Accessible Version

Figure 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
2/15/2020 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 0.79
11/16/2020 0.17 0.87
12/16/2020 0.14 0.93
1/16/2021 0.13 1.08
2/15/2021 0.12 1.26
3/16/2021 0.15 1.61
4/16/2021 0.16 1.64
5/16/2021 0.16 1.62
6/16/2021 0.2 1.52
7/16/2021 0.22 1.32
8/16/2021 0.22 1.28
9/16/2021 0.24 1.37
10/16/2021 0.36 1.58

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

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

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

Percentage points

Date Term Premium
1/16/1997 1.49
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 0.76
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 1.27
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 0.97
11/16/2002 1.14
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 1.23
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 0.84
4/16/2005 0.73
5/16/2005 0.58
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 0.67
5/16/2009 0.92
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 1.04
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 0.39
12/16/2010 0.80
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 -0.03
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 -0.30
10/16/2016 -0.24
11/16/2016 -0.01
12/16/2016 0.24
1/16/2017 0.20
2/15/2017 0.19
3/16/2017 0.16
4/16/2017 0.01
5/16/2017 -0.01
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 0.14
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 -0.70
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 -0.81
11/16/2020 -0.75
12/16/2020 -0.72
1/16/2021 -0.64
2/15/2021 -0.53
3/16/2021 -0.25
4/16/2021 -0.21
5/16/2021 -0.23
6/16/2021 -0.27
7/16/2021 -0.39
8/16/2021 -0.43
9/16/2021 -0.37
10/16/2021 -0.20

Note: Term premiums are estimated from a 3-factor term structure model using Treasury yields and Blue Chip interest rate forecasts.

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

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

This is a line chart titled "Implied Volatility of the 10-Year Swap Rate.” The x-axis measures time and ranges from years 2003 to 2021. The y-axis ranges from 0 to 250 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. In 2021 there is a gradual increase to around 75 basis points, then a sharp increase to about 83 basis points, followed by a decrease to 66 basis points. It then levels off at about 74 basis points in October 2021. The median for this series, designated by a horizontal red line, is plotted at 80.72 basis points.

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

Source: Barclays.

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Figure 1-4. Treasury Market Depth

This is a line chart titled “Treasury Market Depth”. The x-axis measures from January 2019 to October 2021. 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 “5-year” and the red line labeled “10-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 sharply to around 25 and increases to around 75 in April. It then increases to right above 150 in October. There is a quick decrease around March 2021 to just over 50 and then an increase until April 2021, where the series dips and increases to about 150 in May 2021. The red series then decreased to 100 in June, increases to 150 in July, and then decreases to 100 by mid-August 2021. The series ends in October 2021 at about 140 million dollars. 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 in March 2020. It then increases to 100 by the end of April. It then increases steadily to end right below 300 in October. It stays between 200 and 300 to end 2020. There is a sharp decrease to around 100 in March 2021 and an increase to 150 and decrease to 100 in April. The series then steadily increases to about 180 by June 2021, then decreases to about 130 in mid-June. It then increases to 170 in July, and then gradually stabilizes to end at about 150 million dollars in October 2021. 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 10 in October 2020. It steadily increases to 15 in April 2021, and continues to increase to 20 in June. The series then sharply decreases to about 12 at the end of June, sees a slight increase to 15 in July, and then dips to 10 in late July. It then increases to about 17 in September, then decreases sharply to about 13 in early October. The series ends at about 19 on October 20th, 2021.

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

Source: Interdealer broker community.

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Figure 1-5. Corporate Bond Yields

This is a line chart titled "Corporate Bond Yields." The x-axis measures time and ranges from years 1997 to 2021. 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 generally remains between 6 and 8 percent from 2010 to 2019, with local peaks of about 10 and 8 in early 2016 and December 2018, respectively. In March 2020, it sharply jumps to about 10 percent. After that, it steadily decreases to 4 percent in April 2021, and stays at around 4 percent by the end of the series in October 2021. 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 decreases to around 2 percent in October 2020. It hovers at the level for the rest of 2020 and into 2021, ending at a little over 2 percent in October.

Note: The triple-B series reflects the effective yield of the ICE Bank of America Merrill Lynch (BoAML) 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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Figure 1-6. Corporate Bond Spreads to Similar-Maturity Treasury Securities

This is a line chart titled "Corporate Bond Spreads to Similar-Maturity Treasury Securities." The x-axis measures time and ranges from 1997 to 2021. 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 4 percentage points in 2003. The series then hovers around 3 percentage points until 2008 when it rapidly rises to its peak in late 2008 of around 20 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 8 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 then drops to about 5 percent in October. It then steadily decreases to in April 2021 around 3 percentage points, and remains there until October 2021. 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 4 percent and drops right below 2 percent in October 2020. It then decreases to 1 percent in April 2021, and remains there by October 2021.

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

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

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Figure 1-7. Excess Bond Premium

