35. The variable rises steadily from March 2 to a peak of about 30 on March 16 before declining gradually to 10 in early April. The variable continues to decline throughout April and levels out at around 3 in mid-May. Thereafter, the variable remains near this level through September 25th. The last value for the variable is about 2.5. The right y-axis measures Billions of Dollars and ranges from 0 to 2,800 with 1 variable associated with it. The third line is labeled “Cumulative FED UST purchases since March 1” and is designated by a black line. It ranges from 0 to 2,000 billions of dollars. The variable rises steadily from March 1 till mid-May where it continues to increase but at a slower rate. The last value is 1990 billions of dollars on September 25th.

Note: Indicative bid-ask spreads for 10-year Treasury note. The bid-ask spread for a security is the difference between the bid price and the ask price, where the "bid" is the price to buy a security and the "ask" is the price to sell it. On March 15, the Federal Open Market Committee announced an increase of its holdings of Treasury securities by at least $500 billion and its holdings of agency mortgage-backed securities by at least $200 billion. On March 23, the Federal Reserve announced it would continue to purchase Treasury securities and agency mortgage-backed securities in the amounts needed to support smooth market functioning and effective transmission of monetary policy to broader financial conditions. UST is U.S. Treasury securities.

Source: Federal Reserve Bank of New York.

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B. 1-Month Funding Market Spreads for Investment-Grade Nonfinancial Corporations

The x-axis measure time and ranges from February 14 to April 29. The data is daily. The y-axis is measured in basis points and ranges from 0 to 600. There is one solid black line at March 23rd, 2020 labeled “CPFF and MMLF terms adjusted.” There are 2 lines plotted on this chart. The first line is labeled “AA nonfinancial CP” and is designated by a black line. It begins at -1 in February and rises gradually up to a peak of about 180 on March 31. It then drops to near 24 on April 17th, 2020 and remains there through October 26th, 2020. The second line is labeled “A2/P2 nonfinancial CP” and is designated by a blue line. It starts at 15 and rises sharply to about 100 by March 10. It then rises steeply to around 350 by March 12 and stays flat until March 30. It then declines steadily to about 150 on April 12th, 2020. In mid- and late- May there are two spikes in the series and after the second spike the series declines and levels out through October 2020. The last value in the series is 7.45 on October 26th, 2020.

Note: All spreads are to overnight index swaps of the same tenor. CP is commercial paper and CPFF is the Commercial Paper Funding Facility. MMLF is the Money Market Mutual Fund Liquidity Facility. MMLF operations began on March 23. On the same day, the Federal Reserve announced that the MMLF would be expanded to include negotiable certificates of deposit and variable-rate demand notes. CPFF operations began on April 14. Neither DTCC Solutions LLC nor any of its affiliates shall be responsible for any errors or omissions in any DTCC data included in this publication, regardless of the cause, and in no event shall DTCC or any of its affiliates be liable for any direct, indirect, special, or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit, trading losses, and opportunity costs) in connection with this publication.

Source: Board of Governors of the Federal Reserve System; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation.

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C. Outstanding Balances of Emergency Lending Facilities

Billions of dollars

Week PDCF MMLF CPFF
March 25, 2020 27.72 30.63 0.00
April 1, 2020 33.05 52.67 0.00
April 8, 2020 33.02 53.17 0.00
April 15, 2020 33.41 50.66 0.95
April 22, 2020 31.53 48.81 2.71
April 29, 2020 25.50 46.28 3.35
May 6, 2020 14.90 42.76 3.95
May 13, 2020 10.29 39.82 4.26
May 20, 2020 7.50 36.45 4.26
May 27, 2020 6.24 33.24 4.26
June 3, 2020 5.85 29.86 4.26
June 10, 2020 5.83 26.98 4.25
June 17, 2020 5.31 24.68 4.25
June 24, 2020 3.62 22.89 4.25
July 1, 2020 2.49 20.64 4.25
July 8, 2020 1.87 18.93 4.25
July 15, 2020 1.70 18.64 2.10
July 22, 2020 1.90 17.54 1.55
July 29, 2020 1.79 14.27 0.34
August 5, 2020 1.16 12.25 0.09
August 12, 2020 0.69 11.48 0.03
August 19, 2020 0.69 10.84 0.03
August 26, 2020 0.24 9.96 0.03
September 2, 2020 0.24 9.14 0.03
September 9, 2020 0.24 7.89 0.03
September 16, 2020 0.26 7.44 0.03
September 23, 2020 0.23 7.34 0.03
September 30, 2020 0.23 7.09 0.03

Note: PDCF is Primary Dealer Credit Facility. MMLF is the Money Market Mutual Fund Liquidity Facility. CPFF is the Commercial Paper Funding Facility.

Source: Federal Reserve Board, Statistical Release H.4.1, "Factors Affecting Reserve Balances."

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1-1. Yields on Nominal Treasury Securities

percent, annual rate

Date 2-Year 10-Year
1/16/1997 6.01 6.58
2/15/1997 5.9 6.42
3/16/1997 6.22 6.69
4/16/1997 6.45 6.89
5/16/1997 6.28 6.71
6/16/1997 6.09 6.49
7/16/1997 5.89 6.22
8/16/1997 5.94 6.3
9/16/1997 5.88 6.21
10/16/1997 5.77 6.03
11/16/1997 5.71 5.88
12/16/1997 5.72 5.81
1/16/1998 5.36 5.54
2/15/1998 5.42 5.57
3/16/1998 5.56 5.65
4/16/1998 5.56 5.64
5/16/1998 5.59 5.65
6/16/1998 5.52 5.5
7/16/1998 5.46 5.46
8/16/1998 5.27 5.34
9/16/1998 4.67 4.81
10/16/1998 4.09 4.53
11/16/1998 4.54 4.83
12/16/1998 4.51 4.65
1/16/1999 4.62 4.72
2/15/1999 4.88 5
3/16/1999 5.05 5.23
4/16/1999 4.98 5.18
5/16/1999 5.25 5.54
6/16/1999 5.62 5.9
7/16/1999 5.55 5.79
8/16/1999 5.68 5.94
9/16/1999 5.66 5.92
10/16/1999 5.86 6.11
11/16/1999 5.86 6.03
12/16/1999 6.1 6.28
1/16/2000 6.44 6.66
2/15/2000 6.61 6.52
3/16/2000 6.53 6.26
4/16/2000 6.4 5.99
5/16/2000 6.81 6.44
6/16/2000 6.48 6.1
7/16/2000 6.34 6.05
8/16/2000 6.23 5.83
9/16/2000 6.08 5.8
10/16/2000 5.91 5.74
11/16/2000 5.88 5.72
12/16/2000 5.35 5.24
1/16/2001 4.76 5.16
2/15/2001 4.66 5.1
3/16/2001 4.34 4.89
4/16/2001 4.23 5.14
5/16/2001 4.26 5.39
6/16/2001 4.08 5.28
7/16/2001 4.04 5.24
8/16/2001 3.76 4.97
9/16/2001 3.12 4.73
10/16/2001 2.73 4.57
11/16/2001 2.78 4.65
12/16/2001 3.11 5.09
1/16/2002 3.03 5.04
2/15/2002 3.02 4.91
3/16/2002 3.56 5.28
4/16/2002 3.42 5.21
5/16/2002 3.26 5.16
6/16/2002 2.99 4.93
7/16/2002 2.56 4.65
8/16/2002 2.13 4.26
9/16/2002 2 3.87
10/16/2002 1.91 3.94
11/16/2002 1.92 4.05
12/16/2002 1.84 4.03
1/16/2003 1.74 4.05
2/15/2003 1.63 3.9
3/16/2003 1.57 3.81
4/16/2003 1.62 3.96
5/16/2003 1.42 3.57
6/16/2003 1.23 3.33
7/16/2003 1.47 3.98
8/16/2003 1.86 4.45
9/16/2003 1.71 4.27
10/16/2003 1.75 4.29
11/16/2003 1.93 4.3
12/16/2003 1.91 4.27
1/16/2004 1.76 4.15
2/15/2004 1.74 4.08
3/16/2004 1.58 3.83
4/16/2004 2.07 4.35
5/16/2004 2.53 4.72
6/16/2004 2.76 4.73
7/16/2004 2.64 4.5
8/16/2004 2.51 4.28
9/16/2004 2.53 4.13
10/16/2004 2.58 4.1
11/16/2004 2.85 4.19
12/16/2004 3.01 4.23
1/16/2005 3.22 4.22
2/15/2005 3.38 4.17
3/16/2005 3.73 4.5
4/16/2005 3.65 4.34
5/16/2005 3.64 4.14
6/16/2005 3.64 4
7/16/2005 3.87 4.18
8/16/2005 4.04 4.26
9/16/2005 3.95 4.2
10/16/2005 4.27 4.46
11/16/2005 4.42 4.54
12/16/2005 4.4 4.47
1/16/2006 4.4 4.42
2/15/2006 4.67 4.57
3/16/2006 4.73 4.72
4/16/2006 4.89 4.99
5/16/2006 4.97 5.11
6/16/2006 5.12 5.11
7/16/2006 5.12 5.09
8/16/2006 4.9 4.88
9/16/2006 4.77 4.72
10/16/2006 4.8 4.73
11/16/2006 4.74 4.6
12/16/2006 4.67 4.56
1/16/2007 4.88 4.76
2/15/2007 4.85 4.72
3/16/2007 4.57 4.56
4/16/2007 4.67 4.69
5/16/2007 4.77 4.75
6/16/2007 4.98 5.1
7/16/2007 4.82 5
8/16/2007 4.31 4.67
9/16/2007 4.01 4.52
10/16/2007 3.97 4.53
11/16/2007 3.34 4.15
12/16/2007 3.12 4.1
1/16/2008 2.48 3.74
2/15/2008 1.97 3.74
3/16/2008 1.62 3.51
4/16/2008 2.05 3.68
5/16/2008 2.45 3.88
6/16/2008 2.77 4.1
7/16/2008 2.57 4.01
8/16/2008 2.42 3.89
9/16/2008 2.08 3.69
10/16/2008 1.61 3.81
11/16/2008 1.21 3.53
12/16/2008 0.82 2.42
1/16/2009 0.81 2.52
2/15/2009 0.98 2.87
3/16/2009 0.93 2.82
4/16/2009 0.93 2.93
5/16/2009 0.93 3.29
6/16/2009 1.18 3.72
7/16/2009 1.02 3.56
8/16/2009 1.12 3.59
9/16/2009 0.96 3.4
10/16/2009 0.95 3.39
11/16/2009 0.8 3.4
12/16/2009 0.87 3.59
1/16/2010 0.93 3.73
2/15/2010 0.86 3.69
3/16/2010 0.96 3.73
4/16/2010 1.06 3.85
5/16/2010 0.83 3.42
6/16/2010 0.72 3.2
7/16/2010 0.62 3.01
8/16/2010 0.52 2.7
9/16/2010 0.48 2.65
10/16/2010 0.38 2.54
11/16/2010 0.45 2.76
12/16/2010 0.62 3.29
1/16/2011 0.61 3.39
2/15/2011 0.77 3.58
3/16/2011 0.7 3.41
4/16/2011 0.73 3.46
5/16/2011 0.56 3.17
6/16/2011 0.41 3
7/16/2011 0.41 3
8/16/2011 0.23 2.3
9/16/2011 0.21 1.98
10/16/2011 0.28 2.15
11/16/2011 0.25 2.01
12/16/2011 0.26 1.98
1/16/2012 0.24 1.97
2/15/2012 0.28 1.97
3/16/2012 0.34 2.17
4/16/2012 0.29 2.05
5/16/2012 0.29 1.8
6/16/2012 0.29 1.62
7/16/2012 0.25 1.53
8/16/2012 0.27 1.68
9/16/2012 0.26 1.72
10/16/2012 0.28 1.75
11/16/2012 0.27 1.65
12/16/2012 0.26 1.72
1/16/2013 0.27 1.91
2/15/2013 0.27 1.98
3/16/2013 0.26 1.96
4/16/2013 0.23 1.76
5/16/2013 0.25 1.93
6/16/2013 0.33 2.3
7/16/2013 0.34 2.58
8/16/2013 0.36 2.74
9/16/2013 0.4 2.81
10/16/2013 0.34 2.62
11/16/2013 0.3 2.72
12/16/2013 0.34 2.9
1/16/2014 0.39 2.86
2/15/2014 0.33 2.71
3/16/2014 0.4 2.72
4/16/2014 0.42 2.71
5/16/2014 0.39 2.56
6/16/2014 0.45 2.6
7/16/2014 0.51 2.54
8/16/2014 0.47 2.42
9/16/2014 0.57 2.53
10/16/2014 0.45 2.3
11/16/2014 0.53 2.33
12/16/2014 0.64 2.21
1/16/2015 0.55 1.88
2/15/2015 0.62 1.98
3/16/2015 0.64 2.04
4/16/2015 0.54 1.94
5/16/2015 0.61 2.2
6/16/2015 0.69 2.36
7/16/2015 0.67 2.32
8/16/2015 0.7 2.17
9/16/2015 0.71 2.17
10/16/2015 0.64 2.07
11/16/2015 0.88 2.26
12/16/2015 0.98 2.24
1/16/2016 0.9 2.09
2/15/2016 0.73 1.78
3/16/2016 0.88 1.89
4/16/2016 0.77 1.81
5/16/2016 0.82 1.81
6/16/2016 0.73 1.64
7/16/2016 0.67 1.5
8/16/2016 0.74 1.56
9/16/2016 0.77 1.63
10/16/2016 0.84 1.76
11/16/2016 0.98 2.14
12/16/2016 1.2 2.49
1/16/2017 1.21 2.43
2/15/2017 1.2 2.42
3/16/2017 1.31 2.48
4/16/2017 1.24 2.3
5/16/2017 1.3 2.3
6/16/2017 1.34 2.19
7/16/2017 1.37 2.32
8/16/2017 1.34 2.21
9/16/2017 1.38 2.2
10/16/2017 1.55 2.36
11/16/2017 1.7 2.35
12/16/2017 1.84 2.4
1/16/2018 2.03 2.58
2/15/2018 2.18 2.86
3/16/2018 2.28 2.84
4/16/2018 2.38 2.87
5/16/2018 2.51 2.98
6/16/2018 2.53 2.91
7/16/2018 2.61 2.89
8/16/2018 2.64 2.89
9/16/2018 2.77 3
10/16/2018 2.86 3.15
11/16/2018 2.86 3.12
12/16/2018 2.68 2.83
1/16/2019 2.54 2.71
2/15/2019 2.5 2.68
3/16/2019 2.41 2.57
4/16/2019 2.34 2.53
5/16/2019 2.21 2.4
6/16/2019 1.81 2.07
7/16/2019 1.84 2.06
8/16/2019 1.57 1.63
9/16/2019 1.65 1.7
10/16/2019 1.55 1.71
11/16/2019 1.61 1.81
12/16/2019 1.61 1.86
1/16/2020 1.52 1.76
2/16/2020 1.33 1.5
3/16/2020 0.45 0.87
4/16/2020 0.22 0.66
5/16/2020 0.17 0.67
6/16/2020 0.19 0.73
7/16/2020 0.15 0.62
8/16/2020 0.14 0.65
9/16/2020 0.13 0.68
10/16/2020 0.15 0.78

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

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

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

Percentage points

Date Term Premium
2/15/1997 1.42
3/16/1997 1.56
4/16/1997 1.66
5/16/1997 1.56
6/16/1997 1.49
7/16/1997 1.32
8/16/1997 1.32
9/16/1997 1.33
10/16/1997 1.23
11/16/1997 1.07
12/16/1997 1.00
1/16/1998 0.89
2/15/1998 0.91
3/16/1998 0.97
4/16/1998 0.97
5/16/1998 0.98
6/16/1998 0.89
7/16/1998 0.86
8/16/1998 0.81
9/16/1998 0.59
10/16/1998 0.61
11/16/1998 0.69
12/16/1998 0.60
1/16/1999 0.70
2/15/1999 0.83
3/16/1999 0.99
4/16/1999 0.98
5/16/1999 1.14
6/16/1999 1.32
7/16/1999 1.28
8/16/1999 1.35
9/16/1999 1.35
10/16/1999 1.44
11/16/1999 1.28
12/16/1999 1.35
1/16/2000 1.51
2/15/2000 1.39
3/16/2000 1.22
4/16/2000 1.04
5/16/2000 1.24
6/16/2000 1.06
7/16/2000 0.97
8/16/2000 0.83
9/16/2000 0.83
10/16/2000 0.75
11/16/2000 0.71
12/16/2000 0.53
1/16/2001 0.68
2/15/2001 0.78
3/16/2001 0.78
4/16/2001 1.05
5/16/2001 1.29
6/16/2001 1.29
7/16/2001 1.27
8/16/2001 1.17
9/16/2001 1.19
10/16/2001 1.28
11/16/2001 1.39
12/16/2001 1.77
1/16/2002 1.76
2/15/2002 1.66
3/16/2002 1.84
4/16/2002 1.81
5/16/2002 1.75
6/16/2002 1.60
7/16/2002 1.46
8/16/2002 1.22
9/16/2002 0.96
10/16/2002 0.98
11/16/2002 1.13
12/16/2002 1.17
1/16/2003 1.15
2/15/2003 1.08
3/16/2003 0.99
4/16/2003 1.09
5/16/2003 0.83
6/16/2003 0.67
7/16/2003 1.07
8/16/2003 1.46
9/16/2003 1.36
10/16/2003 1.31
11/16/2003 1.34
12/16/2003 1.31
1/16/2004 1.24
2/15/2004 1.19
3/16/2004 1.01
4/16/2004 1.32
5/16/2004 1.56
6/16/2004 1.49
7/16/2004 1.30
8/16/2004 1.14
9/16/2004 0.97
10/16/2004 0.90
11/16/2004 0.87
12/16/2004 0.84
1/16/2005 0.79
2/15/2005 0.68
3/16/2005 0.85
4/16/2005 0.73
5/16/2005 0.57
6/16/2005 0.45
7/16/2005 0.48
8/16/2005 0.49
9/16/2005 0.42
10/16/2005 0.52
11/16/2005 0.55
12/16/2005 0.48
1/16/2006 0.37
2/15/2006 0.42
3/16/2006 0.48
4/16/2006 0.61
5/16/2006 0.66
6/16/2006 0.62
7/16/2006 0.57
8/16/2006 0.45
9/16/2006 0.39
10/16/2006 0.37
11/16/2006 0.28
12/16/2006 0.27
1/16/2007 0.37
2/15/2007 0.36
3/16/2007 0.26
4/16/2007 0.36
5/16/2007 0.40
6/16/2007 0.66
7/16/2007 0.59
8/16/2007 0.53
9/16/2007 0.51
10/16/2007 0.54
11/16/2007 0.48
12/16/2007 0.53
1/16/2008 0.39
2/15/2008 0.63
3/16/2008 0.67
4/16/2008 0.77
5/16/2008 0.83
6/16/2008 0.93
7/16/2008 0.88
8/16/2008 0.80
9/16/2008 0.77
10/16/2008 1.09
11/16/2008 1.14
12/16/2008 0.52
1/16/2009 0.52
2/15/2009 0.74
3/16/2009 0.68
4/16/2009 0.66
5/16/2009 0.93
6/16/2009 1.28
7/16/2009 1.15
8/16/2009 1.18
9/16/2009 1.06
10/16/2009 1.02
11/16/2009 1.03
12/16/2009 1.09
1/16/2010 1.22
2/15/2010 1.16
3/16/2010 1.15
4/16/2010 1.23
5/16/2010 0.97
6/16/2010 0.84
7/16/2010 0.66
8/16/2010 0.44
9/16/2010 0.39
10/16/2010 0.27
11/16/2010 0.40
12/16/2010 0.79
1/16/2011 0.87
2/15/2011 1.02
3/16/2011 0.92
4/16/2011 0.97
5/16/2011 0.77
6/16/2011 0.60
7/16/2011 0.63
8/16/2011 0.17
9/16/2011 -0.04
10/16/2011 0.06
11/16/2011 -0.03
12/16/2011 -0.06
1/16/2012 -0.09
2/15/2012 -0.12
3/16/2012 0.02
4/16/2012 -0.05
5/16/2012 -0.21
6/16/2012 -0.33
7/16/2012 -0.39
8/16/2012 -0.30
9/16/2012 -0.30
10/16/2012 -0.29
11/16/2012 -0.33
12/16/2012 -0.29
1/16/2013 -0.18
2/15/2013 -0.11
3/16/2013 -0.14
4/16/2013 -0.25
5/16/2013 -0.16
6/16/2013 0.12
7/16/2013 0.34
8/16/2013 0.46
9/16/2013 0.53
10/16/2013 0.37
11/16/2013 0.41
12/16/2013 0.55
1/16/2014 0.58
2/15/2014 0.46
3/16/2014 0.48
4/16/2014 0.50
5/16/2014 0.41
6/16/2014 0.43
7/16/2014 0.41
8/16/2014 0.35
9/16/2014 0.41
10/16/2014 0.28
11/16/2014 0.30
12/16/2014 0.22
1/16/2015 0.03
2/15/2015 0.06
3/16/2015 0.11
4/16/2015 0.01
5/16/2015 0.19
6/16/2015 0.29
7/16/2015 0.27
8/16/2015 0.14
9/16/2015 0.14
10/16/2015 0.07
11/16/2015 0.18
12/16/2015 0.12
1/16/2016 0.03
2/15/2016 -0.19
3/16/2016 -0.12
4/16/2016 -0.18
5/16/2016 -0.17
6/16/2016 -0.27
7/16/2016 -0.38
8/16/2016 -0.35
9/16/2016 -0.31
10/16/2016 -0.24
11/16/2016 -0.01
12/16/2016 0.24
1/16/2017 0.19
2/15/2017 0.19
3/16/2017 0.16
4/16/2017 0.01
5/16/2017 -0.02
6/16/2017 -0.13
7/16/2017 -0.06
8/16/2017 -0.12
9/16/2017 -0.15
10/16/2017 -0.06
11/16/2017 -0.09
12/16/2017 -0.08
1/16/2018 -0.01
2/15/2018 0.14
3/16/2018 0.10
4/16/2018 0.08
5/16/2018 0.13
6/16/2018 0.08
7/16/2018 0.04
8/16/2018 0.02
9/16/2018 0.05
10/16/2018 0.11
11/16/2018 0.07
12/16/2018 -0.12
1/16/2019 -0.21
2/15/2019 -0.24
3/16/2019 -0.29
4/16/2019 -0.32
5/16/2019 -0.38
6/16/2019 -0.54
7/16/2019 -0.53
8/16/2019 -0.73
9/16/2019 -0.71
10/16/2019 -0.63
11/16/2019 -0.52
12/16/2019 -0.49
1/16/2020 -0.53
2/15/2020 -0.70
3/16/2020 -0.75
4/16/2020 -0.83
5/16/2020 -0.85
6/16/2020 -0.84
7/16/2020 -0.89
8/16/2020 -0.89
9/16/2020 -0.87
10/16/2020 -0.77

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

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

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1-3. Implied Volatility of 10-Year Swap Rate

The x-axis measures time and ranges from years 2003 to 2020. The y-axis ranges from 0 to 300 basis points. The data are monthly. The variable plotted, the implied volatility on the 10-year swap rate, is designated by a black line. It begins in 2003 at around 120 basis points. It then steadily declines from 2004 to 2007 where it reaches around 70 basis points. It gradually rises from 2007 to 2009 peak of around 250 basis points in 2009. It then drops steeply to around 60 basis points in 2014, and then stays at that level until 2020. In 2020, there is a large jump to 150 basis points then a sharp decline to right above 50 basis points, ending in October 2020.

