Board of Governors of the Federal Reserve System

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.

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.

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.

D. Cumulative Corporate Credit Issuance

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.

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.

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.

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.

C. Outstanding Balances of Emergency Lending Facilities

1-1. Yields on Nominal Treasury Securities

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

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.

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.

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.

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.

1-7. Corporate Bond Premium over Expected Losses

1-8. Secondary Market Spreads of Leveraged Loans

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

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