Percentage points

Date Excess Bond Premium
1/16/1997 -0.33
2/15/1997 -0.48
3/16/1997 -0.51
4/16/1997 -0.47
5/16/1997 -0.46
6/16/1997 -0.57
7/16/1997 -0.54
8/16/1997 -0.50
9/16/1997 -0.59
10/16/1997 -0.44
11/16/1997 -0.36
12/16/1997 -0.40
1/16/1998 -0.36
2/15/1998 -0.36
3/16/1998 -0.41
4/16/1998 -0.44
5/16/1998 -0.39
6/16/1998 -0.36
7/16/1998 -0.32
8/16/1998 0.08
9/16/1998 0.06
10/16/1998 0.19
11/16/1998 0.17
12/16/1998 0.04
1/16/1999 0.05
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 -0.13
8/16/1999 -0.06
9/16/1999 0.06
10/16/1999 0.08
11/16/1999 0.04
12/16/1999 -0.19
1/16/2000 0.00
2/15/2000 0.07
3/16/2000 0.34
4/16/2000 0.49
5/16/2000 0.68
6/16/2000 0.73
7/16/2000 0.81
8/16/2000 1.00
9/16/2000 1.10
10/16/2000 1.51
11/16/2000 1.57
12/16/2000 1.58
1/16/2001 1.15
2/15/2001 1.14
3/16/2001 1.07
4/16/2001 0.88
5/16/2001 0.73
6/16/2001 0.97
7/16/2001 0.74
8/16/2001 0.74
9/16/2001 1.19
10/16/2001 1.01
11/16/2001 -0.20
12/16/2001 0.34
1/16/2002 0.54
2/15/2002 0.72
3/16/2002 0.20
4/16/2002 0.34
5/16/2002 0.45
6/16/2002 0.90
7/16/2002 1.51
8/16/2002 1.42
9/16/2002 1.60
10/16/2002 1.40
11/16/2002 0.98
12/16/2002 0.87
1/16/2003 0.84
2/15/2003 0.62
3/16/2003 0.11
4/16/2003 0.03
5/16/2003 -0.53
6/16/2003 -0.41
7/16/2003 -1.13
8/16/2003 -0.23
9/16/2003 -0.58
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 -0.80
5/16/2004 -0.41
6/16/2004 -0.41
7/16/2004 -0.34
8/16/2004 -0.42
9/16/2004 -0.57
10/16/2004 -0.53
11/16/2004 -0.70
12/16/2004 -0.75
1/16/2005 -0.72
2/15/2005 -0.99
3/16/2005 -0.70
4/16/2005 -0.45
5/16/2005 -0.36
6/16/2005 -0.51
7/16/2005 -0.61
8/16/2005 -0.58
9/16/2005 -0.51
10/16/2005 -0.36
11/16/2005 -0.36
12/16/2005 -0.33
1/16/2006 -0.38
2/15/2006 -0.36
3/16/2006 -0.45
4/16/2006 -0.48
5/16/2006 -0.38
6/16/2006 -0.40
7/16/2006 -0.30
8/16/2006 -0.30
9/16/2006 -0.38
10/16/2006 -0.40
11/16/2006 -0.38
12/16/2006 -0.51
1/16/2007 -0.56
2/15/2007 -0.57
3/16/2007 -0.38
4/16/2007 -0.38
5/16/2007 -0.63
6/16/2007 -0.41
7/16/2007 0.00
8/16/2007 0.13
9/16/2007 0.05
10/16/2007 -0.02
11/16/2007 0.31
12/16/2007 0.48
1/16/2008 0.70
2/15/2008 0.92
3/16/2008 1.12
4/16/2008 0.62
5/16/2008 0.63
6/16/2008 0.76
7/16/2008 1.02
8/16/2008 1.21
9/16/2008 1.71
10/16/2008 3.31
11/16/2008 2.96
12/16/2008 3.16
1/16/2009 2.70
2/15/2009 3.11
3/16/2009 2.66
4/16/2009 2.18
5/16/2009 1.30
6/16/2009 0.87
7/16/2009 0.27
8/16/2009 0.03
9/16/2009 0.00
10/16/2009 -0.18
11/16/2009 -0.04
12/16/2009 -0.54
1/16/2010 -0.22
2/15/2010 -0.02
3/16/2010 -0.19
4/16/2010 -0.31
5/16/2010 -0.17
6/16/2010 0.01
7/16/2010 0.16
8/16/2010 -0.32
9/16/2010 -0.02
10/16/2010 0.01
11/16/2010 -0.14
12/16/2010 -0.44
1/16/2011 -0.01
2/15/2011 -0.29
3/16/2011 -0.33
4/16/2011 -0.28
5/16/2011 -0.14
6/16/2011 -0.02
7/16/2011 -0.06
8/16/2011 -0.10
9/16/2011 0.40
10/16/2011 -0.13
11/16/2011 0.48
12/16/2011 0.24
1/16/2012 0.16
2/15/2012 0.04
3/16/2012 -0.38
4/16/2012 -0.19
5/16/2012 -0.12
6/16/2012 0.13
7/16/2012 -0.04
8/16/2012 -0.22
9/16/2012 -0.17
10/16/2012 -0.20
11/16/2012 -0.06
12/16/2012 -0.18
1/16/2013 -0.10
2/15/2013 -0.04
3/16/2013 -0.11
4/16/2013 -0.14
5/16/2013 -0.52
6/16/2013 -0.39
7/16/2013 -0.02
8/16/2013 -0.13
9/16/2013 -0.15
10/16/2013 -0.03
11/16/2013 0.00
12/16/2013 -0.16
1/16/2014 -0.32
2/15/2014 -0.22
3/16/2014 -0.30
4/16/2014 -0.38
5/16/2014 -0.39
6/16/2014 -0.33
7/16/2014 -0.35
8/16/2014 -0.33
9/16/2014 -0.25
10/16/2014 -0.24
11/16/2014 0.03
12/16/2014 0.04
1/16/2015 -0.09
2/15/2015 -0.35
3/16/2015 -0.18
4/16/2015 -0.03
5/16/2015 0.03
6/16/2015 0.13
7/16/2015 0.19
8/16/2015 0.38
9/16/2015 0.52
10/16/2015 0.41
11/16/2015 0.49
12/16/2015 0.67
1/16/2016 0.91
2/15/2016 0.93
3/16/2016 0.56
4/16/2016 0.21
5/16/2016 0.22
6/16/2016 0.02
7/16/2016 -0.03
8/16/2016 -0.04
9/16/2016 -0.10
10/16/2016 -0.09
11/16/2016 -0.79
12/16/2016 -0.27
1/16/2017 -0.21
2/15/2017 -0.21
3/16/2017 -0.19
4/16/2017 -0.14
5/16/2017 -0.19
6/16/2017 -0.15
7/16/2017 -0.17
8/16/2017 -0.08
9/16/2017 -0.28
10/16/2017 -0.23
11/16/2017 -0.16
12/16/2017 -0.23
1/16/2018 -0.44
2/15/2018 -0.27
3/16/2018 -0.14
4/16/2018 -0.33
5/16/2018 -0.24
6/16/2018 -0.01
7/16/2018 -0.17
8/16/2018 -0.12
9/16/2018 -0.21
10/16/2018 -0.02
11/16/2018 0.12
12/16/2018 0.32
1/16/2019 0.16
2/15/2019 0.05
3/16/2019 -0.15
4/16/2019 -0.02
5/16/2019 -0.04
6/16/2019 -0.01
7/16/2019 -0.06
8/16/2019 -0.18
9/16/2019 -0.27
10/16/2019 -0.26
11/16/2019 -0.21
12/16/2019 -0.32
1/16/2020 -0.28
2/15/2020 -0.19
3/16/2020 1.16
4/16/2020 0.63
5/16/2020 0.39
6/16/2020 0.03
7/16/2020 -0.19
8/16/2020 -0.29
9/16/2020 -0.01
10/16/2020 -0.21
11/16/2020 -0.48
12/16/2020 -0.51
1/16/2021 -0.66
2/15/2021 -0.97
3/16/2021 -0.75
4/16/2021 -0.49
5/16/2021 -0.43
6/16/2021 -0.60
7/16/2021 -0.57
8/16/2021 -0.48
9/16/2021 -0.71

Note: The excess bond premium (EBP) is the residual of a regression of corporate bond spreads on controls for firms’ expected defaults. By construction, its historical mean is zero. Positive (negative) EBP values indicate that investors’ risk appetite is below (above) its historical mean.