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

Source: Barclays.

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1-4. Treasury Market Depth

The x-axis measures from January 2019 to April 2020. The left y-axis measures the blue line labeled “30-year” and ranges from 0 to 35. The right y-axis measures the black line labeled “Five-year” and the red line labeled “Ten-year” ranging from 0 to 350. Both axes are measured in millions of dollars. The red line begins in January 2019 around 100 and in the same month sees an increase to 200. In March, it reaches around 250 to drop back to 200 in the same month. It drops to around 75 by August. It hovers around 100 until March 2020. In March of 2020 it decreases to around 25 and increases to around 75 in April. It then steadily increases to right above 150 to end on October 22, 2020. The black line begins around 150. It increases to roughly 250 in February 2019. It then declines to 150 by August 2019. It then drops to around 100 and stays roughly around that value until the start of 2020. By February it reaches almost 175 and then drops to around 25. It then increases to 100 to end in April. It then increases fairly steadily to end right below 300 on October 22, 2020. The blue line begins around 15 in January 2019. From February to July it stays between roughly 23 and 28. It then drops to around 10 and hovers between 10 and 15 until March 2020. It then drops to 5 and stays there through April 2020. It then sees an increase to around 15 in July 2020 and then decreases to right below 15, ending October 22, 2020.

Note: Market depth is defined as the average top three bid and ask quote sizes for on-the-run Treasury securities.

Source: Repo interdealer broker community.

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1-5. Corporate Bond Yields

The x-axis measures time and ranges from years 1997 to 2020. The y-axis ranges from 0 to 24 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "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 22 percent before falling sharply to around 9 percent in late 2009. It remains between 6 and 8 percent from 2010 to April 2019, with an increase to 7.39 in December 2018 followed by a decline to about 6 in April. In 2019, it rises to right above 8 percent. Until 2020, it decreases to 4 then jumps to 8 percent in March. Around April 2020, it drops to 7. It peaks up to around 10 following a slight decrease in October 2020. The second line is labeled "Triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, and fluctuates between 7 and 9 percent until it drops to around 5 percent in 2002 and 2003. It gradually rises until it sharply increases to around 10 percent in 2008 and 2009, and then declines to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to October 2019. It has a spike in early 2020 then ends around 2 percent in October 2020.

Note: The triple-B series reflects the effective yield of the ICE Bank of America Merrill Lynch triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the effective yield of the ICE BofAML U.S. High Yield Index (H0A0).

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

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1-6. 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 "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 24 percentage points. It begins at around 3 percentage points in 1997, rises to around 8 percentage points from 2000 to 2002, then drops to around 6 percentage points in 2003. It remains around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 22 percentage points. It then falls steeply in 2009 to around 6 percentage points, goes briefly up to around 8 percentage points in 2011 and 2012, falls gradually to around 4 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 November 2019. In mid-2020, it jumps to almost 10 percent and ends at 5 percent in October 2020. The second line is labeled "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 12 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 2 percentage points and goes briefly up to around 3 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 November 2019. In early 2020 it jumps to almost 8 percent and ends right below 4 percent in October 2020.

Note: The triple-B series reflects the options-adjusted spread of the ICE Bank of America Merrill Lynch triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the options-adjusted spread of the ICE BofAML U.S. High Yield Index (H0A0).

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

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1-7. Corporate Bond Premium over Expected Losses

Percentage points

Date Corporate Bond Premium
1/16/1997 -0.31
2/15/1997 -0.46
3/16/1997 -0.50
4/16/1997 -0.45
5/16/1997 -0.44
6/16/1997 -0.55
7/16/1997 -0.53
8/16/1997 -0.48
9/16/1997 -0.57
10/16/1997 -0.43
11/16/1997 -0.35
12/16/1997 -0.39
1/16/1998 -0.35
2/15/1998 -0.35
3/16/1998 -0.40
4/16/1998 -0.43
5/16/1998 -0.38
6/16/1998 -0.36
7/16/1998 -0.32
8/16/1998 0.08
9/16/1998 0.05
10/16/1998 0.19
11/16/1998 0.17
12/16/1998 0.04
1/16/1999 0.04
2/15/1999 -0.21
3/16/1999 -0.19
4/16/1999 -0.23
5/16/1999 -0.23
6/16/1999 -0.17
7/16/1999 -0.12
8/16/1999 -0.05
9/16/1999 0.07
10/16/1999 0.09
11/16/1999 0.05
12/16/1999 -0.18
1/16/2000 0.01
2/15/2000 0.08
3/16/2000 0.34
4/16/2000 0.50
5/16/2000 0.68
6/16/2000 0.73
7/16/2000 0.80
8/16/2000 0.99
9/16/2000 1.08
10/16/2000 1.49
11/16/2000 1.55
12/16/2000 1.55
1/16/2001 1.13
2/15/2001 1.13
3/16/2001 1.06
4/16/2001 0.87
5/16/2001 0.73
6/16/2001 0.97
7/16/2001 0.73
8/16/2001 0.73
9/16/2001 1.17
10/16/2001 0.99
11/16/2001 -0.20
12/16/2001 0.35
1/16/2002 0.54
2/15/2002 0.72
3/16/2002 0.22
4/16/2002 0.35
5/16/2002 0.45
6/16/2002 0.89
7/16/2002 1.49
8/16/2002 1.40
9/16/2002 1.56
10/16/2002 1.37
11/16/2002 0.97
12/16/2002 0.84
1/16/2003 0.81
2/15/2003 0.59
3/16/2003 0.07
4/16/2003 0.00
5/16/2003 -0.58
6/16/2003 -0.45
7/16/2003 -1.15
8/16/2003 -0.23
9/16/2003 -0.61
10/16/2003 -0.55
11/16/2003 -0.59
12/16/2003 -0.55
1/16/2004 -0.73
2/15/2004 -0.35
3/16/2004 -0.55
4/16/2004 -0.78
5/16/2004 -0.39
6/16/2004 -0.40
7/16/2004 -0.34
8/16/2004 -0.42
9/16/2004 -0.57
10/16/2004 -0.54
11/16/2004 -0.69
12/16/2004 -0.74
1/16/2005 -0.72
2/15/2005 -0.98
3/16/2005 -0.69
4/16/2005 -0.45
5/16/2005 -0.36
6/16/2005 -0.51
7/16/2005 -0.61
8/16/2005 -0.59
9/16/2005 -0.51
10/16/2005 -0.36
11/16/2005 -0.37
12/16/2005 -0.33
1/16/2006 -0.38
2/15/2006 -0.37
3/16/2006 -0.45
4/16/2006 -0.48
5/16/2006 -0.38
6/16/2006 -0.41
7/16/2006 -0.31
8/16/2006 -0.32
9/16/2006 -0.40
10/16/2006 -0.41
11/16/2006 -0.39
12/16/2006 -0.52
1/16/2007 -0.57
2/15/2007 -0.58
3/16/2007 -0.39
4/16/2007 -0.39
5/16/2007 -0.63
6/16/2007 -0.41
7/16/2007 -0.01
8/16/2007 0.12
9/16/2007 0.04
10/16/2007 -0.04
11/16/2007 0.29
12/16/2007 0.45
1/16/2008 0.66
2/15/2008 0.87
3/16/2008 1.08
4/16/2008 0.59
5/16/2008 0.61
6/16/2008 0.73
7/16/2008 0.99
8/16/2008 1.17
9/16/2008 1.67
10/16/2008 3.26
11/16/2008 2.84
12/16/2008 3.02
1/16/2009 2.60
2/15/2009 3.03
3/16/2009 2.55
4/16/2009 2.10
5/16/2009 1.23
6/16/2009 0.81
7/16/2009 0.21
8/16/2009 -0.03
9/16/2009 -0.05
10/16/2009 -0.23
11/16/2009 -0.10
12/16/2009 -0.56
1/16/2010 -0.25
2/15/2010 -0.05
3/16/2010 -0.20
4/16/2010 -0.31
5/16/2010 -0.20
6/16/2010 -0.03
7/16/2010 0.12
8/16/2010 -0.37
9/16/2010 -0.07
10/16/2010 -0.04
11/16/2010 -0.18
12/16/2010 -0.46
1/16/2011 -0.03
2/15/2011 -0.30
3/16/2011 -0.34
4/16/2011 -0.29
5/16/2011 -0.17
6/16/2011 -0.03
7/16/2011 -0.09
8/16/2011 -0.17
9/16/2011 0.33
10/16/2011 -0.20
11/16/2011 0.41
12/16/2011 0.17
1/16/2012 0.09
2/15/2012 -0.03
3/16/2012 -0.45
4/16/2012 -0.27
5/16/2012 -0.22
6/16/2012 0.05
7/16/2012 -0.12
8/16/2012 -0.31
9/16/2012 -0.24
10/16/2012 -0.26
11/16/2012 -0.13
12/16/2012 -0.24
1/16/2013 -0.15
2/15/2013 -0.09
3/16/2013 -0.16
4/16/2013 -0.19
5/16/2013 -0.57
6/16/2013 -0.43
7/16/2013 -0.05
8/16/2013 -0.15
9/16/2013 -0.18
10/16/2013 -0.06
11/16/2013 -0.03
12/16/2013 -0.17
1/16/2014 -0.35
2/15/2014 -0.24
3/16/2014 -0.32
4/16/2014 -0.40
5/16/2014 -0.42
6/16/2014 -0.35
7/16/2014 -0.36
8/16/2014 -0.35
9/16/2014 -0.27
10/16/2014 -0.27
11/16/2014 0.00
12/16/2014 0.01
1/16/2015 -0.14
2/15/2015 -0.38
3/16/2015 -0.22
4/16/2015 -0.07
5/16/2015 -0.01
6/16/2015 0.09
7/16/2015 0.14
8/16/2015 0.34
9/16/2015 0.46
10/16/2015 0.36
11/16/2015 0.44
12/16/2015 0.61
1/16/2016 0.83
2/15/2016 0.86
3/16/2016 0.49
4/16/2016 0.14
5/16/2016 0.15
6/16/2016 -0.07
7/16/2016 -0.11
8/16/2016 -0.11
9/16/2016 -0.18
10/16/2016 -0.15
11/16/2016 -0.86
12/16/2016 -0.31
1/16/2017 -0.25
2/15/2017 -0.25
3/16/2017 -0.23
4/16/2017 -0.18
5/16/2017 -0.24
6/16/2017 -0.19
7/16/2017 -0.21
8/16/2017 -0.13
9/16/2017 -0.33
10/16/2017 -0.27
11/16/2017 -0.20
12/16/2017 -0.27
1/16/2018 -0.47
2/15/2018 -0.31
3/16/2018 -0.18
4/16/2018 -0.37
5/16/2018 -0.28
6/16/2018 -0.05
7/16/2018 -0.21
8/16/2018 -0.16
9/16/2018 -0.25
10/16/2018 -0.07
11/16/2018 0.07
12/16/2018 0.26
1/16/2019 0.10
2/15/2019 -0.01
3/16/2019 -0.22
4/16/2019 -0.08
5/16/2019 -0.12
6/16/2019 -0.08
7/16/2019 -0.13
8/16/2019 -0.28
9/16/2019 -0.37
10/16/2019 -0.35
11/16/2019 -0.29
12/16/2019 -0.39
1/16/2020 -0.36
2/15/2020 -0.30
3/16/2020 1.01
4/16/2020 0.49
5/16/2020 0.26
6/16/2020 -0.11
7/16/2020 -0.33
8/16/2020 -0.43
9/16/2020 -0.14

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 Database, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.

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1-8. Secondary Market Spreads of Leveraged Loans

Basis points

Date B BB
1/31/1997 n.a. 209.19
2/28/1997 n.a. 208.18
3/31/1997 n.a. 208.21
4/30/1997 n.a. 213.13
5/31/1997 n.a. 215.66
6/30/1997 n.a. 216.72
7/31/1997 227.87 191.21
8/31/1997 225.52 184.80
9/30/1997 228.23 189.03
10/31/1997 254.87 195.24
11/30/1997 255.23 191.12
12/31/1997 257.77 188.53
1/31/1998 258.33 203.96
2/28/1998 257.72 207.69
3/31/1998 261.43 201.42
4/30/1998 260.47 201.96
5/31/1998 264.73 217.43
6/30/1998 263.84 228.04
7/31/1998 265.30 225.46
8/31/1998 275.11 233.04
9/30/1998 294.18 250.37
10/31/1998 306.32 263.02
11/30/1998 334.67 268.69
12/31/1998 323.17 255.74
1/31/1999 320.05 262.22
2/28/1999 321.25 254.97
3/31/1999 357.07 248.43
4/30/1999 393.34 265.16
5/31/1999 379.73 284.29
6/30/1999 385.66 284.38
7/31/1999 409.64 294.89
8/31/1999 445.69 299.40
9/30/1999 474.57 396.25
10/31/1999 496.16 408.54
11/30/1999 474.19 390.89
12/31/1999 607.59 401.51
1/31/2000 624.21 407.33
2/29/2000 607.43 411.41
3/31/2000 605.48 343.48
4/30/2000 543.93 351.12
5/31/2000 524.56 325.90
6/30/2000 567.16 311.63
7/31/2000 603.34 300.19
8/31/2000 572.92 302.04
9/30/2000 665.22 319.17
10/31/2000 690.97 325.57
11/30/2000 731.00 307.10
12/31/2000 668.88 304.62
1/31/2001 626.22 295.06
2/28/2001 595.04 291.03
3/31/2001 683.49 294.68
4/30/2001 670.87 295.51
5/31/2001 649.52 294.74
6/30/2001 662.32 298.93
7/31/2001 671.08 303.05
8/31/2001 651.00 299.78
9/30/2001 741.86 334.54
10/31/2001 870.62 350.81
11/30/2001 681.77 311.43
12/31/2001 621.01 308.92
1/31/2002 589.29 305.19
2/28/2002 550.24 309.14
3/31/2002 522.31 306.57
4/30/2002 491.98 293.95
5/31/2002 562.22 295.23
6/30/2002 590.37 299.33
7/31/2002 663.15 337.91
8/31/2002 652.68 371.53
9/30/2002 663.81 375.02
10/31/2002 737.50 463.93
11/30/2002 671.85 413.74
12/31/2002 658.14 351.50
1/31/2003 610.43 360.08
2/28/2003 629.66 355.66
3/31/2003 603.17 356.69
4/30/2003 510.70 358.07
5/31/2003 465.93 335.16
6/30/2003 447.57 324.25
7/31/2003 451.26 303.23
8/31/2003 472.50 300.63
9/30/2003 497.97 298.08
10/31/2003 482.32 293.76
11/30/2003 477.61 285.31
12/31/2003 451.47 260.97
1/31/2004 403.03 250.58
2/29/2004 420.27 245.05
3/31/2004 391.74 238.20
4/30/2004 391.96 233.39
5/28/2004 406.26 240.13
6/25/2004 377.00 234.41
7/30/2004 384.36 225.51
8/31/2004 369.00 220.17
9/30/2004 361.32 213.63
10/29/2004 342.31 210.18
11/30/2004 325.82 207.28
12/31/2004 320.60 201.42
1/31/2005 325.26 198.01
2/25/2005 314.24 193.75
3/31/2005 304.70 185.07
4/29/2005 329.52 182.63
5/31/2005 312.46 186.08
6/30/2005 309.89 184.08
7/29/2005 303.89 176.52
8/30/2005 297.70 168.45
9/30/2005 295.97 172.58
10/28/2005 300.46 177.18
11/30/2005 289.33 178.39
12/30/2005 281.26 180.84
1/31/2006 282.38 174.51
2/28/2006 278.18 168.15
3/31/2006 273.98 168.01
4/28/2006 273.74 166.05
5/31/2006 267.31 172.79
6/30/2006 267.44 183.53
7/28/2006 269.88 187.55
8/31/2006 274.01 186.82
9/29/2006 273.86 186.03
10/31/2006 269.79 182.78
11/30/2006 270.28 196.65
12/29/2006 272.60 194.13
1/31/2007 260.09 191.40
2/28/2007 252.72 174.09
3/30/2007 249.28 177.07
4/27/2007 246.45 179.79
5/31/2007 241.10 178.55
6/29/2007 269.80 201.03
7/31/2007 347.86 282.41
8/31/2007 359.37 299.74
9/28/2007 334.11 271.17
10/26/2007 328.50 263.79
11/30/2007 385.69 306.27
12/28/2007 415.88 292.91
1/31/2008 497.58 374.35
2/29/2008 607.32 437.61
3/28/2008 720.86 432.48
4/30/2008 634.80 368.22
5/30/2008 637.95 358.77
6/27/2008 639.48 386.29
7/31/2008 717.32 417.92
8/29/2008 765.47 423.33
9/30/2008 1060.80 594.14
10/31/2008 1704.97 927.45
11/28/2008 2089.10 1103.34
12/31/2008 2476.12 1147.03
1/30/2009 2069.85 874.46
2/27/2009 2075.49 785.36
3/31/2009 2031.94 779.17
4/30/2009 1578.60 576.80
5/29/2009 1239.97 556.07
6/30/2009 1023.36 485.61
7/31/2009 849.78 418.60
8/31/2009 780.80 413.37
9/30/2009 696.20 400.69
10/30/2009 637.00 419.52
11/30/2009 670.41 452.67
12/31/2009 602.04 388.21
1/29/2010 567.38 369.98
2/26/2010 578.23 381.35
3/31/2010 527.42 349.93
4/30/2010 504.61 342.85
5/28/2010 610.54 398.87
6/30/2010 642.71 416.66
7/30/2010 598.09 401.40
8/31/2010 598.12 400.70
9/30/2010 561.97 388.04
10/29/2010 522.02 365.82
11/30/2010 561.48 370.95
12/31/2010 529.00 368.69
1/31/2011 480.10 350.60
2/28/2011 481.99 352.19
3/31/2011 485.44 343.64
4/29/2011 489.48 341.06
5/31/2011 504.12 357.18
6/30/2011 535.03 381.21
7/29/2011 542.50 382.02
8/31/2011 675.12 511.10
9/30/2011 684.63 468.83
10/31/2011 605.52 401.88
11/30/2011 654.00 424.43
12/30/2011 633.43 415.56
1/31/2012 570.93 385.46
2/29/2012 533.49 380.11
3/30/2012 537.40 375.74
4/30/2012 538.12 391.41
5/31/2012 586.11 426.26
6/29/2012 579.27 424.86
7/31/2012 587.79 410.03
8/31/2012 569.42 416.76
9/28/2012 554.77 396.24
10/31/2012 549.09 383.31
11/30/2012 560.41 383.60
12/31/2012 549.23 384.05
1/31/2013 528.41 371.94
2/28/2013 532.04 386.18
3/28/2013 513.60 372.61
4/30/2013 503.84 378.66
5/31/2013 486.94 362.15
6/28/2013 497.69 358.70
7/31/2013 482.14 333.34
8/30/2013 492.17 340.97
9/30/2013 499.33 345.62
10/31/2013 490.19 343.04
11/22/2013 491.64 350.00
11/29/2013 491.49 351.82
12/6/2013 489.82 352.46
12/13/2013 487.63 351.93
12/20/2013 486.25 346.05
12/27/2013 483.98 339.84
12/31/2013 486.10 339.11
1/3/2014 483.93 336.96
1/10/2014 477.49 334.14
1/17/2014 473.98 335.25
1/24/2014 473.65 333.81
1/31/2014 477.02 337.33
2/7/2014 476.44 336.65
2/14/2014 473.87 342.32
2/21/2014 471.53 343.70
2/28/2014 470.98 332.35
3/7/2014 470.45 331.89
3/14/2014 468.13 332.05
3/21/2014 464.86 330.61
3/28/2014 465.23 331.88
3/31/2014 465.73 332.10
4/4/2014 471.83 337.56
4/11/2014 469.70 340.92
4/17/2014 471.84 340.26
4/25/2014 475.60 345.35
4/30/2014 473.74 342.59
5/2/2014 473.88 340.74
5/9/2014 473.30 337.25
5/16/2014 469.85 338.04
5/23/2014 470.63 338.95
5/30/2014 471.77 339.00
6/6/2014 469.96 340.02
6/13/2014 468.58 340.25
6/20/2014 469.01 338.91
6/27/2014 468.08 337.14
6/30/2014 468.11 337.32
7/3/2014 466.63 338.31
7/11/2014 465.86 341.78
7/18/2014 466.59 341.57
7/25/2014 467.11 342.56
7/31/2014 472.13 347.14
8/1/2014 474.81 349.88
8/8/2014 476.26 355.83
8/15/2014 480.26 363.19
8/22/2014 479.45 360.88
8/29/2014 475.84 357.57
9/5/2014 476.73 357.52
9/12/2014 481.95 362.90
9/19/2014 482.18 363.26
9/26/2014 490.20 371.28
9/30/2014 495.38 376.15
10/3/2014 497.32 375.53
10/10/2014 498.61 378.24
10/17/2014 514.01 392.15
10/24/2014 508.51 383.71
10/31/2014 499.93 373.78
11/7/2014 501.10 370.67
11/14/2014 499.53 369.45
11/21/2014 500.53 367.70
11/28/2014 503.23 367.00
12/5/2014 513.97 369.05
12/12/2014 540.53 391.43
12/19/2014 551.98 394.95
12/26/2014 544.83 389.88
12/31/2014 543.75 387.95
1/2/2015 544.31 388.99
1/9/2015 544.09 391.56
1/16/2015 545.13 389.34
1/23/2015 544.32 387.96
1/30/2015 547.17 392.50
2/6/2015 541.38 385.64
2/13/2015 533.50 379.45
2/20/2015 527.35 374.82
2/27/2015 522.46 372.84
3/6/2015 518.88 367.78
3/13/2015 516.10 368.60
3/20/2015 521.21 370.39
3/27/2015 521.04 366.91
3/31/2015 518.83 365.48
4/2/2015 517.69 366.19
4/10/2015 512.26 358.18
4/17/2015 513.62 356.33
4/24/2015 511.37 356.04
4/30/2015 511.31 356.11
5/1/2015 511.80 354.90
5/8/2015 509.50 356.70
5/15/2015 511.17 359.52
5/22/2015 512.97 356.73
5/29/2015 513.85 356.77
6/5/2015 522.30 358.18
6/12/2015 527.69 360.79
6/19/2015 530.87 364.07
6/26/2015 530.95 362.50
6/30/2015 535.95 365.43
7/2/2015 535.43 362.71
7/10/2015 534.09 359.36
7/17/2015 529.60 354.83
7/24/2015 531.25 355.29
7/31/2015 536.28 358.22
8/7/2015 538.39 362.47
8/14/2015 541.22 368.23
8/21/2015 548.30 370.90
8/28/2015 556.03 373.55
8/31/2015 556.13 373.17
9/4/2015 541.20 371.97
9/11/2015 542.39 369.41
9/18/2015 544.56 367.58
9/25/2015 552.18 370.20
9/30/2015 566.64 376.57
10/2/2015 574.74 378.15
10/9/2015 575.41 377.08
10/16/2015 578.56 378.07
10/23/2015 576.31 378.13
10/30/2015 576.81 384.87
11/6/2015 577.13 381.11
11/13/2015 589.96 389.99
11/20/2015 607.56 394.78
11/27/2015 611.45 391.67
11/30/2015 613.91 391.90
12/4/2015 620.79 387.45
12/11/2015 666.08 395.86
12/18/2015 700.45 402.30
12/24/2015 707.63 405.00
12/31/2015 707.81 403.28
1/8/2016 711.68 400.64
1/15/2016 722.11 403.36
1/22/2016 746.34 414.09
1/29/2016 742.68 414.37
2/5/2016 746.00 411.21
2/12/2016 771.02 426.28
2/19/2016 752.41 426.71
2/26/2016 750.77 424.01
2/29/2016 750.31 423.72
3/4/2016 724.52 411.30
3/11/2016 695.08 397.37
3/18/2016 656.34 376.34
3/24/2016 650.42 378.11
3/31/2016 649.57 375.24
4/1/2016 628.09 380.52
4/8/2016 620.22 373.09
4/15/2016 580.79 369.05
4/22/2016 559.91 361.69
4/29/2016 552.14 360.33
5/6/2016 549.95 364.28
5/13/2016 546.32 365.02
5/20/2016 541.68 362.11
5/27/2016 533.20 357.97
5/31/2016 532.44 357.67
6/3/2016 533.63 357.05
6/10/2016 528.94 360.90
6/17/2016 529.49 364.51
6/24/2016 534.50 364.10
6/30/2016 539.58 367.94
7/1/2016 537.96 365.17
7/8/2016 533.86 362.22
7/15/2016 523.47 354.09
7/22/2016 514.70 348.38
7/29/2016 512.16 344.88
8/5/2016 509.83 346.96
8/12/2016 507.21 343.93
8/19/2016 513.23 344.40
8/26/2016 509.76 345.44
8/31/2016 508.03 344.37
9/2/2016 504.27 342.61
9/9/2016 500.16 338.57
9/16/2016 500.06 336.70
9/23/2016 488.50 334.91
9/30/2016 488.31 334.11
10/7/2016 484.03 327.49
10/14/2016 486.10 327.36
10/21/2016 480.53 320.25
10/28/2016 477.98 319.31
10/31/2016 478.70 319.57
11/4/2016 479.70 324.85
11/10/2016 479.99 327.21
11/18/2016 476.78 321.85
11/25/2016 474.92 320.98
11/30/2016 473.09 320.14
12/2/2016 468.17 320.03
12/9/2016 459.32 309.44
12/16/2016 454.33 306.59
12/23/2016 459.50 307.16
12/30/2016 464.34 303.58
1/6/2017 456.76 301.99
1/13/2017 453.66 303.01
1/20/2017 455.61 305.64
1/27/2017 453.50 308.67
1/31/2017 454.14 310.40
2/3/2017 450.39 306.06
2/10/2017 450.86 300.74
2/17/2017 444.82 295.16
2/24/2017 438.86 293.22
2/28/2017 437.88 291.71
3/3/2017 434.23 288.41
3/10/2017 434.44 286.96
3/17/2017 432.18 285.24
3/24/2017 431.64 293.70
3/31/2017 425.07 290.97
4/7/2017 415.48 287.89
4/13/2017 411.56 285.05
4/21/2017 412.90 283.28
4/28/2017 412.66 281.80
5/5/2017 415.79 288.12
5/12/2017 413.03 288.24
5/19/2017 411.12 288.88
5/26/2017 403.86 288.59
5/31/2017 404.74 288.45
6/2/2017 405.46 286.60
6/9/2017 403.42 286.92
6/16/2017 403.67 288.01
6/23/2017 407.05 286.40
6/30/2017 407.84 283.92
7/7/2017 406.93 283.32
7/14/2017 409.48 283.29
7/21/2017 409.01 280.43
7/28/2017 403.02 278.10
7/31/2017 402.81 278.46
8/4/2017 403.24 275.20
8/11/2017 405.64 279.94
8/18/2017 406.61 277.89
8/25/2017 407.18 282.07
8/31/2017 407.58 285.22
9/1/2017 405.93 285.22
9/8/2017 402.20 287.26
9/15/2017 401.71 289.07
9/22/2017 402.24 282.48
9/29/2017 401.26 271.58
10/6/2017 398.01 266.83
10/13/2017 394.52 266.62
10/20/2017 392.50 265.05
10/27/2017 394.47 265.18
10/31/2017 395.01 265.03
11/3/2017 396.59 262.68
11/10/2017 398.25 262.23
11/17/2017 396.10 264.63
11/24/2017 395.49 263.72
11/30/2017 394.35 263.10
12/1/2017 394.82 262.86
12/8/2017 394.40 260.78
12/15/2017 399.90 262.23
12/22/2017 391.15 262.74
12/29/2017 388.62 259.50
1/5/2018 387.33 255.29
1/12/2018 380.79 254.36
1/19/2018 377.16 252.41
1/26/2018 373.39 249.59
1/31/2018 371.68 248.57
2/2/2018 370.23 243.82
2/9/2018 374.16 248.12
2/16/2018 373.07 248.64
2/23/2018 372.78 250.24
2/28/2018 372.01 250.52
3/2/2018 372.26 251.31
3/9/2018 372.17 250.96
3/16/2018 370.46 249.43
3/23/2018 372.23 249.02
3/30/2018 372.30 249.29
4/6/2018 371.61 249.50
4/13/2018 368.34 248.87
4/20/2018 366.09 245.65
4/27/2018 366.89 243.89
4/30/2018 367.33 244.37
5/4/2018 368.43 243.98
5/11/2018 367.93 244.48
5/18/2018 367.53 246.97
5/25/2018 369.18 249.20
5/31/2018 371.28 250.53
6/1/2018 372.33 248.45
6/8/2018 371.38 248.61
6/15/2018 372.55 249.08
6/22/2018 374.57 251.66
6/29/2018 376.36 255.21
7/6/2018 375.00 253.11
7/13/2018 375.64 254.12
7/20/2018 374.81 253.20
7/27/2018 375.74 251.41
7/31/2018 375.47 251.21
8/3/2018 375.28 249.82
8/10/2018 376.72 251.62
8/17/2018 377.44 253.30
8/24/2018 380.71 248.29
8/31/2018 382.74 249.27
9/7/2018 381.91 249.46
9/14/2018 380.64 249.93
9/21/2018 377.81 248.12
9/28/2018 373.48 248.07
10/5/2018 372.66 247.63
10/12/2018 374.73 248.66
10/19/2018 374.86 248.92
10/26/2018 378.97 253.71
10/31/2018 384.63 256.22
11/2/2018 384.27 258.09
11/9/2018 385.50 261.47
11/16/2018 395.10 268.14
11/23/2018 407.37 275.96
11/30/2018 417.99 288.44
12/7/2018 433.43 300.91
12/14/2018 450.95 315.06
12/21/2018 483.26 337.32
12/28/2018 494.12 346.29
12/31/2018 494.16 345.96
1/4/2019 473.38 318.09
1/11/2019 448.67 291.12
1/18/2019 447.57 283.84
1/25/2019 452.73 288.15
1/31/2019 454.72 288.80
2/1/2019 454.29 288.77
2/8/2019 449.25 286.28
2/15/2019 444.07 283.08
2/22/2019 433.19 276.03
2/28/2019 423.82 270.29
3/1/2019 423.65 268.54
3/8/2019 432.28 274.66
3/15/2019 431.45 273.49
3/22/2019 439.74 278.66
3/29/2019 445.58 287.71
4/5/2019 431.59 279.29
4/12/2019 425.75 274.19
4/18/2019 421.40 272.79
4/26/2019 418.07 269.83
4/30/2019 416.65 269.22
5/3/2019 412.75 268.32
5/10/2019 420.08 268.09
5/17/2019 416.36 268.20
5/24/2019 421.90 268.17
5/31/2019 429.96 267.59
6/7/2019 430.49 266.53
6/14/2019 431.33 265.37
6/21/2019 431.39 266.34
6/28/2019 436.42 269.93
7/5/2019 435.51 269.13
7/12/2019 431.91 267.28
7/19/2019 430.25 265.40
7/26/2019 430.30 264.71
7/31/2019 428.21 262.65
8/2/2019 430.45 272.99
8/9/2019 440.93 277.00
8/16/2019 450.30 280.15
8/23/2019 451.00 278.08
8/30/2019 446.48 280.24
9/6/2019 441.97 274.16
9/13/2019 434.68 266.96
9/20/2019 434.02 268.03
9/27/2019 432.56 267.49
9/30/2019 432.73 267.63
10/4/2019 443.29 270.44
10/11/2019 458.65 274.50
10/18/2019 461.88 272.14
10/25/2019 463.46 271.36
10/31/2019 468.40 273.48
11/1/2019 468.32 274.60
11/8/2019 467.72 275.19
11/15/2019 461.50 274.51
11/22/2019 466.98 275.40
11/29/2019 465.82 274.26
12/6/2019 454.77 271.08
12/13/2019 436.38 265.64
12/20/2019 424.24 264.07
12/27/2019 424.13 263.80
12/31/2019 423.84 263.67
1/3/2020 423.05 262.17
1/10/2020 414.03 257.93
1/17/2020 410.71 257.21
1/24/2020 411.28 260.14
1/31/2020 419.19 262.79
2/7/2020 421.81 267.87
2/14/2020 421.05 269.45
2/21/2020 418.98 271.09
2/28/2020 458.14 303.88
3/6/2020 485.48 324.31
3/13/2020 639.32 475.03
3/20/2020 968.74 788.06
3/27/2020 903.07 614.61
3/31/2020 824.64 513.08
4/3/2020 815.26 504.83
4/9/2020 730.66 426.44
4/17/2020 673.61 394.07
4/24/2020 691.37 412.10
4/30/2020 696.45 424.52
5/1/2020 688.25 413.92
5/8/2020 655.86 405.18
5/15/2020 651.19 403.39
5/22/2020 615.93 370.51
5/29/2020 577.00 343.45
6/5/2020 541.99 321.13
6/12/2020 537.10 326.42
6/19/2020 521.61 313.87
6/26/2020 550.97 338.15
6/30/2020 560.14 344.07
7/3/2020 539.81 335.79
7/10/2020 537.44 330.09
7/17/2020 520.02 319.19
7/24/2020 506.95 309.48
7/31/2020 509.28 312.99
8/7/2020 496.01 304.93
8/14/2020 486.11 301.75
8/21/2020 488.13 308.83
8/28/2020 483.10 307.06
8/31/2020 482.34 305.16
9/4/2020 465.40 290.01
9/11/2020 457.86 286.68
9/18/2020 455.62 288.18
9/25/2020 474.11 305.84
9/30/2020 475.02 305.11
10/2/2020 474.97 309.76
10/9/2020 463.22 300.54
10/16/2020 466.63 303.63

Note: The data show secondary-market discounted spreads to maturity. Spreads are the constant spread used to equate discounted loan cash flows to the current market price.

Source: S&P, Leveraged Commentary & Data.

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

Ratio

Date Forward price-to-earnings ratio
1/16/1989 10.06
2/15/1989 10.14
3/16/1989 10.12
4/16/1989 10.43
5/16/1989 10.73
6/16/1989 10.85
7/16/1989 11.24
8/16/1989 11.56
9/16/1989 11.51
10/16/1989 11.47
11/16/1989 11.52
12/16/1989 11.88
1/16/1990 11.53
2/15/1990 11.32
3/16/1990 11.49
4/16/1990 11.65
5/16/1990 12.07
6/16/1990 12.38
7/16/1990 12.39
8/16/1990 11.50
9/16/1990 10.79
10/16/1990 10.30
11/16/1990 11.18
12/16/1990 11.66
1/16/1991 11.25
2/15/1991 13.43
3/16/1991 13.77
4/16/1991 14.45
5/16/1991 13.64
6/16/1991 13.90
7/16/1991 14.15
8/16/1991 14.40
9/16/1991 14.21
10/16/1991 14.31
11/16/1991 14.46
12/16/1991 14.01
1/16/1992 15.37
2/15/1992 15.00
3/16/1992 14.85
4/16/1992 14.81
5/16/1992 14.70
6/16/1992 14.01
7/16/1992 14.43
8/16/1992 14.45
9/16/1992 14.41
10/16/1992 14.00
11/16/1992 14.52
12/16/1992 14.70
1/16/1993 14.62
2/15/1993 14.67
3/16/1993 15.01
4/16/1993 15.04
5/16/1993 14.71
6/16/1993 14.64
7/16/1993 14.63
8/16/1993 14.76
9/16/1993 14.81
10/16/1993 14.64
11/16/1993 14.67
12/16/1993 14.48
1/16/1994 14.74
2/15/1994 14.60
3/16/1994 14.33
4/16/1994 13.46
5/16/1994 13.42
6/16/1994 13.46
7/16/1994 13.00
8/16/1994 13.20
9/16/1994 13.10
10/16/1994 12.92
11/16/1994 12.56
12/16/1994 12.09
1/16/1995 12.32
2/15/1995 12.48
3/16/1995 12.50
4/16/1995 12.66
5/16/1995 12.90
6/16/1995 13.05
7/16/1995 13.30
8/16/1995 13.36
9/16/1995 13.68
10/16/1995 13.77
11/16/1995 13.80
12/16/1995 14.32
1/16/1996 14.01
2/15/1996 15.23
3/16/1996 14.81
4/16/1996 14.79
5/16/1996 15.20
6/16/1996 14.71
7/16/1996 14.40
8/16/1996 14.92
9/16/1996 15.25
10/16/1996 15.61
11/16/1996 16.07
12/16/1996 15.85
1/16/1997 16.46
2/15/1997 17.36
3/16/1997 16.65
4/16/1997 16.02
5/16/1997 17.38
6/16/1997 18.39
7/16/1997 19.23
8/16/1997 18.68
9/16/1997 18.92
10/16/1997 19.20
11/16/1997 18.60
12/16/1997 18.87
1/16/1998 18.66
2/15/1998 20.36
3/16/1998 21.42
4/16/1998 21.90
5/16/1998 21.69
6/16/1998 21.42
7/16/1998 22.77
8/16/1998 21.16
9/16/1998 20.01
10/16/1998 19.28
11/16/1998 22.02
12/16/1998 22.30
1/16/1999 23.71
2/15/1999 23.53
3/16/1999 24.73
4/16/1999 24.96
5/16/1999 24.74
6/16/1999 24.30
7/16/1999 25.44
8/16/1999 23.91
9/16/1999 23.47
10/16/1999 22.55
11/16/1999 24.50
12/16/1999 24.42
1/16/2000 24.85
2/15/2000 24.03
3/16/2000 23.73
4/16/2000 23.91
5/16/2000 23.89
6/16/2000 24.10
7/16/2000 24.09
8/16/2000 23.86
9/16/2000 23.85
10/16/2000 21.44
11/16/2000 22.24
12/16/2000 22.10
1/16/2001 21.98
2/15/2001 22.07
3/16/2001 19.72
4/16/2001 21.41
5/16/2001 22.23
6/16/2001 21.67
7/16/2001 21.61
8/16/2001 21.17
9/16/2001 18.42
10/16/2001 20.37
11/16/2001 21.49
12/16/2001 21.57
1/16/2002 21.00
2/15/2002 20.47
3/16/2002 20.75
4/16/2002 20.17
5/16/2002 19.40
6/16/2002 18.11
7/16/2002 16.15
8/16/2002 16.60
9/16/2002 15.72
10/16/2002 15.77
11/16/2002 16.01
12/16/2002 16.12
1/16/2003 16.48
2/15/2003 15.33
3/16/2003 15.70
4/16/2003 15.67
5/16/2003 16.55
6/16/2003 17.68
7/16/2003 17.27
8/16/2003 16.94
9/16/2003 17.41
10/16/2003 17.50
11/16/2003 17.10
12/16/2003 17.43
1/16/2004 18.10
2/15/2004 18.09
3/16/2004 17.40
4/16/2004 17.10
5/16/2004 15.97
6/16/2004 16.41
7/16/2004 15.92
8/16/2004 15.51
9/16/2004 15.77
10/16/2004 15.49
11/16/2004 16.17
12/16/2004 16.32
1/16/2005 15.95
2/15/2005 16.16
3/16/2005 15.64
4/16/2005 15.30
5/16/2005 15.27
6/16/2005 15.41
7/16/2005 15.41
8/16/2005 15.14
9/16/2005 14.95
10/16/2005 14.33
11/16/2005 14.61
12/16/2005 14.98
1/16/2006 14.90
2/15/2006 14.93
3/16/2006 15.06
4/16/2006 14.99
5/16/2006 14.29
6/16/2006 13.69
7/16/2006 13.90
8/16/2006 14.13
9/16/2006 14.26
10/16/2006 14.65
11/16/2006 14.81
12/16/2006 14.83
1/16/2007 15.01
2/15/2007 15.39
3/16/2007 14.56
4/16/2007 15.31
5/16/2007 15.51
6/16/2007 15.30
7/16/2007 15.41
8/16/2007 13.87
9/16/2007 15.01
10/16/2007 15.01
11/16/2007 14.32
12/16/2007 14.20
1/16/2008 13.49
2/15/2008 13.68
3/16/2008 13.09
4/16/2008 13.80
5/16/2008 14.30
6/16/2008 13.51
7/16/2008 12.60
8/16/2008 13.29
9/16/2008 12.01
10/16/2008 9.93
11/16/2008 9.74
12/16/2008 11.87
1/16/2009 11.48
2/15/2009 12.46
3/16/2009 12.42
4/16/2009 13.51
5/16/2009 14.66
6/16/2009 14.73
7/16/2009 14.80
8/16/2009 15.20
9/16/2009 15.91
10/16/2009 15.85
11/16/2009 15.12
12/16/2009 14.89
1/16/2010 14.80
2/15/2010 13.81
3/16/2010 14.44
4/16/2010 14.83
5/16/2010 12.99
6/16/2010 12.82
7/16/2010 12.49
8/16/2010 12.10
9/16/2010 12.36
10/16/2010 12.84
11/16/2010 12.57
12/16/2010 13.03
1/16/2011 13.21
2/15/2011 13.70
3/16/2011 12.61
4/16/2011 12.97
5/16/2011 12.90
6/16/2011 12.07
7/16/2011 12.64
8/16/2011 11.28
9/16/2011 11.24
10/16/2011 11.50
11/16/2011 11.68
12/16/2011 11.40
1/16/2012 12.33
2/15/2012 12.63
3/16/2012 12.96
4/16/2012 12.66
5/16/2012 12.01
6/16/2012 11.89
7/16/2012 12.59
8/16/2012 12.92
9/16/2012 13.34
10/16/2012 13.21
11/16/2012 12.19
12/16/2012 12.86
1/16/2013 13.12
2/15/2013 13.53
3/16/2013 13.72
4/16/2013 13.59
5/16/2013 14.48
6/16/2013 14.10
7/16/2013 14.51
8/16/2013 14.58
9/16/2013 14.84
10/16/2013 14.71
11/16/2013 15.03
12/16/2013 15.20
1/16/2014 15.42
2/15/2014 15.44
3/16/2014 15.60
4/16/2014 15.49
5/16/2014 15.45
6/16/2014 15.83
7/16/2014 15.97
8/16/2014 15.55
9/16/2014 15.89
10/16/2014 14.76
11/16/2014 16.19
12/16/2014 16.11
1/16/2015 16.23
2/15/2015 17.35
3/16/2015 17.27
4/16/2015 17.29
5/16/2015 17.09
6/16/2015 16.96
7/16/2015 16.98
8/16/2015 16.75
9/16/2015 16.09
10/16/2015 16.14
11/16/2015 16.80
12/16/2015 16.69
1/16/2016 15.29
2/15/2016 15.91
3/16/2016 16.71
4/16/2016 17.09
5/16/2016 16.67
6/16/2016 16.74
7/16/2016 17.39
8/16/2016 17.52
9/16/2016 16.92
10/16/2016 16.89
11/16/2016 16.95
12/16/2016 17.33
1/16/2017 17.27
2/15/2017 17.91
3/16/2017 18.04
4/16/2017 17.54
5/16/2017 17.50
6/16/2017 17.91
7/16/2017 18.23
8/16/2017 18.09
9/16/2017 18.18
10/16/2017 18.44
11/16/2017 18.15
12/16/2017 18.64
1/16/2018 18.72
2/15/2018 17.28
3/16/2018 17.37
4/16/2018 16.92
5/16/2018 16.68
6/16/2018 16.84
7/16/2018 17.03
8/16/2018 16.82
9/16/2018 17.21
10/16/2018 16.49
11/16/2018 15.72
12/16/2018 14.65
1/16/2019 15.45
2/15/2019 16.34
3/16/2019 16.60
4/16/2019 17.08
5/16/2019 16.66
6/16/2019 17.03
7/16/2019 17.45
8/16/2019 16.54
9/16/2019 17.40
10/16/2019 17.31
11/16/2019 17.83
12/16/2019 18.25
1/16/2020 18.73
2/15/2020 19.28
3/16/2020 14.12
4/16/2020 18.91
5/16/2020 20.52
6/16/2020 22.40
7/16/2020 23.10
8/16/2020 23.09
9/16/2020 22.64
10/16/2020 22.81

Note: Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Median line is present at ratio 15.2.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), Institutional Brokers Estimate System Estimates."