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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Figure 1-8. Secondary-Market Spreads of Leveraged Loans

Percentage points

Date B BB
1/31/1997 n.a. 2.09
2/28/1997 n.a. 2.08
3/31/1997 n.a. 2.08
4/30/1997 n.a. 2.13
5/31/1997 n.a. 2.16
6/30/1997 n.a. 2.17
7/31/1997 2.28 1.91
8/31/1997 2.26 1.85
9/30/1997 2.28 1.89
10/31/1997 2.55 1.95
11/30/1997 2.55 1.91
12/31/1997 2.58 1.89
1/31/1998 2.58 2.04
2/28/1998 2.58 2.08
3/31/1998 2.61 2.01
4/30/1998 2.60 2.02
5/31/1998 2.65 2.17
6/30/1998 2.64 2.28
7/31/1998 2.65 2.25
8/31/1998 2.75 2.33
9/30/1998 2.94 2.50
10/31/1998 3.06 2.63
11/30/1998 3.35 2.69
12/31/1998 3.23 2.56
1/31/1999 3.20 2.62
2/28/1999 3.21 2.55
3/31/1999 3.57 2.48
4/30/1999 3.93 2.65
5/31/1999 3.80 2.84
6/30/1999 3.86 2.84
7/31/1999 4.10 2.95
8/31/1999 4.46 2.99
9/30/1999 4.75 3.96
10/31/1999 4.96 4.09
11/30/1999 4.74 3.91
12/31/1999 6.08 4.02
1/31/2000 6.24 4.07
2/29/2000 6.07 4.11
3/31/2000 6.05 3.43
4/30/2000 5.44 3.51
5/31/2000 5.25 3.26
6/30/2000 5.67 3.12
7/31/2000 6.03 3.00
8/31/2000 5.73 3.02
9/30/2000 6.65 3.19
10/31/2000 6.91 3.26
11/30/2000 7.31 3.07
12/31/2000 6.69 3.05
1/31/2001 6.26 2.95
2/28/2001 5.95 2.91
3/31/2001 6.83 2.95
4/30/2001 6.71 2.96
5/31/2001 6.50 2.95
6/30/2001 6.62 2.99
7/31/2001 6.71 3.03
8/31/2001 6.51 3.00
9/30/2001 7.42 3.35
10/31/2001 8.71 3.51
11/30/2001 6.82 3.11
12/31/2001 6.21 3.09
1/31/2002 5.89 3.05
2/28/2002 5.50 3.09
3/31/2002 5.22 3.07
4/30/2002 4.92 2.94
5/31/2002 5.62 2.95
6/30/2002 5.90 2.99
7/31/2002 6.63 3.38
8/31/2002 6.53 3.72
9/30/2002 6.64 3.75
10/31/2002 7.37 4.64
11/30/2002 6.72 4.14
12/31/2002 6.58 3.52
1/31/2003 6.10 3.60
2/28/2003 6.30 3.56
3/31/2003 6.03 3.57
4/30/2003 5.11 3.58
5/31/2003 4.66 3.35
6/30/2003 4.48 3.24
7/31/2003 4.51 3.03
8/31/2003 4.72 3.01
9/30/2003 4.98 2.98
10/31/2003 4.82 2.94
11/30/2003 4.78 2.85
12/31/2003 4.51 2.61
1/31/2004 4.03 2.51
2/29/2004 4.20 2.45
3/31/2004 3.92 2.38
4/30/2004 3.92 2.33
5/28/2004 4.06 2.40
6/25/2004 3.77 2.34
7/30/2004 3.84 2.26
8/31/2004 3.69 2.20
9/30/2004 3.61 2.14
10/29/2004 3.42 2.10
11/30/2004 3.26 2.07
12/31/2004 3.21 2.01
1/31/2005 3.25 1.98
2/25/2005 3.14 1.94
3/31/2005 3.05 1.85
4/29/2005 3.30 1.83
5/31/2005 3.12 1.86
6/30/2005 3.10 1.84
7/29/2005 3.04 1.77
8/30/2005 2.98 1.68
9/30/2005 2.96 1.73
10/28/2005 3.00 1.77
11/30/2005 2.89 1.78
12/30/2005 2.81 1.81
1/31/2006 2.82 1.75
2/28/2006 2.78 1.68
3/31/2006 2.74 1.68
4/28/2006 2.74 1.66
5/31/2006 2.67 1.73
6/30/2006 2.67 1.84
7/28/2006 2.70 1.88
8/31/2006 2.74 1.87
9/29/2006 2.74 1.86
10/31/2006 2.70 1.83
11/30/2006 2.70 1.97
12/29/2006 2.73 1.94
1/31/2007 2.60 1.91
2/28/2007 2.53 1.74
3/30/2007 2.49 1.77
4/27/2007 2.46 1.80
5/31/2007 2.41 1.79
6/29/2007 2.70 2.01
7/31/2007 3.48 2.82
8/31/2007 3.59 3.00
9/28/2007 3.34 2.71
10/26/2007 3.29 2.64
11/30/2007 3.86 3.06
12/28/2007 4.16 2.93
1/31/2008 4.98 3.74
2/29/2008 6.07 4.38
3/28/2008 7.21 4.32
4/30/2008 6.35 3.68
5/30/2008 6.38 3.59
6/27/2008 6.39 3.86
7/31/2008 7.17 4.18
8/29/2008 7.65 4.23
9/30/2008 10.61 5.94
10/31/2008 17.05 9.27
11/28/2008 20.89 11.03
12/31/2008 24.76 11.47
1/30/2009 20.70 8.74
2/27/2009 20.75 7.85
3/31/2009 20.32 7.79
4/30/2009 15.79 5.77
5/29/2009 12.40 5.56
6/30/2009 10.23 4.86
7/31/2009 8.50 4.19
8/31/2009 7.81 4.13
9/30/2009 6.96 4.01
10/30/2009 6.37 4.20
11/30/2009 6.70 4.53
12/31/2009 6.02 3.88
1/29/2010 5.67 3.70