Return to text
1-10. 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
10/16/1991 3.32
11/16/1991 3.30
12/16/1991 3.81
1/16/1992 2.88
2/15/1992 2.80
3/16/1992 2.74
4/16/1992 3.00
5/16/1992 3.14
6/16/1992 3.59
7/16/1992 3.58
8/16/1992 3.78
9/16/1992 3.93
10/16/1992 3.84
11/16/1992 3.38
12/16/1992 3.39
1/16/1993 3.49
2/15/1993 3.80
3/16/1993 3.87
4/16/1993 4.09
5/16/1993 4.23
6/16/1993 4.41
7/16/1993 4.33
8/16/1993 4.35
9/16/1993 4.65
10/16/1993 4.77
11/16/1993 4.38
12/16/1993 4.45
1/16/1994 4.36
2/15/1994 4.18
3/16/1994 3.80
4/16/1994 3.83
5/16/1994 3.68
6/16/1994 3.74
7/16/1994 3.80
8/16/1994 3.75
9/16/1994 3.59
10/16/1994 3.44
11/16/1994 3.47
12/16/1994 3.89
1/16/1995 3.54
2/15/1995 3.76
3/16/1995 3.99
4/16/1995 4.09
5/16/1995 4.38
6/16/1995 4.72
7/16/1995 4.32
8/16/1995 4.08
9/16/1995 4.18
10/16/1995 4.12
11/16/1995 4.22
12/16/1995 4.16
1/16/1996 4.37
2/15/1996 3.65
3/16/1996 3.34
4/16/1996 3.10
5/16/1996 2.74
6/16/1996 2.81
7/16/1996 3.03
8/16/1996 3.03
9/16/1996 2.65
10/16/1996 2.80
11/16/1996 2.94
12/16/1996 2.95
1/16/1997 2.45
2/15/1997 2.28
3/16/1997 2.22
4/16/1997 2.11
5/16/1997 1.82
6/16/1997 1.70
7/16/1997 1.88
8/16/1997 1.93
9/16/1997 1.94
10/16/1997 1.68
11/16/1997 2.03
12/16/1997 2.05
1/16/1998 2.29
2/15/1998 1.78
3/16/1998 1.46
4/16/1998 1.27
5/16/1998 1.29
6/16/1998 1.50
7/16/1998 1.28
8/16/1998 1.76
9/16/1998 2.48
10/16/1998 2.86
11/16/1998 1.96
12/16/1998 2.04
1/16/1999 1.44
2/15/1999 1.20
3/16/1999 0.76
4/16/1999 1.01
5/16/1999 0.71
6/16/1999 0.43
7/16/1999 0.33
8/16/1999 0.40
9/16/1999 0.46
10/16/1999 0.43
11/16/1999 0.24
12/16/1999 0.03
1/16/2000 -0.30
2/15/2000 -0.04
3/16/2000 0.21
4/16/2000 0.42
5/16/2000 0.02
6/16/2000 0.32
7/16/2000 0.41
8/16/2000 0.63
9/16/2000 0.63
10/16/2000 1.21
11/16/2000 1.10
12/16/2000 1.57
1/16/2001 1.67
2/15/2001 1.68
3/16/2001 2.39
4/16/2001 1.78
5/16/2001 1.40
6/16/2001 1.61
7/16/2001 1.68
8/16/2001 1.98
9/16/2001 2.88
10/16/2001 2.60
11/16/2001 2.26
12/16/2001 1.78
1/16/2002 1.94
2/15/2002 2.15
3/16/2002 1.72
4/16/2002 1.97
5/16/2002 2.26
6/16/2002 2.86
7/16/2002 3.79
8/16/2002 3.99
9/16/2002 4.70
10/16/2002 4.54
11/16/2002 4.37
12/16/2002 4.34
1/16/2003 4.27
2/15/2003 4.88
3/16/2003 4.83
4/16/2003 4.72
5/16/2003 4.80
6/16/2003 4.65
7/16/2003 4.15
8/16/2003 3.76
9/16/2003 3.80
10/16/2003 3.77
11/16/2003 3.90
12/16/2003 3.83
1/16/2004 3.75
2/15/2004 3.81
3/16/2004 4.29
4/16/2004 3.85
5/16/2004 3.88
6/16/2004 3.71
7/16/2004 4.14
8/16/2004 4.51
9/16/2004 4.58
10/16/2004 4.72
11/16/2004 4.36
12/16/2004 4.29
1/16/2005 4.40
2/15/2005 4.39
3/16/2005 4.26
4/16/2005 4.61
5/16/2005 4.82
6/16/2005 4.92
7/16/2005 4.74
8/16/2005 4.77
9/16/2005 4.91
10/16/2005 4.92
11/16/2005 4.69
12/16/2005 4.60
1/16/2006 4.71
2/15/2006 4.54
3/16/2006 4.32
4/16/2006 4.10
5/16/2006 4.31
6/16/2006 4.62
7/16/2006 4.54
8/16/2006 4.64
9/16/2006 4.72
10/16/2006 4.53
11/16/2006 4.59
12/16/2006 4.61
1/16/2007 4.18
2/15/2007 4.05
3/16/2007 4.57
4/16/2007 4.16
5/16/2007 4.03
6/16/2007 3.76
7/16/2007 3.81
8/16/2007 4.81
9/16/2007 4.43
10/16/2007 4.43
11/16/2007 5.08
12/16/2007 5.17
1/16/2008 5.99
2/15/2008 5.87
3/16/2008 6.41
4/16/2008 5.86
5/16/2008 5.40
6/16/2008 5.60
7/16/2008 6.25
8/16/2008 5.96
9/16/2008 6.93
10/16/2008 8.31
11/16/2008 8.73
12/16/2008 7.99
1/16/2009 8.05
2/15/2009 7.04
3/16/2009 7.20
4/16/2009 6.65
5/16/2009 5.70
6/16/2009 5.24
7/16/2009 5.39
8/16/2009 5.20
9/16/2009 5.11
10/16/2009 4.94
11/16/2009 5.24
12/16/2009 5.20
1/16/2010 5.25
2/15/2010 5.78
3/16/2010 5.46
4/16/2010 5.21
5/16/2010 6.54
6/16/2010 6.85
7/16/2010 7.16
8/16/2010 7.77
9/16/2010 7.63
10/16/2010 7.35
11/16/2010 7.33
12/16/2010 6.48
1/16/2011 6.40
2/15/2011 5.96
3/16/2011 6.74
4/16/2011 6.58
5/16/2011 6.91
6/16/2011 7.61
7/16/2011 7.23
8/16/2011 8.90
9/16/2011 9.25
10/16/2011 8.98
11/16/2011 9.01
12/16/2011 9.26
1/16/2012 8.42
2/15/2012 8.23
3/16/2012 7.81
4/16/2012 8.31
5/16/2012 9.01
6/16/2012 9.28
7/16/2012 8.78
8/16/2012 8.40
9/16/2012 8.13
10/16/2012 8.14
11/16/2012 8.87
12/16/2012 8.38
1/16/2013 8.02
2/15/2013 7.71
3/16/2013 7.63
4/16/2013 7.92
5/16/2013 7.28
6/16/2013 7.07
7/16/2013 6.49
8/16/2013 6.28
9/16/2013 6.10
10/16/2013 6.45
11/16/2013 6.19
12/16/2013 5.93
1/16/2014 5.89
2/15/2014 6.03
3/16/2014 5.95
4/16/2014 5.96
5/16/2014 6.14
6/16/2014 5.94
7/16/2014 5.89
8/16/2014 6.17
9/16/2014 5.92
10/16/2014 6.63
11/16/2014 6.00
12/16/2014 6.16
1/16/2015 6.34
2/15/2015 5.83
3/16/2015 5.79
4/16/2015 5.93
5/16/2015 5.72
6/16/2015 5.60
7/16/2015 5.68
8/16/2015 5.92
9/16/2015 6.15
10/16/2015 6.24
11/16/2015 5.78
12/16/2015 5.84
1/16/2016 6.52
2/15/2016 6.57
3/16/2016 6.16
4/16/2016 6.21
5/16/2016 6.35
6/16/2016 6.50
7/16/2016 6.37
8/16/2016 6.27
9/16/2016 6.40
10/16/2016 6.35
11/16/2016 5.93
12/16/2016 5.43
1/16/2017 5.61
2/15/2017 5.42
3/16/2017 5.32
4/16/2017 5.67
5/16/2017 5.67
6/16/2017 5.67
7/16/2017 5.39
8/16/2017 5.54
9/16/2017 5.53
10/16/2017 5.25
11/16/2017 5.34
12/16/2017 5.14
1/16/2018 5.00
2/15/2018 5.15
3/16/2018 5.15
4/16/2018 5.34
5/16/2018 5.31
6/16/2018 5.31
7/16/2018 5.17
8/16/2018 5.25
9/16/2018 5.00
10/16/2018 5.12
11/16/2018 5.45
12/16/2018 6.20
1/16/2019 5.96
2/15/2019 5.65
3/16/2019 5.65
4/16/2019 5.52
5/16/2019 5.79
6/16/2019 5.99
7/16/2019 5.87
8/16/2019 6.61
9/16/2019 6.23
10/16/2019 6.26
11/16/2019 5.98
12/16/2019 5.79
1/16/2020 5.76
2/15/2020 5.87
3/16/2020 8.34
4/16/2020 6.77
5/16/2020 6.30
6/16/2020 5.85
7/16/2020 5.73
8/16/2020 5.71
9/16/2020 5.77
10/16/2020 5.64

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 consumer price index inflation forecast and the smoothed nominal yield curve estimated from off-the-run securities. The median is at ratio 4.62.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), Institutional Brokers Estimate System Estimates; Department of the Treasury; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Return to text
1-11. 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 "Option-implied volatility" 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 20 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 15 percent in November. In early 2020, there is a large spike to almost 60 percent then a drop to around 30 by October of 2020. 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 November 2019. In early 2020, there is a spike to around 60 percent, ending around 18 percent in October 2020.

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.

Return to text
1-12. Commercial Real Estate Prices (Real)

Jan. 2001 = 100

Date Equal-weighted Value-weighted
1/16/1998 84.12 91.00
2/15/1998 84.40 90.71
3/16/1998 84.56 90.95
4/16/1998 85.05 90.29
5/16/1998 85.27 92.92
6/16/1998 85.56 94.47
7/16/1998 85.40 93.83
8/16/1998 85.29 93.81
9/16/1998 84.86 93.57
10/16/1998 86.23 93.59
11/16/1998 87.59 93.71
12/16/1998 89.31 93.06
1/16/1999 88.99 91.51
2/15/1999 89.21 91.71
3/16/1999 89.56 91.33
4/16/1999 89.88 90.87
5/16/1999 90.83 91.05
6/16/1999 91.36 91.36
7/16/1999 91.85 91.73
8/16/1999 92.27 93.15
9/16/1999 92.16 93.49
10/16/1999 92.97 93.60
11/16/1999 93.64 93.70
12/16/1999 94.59 93.70
1/16/2000 95.15 93.38
2/15/2000 95.42 91.15
3/16/2000 95.56 89.15
4/16/2000 96.29 88.24
5/16/2000 97.55 91.62
6/16/2000 98.27 94.19
7/16/2000 98.51 96.45
8/16/2000 98.33 98.12
9/16/2000 97.32 99.07
10/16/2000 98.63 100.00
11/16/2000 99.32 100.92
12/16/2000 100.50 101.02
1/16/2001 100.00 100.00
2/15/2001 100.10 99.56
3/16/2001 99.98 99.66
4/16/2001 99.65 99.97
5/16/2001 99.11 99.68
6/16/2001 99.53 98.59
7/16/2001 101.26 98.61
8/16/2001 103.14 98.45
9/16/2001 103.91 97.85
10/16/2001 104.32 96.69
11/16/2001 103.40 95.75
12/16/2001 103.26 95.11
1/16/2002 103.63 95.13
2/15/2002 104.56 96.11
3/16/2002 105.45 96.66
4/16/2002 105.53 96.53
5/16/2002 105.91 96.16
6/16/2002 105.99 95.48
7/16/2002 106.66 95.09
8/16/2002 107.18 95.09
9/16/2002 108.45 95.26
10/16/2002 110.36 95.91
11/16/2002 112.41 97.66
12/16/2002 114.40 100.28
1/16/2003 113.98 101.97
2/15/2003 112.81 102.15
3/16/2003 112.45 101.65
4/16/2003 113.90 101.44
5/16/2003 115.44 101.80
6/16/2003 116.04 101.08
7/16/2003 116.72 100.50
8/16/2003 117.07 98.06
9/16/2003 118.19 96.66
10/16/2003 119.76 96.81
11/16/2003 121.34 97.96
12/16/2003 122.83 99.40
1/16/2004 123.44 99.16
2/15/2004 124.59 101.76
3/16/2004 125.47 102.94
4/16/2004 126.89 106.00
5/16/2004 127.50 105.68
6/16/2004 128.90 107.68
7/16/2004 130.72 109.79
8/16/2004 132.48 112.41
9/16/2004 133.38 114.19
10/16/2004 133.22 115.30
11/16/2004 134.04 115.18
12/16/2004 135.86 114.86
1/16/2005 137.91 113.50
2/15/2005 139.65 114.97
3/16/2005 141.19 115.70
4/16/2005 141.92 117.02
5/16/2005 143.51 116.79
6/16/2005 144.41 117.02
7/16/2005 145.00 117.31
8/16/2005 146.09 117.85
9/16/2005 146.60 118.42
10/16/2005 148.53 120.37
11/16/2005 151.33 123.23
12/16/2005 153.13 125.01
1/16/2006 152.67 124.95
2/15/2006 153.43 125.91
3/16/2006 152.84 127.30
4/16/2006 152.28 128.14
5/16/2006 152.16 129.07
6/16/2006 152.85 129.90
7/16/2006 151.94 131.24
8/16/2006 150.80 132.07
9/16/2006 150.86 132.72
10/16/2006 151.78 133.51
11/16/2006 154.14 134.14
12/16/2006 154.88 136.55
1/16/2007 155.95 138.16
2/15/2007 155.68 139.50
3/16/2007 155.59 139.29
4/16/2007 155.85 140.36
5/16/2007 155.31 141.62
6/16/2007 155.30 142.95
7/16/2007 154.81 144.19
8/16/2007 155.35 145.07
9/16/2007 154.41 144.89
10/16/2007 152.57 145.01
11/16/2007 150.73 144.05
12/16/2007 149.55 143.62
1/16/2008 149.39 141.85
2/15/2008 148.17 135.97
3/16/2008 145.75 130.41
4/16/2008 142.63 124.75
5/16/2008 140.09 127.02
6/16/2008 137.18 128.61
7/16/2008 135.53 131.46
8/16/2008 134.87 128.47
9/16/2008 133.38 125.22
10/16/2008 132.90 124.37
11/16/2008 131.92 126.27
12/16/2008 129.76 126.28
1/16/2009 124.96 124.98
2/15/2009 121.64 120.83
3/16/2009 118.30 117.11
4/16/2009 116.02 110.60
5/16/2009 114.59 103.02
6/16/2009 113.24 95.11
7/16/2009 113.27 90.71
8/16/2009 111.18 91.71
9/16/2009 108.41 92.68
10/16/2009 105.36 92.85
11/16/2009 105.06 89.72
12/16/2009 104.92 87.23
1/16/2010 105.80 85.96
2/15/2010 106.24 86.55
3/16/2010 105.96 88.56
4/16/2010 104.01 91.35
5/16/2010 101.53 94.26
6/16/2010 99.39 94.78
7/16/2010 99.10 94.43
8/16/2010 98.84 94.15
9/16/2010 98.58 94.16
10/16/2010 97.95 94.66
11/16/2010 98.26 93.41
12/16/2010 97.85 93.49
1/16/2011 96.79 93.76
2/15/2011 95.61 95.28
3/16/2011 94.06 95.18
4/16/2011 93.81 94.51
5/16/2011 93.77 93.88
6/16/2011 93.46 93.35
7/16/2011 93.14 92.14
8/16/2011 93.07 91.36
9/16/2011 93.97 91.26
10/16/2011 95.28 93.36
11/16/2011 96.30 95.21
12/16/2011 95.30 97.46
1/16/2012 93.74 98.12
2/15/2012 92.66 98.03
3/16/2012 92.38 95.68
4/16/2012 92.80 94.58
5/16/2012 93.79 94.24
6/16/2012 94.10 96.12
7/16/2012 94.96 97.85
8/16/2012 94.81 98.68
9/16/2012 94.95 97.33
10/16/2012 96.12 96.99
11/16/2012 98.30 97.49
12/16/2012 98.99 99.06
1/16/2013 98.13 99.38
2/15/2013 97.29 99.17
3/16/2013 96.93 100.40
4/16/2013 98.79 102.10
5/16/2013 99.66 104.19
6/16/2013 100.74 104.82
7/16/2013 101.06 107.26
8/16/2013 101.40 108.01
9/16/2013 101.70 109.98
10/16/2013 102.44 110.39
11/16/2013 103.76 111.50
12/16/2013 104.71 110.43
1/16/2014 105.97 110.06
2/15/2014 107.18 109.33
3/16/2014 107.23 109.51
4/16/2014 107.52 109.97
5/16/2014 107.75 110.53
6/16/2014 108.27 111.07
7/16/2014 109.48 111.21
8/16/2014 110.77 112.28
9/16/2014 112.11 112.28
10/16/2014 113.69 114.29
11/16/2014 115.62 115.87
12/16/2014 116.89 120.51
1/16/2015 117.90 124.09
2/15/2015 117.93 128.56
3/16/2015 118.60 126.68
4/16/2015 119.79 126.77
5/16/2015 120.51 124.44
6/16/2015 120.86 125.66
7/16/2015 121.57 125.16
8/16/2015 122.44 125.53
9/16/2015 123.08 126.48
10/16/2015 123.60 126.42
11/16/2015 124.37 126.83
12/16/2015 126.14 126.23
1/16/2016 127.75 125.44
2/15/2016 129.06 124.53
3/16/2016 129.21 122.59
4/16/2016 128.23 122.26
5/16/2016 127.80 123.49
6/16/2016 127.94 125.89
7/16/2016 130.00 128.76
8/16/2016 131.89 129.37
9/16/2016 133.70 128.75
10/16/2016 134.54 129.06
11/16/2016 135.23 130.38
12/16/2016 136.08 131.73
1/16/2017 137.07 130.08
2/15/2017 139.41 129.91
3/16/2017 142.04 130.80
4/16/2017 144.09 132.05
5/16/2017 145.88 132.57
6/16/2017 147.67 131.88
7/16/2017 148.53 131.87
8/16/2017 148.60 133.38
9/16/2017 147.80 134.71
10/16/2017 148.34 137.63
11/16/2017 149.57 138.06
12/16/2017 151.79 137.13
1/16/2018 152.66 134.02
2/15/2018 151.65 135.61
3/16/2018 150.74 138.55
4/16/2018 149.81 142.32
5/16/2018 150.95 139.73
6/16/2018 152.98 135.80
7/16/2018 154.24 133.11
8/16/2018 155.51 134.32
9/16/2018 156.02 135.52
10/16/2018 157.70 135.04
11/16/2018 160.19 135.88
12/16/2018 162.26 137.60
1/16/2019 161.41 140.16
2/15/2019 160.42 142.95
3/16/2019 161.51 142.44
4/16/2019 161.91 142.42
5/16/2019 161.89 142.99
6/16/2019 160.83 146.03
7/16/2019 160.00 147.33
8/16/2019 162.25 147.33
9/16/2019 164.42 145.03
10/16/2019 164.88 142.87
11/16/2019 164.10 142.89
12/16/2019 162.92 144.23
1/16/2020 163.08 145.44
2/16/2020 165.25 145.67
3/16/2020 167.64 146.98
4/16/2020 168.38 147.26
5/16/2020 166.28 144.38
6/16/2020 163.24 141.29
7/16/2020 161.24 141.01
8/16/2020 160.23 141.88

Note: Series deflated using the consumer price index seasonally adjusted by Board staff. The data for the equal-weighted curve begins in 1998 curve begins after the and the value-weighted curve begins in 1996.

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

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1-13. Capitalization Rate at Property Purchase

Percent

Date Capitalization rate
1/16/2001 8.51
2/15/2001 8.55
3/16/2001 8.57
4/16/2001 8.58
5/16/2001 8.65
6/16/2001 8.69
7/16/2001 8.77
8/16/2001 8.85
9/16/2001 8.98
10/16/2001 9.00
11/16/2001 8.99
12/16/2001 9.02
1/16/2002 9.01
2/15/2002 9.01
3/16/2002 8.93
4/16/2002 8.90
5/16/2002 8.74
6/16/2002 8.68
7/16/2002 8.58
8/16/2002 8.51
9/16/2002 8.43
10/16/2002 8.37
11/16/2002 8.36
12/16/2002 8.37
1/16/2003 8.35
2/15/2003 8.38
3/16/2003 8.42
4/16/2003 8.47
5/16/2003 8.35
6/16/2003 8.20
7/16/2003 8.11
8/16/2003 8.01
9/16/2003 8.05
10/16/2003 8.01
11/16/2003 8.07
12/16/2003 7.95
1/16/2004 7.90
2/15/2004 7.79
3/16/2004 7.72
4/16/2004 7.71
5/16/2004 7.75
6/16/2004 7.74
7/16/2004 7.73
8/16/2004 7.67
9/16/2004 7.62
10/16/2004 7.55
11/16/2004 7.46
12/16/2004 7.29
1/16/2005 7.25
2/15/2005 7.24
3/16/2005 7.28
4/16/2005 7.24
5/16/2005 7.17
6/16/2005 7.11
7/16/2005 7.06
8/16/2005 7.01
9/16/2005 6.95
10/16/2005 6.88
11/16/2005 6.86
12/16/2005 6.82
1/16/2006 6.79
2/15/2006 6.78
3/16/2006 6.75
4/16/2006 6.76
5/16/2006 6.74
6/16/2006 6.75
7/16/2006 6.68
8/16/2006 6.67
9/16/2006 6.65
10/16/2006 6.70
11/16/2006 6.70
12/16/2006 6.70
1/16/2007 6.64
2/15/2007 6.62
3/16/2007 6.59
4/16/2007 6.57
5/16/2007 6.53
6/16/2007 6.53
7/16/2007 6.55
8/16/2007 6.58
9/16/2007 6.58
10/16/2007 6.61
11/16/2007 6.66
12/16/2007 6.70
1/16/2008 6.69
2/15/2008 6.79
3/16/2008 6.87
4/16/2008 6.98
5/16/2008 6.95
6/16/2008 6.99
7/16/2008 6.99
8/16/2008 6.99
9/16/2008 6.97
10/16/2008 6.95
11/16/2008 7.04
12/16/2008 7.16
1/16/2009 7.40
2/15/2009 7.40
3/16/2009 7.36
4/16/2009 7.21
5/16/2009 7.27
6/16/2009 7.39
7/16/2009 7.74
8/16/2009 7.82
9/16/2009 7.88
10/16/2009 7.79
11/16/2009 7.82
12/16/2009 7.88
1/16/2010 7.84
2/15/2010 7.84
3/16/2010 7.80
4/16/2010 7.90
5/16/2010 7.84
6/16/2010 7.74
7/16/2010 7.68
8/16/2010 7.74
9/16/2010 7.70
10/16/2010 7.65
11/16/2010 7.54
12/16/2010 7.51
1/16/2011 7.52
2/15/2011 7.49
3/16/2011 7.41
4/16/2011 7.43
5/16/2011 7.40
6/16/2011 7.37
7/16/2011 7.27
8/16/2011 7.21
9/16/2011 7.19
10/16/2011 7.24
11/16/2011 7.24
12/16/2011 7.25
1/16/2012 7.14
2/15/2012 7.20
3/16/2012 7.14
4/16/2012 7.17
5/16/2012 7.09
6/16/2012 7.05
7/16/2012 7.05
8/16/2012 7.06
9/16/2012 7.05
10/16/2012 7.03
11/16/2012 6.96
12/16/2012 6.96
1/16/2013 6.96
2/15/2013 6.98
3/16/2013 7.03
4/16/2013 6.98
5/16/2013 7.02
6/16/2013 6.94
7/16/2013 6.96
8/16/2013 6.85
9/16/2013 6.86
10/16/2013 6.90
11/16/2013 6.97
12/16/2013 6.93
1/16/2014 6.82
2/15/2014 6.76
3/16/2014 6.72
4/16/2014 6.78
5/16/2014 6.80
6/16/2014 6.76
7/16/2014 6.70
8/16/2014 6.65
9/16/2014 6.60
10/16/2014 6.59
11/16/2014 6.59
12/16/2014 6.57
1/16/2015 6.52
2/15/2015 6.50
3/16/2015 6.51
4/16/2015 6.47
5/16/2015 6.46
6/16/2015 6.45
7/16/2015 6.48
8/16/2015 6.44
9/16/2015 6.42
10/16/2015 6.40
11/16/2015 6.37
12/16/2015 6.34
1/16/2016 6.37
2/15/2016 6.37
3/16/2016 6.39
4/16/2016 6.29
5/16/2016 6.32
6/16/2016 6.32
7/16/2016 6.30
8/16/2016 6.29
9/16/2016 6.24
10/16/2016 6.26
11/16/2016 6.27
12/16/2016 6.34
1/16/2017 6.35
2/15/2017 6.34
3/16/2017 6.35
4/16/2017 6.37
5/16/2017 6.33
6/16/2017 6.23
7/16/2017 6.18
8/16/2017 6.19
9/16/2017 6.18
10/16/2017 6.21
11/16/2017 6.20
12/16/2017 6.23
1/16/2018 6.21
2/15/2018 6.19
3/16/2018 6.19
4/16/2018 6.19
5/16/2018 6.17
6/16/2018 6.18
7/16/2018 6.19
8/16/2018 6.21
9/16/2018 6.22
10/16/2018 6.22
11/16/2018 6.20
12/16/2018 6.13
1/16/2019 6.15
2/15/2019 6.13
3/16/2019 6.21
4/16/2019 6.18
5/16/2019 6.27
6/16/2019 6.21
7/16/2019 6.23
8/16/2019 6.14
9/16/2019 6.11
10/16/2019 6.10
11/16/2019 6.07
12/16/2019 6.05
1/16/2020 6.09
2/15/2020 6.15
3/16/2020 6.24
4/15/2020 6.00
5/15/2020 5.87
6/14/2020 6.00
7/14/2020 5.89
8/13/2020 5.93
9/12/2020 5.95

Note: Data are a 12-month moving average 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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1-14. Change in Bank Standards for Commercial Real Estate Loans

The x axis measures time and ranges from the years 1997 to 2020. Data is quarterly. The y axis ranges from -100 to 100, which measures the net percentage of banks reporting on the right. On the left y axis, from -100 to 0, is labeled “Easing” and from 0 to 100 is labeled “Tightening.” There is one variable charted on the plot and it is the net percentage of banks reporting in the Senior Loan Officer Opinion Survey on Bank Lending Practices. It is represented by a solid black line. It begins at 0 and spikes to 60 in 1999. It declines until 2000 with a spike back up to 60 in 2001 then steadily declines until 2005. It then increases until 2009 to around 95. It decreases to around -20 in 2011 and remains fairly steady until 2016. It then increases and hits 30 in 2017. It goes negative again until 2018 where it increases to around 19 by the end of 2019. By Q2 of 2020 it ends around 60. The chart also includes recession bars.

Note: Banks’ responses are weighted by their commercial real estate (CRE) loan market shares. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009 and February 2020-June 2020. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter.

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

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1-15. Farmland Prices

2019 dollars per acre

Date Midwest index United States
7/2/1967 2538.36 n.a.
7/2/1968 2662.47 n.a.
7/2/1969 2610.89 n.a.
7/2/1970 2497.36 n.a.
7/2/1971 2334.25 n.a.
7/2/1972 2337.93 n.a.
7/2/1973 2514.38 n.a.
7/2/1974 3035.71 n.a.
7/2/1975 3381.89 n.a.
7/2/1976 3973.00 n.a.
7/2/1977 4768.00 n.a.
7/2/1978 4979.11 n.a.
7/2/1979 5052.55 n.a.
7/2/1980 5056.45 n.a.
7/2/1981 4810.21 n.a.
7/2/1982 4383.49 n.a.
7/2/1983 3721.47 n.a.
7/2/1984 3270.99 n.a.
7/2/1985 2332.55 n.a.
7/2/1986 1852.58 n.a.
7/2/1987 1576.09 n.a.
7/2/1988 1726.44 n.a.
7/2/1989 1889.02 n.a.
7/2/1990 1896.45 n.a.
7/2/1991 1855.21 n.a.
7/2/1992 1860.81 n.a.
7/2/1993 1862.78 n.a.
7/2/1994 2258.93 n.a.
7/2/1995 2179.78 n.a.
7/2/1996 2327.78 n.a.
7/2/1997 2142.17 2022.59
7/2/1998 2264.08 2101.56
7/2/1999 2285.87 2148.54
7/2/2000 2255.57 2167.64
7/2/2001 2239.50 2180.46
7/2/2002 2273.27 2259.92
7/2/2003 2303.14 2306.41
7/2/2004 2407.04 2368.29
7/2/2005 2781.21 2697.03
7/2/2006 2999.65 3031.41
7/2/2007 3324.02 3119.43
7/2/2008 3709.13 3277.97
7/2/2009 3525.00 3181.27
7/2/2010 3712.79 3165.21
7/2/2011 4309.02 3387.11
7/2/2012 5046.13 3730.32
7/2/2013 5777.91 4181.25
7/2/2014 6215.96 4417.17
7/2/2015 5968.82 4422.62
7/2/2016 5688.56 4303.65
7/2/2017 5512.78 4203.11
7/2/2018 5379.57 4123.38
7/2/2019 5279.36 4100.00
7/2/2020 5144.82 4032.69

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states that comes from staff calculations. Values are given in real terms. Data are through July 2020.

Source: Department of Agriculture; Federal Reserve Board staff calculations.

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1-16. Farmland Price-to-Rent Ratio

Ratio

Date Midwest index United States
7/2/1967 14.13 n.a.
7/2/1968 14.20 n.a.
7/2/1969 14.20 n.a.
7/2/1970 13.99 n.a.
7/2/1971 13.51 n.a.
7/2/1972 13.40 n.a.
7/2/1973 14.17 n.a.
7/2/1974 14.53 n.a.
7/2/1975 14.60 n.a.
7/2/1976 16.16 n.a.
7/2/1977 18.02 n.a.
7/2/1978 19.56 n.a.
7/2/1979 20.58 n.a.
7/2/1980 21.55 n.a.
7/2/1981 21.25 n.a.
7/2/1982 19.56 n.a.
7/2/1983 17.42 n.a.
7/2/1984 15.95 n.a.
7/2/1985 13.00 n.a.
7/2/1986 11.90 n.a.
7/2/1987 11.72 n.a.
7/2/1988 12.52 n.a.
7/2/1989 13.30 n.a.
7/2/1990 13.41 n.a.
7/2/1991 13.51 n.a.
7/2/1992 13.74 n.a.
7/2/1993 13.89 n.a.
7/2/1994 17.97 n.a.
7/2/1995 17.35 n.a.
7/2/1996 18.36 n.a.
7/2/1997 16.67 n.a.
7/2/1998 17.47 20.15
7/2/1999 18.20 20.74
7/2/2000 17.84 20.86
7/2/2001 17.95 21.27
7/2/2002 18.18 22.21
7/2/2003 18.63 22.74
7/2/2004 19.45 22.88
7/2/2005 22.50 26.41
7/2/2006 24.61 30.06
7/2/2007 25.78 32.65
7/2/2008 26.32 32.28
7/2/2009 24.43 26.97
7/2/2010 25.44 26.47
7/2/2011 27.84 26.85
7/2/2012 28.48 26.80
7/2/2013 30.45 28.01
7/2/2014 32.19 29.01
7/2/2015 31.64 28.47
7/2/2016 32.10 29.71
7/2/2017 32.28 29.63
7/2/2018 31.89 29.35
7/2/2019 32.05 29.29
7/2/2020 31.90 29.50

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states. Data are through July 2020.

Source: Department of Agriculture; Federal Reserve Board staff calculations.

Return to text
1-17. Growth of Nominal Prices of Existing Homes

Twelve-month percent change

Date Zillow Core Logic
1/16/2011 -4.03 -3.57
2/15/2011 -4.44 -3.52
3/16/2011 -4.91 -4.32
4/16/2011 -5.48 -4.53
5/16/2011 -6.02 -4.42
6/16/2011 -6.38 -3.90
7/16/2011 -6.36 -3.05
8/16/2011 -6.18 -2.30
9/16/2011 -5.86 -1.60
10/16/2011 -5.56 -1.34
11/16/2011 -5.18 -1.33
12/16/2011 -4.82 -0.94
1/16/2012 -4.40 -0.33
2/15/2012 -3.95 0.61
3/16/2012 -3.36 1.93
4/16/2012 -2.62 2.73
5/16/2012 -1.77 3.42
6/16/2012 -0.99 3.81
7/16/2012 -0.33 4.15
8/16/2012 0.26 4.69
9/16/2012 0.83 5.31
10/16/2012 1.48 6.01
11/16/2012 2.17 6.98
12/16/2012 2.91 7.80
1/16/2013 3.65 8.66
2/15/2013 4.36 9.31
3/16/2013 5.02 9.90
4/16/2013 5.59 9.91
5/16/2013 6.10 9.71
6/16/2013 6.63 9.35
7/16/2013 7.14 9.41
8/16/2013 7.62 9.57
9/16/2013 8.01 9.89
10/16/2013 8.30 10.09
11/16/2013 8.45 10.03
12/16/2013 8.49 9.86
1/16/2014 8.43 9.82
2/15/2014 8.32 9.78
3/16/2014 8.03 8.95
4/16/2014 7.63 7.97
5/16/2014 7.17 7.04
6/16/2014 6.72 6.30
7/16/2014 6.24 5.70
8/16/2014 5.73 5.30
9/16/2014 5.24 5.05
10/16/2014 4.85 5.08
11/16/2014 4.60 5.02
12/16/2014 4.43 4.96
1/16/2015 4.27 4.98
2/15/2015 4.15 5.08
3/16/2015 4.21 5.19
4/16/2015 4.36 5.22
5/16/2015 4.54 5.19
6/16/2015 4.64 5.17
7/16/2015 4.74 5.05
8/16/2015 4.91 5.04
9/16/2015 5.10 5.24
10/16/2015 5.23 5.32
11/16/2015 5.24 5.42
12/16/2015 5.28 5.56
1/16/2016 5.38 5.64
2/15/2016 5.47 5.59
3/16/2016 5.44 5.57
4/16/2016 5.41 5.53
5/16/2016 5.39 5.36
6/16/2016 5.45 5.13
7/16/2016 5.53 5.14
8/16/2016 5.59 5.15
9/16/2016 5.64 5.21
10/16/2016 5.70 5.33
11/16/2016 5.83 5.45
12/16/2016 5.92 5.45
1/16/2017 5.95 5.49
2/15/2017 5.95 5.66
3/16/2017 6.06 5.70
4/16/2017 6.16 5.62
5/16/2017 6.26 5.64
6/16/2017 6.31 5.75
7/16/2017 6.34 5.77
8/16/2017 6.36 5.86
9/16/2017 6.40 5.92
10/16/2017 6.47 5.99
11/16/2017 6.51 6.06
12/16/2017 6.56 6.06
1/16/2018 6.60 6.01
2/15/2018 6.66 6.26
3/16/2018 6.69 6.45
4/16/2018 6.71 6.43
5/16/2018 6.73 6.29
6/16/2018 6.74 6.02
7/16/2018 6.72 5.77
8/16/2018 6.62 5.50
9/16/2018 6.43 5.31
10/16/2018 6.21 5.21
11/16/2018 5.97 4.90
12/16/2018 5.77 4.52
1/16/2019 5.58 4.29
2/15/2019 5.34 4.04
3/16/2019 5.05 3.76
4/16/2019 4.76 3.67
5/16/2019 4.56 3.65
6/16/2019 4.42 3.52
7/16/2019 4.29 3.44
8/16/2019 4.12 3.49
9/16/2019 3.95 3.48
10/16/2019 3.83 3.47
11/16/2019 3.75 3.63
12/16/2019 3.71 3.83
1/16/2020 3.71 3.93
2/15/2020 3.81 4.04
3/16/2020 4.00 4.44
4/16/2020 4.22 4.42
5/16/2020 4.33 3.99
6/16/2020 4.40 4.30
7/16/2020 4.62 5.07
8/16/2020 5.11 5.89

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data.

Return to text
1-18. Housing Price-to-Rent Ratio
Date Long-run trend Price-to-rent ratio
1/16/1983 78.97 75.24
2/15/1983 79.01 75.06
3/16/1983 79.06 75.11
4/16/1983 79.10 75.06
5/16/1983 79.14 75.31
6/16/1983 79.19 75.36
7/16/1983 79.24 75.48
8/16/1983 79.30 75.58
9/16/1983 79.35 75.50
10/16/1983 79.40 75.67
11/16/1983 79.44 75.77
12/16/1983 79.49 75.83
1/16/1984 79.54 75.83
2/15/1984 79.59 75.88
3/16/1984 79.64 75.66
4/16/1984 79.69 75.38
5/16/1984 79.75 75.49
6/16/1984 79.80 75.40
7/16/1984 79.86 75.38
8/16/1984 79.92 75.30
9/16/1984 79.98 75.29
10/16/1984 80.02 75.19
11/16/1984 80.06 75.10
12/16/1984 80.11 74.73
1/16/1985 80.16 74.67
2/15/1985 80.20 74.48
3/16/1985 80.25 74.53
4/16/1985 80.29 74.66
5/16/1985 80.34 74.40
6/16/1985 80.38 74.44
7/16/1985 80.42 74.54
8/16/1985 80.46 74.44
9/16/1985 80.50 74.59
10/16/1985 80.54 74.49
11/16/1985 80.59 74.44
12/16/1985 80.63 74.76
1/16/1986 80.68 75.03
2/15/1986 80.71 75.55
3/16/1986 80.76 75.43
4/16/1986 80.80 75.00
5/16/1986 80.85 75.47
6/16/1986 80.89 75.85
7/16/1986 80.94 76.05
8/16/1986 80.99 76.78
9/16/1986 81.04 77.08
10/16/1986 81.08 77.32
11/16/1986 81.12 77.67
12/16/1986 81.17 78.18
1/16/1987 81.21 78.59
2/15/1987 81.25 79.11
3/16/1987 81.30 79.67
4/16/1987 81.36 80.26
5/16/1987 81.42 80.76
6/16/1987 81.48 81.53
7/16/1987 81.53 81.84
8/16/1987 81.57 82.02
9/16/1987 81.62 82.30
10/16/1987 81.68 82.68
11/16/1987 81.73 83.36
12/16/1987 81.79 83.30
1/16/1988 81.83 83.56
2/15/1988 81.87 83.82
3/16/1988 81.91 84.10
4/16/1988 81.96 84.54
5/16/1988 82.02 85.07
6/16/1988 82.07 85.69
7/16/1988 82.12 86.40
8/16/1988 82.17 86.99
9/16/1988 82.22 87.46
10/16/1988 82.27 88.14
11/16/1988 82.32 88.65
12/16/1988 82.37 89.12
1/16/1989 82.43 89.50
2/15/1989 82.48 89.84
3/16/1989 82.53 90.26
4/16/1989 82.58 90.61
5/16/1989 82.62 90.78
6/16/1989 82.67 90.69
7/16/1989 82.71 90.67
8/16/1989 82.76 90.84
9/16/1989 82.80 91.21
10/16/1989 82.85 91.17
11/16/1989 82.90 91.26
12/16/1989 82.95 91.37
1/16/1990 83.01 91.46
2/15/1990 83.06 91.61
3/16/1990 83.11 91.48
4/16/1990 83.16 91.29
5/16/1990 83.21 91.05
6/16/1990 83.25 90.61
7/16/1990 83.30 90.12
8/16/1990 83.34 89.56
9/16/1990 83.39 89.12
10/16/1990 83.43 88.63
11/16/1990 83.48 88.30
12/16/1990 83.53 87.72
1/16/1991 83.58 87.33
2/15/1991 83.62 86.85
3/16/1991 83.66 86.34
4/16/1991 83.71 86.05
5/16/1991 83.76 85.87
6/16/1991 83.81 85.90
7/16/1991 83.86 85.63
8/16/1991 83.91 85.61
9/16/1991 83.96 84.98
10/16/1991 84.00 84.86
11/16/1991 84.04 84.48
12/16/1991 84.09 84.23
1/16/1992 84.14 84.06
2/15/1992 84.19 83.95
3/16/1992 84.25 83.43
4/16/1992 84.29 83.63
5/16/1992 84.34 83.40
6/16/1992 84.39 83.09
7/16/1992 84.43 82.80
8/16/1992 84.48 82.77
9/16/1992 84.52 82.75
10/16/1992 84.57 82.31
11/16/1992 84.62 82.04
12/16/1992 84.67 82.06
1/16/1993 84.71 81.92
2/15/1993 84.75 81.86
3/16/1993 84.80 81.90
4/16/1993 84.84 81.67
5/16/1993 84.88 81.58
6/16/1993 84.92 81.50
7/16/1993 84.97 81.69
8/16/1993 85.02 81.67
9/16/1993 85.06 81.89
10/16/1993 85.11 81.93
11/16/1993 85.16 82.14
12/16/1993 85.21 82.10
1/16/1994 85.26 82.06
2/15/1994 85.31 81.81
3/16/1994 85.36 81.60
4/16/1994 85.42 81.73
5/16/1994 85.48 81.82
6/16/1994 85.54 81.97
7/16/1994 85.59 81.87
8/16/1994 85.64 81.67
9/16/1994 85.69 81.54
10/16/1994 85.74 81.55
11/16/1994 85.80 81.46
12/16/1994 85.85 81.47
1/16/1995 85.90 81.37
2/15/1995 85.94 81.35
3/16/1995 85.99 81.24
4/16/1995 86.03 81.24
5/16/1995 86.06 81.23
6/16/1995 86.10 81.30
7/16/1995 86.15 81.31
8/16/1995 86.20 81.40
9/16/1995 86.24 81.48
10/16/1995 86.29 81.45
11/16/1995 86.34 81.42
12/16/1995 86.38 81.38
1/16/1996 86.43 81.38
2/15/1996 86.48 81.42
3/16/1996 86.53 81.53
4/16/1996 86.58 81.61
5/16/1996 86.64 81.59
6/16/1996 86.69 81.52
7/16/1996 86.74 81.40
8/16/1996 86.79 81.43
9/16/1996 86.84 81.39
10/16/1996 86.88 81.34
11/16/1996 86.93 81.35
12/16/1996 86.97 81.37
1/16/1997 87.02 81.40
2/15/1997 87.07 81.43
3/16/1997 87.12 81.48
4/16/1997 87.17 81.50
5/16/1997 87.22 81.52
6/16/1997 87.27 81.62
7/16/1997 87.31 81.79
8/16/1997 87.36 81.92
9/16/1997 87.40 82.08
10/16/1997 87.45 82.32
11/16/1997 87.50 82.58
12/16/1997 87.55 82.88
1/16/1998 87.60 83.24
2/15/1998 87.64 83.60
3/16/1998 87.69 83.90
4/16/1998 87.74 84.14
5/16/1998 87.79 84.35
6/16/1998 87.84 84.52
7/16/1998 87.88 84.77
8/16/1998 87.93 85.02
9/16/1998 87.97 85.32
10/16/1998 88.02 85.69
11/16/1998 88.07 86.02
12/16/1998 88.12 86.37
1/16/1999 88.17 86.66
2/15/1999 88.22 86.98
3/16/1999 88.27 87.26
4/16/1999 88.32 87.57
5/16/1999 88.37 88.00
6/16/1999 88.42 88.47
7/16/1999 88.47 88.91
8/16/1999 88.53 89.35
9/16/1999 88.58 89.76
10/16/1999 88.63 90.24
11/16/1999 88.67 90.43
12/16/1999 88.72 90.90
1/16/2000 88.78 91.24
2/15/2000 88.83 91.84
3/16/2000 88.88 92.42
4/16/2000 88.93 93.06
5/16/2000 88.98 93.63
6/16/2000 89.02 94.14
7/16/2000 89.07 94.49
8/16/2000 89.12 94.85
9/16/2000 89.16 95.21
10/16/2000 89.20 95.54
11/16/2000 89.25 95.98
12/16/2000 89.29 96.36
1/16/2001 89.34 96.84
2/15/2001 89.38 97.24
3/16/2001 89.42 97.56
4/16/2001 89.47 97.81
5/16/2001 89.52 97.92
6/16/2001 89.57 98.17
7/16/2001 89.62 98.41
8/16/2001 89.66 98.63
9/16/2001 89.71 98.87
10/16/2001 89.75 99.07
11/16/2001 89.80 99.27
12/16/2001 89.84 99.36
1/16/2002 89.90 99.61
2/15/2002 89.94 99.84
3/16/2002 90.00 100.23
4/16/2002 90.04 100.79
5/16/2002 90.09 101.44
6/16/2002 90.14 102.05
7/16/2002 90.18 102.69
8/16/2002 90.22 103.32
9/16/2002 90.26 103.86
10/16/2002 90.31 104.30
11/16/2002 90.36 104.71
12/16/2002 90.40 105.17
1/16/2003 90.45 105.47
2/15/2003 90.50 105.94
3/16/2003 90.55 106.37
4/16/2003 90.59 106.78
5/16/2003 90.64 107.23
6/16/2003 90.68 107.87
7/16/2003 90.73 108.50
8/16/2003 90.79 109.23
9/16/2003 90.84 110.04
10/16/2003 90.89 110.97
11/16/2003 90.93 111.82
12/16/2003 90.98 112.73
1/16/2004 91.03 113.67
2/15/2004 91.07 114.55
3/16/2004 91.12 115.51
4/16/2004 91.17 116.46
5/16/2004 91.23 117.46
6/16/2004 91.28 118.43
7/16/2004 91.33 119.40
8/16/2004 91.38 120.23
9/16/2004 91.42 121.17
10/16/2004 91.47 122.18
11/16/2004 91.52 123.27
12/16/2004 91.57 124.20
1/16/2005 91.62 125.23
2/15/2005 91.66 126.35
3/16/2005 91.72 127.49
4/16/2005 91.76 128.59
5/16/2005 91.81 129.64
6/16/2005 91.86 130.62
7/16/2005 91.91 131.46
8/16/2005 91.95 132.38
9/16/2005 92.00 133.22
10/16/2005 92.05 133.95
11/16/2005 92.10 134.66
12/16/2005 92.15 135.32
1/16/2006 92.20 135.89
2/15/2006 92.24 136.11
3/16/2006 92.29 136.08
4/16/2006 92.34 135.82
5/16/2006 92.39 135.33
6/16/2006 92.44 134.69
7/16/2006 92.48 134.05
8/16/2006 92.53 133.35
9/16/2006 92.58 132.77
10/16/2006 92.62 132.30
11/16/2006 92.67 131.90
12/16/2006 92.71 131.38
1/16/2007 92.77 130.87
2/15/2007 92.81 130.08
3/16/2007 92.87 129.17
4/16/2007 92.92 128.10
5/16/2007 92.97 126.81
6/16/2007 93.02 125.44
7/16/2007 93.07 124.07
8/16/2007 93.12 122.83
9/16/2007 93.17 121.54
10/16/2007 93.21 120.11
11/16/2007 93.25 118.68
12/16/2007 93.30 117.23
1/16/2008 93.34 115.73
2/15/2008 93.39 114.13
3/16/2008 93.43 112.34
4/16/2008 93.48 110.40
5/16/2008 93.53 108.57
6/16/2008 93.58 106.63
7/16/2008 93.63 104.80
8/16/2008 93.68 102.94
9/16/2008 93.73 101.01
10/16/2008 93.78 98.94
11/16/2008 93.82 96.89
12/16/2008 93.86 95.06
1/16/2009 93.91 93.45
2/15/2009 93.94 92.27
3/16/2009 93.98 91.50
4/16/2009 94.03 91.07
5/16/2009 94.08 90.96
6/16/2009 94.12 91.05
7/16/2009 94.18 91.25
8/16/2009 94.23 91.37
9/16/2009 94.28 91.54
10/16/2009 94.32 91.79
11/16/2009 94.37 91.98
12/16/2009 94.42 92.09
1/16/2010 94.47 92.08
2/15/2010 94.51 92.08
3/16/2010 94.56 92.03
4/16/2010 94.61 91.94
5/16/2010 94.66 91.71
6/16/2010 94.70 91.20
7/16/2010 94.75 90.56
8/16/2010 94.79 89.93
9/16/2010 94.83 89.17
10/16/2010 94.88 88.71
11/16/2010 94.93 88.20
12/16/2010 94.98 87.80
1/16/2011 95.04 87.36
2/15/2011 95.08 86.88
3/16/2011 95.13 86.39
4/16/2011 95.18 86.00
5/16/2011 95.22 85.73
6/16/2011 95.26 85.61
7/16/2011 95.31 85.61
8/16/2011 95.35 85.45
9/16/2011 95.40 85.32
10/16/2011 95.44 85.05
11/16/2011 95.49 84.82
12/16/2011 95.54 84.60
1/16/2012 95.59 84.58
2/15/2012 95.63 84.71
3/16/2012 95.68 85.08
4/16/2012 95.73 85.57
5/16/2012 95.78 86.22
6/16/2012 95.82 86.87
7/16/2012 95.87 87.36
8/16/2012 95.91 87.80
9/16/2012 95.96 88.16
10/16/2012 96.01 88.44
11/16/2012 96.05 88.96
12/16/2012 96.10 89.50
1/16/2013 96.15 90.05
2/15/2013 96.20 90.64
3/16/2013 96.25 91.27
4/16/2013 96.30 92.01
5/16/2013 96.35 92.61
6/16/2013 96.40 93.22
7/16/2013 96.45 93.86
8/16/2013 96.51 94.31
9/16/2013 96.56 94.90
10/16/2013 96.61 95.43
11/16/2013 96.65 95.89
12/16/2013 96.70 96.19
1/16/2014 96.75 96.46
2/15/2014 96.80 96.68
3/16/2014 96.85 96.65
4/16/2014 96.89 96.54
5/16/2014 96.94 96.47
6/16/2014 96.99 96.43
7/16/2014 97.03 96.50
8/16/2014 97.08 96.70
9/16/2014 97.13 96.92
10/16/2014 97.18 97.21
11/16/2014 97.22 97.38
12/16/2014 97.27 97.66
1/16/2015 97.31 97.83
2/15/2015 97.36 97.91
3/16/2015 97.40 97.97
4/16/2015 97.45 98.08
5/16/2015 97.50 98.20
6/16/2015 97.55 98.32
7/16/2015 97.60 98.44
8/16/2015 97.65 98.61
9/16/2015 97.70 98.69
10/16/2015 97.75 98.88
11/16/2015 97.79 99.10
12/16/2015 97.84 99.29
1/16/2016 97.89 99.41
2/15/2016 97.93 99.50
3/16/2016 97.98 99.60
4/16/2016 98.03 99.66
5/16/2016 98.07 99.69
6/16/2016 98.12 99.75
7/16/2016 98.17 99.87
8/16/2016 98.22 100.04
9/16/2016 98.26 100.25
10/16/2016 98.31 100.40
11/16/2016 98.37 100.61
12/16/2016 98.42 100.79
1/16/2017 98.47 100.98
2/15/2017 98.52 101.10
3/16/2017 98.57 101.23
4/16/2017 98.62 101.38
5/16/2017 98.66 101.48
6/16/2017 98.71 101.66
7/16/2017 98.76 101.92
8/16/2017 98.81 102.10
9/16/2017 98.85 102.44
10/16/2017 98.90 102.70
11/16/2017 98.95 102.95
12/16/2017 99.00 103.14
1/16/2018 99.05 103.36
2/15/2018 99.10 103.66
3/16/2018 99.16 103.92
4/16/2018 99.21 104.02
5/16/2018 99.26 104.11
6/16/2018 99.31 104.15
7/16/2018 99.36 104.12
8/16/2018 99.41 104.06
9/16/2018 99.45 104.11
10/16/2018 99.50 104.14
11/16/2018 99.55 104.04
12/16/2018 99.60 104.04
1/16/2019 99.65 103.97
2/15/2019 99.69 103.89
3/16/2019 99.73 103.76
4/16/2019 99.78 103.64
5/16/2019 99.82 103.68
6/16/2019 99.87 103.58
7/16/2019 99.91 103.61
8/16/2019 99.96 103.72
9/16/2019 99.54 103.10
10/16/2019 99.59 103.23
11/16/2019 99.63 103.32
12/16/2019 99.68 103.46
1/16/2020 99.73 103.52
2/16/2020 99.77 103.64
3/16/2020 99.81 103.79
4/16/2020 99.86 104.03
5/16/2020 99.91 104.35
6/16/2020 99.96 104.91
7/16/2020 100.00 105.63