2/26/2010 5.78 3.81
3/31/2010 5.27 3.50
4/30/2010 5.05 3.43
5/28/2010 6.11 3.99
6/30/2010 6.43 4.17
7/30/2010 5.98 4.01
8/31/2010 5.98 4.01
9/30/2010 5.62 3.88
10/29/2010 5.22 3.66
11/30/2010 5.61 3.71
12/31/2010 5.29 3.69
1/31/2011 4.80 3.51
2/28/2011 4.82 3.52
3/31/2011 4.85 3.44
4/29/2011 4.89 3.41
5/31/2011 5.04 3.57
6/30/2011 5.35 3.81
7/29/2011 5.42 3.82
8/31/2011 6.75 5.11
9/30/2011 6.85 4.69
10/31/2011 6.06 4.02
11/30/2011 6.54 4.24
12/30/2011 6.33 4.16
1/31/2012 5.71 3.85
2/29/2012 5.33 3.80
3/30/2012 5.37 3.76
4/30/2012 5.38 3.91
5/31/2012 5.86 4.26
6/29/2012 5.79 4.25
7/31/2012 5.88 4.10
8/31/2012 5.69 4.17
9/28/2012 5.55 3.96
10/31/2012 5.49 3.83
11/30/2012 5.60 3.84
12/31/2012 5.49 3.84
1/31/2013 5.28 3.72
2/28/2013 5.32 3.86
3/28/2013 5.14 3.73
4/30/2013 5.04 3.79
5/31/2013 4.87 3.62
6/28/2013 4.98 3.59
7/31/2013 4.82 3.33
8/30/2013 4.92 3.41
9/30/2013 4.99 3.46
10/31/2013 4.90 3.43
11/22/2013 4.92 3.50
11/29/2013 4.91 3.52
12/6/2013 4.90 3.52
12/13/2013 4.88 3.52
12/20/2013 4.86 3.46
12/27/2013 4.84 3.40
12/31/2013 4.86 3.39
1/3/2014 4.84 3.37
1/10/2014 4.77 3.34
1/17/2014 4.74 3.35
1/24/2014 4.74 3.34
1/31/2014 4.77 3.37
2/7/2014 4.76 3.37
2/14/2014 4.74 3.42
2/21/2014 4.72 3.44
2/28/2014 4.71 3.32
3/7/2014 4.70 3.32
3/14/2014 4.68 3.32
3/21/2014 4.65 3.31
3/28/2014 4.65 3.32
3/31/2014 4.66 3.32
4/4/2014 4.72 3.38
4/11/2014 4.70 3.41
4/17/2014 4.72 3.40
4/25/2014 4.76 3.45
4/30/2014 4.74 3.43
5/2/2014 4.74 3.41
5/9/2014 4.73 3.37
5/16/2014 4.70 3.38
5/23/2014 4.71 3.39
5/30/2014 4.72 3.39
6/6/2014 4.70 3.40
6/13/2014 4.69 3.40
6/20/2014 4.69 3.39
6/27/2014 4.68 3.37
6/30/2014 4.68 3.37
7/3/2014 4.67 3.38
7/11/2014 4.66 3.42
7/18/2014 4.67 3.42
7/25/2014 4.67 3.43
7/31/2014 4.72 3.47
8/1/2014 4.75 3.50
8/8/2014 4.76 3.56
8/15/2014 4.80 3.63
8/22/2014 4.79 3.61
8/29/2014 4.76 3.58
9/5/2014 4.77 3.58
9/12/2014 4.82 3.63
9/19/2014 4.82 3.63
9/26/2014 4.90 3.71
9/30/2014 4.95 3.76
10/3/2014 4.97 3.76
10/10/2014 4.99 3.78
10/17/2014 5.14 3.92
10/24/2014 5.09 3.84
10/31/2014 5.00 3.74
11/7/2014 5.01 3.71
11/14/2014 5.00 3.69
11/21/2014 5.01 3.68
11/28/2014 5.03 3.67
12/5/2014 5.14 3.69
12/12/2014 5.41 3.91
12/19/2014 5.52 3.95
12/26/2014 5.45 3.90
12/31/2014 5.44 3.88
1/2/2015 5.44 3.89
1/9/2015 5.44 3.92
1/16/2015 5.45 3.89
1/23/2015 5.44 3.88
1/30/2015 5.47 3.93
2/6/2015 5.41 3.86
2/13/2015 5.33 3.79
2/20/2015 5.27 3.75
2/27/2015 5.22 3.73
3/6/2015 5.19 3.68
3/13/2015 5.16 3.69
3/20/2015 5.21 3.70
3/27/2015 5.21 3.67
3/31/2015 5.19 3.65
4/2/2015 5.18 3.66
4/10/2015 5.12 3.58
4/17/2015 5.14 3.56
4/24/2015 5.11 3.56
4/30/2015 5.11 3.56
5/1/2015 5.12 3.55
5/8/2015 5.09 3.57
5/15/2015 5.11 3.60
5/22/2015 5.13 3.57
5/29/2015 5.14 3.57
6/5/2015 5.22 3.58
6/12/2015 5.28 3.61
6/19/2015 5.31 3.64
6/26/2015 5.31 3.62
6/30/2015 5.36 3.65
7/2/2015 5.35 3.63
7/10/2015 5.34 3.59
7/17/2015 5.30 3.55
7/24/2015 5.31 3.55
7/31/2015 5.36 3.58
8/7/2015 5.38 3.62
8/14/2015 5.41 3.68
8/21/2015 5.48 3.71
8/28/2015 5.56 3.74
8/31/2015 5.56 3.73
9/4/2015 5.41 3.72
9/11/2015 5.42 3.69
9/18/2015 5.45 3.68
9/25/2015 5.52 3.70
9/30/2015 5.67 3.77
10/2/2015 5.75 3.78
10/9/2015 5.75 3.77
10/16/2015 5.79 3.78
10/23/2015 5.76 3.78
10/30/2015 5.77 3.85
11/6/2015 5.77 3.81
11/13/2015 5.90 3.90
11/20/2015 6.08 3.95
11/27/2015 6.11 3.92
11/30/2015 6.14 3.92
12/4/2015 6.21 3.87
12/11/2015 6.66 3.96
12/18/2015 7.00 4.02
12/24/2015 7.08 4.05
12/31/2015 7.08 4.03