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

Jan. 2010 = 100

Date Phoenix Miami Los Angeles Median 90th Percentile 10th Percentile
1/16/2002 106.97 115.95 98.33 102.71 115.95 88.01
2/15/2002 107.56 116.86 98.93 103.23 116.86 87.69
3/16/2002 108.18 117.91 99.67 103.93 117.91 88.24
4/16/2002 108.63 118.76 100.54 104.64 118.76 89.52
5/16/2002 108.93 119.35 101.72 106.25 119.35 91.06
6/16/2002 109.06 120.34 102.86 106.41 120.34 91.82
7/16/2002 109.29 121.20 104.48 106.60 121.20 92.77
8/16/2002 109.58 122.49 105.60 106.77 122.49 92.31
9/16/2002 109.77 123.30 106.68 107.22 123.30 92.13
10/16/2002 110.17 123.72 107.53 107.53 123.72 92.78
11/16/2002 110.59 125.29 108.61 108.00 125.29 93.11
12/16/2002 111.00 126.72 109.58 108.52 126.72 93.45
1/16/2003 111.96 128.71 110.39 109.43 128.71 94.49
2/15/2003 112.24 128.84 111.28 110.08 128.84 94.28
3/16/2003 112.69 130.23 112.19 110.32 130.23 94.23
4/16/2003 113.24 131.43 113.17 110.35 131.43 93.93
5/16/2003 113.75 132.72 114.16 110.53 132.72 94.13
6/16/2003 114.15 133.77 115.40 111.39 133.77 94.71
7/16/2003 114.66 135.01 116.46 112.05 135.01 96.08
8/16/2003 115.20 135.96 118.35 112.48 135.96 96.88
9/16/2003 116.02 137.43 120.16 112.93 137.43 98.06
10/16/2003 117.07 138.35 121.92 114.14 138.35 99.04
11/16/2003 118.13 139.52 123.76 115.08 139.52 99.63
12/16/2003 119.13 140.84 125.73 115.45 140.84 100.35
1/16/2004 120.35 141.79 127.41 116.15 141.79 101.19
2/15/2004 121.29 143.38 129.67 116.77 143.38 101.83
3/16/2004 122.54 145.27 132.43 117.52 145.27 102.24
4/16/2004 123.97 145.58 135.12 118.09 147.56 102.92
5/16/2004 125.54 147.14 137.38 118.79 150.36 103.86
6/16/2004 127.33 149.21 139.43 120.57 153.88 104.99
7/16/2004 129.14 150.56 140.79 121.50 156.96 106.57
8/16/2004 131.27 153.09 142.02 121.02 158.90 106.55
9/16/2004 133.98 154.42 142.94 121.33 160.06 107.35
10/16/2004 136.97 156.74 143.92 122.71 161.34 108.32
11/16/2004 140.35 158.44 145.23 124.10 162.06 109.68
12/16/2004 144.34 160.56 146.41 124.80 163.97 111.14
1/16/2005 148.15 163.28 147.80 124.97 164.92 112.35
2/15/2005 152.09 166.17 150.03 125.65 166.17 112.06
3/16/2005 157.46 168.49 152.10 127.21 168.49 112.23
4/16/2005 162.29 171.54 153.66 128.57 171.54 112.49
5/16/2005 167.12 174.52 155.55 129.41 174.52 112.83
6/16/2005 172.60 177.78 157.39 129.94 177.78 112.77
7/16/2005 178.11 179.66 158.82 130.43 179.66 113.30
8/16/2005 182.75 183.38 160.58 131.31 183.38 113.87
9/16/2005 187.03 186.10 162.58 132.01 186.10 113.88
10/16/2005 190.01 189.06 165.02 132.97 189.06 113.59
11/16/2005 192.89 191.93 166.22 133.48 191.93 114.54
12/16/2005 195.31 195.19 168.35 134.27 193.50 114.65
1/16/2006 196.90 197.26 169.81 135.39 192.99 115.06
2/15/2006 198.20 200.01 171.28 135.58 192.11 115.70
3/16/2006 199.46 203.21 171.17 136.31 191.24 116.20
4/16/2006 199.42 203.85 170.47 136.61 192.58 116.54
5/16/2006 198.96 205.42 169.83 136.27 189.96 116.45
6/16/2006 197.35 205.23 169.02 136.36 187.76 116.06
7/16/2006 195.55 201.73 168.55 134.29 185.21 115.08
8/16/2006 193.49 204.16 168.07 135.27 182.42 114.89
9/16/2006 191.39 204.67 167.40 135.35 180.29 114.81
10/16/2006 189.36 204.37 166.29 135.79 178.03 114.62
11/16/2006 187.22 202.73 165.25 136.21 177.36 114.55
12/16/2006 185.21 200.60 163.35 136.39 175.70 114.55
1/16/2007 183.37 198.83 161.25 135.62 175.51 114.41
2/15/2007 180.80 199.63 160.33 137.06 173.58 113.67
3/16/2007 178.29 197.24 156.80 136.67 170.29 113.07
4/16/2007 175.96 195.98 154.84 136.03 166.75 112.72
5/16/2007 173.01 191.89 152.34 134.73 161.62 112.37
6/16/2007 169.93 187.64 149.98 133.69 159.99 111.77
7/16/2007 167.22 182.74 147.48 132.34 157.18 111.68
8/16/2007 164.46 181.28 145.62 130.98 153.06 111.36
9/16/2007 161.02 177.39 143.33 129.43 149.62 110.87
10/16/2007 157.17 173.15 140.47 127.59 147.07 110.15
11/16/2007 152.92 169.18 136.94 125.89 143.84 109.41
12/16/2007 149.18 164.86 133.65 124.24 141.62 108.04
1/16/2008 145.72 159.97 131.24 122.07 137.40 107.50
2/15/2008 142.69 154.56 126.84 120.38 134.46 106.67
3/16/2008 138.24 148.19 123.85 117.73 133.03 106.29
4/16/2008 133.99 141.20 121.13 116.05 131.48 105.11
5/16/2008 130.53 135.24 117.91 115.33 129.83 104.86
6/16/2008 127.14 131.74 115.11 113.35 126.92 104.38
7/16/2008 123.52 129.07 111.55 111.44 124.81 103.47
8/16/2008 120.27 124.62 109.09 109.31 121.64 102.85
9/16/2008 116.82 120.82 106.38 108.00 119.57 101.71
10/16/2008 113.86 116.36 103.82 105.92 115.81 100.42
11/16/2008 110.83 113.44 101.97 104.19 113.44 99.74
12/16/2008 107.52 109.66 99.77 102.51 110.33 98.59
1/16/2009 104.53 108.10 98.72 102.54 108.23 97.54
2/15/2009 102.13 104.19 97.40 102.06 106.78 97.11
3/16/2009 99.43 102.00 96.20 100.90 105.11 95.88
4/16/2009 98.25 100.34 95.23 100.62 104.06 94.69
5/16/2009 97.88 98.74 94.51 99.51 103.19 94.71
6/16/2009 97.60 98.07 94.96 99.36 102.34 95.48
7/16/2009 97.55 98.18 96.39 99.83 101.64 96.34
8/16/2009 97.61 97.99 96.24 98.69 101.46 95.83
9/16/2009 97.34 98.71 96.75 98.73 101.13 96.53
10/16/2009 98.31 99.32 97.36 99.40 100.69 97.36
11/16/2009 99.37 100.19 98.04 100.21 100.81 98.04
12/16/2009 100.13 100.01 99.13 100.01 100.84 98.98
1/16/2010 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2010 99.98 98.31 99.13 99.22 100.00 98.31
3/16/2010 100.44 98.43 99.32 99.32 100.29 98.05
4/16/2010 100.57 98.11 99.06 99.26 100.23 98.11
5/16/2010 100.31 97.65 99.52 99.31 100.56 97.65
6/16/2010 99.84 97.64 99.00 99.00 100.64 97.37
7/16/2010 99.37 95.96 99.04 98.63 101.01 95.96
8/16/2010 98.43 94.22 97.91 97.91 100.12 94.22
9/16/2010 97.37 92.05 97.62 97.22 99.94 93.25
10/16/2010 97.14 91.55 97.18 96.48 99.68 92.20
11/16/2010 96.54 90.41 96.89 96.35 98.87 91.45
12/16/2010 96.01 90.70 96.65 96.47 98.73 90.70
1/16/2011 95.92 90.68 96.40 95.58 98.48 90.68
2/15/2011 94.86 90.56 95.88 94.76 98.27 90.56
3/16/2011 93.91 90.67 95.43 94.17 98.06 90.04
4/16/2011 92.91 91.59 95.43 94.40 98.15 90.17
5/16/2011 91.82 92.48 95.12 93.71 98.14 89.68
6/16/2011 91.04 93.18 95.04 93.88 98.10 89.70
7/16/2011 90.23 94.83 95.23 93.87 98.10 89.44
8/16/2011 90.32 95.07 94.23 94.01 97.79 89.57
9/16/2011 90.72 95.70 93.85 93.67 97.60 89.75
10/16/2011 91.33 96.08 93.54 93.50 97.31 88.18
11/16/2011 92.09 96.51 93.39 93.39 97.39 87.85
12/16/2011 93.25 97.66 93.17 93.17 97.66 87.22
1/16/2012 94.09 98.63 92.94 92.94 97.51 86.60
2/15/2012 95.38 98.87 92.69 93.29 97.42 86.55
3/16/2012 97.08 100.09 92.73 93.33 97.60 86.76
4/16/2012 99.06 100.43 93.82 93.96 98.12 86.60
5/16/2012 100.92 100.97 94.64 94.58 98.52 86.74
6/16/2012 102.66 102.03 95.22 95.24 98.92 86.64
7/16/2012 104.27 103.11 95.65 95.65 98.70 87.03
8/16/2012 105.49 104.88 96.64 96.12 99.53 86.60
9/16/2012 106.46 104.86 97.41 96.60 99.70 87.05
10/16/2012 107.53 105.06 98.43 97.16 101.13 86.81
11/16/2012 108.38 106.71 99.47 97.80 101.62 87.40
12/16/2012 109.08 107.14 100.89 98.85 102.92 87.46
1/16/2013 110.15 108.96 102.06 99.12 103.49 87.13
2/15/2013 111.13 110.79 103.54 99.71 104.64 87.06
3/16/2013 111.99 112.24 105.10 100.44 106.64 87.71
4/16/2013 112.73 113.72 106.66 100.58 107.99 88.37
5/16/2013 113.61 114.80 107.63 101.18 109.24 89.16
6/16/2013 114.38 115.35 108.89 101.48 109.65 89.65
7/16/2013 115.32 116.15 110.48 102.22 110.87 90.29
8/16/2013 116.20 118.70 111.52 103.01 111.52 90.53
9/16/2013 116.80 117.96 112.27 103.75 112.31 90.30
10/16/2013 117.28 118.70 113.15 103.90 113.15 90.30
11/16/2013 117.56 118.90 113.90 104.07 113.90 90.22
12/16/2013 117.77 119.20 114.35 104.27 115.14 90.47
1/16/2014 117.88 119.01 115.19 104.48 115.68 90.94
2/15/2014 117.88 119.48 115.79 103.90 116.92 90.92
3/16/2014 117.93 120.17 116.11 103.73 116.54 90.75
4/16/2014 117.72 121.09 116.27 104.06 117.80 90.93
5/16/2014 117.56 121.40 116.53 104.13 117.95 90.85
6/16/2014 117.40 121.59 116.89 104.08 117.65 91.13
7/16/2014 117.38 121.02 116.99 104.16 118.51 91.18
8/16/2014 117.38 121.17 117.41 104.08 118.94 91.15
9/16/2014 117.45 121.42 117.84 103.79 119.31 91.03
10/16/2014 117.64 122.83 118.01 104.19 120.28 91.39
11/16/2014 117.86 121.78 118.12 104.48 120.77 91.22
12/16/2014 118.19 121.79 118.44 104.11 121.79 91.61
1/16/2015 118.54 122.06 119.13 103.98 122.06 90.50
2/15/2015 118.72 122.31 119.77 104.40 122.31 89.84
3/16/2015 118.87 121.53 119.73 105.19 123.21 90.04
4/16/2015 119.11 122.06 119.67 105.70 123.58 90.28
5/16/2015 119.26 123.39 119.93 106.28 123.53 90.74
6/16/2015 119.47 123.76 120.14 106.76 124.07 91.16
7/16/2015 119.58 123.59 120.30 105.38 123.75 91.40
8/16/2015 119.64 123.06 120.55 106.15 124.49 91.70
9/16/2015 119.75 124.20 120.98 105.83 124.76 91.58
10/16/2015 119.83 124.61 121.58 105.58 125.03 92.09
11/16/2015 119.91 125.10 122.03 105.43 125.10 92.17
12/16/2015 120.01 125.05 122.19 105.30 125.05 92.47
1/16/2016 120.14 125.11 122.17 105.34 125.11 92.64
2/15/2016 119.89 126.14 122.51 105.90 126.14 92.69
3/16/2016 119.85 125.68 122.57 106.16 125.68 92.59
4/16/2016 119.85 125.53 123.05 106.53 125.53 92.64
5/16/2016 119.78 125.17 123.21 106.88 125.17 92.87
6/16/2016 119.87 125.21 123.23 107.23 125.21 92.99
7/16/2016 119.90 124.23 122.87 107.59 124.23 93.23
8/16/2016 119.88 125.12 123.34 108.02 125.12 92.88
9/16/2016 119.84 125.53 123.69 108.33 125.53 93.15
10/16/2016 119.65 125.59 123.87 108.82 125.59 93.22
11/16/2016 119.61 125.94 124.03 109.30 125.94 93.92
12/16/2016 119.81 125.89 124.39 109.56 125.89 94.08
1/16/2017 120.57 126.30 124.24 110.14 126.30 94.35
2/15/2017 120.30 126.09 124.07 110.95 126.09 94.32
3/16/2017 120.42 125.87 124.34 111.61 125.87 94.48
4/16/2017 120.64 125.83 124.59 111.97 125.83 94.74
5/16/2017 120.76 125.77 124.94 111.88 125.77 94.55
6/16/2017 121.11 125.83 125.15 112.00 125.83 94.48
7/16/2017 121.55 126.07 125.31 112.33 126.07 94.49
8/16/2017 121.81 126.55 125.65 112.80 126.55 94.36
9/16/2017 122.22 126.76 126.00 113.00 126.76 94.87
10/16/2017 122.48 126.99 126.57 113.20 126.99 95.28
11/16/2017 122.76 126.41 127.11 113.48 128.20 95.48
12/16/2017 123.31 126.88 127.60 113.93 128.60 95.54
1/16/2018 121.85 127.01 127.71 114.11 128.65 95.34
2/15/2018 122.89 127.27 128.51 114.47 129.47 96.33
3/16/2018 122.99 128.31 128.57 114.72 128.72 96.96
4/16/2018 123.10 128.84 128.44 115.09 129.51 95.88
5/16/2018 123.63 128.27 128.31 115.37 129.53 95.95
6/16/2018 123.83 127.87 128.27 115.56 129.56 95.99
7/16/2018 122.54 127.74 128.15 114.70 129.21 95.81
8/16/2018 123.89 127.81 128.31 114.75 128.46 96.17
9/16/2018 123.95 127.74 128.10 114.93 129.19 96.35
10/16/2018 124.27 127.82 127.78 114.78 129.34 96.00
11/16/2018 124.61 128.27 127.13 115.24 128.27 95.99
12/16/2018 124.78 128.46 126.71 114.21 128.46 95.97
1/16/2019 124.37 127.02 126.13 114.89 127.02 95.68
2/15/2019 124.53 126.85 126.05 114.35 126.85 95.60
3/16/2019 124.62 126.56 124.95 114.13 126.56 95.60
4/16/2019 124.61 126.00 125.18 114.18 126.12 96.12
5/16/2019 124.84 125.62 125.39 114.19 126.66 96.59
6/16/2019 124.80 126.39 125.06 114.23 127.28 96.56
7/16/2019 121.76 127.53 124.55 114.12 127.57 95.99
8/16/2019 123.51 127.36 124.46 114.03 127.57 96.58
9/16/2019 123.43 127.43 124.31 114.28 127.43 96.48
10/16/2019 123.47 127.67 124.20 114.47 127.67 96.51
11/16/2019 123.23 127.98 124.51 114.80 127.98 96.48
12/16/2019 123.27 128.58 124.72 115.31 128.58 96.24
1/16/2020 123.57 129.23 125.15 115.32 129.23 96.16
2/16/2020 124.91 129.47 125.35 115.32 129.47 96.24
3/16/2020 124.76 129.76 125.70 115.52 129.76 96.47
4/16/2020 125.37 129.72 125.85 115.41 129.72 96.45
5/16/2020 125.41 129.15 125.55 114.45 129.15 96.18
6/16/2020 126.71 129.96 125.14 114.76 129.96 95.61
7/16/2020 128.71 131.14 127.23 116.27 131.14 95.88
8/16/2020 130.12 131.21 127.23 116.37 131.21 95.54

Note: The data are 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 Real Estate Data; for rent data, Bureau of Labor Statistics.

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

Ratio

Period Private Nonfinancial-Sector Credit-to-GDP Ratio
1980:Q1 0.98
1980:Q2 0.99
1980:Q3 0.98
1980:Q4 0.97
1981:Q1 0.94
1981:Q2 0.96
1981:Q3 0.96
1981:Q4 0.97
1982:Q1 0.99
1982:Q2 0.99
1982:Q3 1.00
1982:Q4 1.00
1983:Q1 1.00
1983:Q2 0.99
1983:Q3 0.99
1983:Q4 0.99
1984:Q1 0.99
1984:Q2 1.00
1984:Q3 1.02
1984:Q4 1.04
1985:Q1 1.05
1985:Q2 1.07
1985:Q3 1.08
1985:Q4 1.10
1986:Q1 1.11
1986:Q2 1.13
1986:Q3 1.15
1986:Q4 1.17
1987:Q1 1.18
1987:Q2 1.18
1987:Q3 1.19
1987:Q4 1.18
1988:Q1 1.19
1988:Q2 1.20
1988:Q3 1.20
1988:Q4 1.20
1989:Q1 1.20
1989:Q2 1.21
1989:Q3 1.21
1989:Q4 1.22
1990:Q1 1.22
1990:Q2 1.22
1990:Q3 1.22
1990:Q4 1.23
1991:Q1 1.23
1991:Q2 1.22
1991:Q3 1.21
1991:Q4 1.20
1992:Q1 1.19
1992:Q2 1.18
1992:Q3 1.17
1992:Q4 1.15
1993:Q1 1.15
1993:Q2 1.16
1993:Q3 1.16
1993:Q4 1.15
1994:Q1 1.15
1994:Q2 1.15
1994:Q3 1.15
1994:Q4 1.16
1995:Q1 1.16
1995:Q2 1.18
1995:Q3 1.18
1995:Q4 1.18
1996:Q1 1.19
1996:Q2 1.18
1996:Q3 1.19
1996:Q4 1.18
1997:Q1 1.19
1997:Q2 1.19
1997:Q3 1.19
1997:Q4 1.20
1998:Q1 1.21
1998:Q2 1.23
1998:Q3 1.23
1998:Q4 1.24
1999:Q1 1.25
1999:Q2 1.27
1999:Q3 1.28
1999:Q4 1.28
2000:Q1 1.30
2000:Q2 1.30
2000:Q3 1.32
2000:Q4 1.32
2001:Q1 1.33
2001:Q2 1.34
2001:Q3 1.37
2001:Q4 1.38
2002:Q1 1.39
2002:Q2 1.39
2002:Q3 1.40
2002:Q4 1.41
2003:Q1 1.42
2003:Q2 1.44
2003:Q3 1.43
2003:Q4 1.43
2004:Q1 1.44
2004:Q2 1.45
2004:Q3 1.46
2004:Q4 1.47
2005:Q1 1.47
2005:Q2 1.49
2005:Q3 1.50
2005:Q4 1.51
2006:Q1 1.53
2006:Q2 1.55
2006:Q3 1.57
2006:Q4 1.59
2007:Q1 1.60
2007:Q2 1.62
2007:Q3 1.64
2007:Q4 1.66
2008:Q1 1.69
2008:Q2 1.68
2008:Q3 1.69
2008:Q4 1.70
2009:Q1 1.71
2009:Q2 1.71
2009:Q3 1.69
2009:Q4 1.65
2010:Q1 1.63
2010:Q2 1.60
2010:Q3 1.58
2010:Q4 1.56
2011:Q1 1.56
2011:Q2 1.54
2011:Q3 1.53
2011:Q4 1.51
2012:Q1 1.49
2012:Q2 1.49
2012:Q3 1.49
2012:Q4 1.49
2013:Q1 1.48
2013:Q2 1.48
2013:Q3 1.47
2013:Q4 1.46
2014:Q1 1.47
2014:Q2 1.46
2014:Q3 1.45
2014:Q4 1.45
2015:Q1 1.46
2015:Q2 1.46
2015:Q3 1.46
2015:Q4 1.47
2016:Q1 1.48
2016:Q2 1.48
2016:Q3 1.48
2016:Q4 1.48
2017:Q1 1.48
2017:Q2 1.49
2017:Q3 1.48
2017:Q4 1.48
2018:Q1 1.48
2018:Q2 1.48
2018:Q3 1.48
2018:Q4 1.48
2019:Q1 1.48
2019:Q2 1.48
2019:Q3 1.48
2019:Q4 1.48
2020:Q1 1.53
2020:Q2 1.73

Note: The shaded bars with top caps 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, December 2007-June 2009, and February 2020-June 2020. 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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2-2. Nonfinancial Business- and Household-Sector Credit-to-GDP Ratios

Ratio

Period Household (left scale) Nonfinancial Business (right scale)
1980:Q1 0.48 0.50
1980:Q2 0.48 0.50
1980:Q3 0.48 0.50
1980:Q4 0.48 0.49
1981:Q1 0.46 0.48
1981:Q2 0.47 0.50
1981:Q3 0.46 0.50
1981:Q4 0.47 0.51
1982:Q1 0.47 0.52
1982:Q2 0.47 0.52
1982:Q3 0.47 0.53
1982:Q4 0.47 0.53
1983:Q1 0.46 0.53
1983:Q2 0.46 0.53
1983:Q3 0.46 0.53
1983:Q4 0.46 0.53
1984:Q1 0.46 0.53
1984:Q2 0.47 0.54
1984:Q3 0.47 0.55
1984:Q4 0.48 0.56
1985:Q1 0.49 0.56
1985:Q2 0.50 0.57
1985:Q3 0.51 0.57
1985:Q4 0.52 0.58
1986:Q1 0.53 0.58
1986:Q2 0.54 0.60
1986:Q3 0.55 0.60
1986:Q4 0.56 0.62
1987:Q1 0.56 0.62
1987:Q2 0.56 0.62
1987:Q3 0.57 0.62
1987:Q4 0.56 0.62
1988:Q1 0.57 0.63
1988:Q2 0.57 0.63
1988:Q3 0.57 0.63
1988:Q4 0.57 0.63
1989:Q1 0.57 0.63
1989:Q2 0.57 0.63
1989:Q3 0.58 0.63
1989:Q4 0.59 0.63
1990:Q1 0.59 0.63
1990:Q2 0.59 0.63
1990:Q3 0.59 0.63
1990:Q4 0.60 0.63
1991:Q1 0.61 0.62
1991:Q2 0.61 0.61
1991:Q3 0.61 0.60
1991:Q4 0.61 0.59
1992:Q1 0.61 0.58
1992:Q2 0.61 0.57
1992:Q3 0.60 0.56
1992:Q4 0.60 0.55
1993:Q1 0.61 0.55
1993:Q2 0.61 0.55
1993:Q3 0.61 0.55
1993:Q4 0.61 0.54
1994:Q1 0.61 0.54
1994:Q2 0.61 0.54
1994:Q3 0.61 0.54
1994:Q4 0.62 0.54
1995:Q1 0.62 0.54
1995:Q2 0.63 0.55
1995:Q3 0.63 0.55
1995:Q4 0.63 0.55
1996:Q1 0.64 0.55
1996:Q2 0.64 0.55
1996:Q3 0.64 0.55
1996:Q4 0.64 0.54
1997:Q1 0.64 0.55
1997:Q2 0.64 0.55
1997:Q3 0.64 0.55
1997:Q4 0.64 0.56
1998:Q1 0.65 0.57
1998:Q2 0.65 0.58
1998:Q3 0.65 0.58
1998:Q4 0.65 0.59
1999:Q1 0.66 0.59
1999:Q2 0.67 0.60
1999:Q3 0.67 0.61
1999:Q4 0.67 0.61
2000:Q1 0.68 0.62
2000:Q2 0.68 0.62
2000:Q3 0.69 0.63
2000:Q4 0.69 0.63
2001:Q1 0.70 0.63
2001:Q2 0.71 0.63
2001:Q3 0.73 0.64
2001:Q4 0.74 0.64
2002:Q1 0.75 0.64
2002:Q2 0.75 0.64
2002:Q3 0.76 0.63
2002:Q4 0.78 0.63
2003:Q1 0.79 0.63
2003:Q2 0.81 0.62
2003:Q3 0.82 0.61
2003:Q4 0.82 0.60
2004:Q1 0.84 0.61
2004:Q2 0.85 0.60
2004:Q3 0.85 0.60
2004:Q4 0.87 0.60
2005:Q1 0.87 0.60
2005:Q2 0.89 0.61
2005:Q3 0.89 0.61
2005:Q4 0.90 0.61
2006:Q1 0.91 0.61
2006:Q2 0.93 0.62
2006:Q3 0.94 0.63
2006:Q4 0.95 0.64
2007:Q1 0.95 0.65
2007:Q2 0.96 0.66
2007:Q3 0.97 0.68
2007:Q4 0.97 0.69
2008:Q1 0.98 0.70
2008:Q2 0.97 0.71
2008:Q3 0.97 0.72
2008:Q4 0.97 0.73
2009:Q1 0.98 0.74
2009:Q2 0.98 0.73
2009:Q3 0.97 0.72
2009:Q4 0.95 0.69
2010:Q1 0.94 0.69
2010:Q2 0.93 0.67
2010:Q3 0.91 0.67
2010:Q4 0.90 0.66
2011:Q1 0.90 0.66
2011:Q2 0.88 0.65
2011:Q3 0.87 0.65
2011:Q4 0.86 0.65
2012:Q1 0.85 0.65
2012:Q2 0.84 0.65
2012:Q3 0.83 0.65
2012:Q4 0.83 0.66
2013:Q1 0.82 0.65
2013:Q2 0.82 0.66
2013:Q3 0.81 0.66
2013:Q4 0.80 0.66
2014:Q1 0.80 0.67
2014:Q2 0.79 0.66
2014:Q3 0.79 0.66
2014:Q4 0.78 0.67
2015:Q1 0.78 0.68
2015:Q2 0.78 0.68
2015:Q3 0.77 0.69
2015:Q4 0.77 0.70
2016:Q1 0.77 0.71
2016:Q2 0.77 0.71
2016:Q3 0.77 0.71
2016:Q4 0.77 0.71
2017:Q1 0.77 0.71
2017:Q2 0.77 0.72
2017:Q3 0.76 0.72
2017:Q4 0.76 0.72
2018:Q1 0.76 0.72
2018:Q2 0.75 0.73
2018:Q3 0.75 0.73
2018:Q4 0.75 0.73
2019:Q1 0.74 0.74
2019:Q2 0.74 0.74
2019:Q3 0.74 0.74
2019:Q4 0.74 0.74
2020:Q1 0.75 0.79
2020:Q2 0.83 0.90

Note: The shaded bars with top caps 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, December 2007-June 2009, and February 2020-June 2020. 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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2-3. Growth of Real Aggregate Debt of the Business Sector

Percent change, annual rate

Date Growth of Aggregate Debt
1997:Q1 5.10
1997:Q2 5.83
1997:Q3 9.67
1997:Q4 6.45
1998:Q1 10.48
1998:Q2 11.92
1998:Q3 8.56
1998:Q4 8.80
1999:Q1 10.50
1999:Q2 6.28
1999:Q3 10.62
1999:Q4 6.53
2000:Q1 8.62
2000:Q2 9.27
2000:Q3 4.46
2000:Q4 4.87
2001:Q1 1.38
2001:Q2 4.83
2001:Q3 3.21
2001:Q4 1.87
2002:Q1 2.08
2002:Q2 -0.65
2002:Q3 -0.37
2002:Q4 1.15
2003:Q1 0.14
2003:Q2 -0.65
2003:Q3 1.31
2003:Q4 -2.59
2004:Q1 4.73
2004:Q2 0.57
2004:Q3 5.45
2004:Q4 3.98
2005:Q1 4.83
2005:Q2 5.67
2005:Q3 5.41
2005:Q4 6.84
2006:Q1 8.15
2006:Q2 6.91
2006:Q3 4.35
2006:Q4 10.50
2007:Q1 8.04
2007:Q2 11.44
2007:Q3 11.18
2007:Q4 8.44
2008:Q1 6.04
2008:Q2 5.90
2008:Q3 3.78
2008:Q4 0.54
2009:Q1 -3.31
2009:Q2 -5.08
2009:Q3 -6.39
2009:Q4 -7.11
2010:Q1 -3.34
2010:Q2 -4.13
2010:Q3 1.51
2010:Q4 -0.66
2011:Q1 -1.71
2011:Q2 0.47
2011:Q3 1.23
2011:Q4 2.40
2012:Q1 1.13
2012:Q2 2.27
2012:Q3 5.24
2012:Q4 5.36
2013:Q1 1.44
2013:Q2 3.25
2013:Q3 5.45
2013:Q4 1.92
2014:Q1 5.43
2014:Q2 3.68
2014:Q3 5.13
2014:Q4 6.15
2015:Q1 6.69
2015:Q2 6.68
2015:Q3 4.14
2015:Q4 5.33
2016:Q1 6.90
2016:Q2 1.97
2016:Q3 4.26
2016:Q4 0.79
2017:Q1 4.39
2017:Q2 5.29
2017:Q3 5.13
2017:Q4 2.88
2018:Q1 1.38
2018:Q2 1.00
2018:Q3 3.07
2018:Q4 2.79
2019:Q1 5.60
2019:Q2 2.15
2019:Q3 4.07
2019:Q4 0.60
2020:Q1 16.80
2020:Q2 14.80

Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for core PCE price.

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

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2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period Institutional leveraged loans High-yield and unrated bonds
2004:Q2 15.57 16.51
2004:Q3 6.33 -20.78
2004:Q4 20.88 -2.48
2005:Q1 10.50 -7.45
2005:Q2 16.90 3.98
2005:Q3 7.28 -15.32
2005:Q4 20.61 -6.94
2006:Q1 27.16 0.58
2006:Q2 40.14 -7.80
2006:Q3 17.85 4.98
2006:Q4 66.30 -3.23
2007:Q1 40.68 27.00
2007:Q2 54.31 1.12
2007:Q3 25.72 20.82
2007:Q4 36.06 -10.68
2008:Q1 2.21 -7.24
2008:Q2 26.22 -16.77
2008:Q3 6.60 -1.50
2008:Q4 4.80 3.33
2009:Q1 -11.82 -34.36
2009:Q2 -15.52 -14.45
2009:Q3 -13.26 2.60
2009:Q4 -24.99 -12.70
2010:Q1 -17.85 -16.72
2010:Q2 -9.71 10.78
2010:Q3 11.75 3.38
2010:Q4 -15.34 22.95
2011:Q1 -4.48 12.33
2011:Q2 25.49 5.28
2011:Q3 -5.52 9.42
2011:Q4 3.91 -6.91
2012:Q1 -6.47 1.26
2012:Q2 18.44 30.46
2012:Q3 -4.38 -17.26
2012:Q4 25.96 29.54
2013:Q1 11.30 25.06
2013:Q2 31.31 31.61
2013:Q3 45.16 6.64
2013:Q4 43.54 33.06
2014:Q1 29.45 21.71
2014:Q2 45.61 23.37
2014:Q3 48.43 10.15
2014:Q4 26.17 29.49
2015:Q1 6.46 6.41
2015:Q2 -3.11 50.87
2015:Q3 8.58 4.81
2015:Q4 28.80 2.91
2016:Q1 9.09 -14.51
2016:Q2 4.99 6.19
2016:Q3 -12.88 2.46
2016:Q4 7.19 -6.38
2017:Q1 -4.24 -21.97
2017:Q2 49.01 12.08
2017:Q3 13.03 -9.82
2017:Q4 16.81 4.29
2018:Q1 34.34 -6.53
2018:Q2 54.87 2.49
2018:Q3 45.08 -9.49
2018:Q4 57.60 -5.25
2019:Q1 33.66 -21.39
2019:Q2 16.17 18.85
2019:Q3 -16.16 12.06
2019:Q4 13.09 5.29
2020:Q1 3.08 4.84
2020:Q2 -11.42 78.65
2020:Q3 14.32 7.64

Note: Institutional leveraged loans generally exclude loan commitments held by banks. Key identifies bars in order from top to bottom.

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

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2-5. Gross Balance Sheet Leverage of Public Nonfinancial Businesses

Percent

Period 75th percentile firms All Firms
2000:Q1 30.38 48.26
2000:Q2 29.64 47.96
2000:Q3 29.04 47.56
2000:Q4 29.22 47.01
2001:Q1 29.23 47.54
2001:Q2 29.41 47.56
2001:Q3 29.39 47.36
2001:Q4 30.02 47.22
2002:Q1 30.65 46.12
2002:Q2 29.70 44.46
2002:Q3 29.48 44.03
2002:Q4 29.21 44.41
2003:Q1 29.00 42.84
2003:Q2 28.18 42.23
2003:Q3 27.82 41.74
2003:Q4 26.76 41.53
2004:Q1 26.36 39.49
2004:Q2 25.75 39.04
2004:Q3 25.43 38.74
2004:Q4 25.18 39.18
2005:Q1 24.97 37.84
2005:Q2 24.83 37.84
2005:Q3 24.15 37.44
2005:Q4 24.20 38.31
2006:Q1 24.48 37.42
2006:Q2 24.37 37.79
2006:Q3 24.39 37.70
2006:Q4 24.72 38.53
2007:Q1 24.95 38.04
2007:Q2 25.18 38.63
2007:Q3 25.58 38.67
2007:Q4 25.84 38.91
2008:Q1 26.06 39.07
2008:Q2 26.18 38.77
2008:Q3 27.17 39.97
2008:Q4 28.76 42.57
2009:Q1 28.70 41.54
2009:Q2 27.95 39.91
2009:Q3 26.97 38.47
2009:Q4 26.77 38.74
2010:Q1 26.36 36.97
2010:Q2 26.24 36.65
2010:Q3 26.24 36.26
2010:Q4 26.03 36.95
2011:Q1 25.79 36.11
2011:Q2 25.85 35.61
2011:Q3 26.18 36.36
2011:Q4 26.10 37.73
2012:Q1 26.02 36.95
2012:Q2 26.59 37.11
2012:Q3 26.71 37.47
2012:Q4 27.09 38.76
2013:Q1 26.93 38.01
2013:Q2 27.36 38.22
2013:Q3 27.67 38.51
2013:Q4 27.93 40.10
2014:Q1 28.52 39.22
2014:Q2 28.46 40.27
2014:Q3 28.62 40.81
2014:Q4 29.21 42.14
2015:Q1 30.07 42.36
2015:Q2 30.60 42.08
2015:Q3 31.12 42.51
2015:Q4 32.07 43.84
2016:Q1 32.68 43.78
2016:Q2 32.90 43.68
2016:Q3 32.98 42.97
2016:Q4 32.84 43.14
2017:Q1 33.11 42.69
2017:Q2 33.49 42.19
2017:Q3 33.32 42.12
2017:Q4 32.98 42.00
2018:Q1 33.27 41.95
2018:Q2 33.06 42.11
2018:Q3 32.78 41.59
2018:Q4 33.13 42.18
2019:Q1 35.26 46.30
2019:Q2 35.46 46.56
2019:Q3 35.52 47.25
2019:Q4 35.39 46.44
2020:Q1 37.50 49.87
2020:Q2 37.76 49.07

Note: Gross leverage is an asset-weighted average of the ratio of firms' book value of total debt to book value of total assets. The 75th percentile is calculated from a sample of the 2,500 largest firms by assets. The dashed sections of the lines in the first quarter of 2019 reflect the structural break in the series due to the 2019 compliance deadline for Financial Accounting Standards Board rule Accounting Standards Update 2016-02.

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

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2-6. Interest Coverage Ratios for Public Nonfinancial Businesses

Ratio

Period Median 25th percentile
2000:Q1 2.36 0.89
2000:Q2 2.32 0.86
2000:Q3 2.26 0.84
2000:Q4 2.20 0.79
2001:Q1 2.12 0.67
2001:Q2 2.07 0.58
2001:Q3 1.88 0.38
2001:Q4 1.78 0.28
2002:Q1 1.78 0.29
2002:Q2 1.74 0.25
2002:Q3 1.84 0.37
2002:Q4 2.00 0.54
2003:Q1 2.11 0.60
2003:Q2 2.12 0.56
2003:Q3 2.19 0.58
2003:Q4 2.30 0.66
2004:Q1 2.54 0.74
2004:Q2 2.85 0.88
2004:Q3 3.02 1.00
2004:Q4 2.98 0.93
2005:Q1 3.02 0.98
2005:Q2 3.02 0.92
2005:Q3 3.07 0.90
2005:Q4 3.04 0.93
2006:Q1 3.07 0.93
2006:Q2 3.01 0.95
2006:Q3 2.97 0.89
2006:Q4 2.93 0.90
2007:Q1 2.93 0.89
2007:Q2 2.85 0.79
2007:Q3 2.71 0.79
2007:Q4 2.74 0.73
2008:Q1 2.79 0.77
2008:Q2 3.00 0.80
2008:Q3 2.96 0.81
2008:Q4 2.60 0.49
2009:Q1 2.67 0.39
2009:Q2 2.47 0.34
2009:Q3 2.33 0.21
2009:Q4 2.27 0.41
2010:Q1 2.59 0.70
2010:Q2 2.74 0.77
2010:Q3 2.93 0.95
2010:Q4 3.04 1.02
2011:Q1 3.19 1.09
2011:Q2 3.36 1.16
2011:Q3 3.51 1.24
2011:Q4 3.44 1.26
2012:Q1 3.39 1.24
2012:Q2 3.41 1.23
2012:Q3 3.28 1.03
2012:Q4 3.10 0.88
2013:Q1 3.18 0.93
2013:Q2 3.25 0.95
2013:Q3 3.27 0.95
2013:Q4 3.16 0.79
2014:Q1 3.21 0.74
2014:Q2 3.41 0.86
2014:Q3 3.46 0.84
2014:Q4 3.36 0.74
2015:Q1 3.34 0.67
2015:Q2 3.29 0.52
2015:Q3 3.29 0.51
2015:Q4 3.11 0.39
2016:Q1 2.93 0.26
2016:Q2 2.91 0.18
2016:Q3 2.94 0.23
2016:Q4 2.99 0.17
2017:Q1 3.03 0.35
2017:Q2 3.10 0.53
2017:Q3 3.05 0.53
2017:Q4 3.08 0.52
2018:Q1 3.05 0.51
2018:Q2 3.08 0.44
2018:Q3 3.16 0.45
2018:Q4 3.07 0.49
2019:Q1 2.97 0.47
2019:Q2 2.88 0.41
2019:Q3 2.79 0.34
2019:Q4 2.80 0.21
2020:Q1 2.61 -0.13
2020:Q2 2.22 -0.73

Note: The interest coverage ratio is earnings before interest and taxes over interest payments. Firms with leverage less than 5 percent and interest payments less than $500,000 are excluded.