1/8/2016 7.12 4.01
1/15/2016 7.22 4.03
1/22/2016 7.46 4.14
1/29/2016 7.43 4.14
2/5/2016 7.46 4.11
2/12/2016 7.71 4.26
2/19/2016 7.52 4.27
2/26/2016 7.51 4.24
2/29/2016 7.50 4.24
3/4/2016 7.25 4.11
3/11/2016 6.95 3.97
3/18/2016 6.56 3.76
3/24/2016 6.50 3.78
3/31/2016 6.50 3.75
4/1/2016 6.28 3.81
4/8/2016 6.20 3.73
4/15/2016 5.81 3.69
4/22/2016 5.60 3.62
4/29/2016 5.52 3.60
5/6/2016 5.50 3.64
5/13/2016 5.46 3.65
5/20/2016 5.42 3.62
5/27/2016 5.33 3.58
5/31/2016 5.32 3.58
6/3/2016 5.34 3.57
6/10/2016 5.29 3.61
6/17/2016 5.29 3.65
6/24/2016 5.34 3.64
6/30/2016 5.40 3.68
7/1/2016 5.38 3.65
7/8/2016 5.34 3.62
7/15/2016 5.23 3.54
7/22/2016 5.15 3.48
7/29/2016 5.12 3.45
8/5/2016 5.10 3.47
8/12/2016 5.07 3.44
8/19/2016 5.13 3.44
8/26/2016 5.10 3.45
8/31/2016 5.08 3.44
9/2/2016 5.04 3.43
9/9/2016 5.00 3.39
9/16/2016 5.00 3.37
9/23/2016 4.89 3.35
9/30/2016 4.88 3.34
10/7/2016 4.84 3.27
10/14/2016 4.86 3.27
10/21/2016 4.81 3.20
10/28/2016 4.78 3.19
10/31/2016 4.79 3.20
11/4/2016 4.80 3.25
11/10/2016 4.80 3.27
11/18/2016 4.77 3.22
11/25/2016 4.75 3.21
11/30/2016 4.73 3.20
12/2/2016 4.68 3.20
12/9/2016 4.59 3.09
12/16/2016 4.54 3.07
12/23/2016 4.60 3.07
12/30/2016 4.64 3.04
1/6/2017 4.57 3.02
1/13/2017 4.54 3.03
1/20/2017 4.56 3.06
1/27/2017 4.54 3.09
1/31/2017 4.54 3.10
2/3/2017 4.50 3.06
2/10/2017 4.51 3.01
2/17/2017 4.45 2.95
2/24/2017 4.39 2.93
2/28/2017 4.38 2.92
3/3/2017 4.34 2.88
3/10/2017 4.34 2.87
3/17/2017 4.32 2.85
3/24/2017 4.32 2.94
3/31/2017 4.25 2.91
4/7/2017 4.15 2.88
4/13/2017 4.12 2.85
4/21/2017 4.13 2.83
4/28/2017 4.13 2.82
5/5/2017 4.16 2.88
5/12/2017 4.13 2.88
5/19/2017 4.11 2.89
5/26/2017 4.04 2.89
5/31/2017 4.05 2.88
6/2/2017 4.05 2.87
6/9/2017 4.03 2.87
6/16/2017 4.04 2.88
6/23/2017 4.07 2.86
6/30/2017 4.08 2.84
7/7/2017 4.07 2.83
7/14/2017 4.09 2.83
7/21/2017 4.09 2.80
7/28/2017 4.03 2.78
7/31/2017 4.03 2.78
8/4/2017 4.03 2.75
8/11/2017 4.06 2.80
8/18/2017 4.07 2.78
8/25/2017 4.07 2.82
8/31/2017 4.08 2.85
9/1/2017 4.06 2.85
9/8/2017 4.02 2.87
9/15/2017 4.02 2.89
9/22/2017 4.02 2.82
9/29/2017 4.01 2.72
10/6/2017 3.98 2.67
10/13/2017 3.95 2.67
10/20/2017 3.93 2.65
10/27/2017 3.94 2.65
10/31/2017 3.95 2.65
11/3/2017 3.97 2.63
11/10/2017 3.98 2.62
11/17/2017 3.96 2.65
11/24/2017 3.95 2.64
11/30/2017 3.94 2.63
12/1/2017 3.95 2.63
12/8/2017 3.94 2.61
12/15/2017 4.00 2.62
12/22/2017 3.91 2.63
12/29/2017 3.89 2.59
1/5/2018 3.87 2.55
1/12/2018 3.81 2.54
1/19/2018 3.77 2.52
1/26/2018 3.73 2.50
1/31/2018 3.72 2.49
2/2/2018 3.70 2.44
2/9/2018 3.74 2.48
2/16/2018 3.73 2.49
2/23/2018 3.73 2.50
2/28/2018 3.72 2.51
3/2/2018 3.72 2.51
3/9/2018 3.72 2.51
3/16/2018 3.70 2.49
3/23/2018 3.72 2.49
3/30/2018 3.72 2.49
4/6/2018 3.72 2.49
4/13/2018 3.68 2.49
4/20/2018 3.66 2.46
4/27/2018 3.67 2.44
4/30/2018 3.67 2.44
5/4/2018 3.68 2.44
5/11/2018 3.68 2.44
5/18/2018 3.68 2.47
5/25/2018 3.69 2.49
5/31/2018 3.71 2.51
6/1/2018 3.72 2.48
6/8/2018 3.71 2.49
6/15/2018 3.73 2.49
6/22/2018 3.75 2.52
6/29/2018 3.76 2.55
7/6/2018 3.75 2.53
7/13/2018 3.76 2.54
7/20/2018 3.75 2.53
7/27/2018 3.76 2.51
7/31/2018 3.75 2.51
8/3/2018 3.75 2.50
8/10/2018 3.77 2.52
8/17/2018 3.77 2.53
8/24/2018 3.81 2.48
8/31/2018 3.83 2.49
9/7/2018 3.82 2.49
9/14/2018 3.81 2.50
9/21/2018 3.78 2.48
9/28/2018 3.73 2.48
10/5/2018 3.73 2.48
10/12/2018 3.75 2.49
10/19/2018 3.75 2.49
10/26/2018 3.79 2.54
10/31/2018 3.85 2.56
11/2/2018 3.84 2.58
11/9/2018 3.86 2.61
11/16/2018 3.95 2.68
11/23/2018 4.07 2.76
11/30/2018 4.18 2.88
12/7/2018 4.33 3.01
12/14/2018 4.51 3.15
12/21/2018 4.83 3.37
12/28/2018 4.94 3.46
12/31/2018 4.94 3.46
1/4/2019 4.73 3.18
1/11/2019 4.49 2.91
1/18/2019 4.48 2.84
1/25/2019 4.53 2.88
1/31/2019 4.55 2.89
2/1/2019 4.54 2.89
2/8/2019 4.49 2.86
2/15/2019 4.44 2.83
2/22/2019 4.33 2.76
2/28/2019 4.24 2.70
3/1/2019 4.24 2.69
3/8/2019 4.32 2.75
3/15/2019 4.31 2.73
3/22/2019 4.40 2.79
3/29/2019 4.46 2.88
4/5/2019 4.32 2.79
4/12/2019 4.26 2.74
4/18/2019 4.21 2.73
4/26/2019 4.18 2.70
4/30/2019 4.17 2.69
5/3/2019 4.13 2.68
5/10/2019 4.20 2.68
5/17/2019 4.16 2.68
5/24/2019 4.22 2.68
5/31/2019 4.30 2.68
6/7/2019 4.30 2.67
6/14/2019 4.31 2.65
6/21/2019 4.31 2.66
6/28/2019 4.36 2.70
7/5/2019 4.36 2.69
7/12/2019 4.32 2.67
7/19/2019 4.30 2.65
7/26/2019 4.30 2.65
7/31/2019 4.28 2.63
8/2/2019 4.30 2.73
8/9/2019 4.41 2.77
8/16/2019 4.50 2.80
8/23/2019 4.51 2.78
8/30/2019 4.46 2.80
9/6/2019 4.42 2.74
9/13/2019 4.35 2.67
9/20/2019 4.34 2.68
9/27/2019 4.33 2.67
9/30/2019 4.33 2.68
10/4/2019 4.43 2.70
10/11/2019 4.59 2.74
10/18/2019 4.62 2.72
10/25/2019 4.63 2.71
10/31/2019 4.68 2.73
11/1/2019 4.68 2.75
11/8/2019 4.68 2.75
11/15/2019 4.62 2.75
11/22/2019 4.67 2.75
11/29/2019 4.66 2.74
12/6/2019 4.55 2.71
12/13/2019 4.36 2.66
12/20/2019 4.24 2.64
12/27/2019 4.24 2.64
12/31/2019 4.24 2.64
1/3/2020 4.23 2.62
1/10/2020 4.14 2.58
1/17/2020 4.11 2.57
1/24/2020 4.11 2.60
1/31/2020 4.19 2.63
2/7/2020 4.22 2.68
2/14/2020 4.21 2.69
2/21/2020 4.19 2.71
2/28/2020 4.58 3.04
3/6/2020 4.85 3.24
3/13/2020 6.39 4.75
3/20/2020 9.69 7.88
3/27/2020 9.03 6.15
3/31/2020 8.25 5.13
4/3/2020 8.15 5.05
4/9/2020 7.31 4.26
4/17/2020 6.74 3.94
4/24/2020 6.91 4.12
4/30/2020 6.96 4.25
5/1/2020 6.88 4.14
5/8/2020 6.56 4.05
5/15/2020 6.51 4.03
5/22/2020 6.16 3.71
5/29/2020 5.77 3.43
6/5/2020 5.42 3.21
6/12/2020 5.37 3.26
6/19/2020 5.22 3.14
6/26/2020 5.51 3.38
6/30/2020 5.60 3.44
7/3/2020 5.40 3.36
7/10/2020 5.37 3.30
7/17/2020 5.20 3.19
7/24/2020 5.07 3.09
7/31/2020 5.09 3.13
8/7/2020 4.96 3.05
8/14/2020 4.86 3.02
8/21/2020 4.88 3.09
8/28/2020 4.83 3.07
8/31/2020 4.82 3.05
9/4/2020 4.65 2.90
9/11/2020 4.58 2.87
9/18/2020 4.56 2.88
9/25/2020 4.74 3.06
9/30/2020 4.75 3.05
10/2/2020 4.75 3.10
10/9/2020 4.63 3.01
10/16/2020 4.67 3.04
10/23/2020 4.83 3.07
10/30/2020 5.00 3.22
11/6/2020 4.81 3.06
11/13/2020 4.67 2.99
11/20/2020 4.67 3.02
11/27/2020 4.61 2.98
11/30/2020 4.60 2.99
12/4/2020 4.50 2.90
12/11/2020 4.46 2.86
12/18/2020 4.39 2.81
12/24/2020 4.41 2.81
12/31/2020 4.39 2.80
1/8/2021 4.23 2.63
1/15/2021 4.16 2.65
1/22/2021 4.16 2.63
1/29/2021 4.22 2.69
2/5/2021 4.20 2.68
2/12/2021 4.13 2.70
2/19/2021 4.12 2.71
2/26/2021 4.13 2.69
3/5/2021 4.14 2.75
3/12/2021 4.15 2.77
3/19/2021 4.21 2.81
3/26/2021 4.23 2.84
3/31/2021 4.24 2.86
4/2/2021 4.24 2.84
4/9/2021 4.17 2.79
4/16/2021 4.16 2.81
4/23/2021 4.19 2.77
4/30/2021 4.18 2.80
5/7/2021 4.19 2.81
5/14/2021 4.19 2.84
5/21/2021 4.16 2.82
5/28/2021 4.15 2.79
6/4/2021 4.14 2.82
6/11/2021 4.12 2.80
6/18/2021 4.15 2.86
6/25/2021 4.17 2.88
6/30/2021 4.17 2.89
7/2/2021 4.17 2.90
7/9/2021 4.16 2.91
7/16/2021 4.15 2.86
7/23/2021 4.17 2.90
7/30/2021 4.21 2.92
8/6/2021 4.23 2.93
8/13/2021 4.23 3.09
8/20/2021 4.25 3.14
8/27/2021 4.24 3.12
8/31/2021 4.23 3.11
9/3/2021 4.21 3.09
9/10/2021 4.18 3.07
9/17/2021 4.18 3.07
9/24/2021 4.18 3.06
9/30/2021 4.17 3.05
10/1/2021 4.17 3.05
10/8/2021 4.18 3.05
10/15/2021 4.20 3.05