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

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2-7. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio

Percent

Period Debt multiples greater than or equal to 6x Debt multiples 5x-5.99x Debt multiples 4x-4.99x Debt multiples less than or equal to 4x
2001 2.70 10.10 26.20 61.10
2002 5.90 12.20 27.30 54.60
2003 6.70 11.50 29.30 52.60
2004 8.80 17.60 28.60 45.00
2005 8.00 25.10 25.10 41.80
2006 16.30 21.10 26.30 36.40
2007 27.70 17.50 23.70 31.20
2008 10.70 12.10 14.20 63.10
2009 17.70 11.50 17.70 53.10
2010 5.80 17.90 22.60 53.70
2011 14.40 19.20 22.60 43.80
2012 15.80 21.80 26.60 35.90
2013 16.40 23.10 29.00 31.50
2014 27.20 21.50 22.60 28.70
2015 18.90 26.50 24.80 29.90
2016 21.00 24.40 32.60 21.90
2017 22.00 27.60 27.60 22.70
2018 29.70 26.80 24.10 19.50
2019 33.30 23.40 24.00 19.30
2020:Q1 22.60 24.80 23.40 29.20
2020:Q1 34.20 13.20 31.60 21.10
2020:Q3 36.60 17.10 29.30 17.10

Note: 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. Key identifies bars in order from top to bottom.

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

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2-8. 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
April 2019 1.01
May 2019 1.00
June 2019 1.34
July 2019 1.32
August 2019 1.29
September 2019 1.29
October 2019 1.43
November 2019 1.48
December 2019 1.39
January 2020 1.83
February 2020 1.83
March 2020 1.84
April 2020 2.32
May 2020 3.14
June 2020 3.23
July 2020 3.90
August 2020 4.08
September 2020 4.17

Note: The data begin in December 1998. 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 with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, December 2007-June 2009, and February 2020-June 2020.

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

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2-9. Total Household Loan Balances

The x-axis measures time and ranges from the years 1999 to 2020:Q3. The y-axis measures billions of dollars (real) and ranges from 0 to 10,600. 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 9250 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 10100 billion to end in 2020:Q3. The second variable is labeled 'Near prime' and is designated by a blue line. It ranges from around 2600 to around 4200 billions of dollars. The variable has a slight increase to around 4200 billions of dollars from 2002 to 2008 but is otherwise stable at a little more than 2600 billions of dollars for the remainder of the time period. The third variable is labeled 'Subprime'; is designated by the red line; and ranges from 1000 to around 3400 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 3400 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 in 2020.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are 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 2019 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-10. Estimate of New Mortgage Volume to Households

The x-axis ranges from the years 2000 to 2019. 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 2020. 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 2020. The third variable is labeled 'Prime'; is designated by the black bars; and ranges from around 600 to 1250 billions of dollars. The variable starts at around 600 billions of dollars in 2000 and steeply increases to a peak of around 1250 billions of dollars in 2004. The variable remains between 1100 and 1200 billion dollars from 2004 to 2007 before falling sharply from 2008 to 2012 to about 500 billion. The variable then builds back up to 800 billion in 2014. It then drops back to 700 billion in 2015 before climbing close to 900 billion in 2019. The last data point is above 1000 to end in 2020.

Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores were measured a year ago. The data are converted to constant 2019 dollars using the consumer price index. Key identifies bars in order from left to right.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-11. Mortgage Loss Mitigation and Delinquency

The x-axis ranges from 2001 to 2020. The data are quarterly through 2019 then transition to monthly. The y-axis ranges from 0 to 10 percent. There are two variables plotted. The first being “Delinquent”, which is measured as a solid black line. It begins around 4 percent in 2001 and stays there until 2008. It then begins to rise to around 8 percent by 2010. It then decreases to right above 2 percent to end the quarterly data in 2019. The monthly data continues to decrease through the end of the line in August 2020. The second variable is “Delinquent/Loss Mitigation”, which is measured as a solid blue line. It begins around 6 percent in 2001 and stays there until rising in 2008 to about 10 percent. It then gradually fluctuates while decreasing until 2018. In 2019, it starts by spiking to 8 percent then dropping to below 6 to end the quarterly data. The monthly data starts in 2020 and spikes to around 9 and ends in August 2020 right below 8 percent.

Note: Loss mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), and loans with zero scheduled payment and a nonzero balance. Delinquent includes loans reported to the credit bureau at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning January 2020.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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2-12. Estimate of Mortgages with Negative Equity

Percent

Date Zillow (quarterly) Corelogic (monthly)
January 2011   25.28
February 2011   25.14
March 2011 0.31 24.99
April 2011   24.93
May 2011   24.87
June 2011 0.30 24.81
July 2011   24.65
August 2011   24.50
September 2011 0.31 24.36
October 2011   24.65
November 2011   24.93
December 2011 0.31 25.23
January 2012   24.69
February 2012   24.20
March 2012 0.31 23.67
April 2012   23.21
May 2012   22.74
June 2012 0.31 22.28
July 2012   22.17
August 2012   22.06
September 2012 0.28 21.96
October 2012   21.84
November 2012   21.72
December 2012 0.27 21.60
January 2013   21.11
February 2013   20.67
March 2013 0.25 20.18
April 2013   18.43
May 2013   16.62
June 2013 0.24 14.87
July 2013   14.35
August 2013   13.83
September 2013 0.21 13.33
October 2013   13.37
November 2013   13.41
December 2013 0.19 13.45
January 2014   13.25
February 2014   13.07
March 2014 0.19 12.88
April 2014   12.23
May 2014   11.56
June 2014 0.18 10.92
July 2014   10.74
August 2014   10.56
September 2014 0.17 10.39
October 2014   10.49
November 2014   10.59
December 2014 0.17 10.69
January 2015   10.54
February 2015   10.41
March 2015 0.15 10.27
April 2015   9.81
May 2015   9.34
June 2015 0.14 8.88
July 2015   8.70
August 2015   8.53
September 2015 0.13 8.36
October 2015   8.36
November 2015   8.36
December 2015 0.13 8.36
January 2016   8.28
February 2016   8.20
March 2016 0.13 8.12
April 2016   7.77
May 2016   7.41
June 2016 0.12 7.06
July 2016   6.82
August 2016   6.58
September 2016 0.11 6.34
October 2016   6.32
November 2016   6.29
December 2016 0.11 6.26
January 2017   6.19
February 2017   6.12
March 2017 0.10 6.05
April 2017   5.85
May 2017   5.65
June 2017   5.45
July 2017   5.28
August 2017   5.12
September 2017   4.96
October 2017   4.94
November 2017   4.92
December 2017 0.09 4.91
January 2018   4.84
February 2018   4.78
March 2018   4.71
April 2018   4.57
May 2018   4.43
June 2018   4.29
July 2018   4.24
August 2018   4.18
September 2018   4.13
October 2018   4.15
November 2018   4.16
December 2018   4.17
January 2019   4.16
February 2019   4.14
March 2019   4.13
April 2019   4.03
May 2019   3.93
June 2019   3.83
July 2019   3.80
August 2019   3.75
September 2019   3.71
October 2019   3.66
November 2019   3.61
December 2019   3.56
January 2020   3.51
February 2020   3.47
March 2020   3.43
April 2020   3.36
May 2020   3.29
June 2020   3.23

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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2-13. Estimates of Housing Leverage

The x-axis ranges from the years 1999 to 2019. 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 Q2 of 2020. 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 a bit less than 100 in 2020 Q2. 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 in 2020 Q2.

Note: Housing leverage is estimated as 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: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; CoreLogic; Bureau of Labor Statistics via Haver Analytics.

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2-14. Consumer Credit Balances

The x-axis ranges from the years 1999 to 201p (Q2). 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 1375 billions of dollars in 2020 Q3. 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 small increase to around 800 by the end of 2020 Q3. 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 1600 billions of dollars by the end of 2020 Q2.

Note: The data are converted to constant 2019 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-15. Auto Loan Balances

The x-axis ranges from the years 1999 to 2019, and the y-axis ranges from 150 to 750 billions of dollars (real). The data is quarterly, ending in Q3 of 2020. 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 700 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' increased, reaching 600 billions of dollars at the end of 2018. It has stayed at slightly above this level increasing to about 650 until Q3 of 2020. 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 with a slight uptick to finish in Q3 2020. The third variable is labeled 'Subprime'; is designated by a red 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. It increases slightly above 300 billion in Q4 of 2019. It then drops to right below 300 billion to end in 2020 Q3.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2019 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-16. Auto Loss Mitigation and Delinquency

The x-axis ranges from 2001 to 2020. The data are measured quarterly until 2019 then measured as monthly. The y-axis ranges from 0 to 10 percent. There are two variables plotted. The first being “Delinquent”, which is represented by a solid black line. It begins at 3 percent and fluctuates around that level until about 2009. It then increases to right above 4 percent then slowly decreases and maintains at a level of about 3 percent to end the quarterly data. The monthly data then begins and decreases to around 2 percent to end in August of 2020. The second variable is “Delinquent/Loss Mitigation”, which is measured by a solid blue line. For the entirety of the plotted quarterly data, it stays between 4 and 6 percent, with fluctuations in-between. Then, when the monthly data begins, it spikes to almost 10 percent and decreases to end at 6 percent in August 2020.

Note: Loss mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), and loans with zero scheduled payment and a nonzero balance. Delinquent includes loans reported to the credit bureau as at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning January 2020.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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2-17. Credit Card Balances

The x-axis ranges from the years 1999 to 2020, and the y-axis ranges from 50 to 500 billions of dollars (real). The data is quarterly, ending in Q3 of 2020. 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 475 billions of dollars at the end of 2019. It then decreases to end around 400 in 2020 Q3. 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 2019. It then decreases to end at 250 billion in 2020 Q2. The third variable is labeled 'Subprime'; is designated by a red 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 around 150 billion dollars in 2019 Q4. It then ends at around 125 after a decrease into 2020 Q3.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2019 dollars using the consumer price index.

Source: Federal Reserve Board of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-18. Credit Card Delinquency Rates

The x-axis ranges from the years 2000 to 2020. The y-axis ranges from 0 to 30 percent, measuring delinquency rates on credit cards. The data is quarterly, ending in Q3 of 2020. 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 mostly hovers at 4 percent except for a small four percentage point increase between 2009 and 2011. It has been slowly increasing since Q4 of 2016 when it was closer to 3 percent to Q3 of 2020 when it again approached 5 percent. The third variable is labeled 'Subprime' and is designated by a red 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 to end around 14 percent by the end of 2019. It then slightly decreases to end around 12 in 2020 Q3.

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

Source: Federal Reserve Board of New York Consumer Credit Panel/Equifax.

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A. Yields on Nominal Treasury Securities and Agency RMBS Spread

The x-axis measures from January 2020 to April 2020. The right side y-axis measures basis points ranging from 0 to 200. The left side y-axis measures percent of yields and ranges from 0 to 4. The data plotted is daily. The first variable is a solid black line labeled “10-year yield.” It uses the left y-axis. It begins at 2 percent and slowly decreases to about .5 percent by March. It then spikes to slightly above 1 before leveling off to end around 1 percent in April. The second variable is “30-year yield”, and is measured by the left y-axis. It is measured by a solid blue line. It begins around 2.5 percent and stays at that level until dropping right below 2 percent in March. It then has two increases in March before leveling out around 2 percent to end in April. The third variable is “Agency RMBS Spread” and is measured by a solid red line. It uses the right side y-axis. It starts around 100 basis points and stays there until March. It then spikes above 150 twice in March before decreasing to 50 in the same month. It then increases back to 100 in mid-April to end right above 50 at the end of the month.

Note: Smoothed yield curve estimated from off-the-run Treasury coupon securities. Agency residential mortgage-backed security (RMBS) spread is the difference between the yield on the 30-year 2.5 percent coupon uniform mortgage-backed security and the duration-matched Treasury yield

Source: Federal Reserve Bank of New York, staff calculations; JPMorgan Chase & Co.

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B. 10-Year Indicative Bid-Ask Spreads

The x-axis measures from January 2020 to April 2020. The y-axis measures cents per $100 and ranges from 0 to 50. The data are daily. There are two solid black, vertical lines on the chart. One is labeled “Asset Purchases Announced” and one is labeled “Asset Purchases Expanded.” There are three variables plotted. The first one is “on-the-run bid-ask-spread”, represented by a solid black line. The second one is “First off-the-run bid-ask spread”, represented by a solid blue line. The third one is “Second off-the-run bid-ask spread”, represented by a solid red line. All three lines stay right around 0 until March. The red line spikes in March to around 50 and then slowly decreases to end around 5. The blue line spikes in March to around 30 then slowly decreases to end around 5 in April. The black line has a small jump to around 10 in March and then levels off close to 0 to end.

Source: Federal Reserve Bank of New York, New Price Quote System.

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C. On-the-Run Market Depth

The x-axis measures data from January 2020 to April 2020. The data are daily. The left hand side y-axis represents millions of dollars and ranges from 0 to 250. The right hand side y-axis ranges from 0 to 25. There are three variables plotted. The first is “Five-year”, represented by a solid blue line. It begins staying between 125 and 175, with fluctuations throughout, until the end of February. It drops to around 25 throughout March, then slowly increases to end around 100 in April. The second variable is labeled “10-year”, which is represented by a solid red line. It begins around 115 and rises to 125. It stays at this level through the end of February. It drops to around 25 throughout March, then slowly increases to end around 60 in April. The third variable is a solid black line and is titled “30-year” and measured by the right hand side y-axis. It begins around 13 and fluctuates while increasing to 15 in February. It then decreases at the end of February and into mid-March to around 2. It then increases to end in April right under 10 million.

Note: Market depth is defined as the average top three bid and ask quote sizes.

Source: Repo interdealer broker community.

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D. Fed UST Purchases and Dealer UST Inventory

The x-axis measures data from March 1st, 2020 to April 30th, 2020. The data is daily and represented in billions of dollars. The first variable plotted is “Cumulative Fed UST Purchases since March 1”, represented a solid blue line. It is measured by the right side y-axis, which ranges from 0 to 1800. The line begins at 0 and then steadily increases to end at 1500 on April 30th. The second variable is “UST Inventory”, represented by a solid black line. It is measured by the left side y-axis, which ranges from 160 to 280. It begins at 220 and stays around 230 until mid-March. It then stays between 180 and 200, with fluctuations throughout, to end around 200 in April.

Note: UST stands for U.S. Treasury. The volume of dealers' non-rehypothecated Treasury repurchase agreements serves as a proxy for the total dealer securities inventory.

Source: Federal Reserve Board, Form FR 2052a, Complex Institution Liquidity Monitoring Report.

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3-1. Ratio of Tangible Bank Equity to Assets

The x-axis measures time and ranges from years 1985 to 2020. The y-axis ranges from 0 to 12 percent. The data are quarterly. There are three variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid black 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 2012:Q3. It remained near 10 percent through 2019:Q4 and then decreased to 7.6 percent in 2020:Q1 where it remained through the second quarter of 2020. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from 4 to 9 percent. This variable started at about 5 percent in 1985, rose sharply to 6 percent in the beginning of 1987, decreased back to around 5 percent increased to 6 percent in 1993, remained near 6 percent through 1992. It increased again to around 6 percent where it remained until 2001 before increasing again through 2002:Q3 to about 7 percent. It decreased slowly until 2008 when it reached about 5 percent. It steadily increased after that until 2019:Q4 and then fell sharply in the first of half 2020 to about 8 percent. The third line, labeled ‘G-SIBs’, is designated by a solid red line and ranges from 4 to 9 percent. This variable starts at about 5 percent, increases until 1986:Q3, decreases until 1988, and then steadily increases until 1993 when it reaches about 5.5 percent. It remains near this level until 2001 then begins increasing to about 6.5 percent in 2002:Q4. It decreases to 4.5 percent in 2008:Q3. It then increases through 2017 to about 8.5 percent and remains near that level through 2019:Q4. Thereafter, it fell sharply in the first half of 2020 to about 7.5 percent.

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 Federal Reserve Board staff. G-SIBs are U.S. global systemically important banks. Large non–G-SIBs are bank holding companies (BHCs) and intermediate holding companies with greater than $100 billion in total assets that are not G-SIBs. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: July 1990–March 1991, March 2001–November 2001, December 2007–June 2009, and February 2020–June 2020.

Source: Federal Financial Institutions Examination Council, Consolidated Reports of Condition and Income (Call Report).

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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 2019. The y-axis ranges from 0 to 14 percent. The data are quarterly. There are three variables charted on the plot. The first line, labeled 'Other BHCs', is designated by a solid black line and ranges from 8 to just over 12 percent. This variable decreases slightly over 2001 to 2008 from 10 to 8 percent, increases from 8 percent in 2009 to 12 percent in 2014, and has remained near 12 percent through 2019. In 2020:Q1, there is a slight dip to just under 12, followed by a slight tick up back to 12 in 2020:Q2. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from about 5 to 12 percent. This remains near 7 percent from 2001 to 2006, decreases to 6 percent in 2008, increases to just under 12 percent through the end of 2017 where it has remained through 2019. In 2020 there is a slight up-tick to end at 12 in 2020:Q2. The third line, labeled ‘G-SIBs’, is designated by a solid red line and ranges from 5 to 12 percent. It remains near 7 percent from 2001 to 2006, decreases to 5 percent in 2008:Q4, increases to around 12 percent in 2017, where it has remained through 2019:Q4. In 2020:Q1, there is a slight dip to just under 12, followed by a slight tick up back to 12 in 2020:Q2.There is a red dot representing the 2020:Q3 estimate at 12.5 percent..

Note: The data are seasonally adjusted by Federal Reserve Board staff. Sample consists of domes¬tic bank holding companies (BHCs) and intermediate holding companies (IHCs) with a substantial U.S. commercial banking presence. G-SIBs are global systemically important U.S. banks. Large non–G-SIBs are BHCs and IHCs with greater than $100 billion in total assets that are not G-SIBs. Before 2014:Q1 (advanced-approaches BHCs) or before 2015:Q1 (non-advanced-approaches BHCs) the numerator of the common equity Tier 1 ratio is Tier 1 common capital. Afterward, the numerator is common equity Tier 1 capital. The denom¬inator is risk-weighted assets. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001–November 2001, December 2007–June 2009, and February 2020–June 2020.

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

Note*

  • On November 10, 2021, the data in figure 3-2 was corrected to fix a coding error.
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3-3. Borrower Leverage for Bank Commercial and Industrial Loans

The x-axis measures time and ranges from years 2013 to 2020. 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 'Non-publicly 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. It then increases over the next two quarters to just above 34 percent and then slowly decreases to 33.5 percent in 2020:Q2. 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. It then increases over the next two quarters to around 31 percent in 2019:Q2, and decreases over the next three quarters to end slightly below 31 percent in 2020:Q1 and then sharply increases to 31.5 percent in 2020:Q2.

Note: Weighted median leverage of nonfinancial firms that borrow using commercial and industrial 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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3-4. Change in Bank Lending Standards for Commercial and Industrial Loans

One variable plotted. The x-axis measures time and ranges from 1997 to 2020. 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 and end in Q2 of 2020. 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 in the beginning of 2018. It then increases through 2018 to end at around -5 percent before dropping back to around -15 percent in Q2 of 2019. The line then increases sharply to around 40 percent in the Q1 of 2020 and continues to increase to about 70 percent in 2020:Q2.

Note: Banks’ responses are weighted by their commercial and industrial loan market shares. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter. Results are shown for loans to large and medium-sized firms. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–June 2020.

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

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3-5. Leverage at Broker-Dealers

Ratio of assets to equity
Leverage at Broker-Dealers

1995:Q1 30.60
1995:Q2 30.72
1995:Q3 31.31
1995:Q4 31.84
1996:Q1 33.12
1996:Q2 33.10
1996:Q3 33.34
1996:Q4 33.88
1997:Q1 35.28
1997:Q2 35.29
1997:Q3 35.50
1997:Q4 32.97
1998:Q1 35.51
1998:Q2 35.01
1998:Q3 35.07
1998:Q4 30.43
1999:Q1 30.91
1999:Q2 29.37
1999:Q3 28.43
1999:Q4 28.56
2000:Q1 29.86
2000:Q2 28.89
2000:Q3 28.51
2000:Q4 28.26
2001:Q1 28.56
2001:Q2 30.03
2001:Q3 31.47
2001:Q4 31.34
2002:Q1 31.66
2002:Q2 31.26
2002:Q3 31.79
2002:Q4 30.63
2003:Q1 32.03
2003:Q2 34.79
2003:Q3 32.97
2003:Q4 33.67
2004:Q1 35.58
2004:Q2 37.77
2004:Q3 38.59
2004:Q4 39.28
2005:Q1 41.07
2005:Q2 41.44
2005:Q3 41.97
2005:Q4 39.88
2006:Q1 40.50
2006:Q2 40.65
2006:Q3 42.29
2006:Q4 43.01
2007:Q1 45.28
2007:Q2 46.90
2007:Q3 46.02
2007:Q4 46.30
2008:Q1 47.89
2008:Q2 41.87
2008:Q3 43.21
2008:Q4 30.71
2009:Q1 28.32
2009:Q2 24.90
2009:Q3 24.96
2009:Q4 23.51
2010:Q1 24.51
2010:Q2 24.04
2010:Q3 24.31
2010:Q4 23.52
2011:Q1 24.29
2011:Q2 24.44
2011:Q3 24.57
2011:Q4 24.64
2012:Q1 24.53
2012:Q2 24.43
2012:Q3 23.85
2012:Q4 23.46
2013:Q1 22.84
2013:Q2 22.15
2013:Q3 21.84
2013:Q4 21.10
2014:Q1 21.13
2014:Q2 21.35
2014:Q3 20.72
2014:Q4 19.82
2015:Q1 19.73
2015:Q2 19.33
2015:Q3 18.83
2015:Q4 18.15
2016:Q1 18.12
2016:Q2 18.30
2016:Q3 18.04
2016:Q4 17.61
2017:Q1 17.77
2017:Q2 18.31
2017:Q3 17.41
2017:Q4 17.15
2018:Q1 17.21
2018:Q2 18.06
2018:Q3 17.90
2018:Q4 18.10
2019:Q1 17.92
2019:Q2 17.86
2019:Q3 17.77
2019:Q4 16.85
2020:Q1 17.26
2020:Q2 16.26

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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3-6. Leverage at Insurance Companies

Ratio of assets to equity
Property and casualty

2000:Q1 8.63 5.49
2000:Q2 8.45 5.4
2000:Q3 8.39 5.33
2000:Q4 8.96 5.75
2001:Q1 8.36 5.4
2001:Q2 8.83 5.5
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 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 6.8
2005:Q1 11.3 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 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 9.74 4.63
2011:Q2 9.4 4.58
2011:Q3 9.48 4.42
2011:Q4 8.9 4.15
2012:Q1 8.85 4.14
2012:Q2 8.86 4.14
2012:Q3 9.2 4.18
2012:Q4 9.44 4.2
2013:Q1 9.28 4.12
2013:Q2 8.9 3.99
2013:Q3 8.67 3.93
2013:Q4 8.52 3.92
2014:Q1 8.56 3.89
2014:Q2 8.43 3.71
2014:Q3 8.38 3.66
2014:Q4 8.4 3.62
2015:Q1 8.5 3.58
2015:Q2 8.21 3.55
2015:Q3 8.46 3.49
2