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. B-rated spreads begin in July 1997.

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

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

Ratio

Date Forward price-to-earnings ratio
1/16/1989 10.07
2/15/1989 10.14
3/16/1989 10.11
4/16/1989 10.42
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 11.51
12/16/1989 11.88
1/16/1990 11.53
2/15/1990 11.30
3/16/1990 11.50
4/16/1990 11.65
5/16/1990 12.07
6/16/1990 12.38
7/16/1990 12.39
8/16/1990 11.51
9/16/1990 10.79
10/16/1990 10.30
11/16/1990 11.18
12/16/1990 11.66
1/16/1991 11.26
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 14.16
8/16/1991 14.40
9/16/1991 14.21
10/16/1991 14.31
11/16/1991 14.45
12/16/1991 14.01
1/16/1992 15.37
2/15/1992 15.01
3/16/1992 14.86
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 14.71
1/16/1993 14.61
2/15/1993 14.66
3/16/1993 15.01
4/16/1993 15.03
5/16/1993 14.72
6/16/1993 14.63
7/16/1993 14.63
8/16/1993 14.76
9/16/1993 14.80
10/16/1993 14.64
11/16/1993 14.67
12/16/1993 14.48
1/16/1994 14.75
2/15/1994 14.60
3/16/1994 14.34
4/16/1994 13.46
5/16/1994 13.42
6/16/1994 13.47
7/16/1994 13.00
8/16/1994 13.21
9/16/1994 13.11
10/16/1994 12.92
11/16/1994 12.56
12/16/1994 12.09
1/16/1995 12.31
2/15/1995 12.48
3/16/1995 12.50
4/16/1995 12.66
5/16/1995 12.91
6/16/1995 13.06
7/16/1995 13.30
8/16/1995 13.35
9/16/1995 13.67
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 15.19
6/16/1996 14.71
7/16/1996 14.41
8/16/1996 14.92
9/16/1996 15.24
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 16.03
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 21.17
9/16/1998 20.01
10/16/1998 19.28
11/16/1998 22.02
12/16/1998 22.30
1/16/1999 23.70
2/15/1999 23.53
3/16/1999 24.72
4/16/1999 24.95
5/16/1999 24.74
6/16/1999 24.30
7/16/1999 25.44
8/16/1999 23.90
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 24.02
3/16/2000 23.73
4/16/2000 23.91
5/16/2000 23.88
6/16/2000 24.10
7/16/2000 24.10
8/16/2000 23.86
9/16/2000 23.86
10/16/2000 21.44
11/16/2000 22.25
12/16/2000 22.10
1/16/2001 21.98
2/15/2001 22.10
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 16.14
8/16/2002 16.60
9/16/2002 15.72
10/16/2002 15.78
11/16/2002 16.02
12/16/2002 16.12
1/16/2003 16.48
2/15/2003 15.34
3/16/2003 15.71
4/16/2003 15.68
5/16/2003 16.56
6/16/2003 17.69
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 17.11
5/16/2004 15.98
6/16/2004 16.41
7/16/2004 15.92
8/16/2004 15.51
9/16/2004 15.77
10/16/2004 15.48
11/16/2004 16.17
12/16/2004 16.32
1/16/2005 15.95
2/15/2005 16.17
3/16/2005 15.64
4/16/2005 15.30
5/16/2005 15.28
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 14.30
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 13.81
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 14.82
5/16/2010 12.99
6/16/2010 12.82
7/16/2010 12.49
8/16/2010 12.10
9/16/2010 12.35
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 11.67
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 15.43
2/15/2014 15.44
3/16/2014 15.60
4/16/2014 15.50
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 17.28
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 15.30
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 17.40
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 17.28
2/15/2017 17.91
3/16/2017 18.04
4/16/2017 17.54
5/16/2017 17.49
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 18.73
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 19.27
3/16/2020 14.13
4/16/2020 18.93
5/16/2020 20.52
6/16/2020 22.40
7/16/2020 23.10
8/16/2020 23.10
9/16/2020 22.64
10/16/2020 22.81
11/16/2020 22.24
12/16/2020 22.56
1/16/2021 23.05
2/15/2021 22.76
3/16/2021 22.45
4/16/2021 22.65
5/16/2021 21.33
6/16/2021 21.60
7/16/2021 22.18
8/16/2021 21.44
9/16/2021 21.63
10/16/2021 20.81

Note: The figure shows aggregate forward price-to-earnings ratio of S&P 500 firms, based on expected earnings for 12 months ahead. Median marked with a horizontal red line at a ratio of about 16.

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

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

Percentage points

Date Spread of forward price-to-earnings ratio
10/16/1991 3.31
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 3.57
8/16/1992 3.78
9/16/1992 3.93
10/16/1992 3.84
11/16/1992 3.38
12/16/1992 3.38
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 4.36
9/16/1993 4.65
10/16/1993 4.77
11/16/1993 4.38
12/16/1993 4.44
1/16/1994 4.36
2/15/1994 4.18
3/16/1994 3.79
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 3.58
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 2.46
2/15/1997 2.28
3/16/1997 2.22
4/16/1997 2.11
5/16/1997 1.82
6/16/1997 1.69
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 0.72
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 1.67
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 4.71
5/16/2003 4.79
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 4.68
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 4.71
10/16/2006 4.52
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 5.86
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 8.74
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 7.64
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 9.27
7/16/2012 8.77
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 7.06
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 6.69
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 5.72
11/16/2020 5.75
12/16/2020 5.63
1/16/2021 5.46
2/15/2021 5.32
3/16/2021 4.98
4/16/2021 5.03
5/16/2021 5.31
6/16/2021 5.36
7/16/2021 5.59
8/16/2021 5.79
9/16/2021 5.66
10/16/2021 5.63

Note: This figure shows aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Expected real Treasury yields are calculated from the 10-year consumer price index inflation forecast, and the smoothed nominal yield curve is estimated from off-the-run securities. Median marked with a horizontal red line at about 5 percentage points.

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

This is a line chart titled "S&P 500 Return Volatility." The x-axis measures time and ranges from 1997 to 2021. 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. It then decreases even more to begin 2021, ending right below 20 percent in April. The line then increases sharply to about 25 in October 2021. 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 stays until late 2015. It then 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, followed by a decrease to around 18 percent in October 2020. It then decreases into 2021 to around 12 percent in April. Finally, it increases sharply and ends at about 14 in October 2021.

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 L.P.

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

Jan. 2001 = 100

Date Equal-weighted Value-weighted
1/16/1996 na 71.52
2/15/1996 na 71.45
3/16/1996 na 72.00
4/16/1996 na 73.12
5/16/1996 na 73.11
6/16/1996 na 72.49
7/16/1996 na 72.08
8/16/1996 na 71.71
9/16/1996 na 71.38
10/16/1996 na 69.42
11/16/1996 na 71.34
12/16/1996 na 73.82
1/16/1997 na 76.02
2/16/1997 na 78.78
3/16/1997 na 80.13
4/16/1997 na 80.10
5/16/1997 na 80.59
6/16/1997 na 80.60
7/16/1997 na 81.41
8/16/1997 na 81.69
9/16/1997 na 82.81
10/16/1997 na 82.05
11/16/1997 na 85.91
12/16/1997 na 87.88
1/16/1998 84.09 90.81
2/15/1998 84.49 90.97
3/16/1998 84.72 91.20
4/16/1998 85.21 90.34
5/16/1998 85.37 93.07
6/16/1998 85.57 94.61
7/16/1998 85.38 94.13
8/16/1998 85.25 93.93
9/16/1998 84.86 93.67
10/16/1998 86.26 93.81
11/16/1998 87.63 94.16
12/16/1998 89.42 93.71
1/16/1999 89.04 91.93
2/15/1999 89.20 92.25
3/16/1999 89.51 91.68
4/16/1999 89.86 90.94
5/16/1999 90.83 91.13
6/16/1999 91.38 91.43
7/16/1999 91.86 91.80
8/16/1999 92.32 93.11
9/16/1999 92.24 93.40
10/16/1999 93.10 93.51
11/16/1999 93.70 93.90
12/16/1999 94.61 94.19
1/16/2000 95.17 93.88
2/15/2000 95.45 91.59
3/16/2000 95.59 89.39
4/16/2000 96.30 88.36
5/16/2000 97.59 91.88
6/16/2000 98.37 94.50
7/16/2000 98.57 96.75
8/16/2000 98.33 98.31
9/16/2000 97.24 99.26
10/16/2000 98.53 100.22
11/16/2000 99.22 101.12
12/16/2000 100.44 101.15
1/16/2001 100.00 100.00
2/15/2001 100.11 99.72
3/16/2001 100.02 99.86
4/16/2001 99.68 100.21
5/16/2001 99.17 99.90
6/16/2001 99.56 98.88
7/16/2001 101.24 98.99
8/16/2001 103.12 98.98
9/16/2001 103.91 98.40
10/16/2001 104.41 97.20
11/16/2001 103.41 96.13
12/16/2001 103.23 95.36
1/16/2002 103.53 95.31
2/15/2002 104.49 96.29
3/16/2002 105.38 96.93
4/16/2002 105.50 96.89
5/16/2002 105.87 96.50
6/16/2002 105.94 95.74
7/16/2002 106.61 95.24
8/16/2002 107.17 95.23
9/16/2002 108.46 95.52
10/16/2002 110.39 96.30
11/16/2002 112.41 98.19
12/16/2002 114.43 100.79
1/16/2003 113.98 102.55
2/15/2003 112.80 102.58
3/16/2003 112.38 102.03
4/16/2003 113.88 101.75
5/16/2003 115.47 102.19
6/16/2003 116.12 101.50
7/16/2003 116.71 100.96
8/16/2003 117.00 98.48
9/16/2003 118.09 97.16
10/16/2003 119.74 97.21
11/16/2003 121.36 98.33
12/16/2003 122.83 99.65
1/16/2004 123.43 99.55
2/15/2004 124.55 102.05
3/16/2004 125.44 103.26
4/16/2004 126.91 106.10
5/16/2004 127.47 105.75
6/16/2004 128.89 107.64
7/16/2004 130.69 109.81
8/16/2004 132.52 112.49
9/16/2004 133.37 114.30
10/16/2004 133.16 115.43
11/16/2004 133.93 115.27
12/16/2004 135.76 115.22
1/16/2005 137.91 113.93
2/15/2005 139.70 115.38
3/16/2005 141.21 115.96
4/16/2005 141.92 117.30
5/16/2005 143.54 117.15
6/16/2005 144.57 117.65
7/16/2005 145.15 118.11
8/16/2005 146.20 118.78
9/16/2005 146.51 119.24
10/16/2005 148.54 120.97
11/16/2005 151.39 123.80
12/16/2005 153.28 125.46
1/16/2006 152.78 125.41
2/15/2006 153.48 126.14
3/16/2006 152.79 127.63
4/16/2006 152.22 128.54
5/16/2006 152.11 129.66
6/16/2006 153.04 130.42
7/16/2006 152.07 131.65
8/16/2006 150.98 132.64
9/16/2006 150.83 133.57
10/16/2006 151.79 134.63
11/16/2006 154.06 135.44
12/16/2006 154.72 137.65
1/16/2007 155.83 138.88
2/15/2007 155.76 139.97
3/16/2007 155.76 139.92
4/16/2007 155.99 141.11
5/16/2007 155.31 142.64
6/16/2007 155.23 143.72
7/16/2007 154.60 144.86
8/16/2007 155.18 145.69
9/16/2007 154.29 145.37
10/16/2007 152.72 145.22
11/16/2007 150.92 144.50
12/16/2007 149.69 144.11
1/16/2008 149.24 142.09
2/15/2008 147.98 136.10
3/16/2008 145.61 130.46
4/16/2008 142.75 125.07
5/16/2008 140.38 127.78
6/16/2008 137.64 129.26
7/16/2008 135.95 131.83
8/16/2008 135.10 128.80
9/16/2008 133.44 125.51
10/16/2008 132.89 124.49
11/16/2008 132.06 126.74
12/16/2008 130.05 127.29
1/16/2009 125.39 126.50
2/15/2009 121.88 122.91
3/16/2009 118.41 118.53
4/16/2009 115.97 111.49
5/16/2009 114.50 103.86
6/16/2009 112.96 95.70
7/16/2009 113.07 91.20
8/16/2009 111.04 92.09
9/16/2009 108.37 92.93
10/16/2009 105.58 92.74
11/16/2009 105.18 89.79
12/16/2009 105.06 87.19
1/16/2010 105.76 86.04
2/15/2010 106.21 86.81
3/16/2010 105.78 88.85
4/16/2010 103.98 91.73
5/16/2010 101.55 95.09
6/16/2010 99.44 95.39
7/16/2010 99.23 95.02
8/16/2010 99.01 94.69
9/16/2010 98.69 94.61
10/16/2010 98.05 95.09
11/16/2010 98.26 94.09
12/16/2010 97.82 94.29
1/16/2011 96.82 94.57
2/15/2011 95.65 96.56
3/16/2011 94.06 96.12
4/16/2011 93.82 95.22
5/16/2011 93.78 94.75
6/16/2011 93.54 94.21
7/16/2011 93.24 93.05
8/16/2011 93.09 92.09
9/16/2011 93.86 91.64
10/16/2011 95.10 93.66
11/16/2011 96.09 95.58
12/16/2011 95.24 97.79
1/16/2012 93.73 98.31
2/15/2012 92.73 98.53
3/16/2012 92.39 96.35
4/16/2012 92.83 95.45
5/16/2012 93.69 95.24
6/16/2012 93.91 96.42
7/16/2012 94.76 97.54
8/16/2012 94.68 98.04
9/16/2012 94.88 96.90
10/16/2012 96.10 97.02
11/16/2012 98.29 97.97
12/16/2012 98.96 99.44
1/16/2013 97.95 99.70
2/15/2013 97.01 99.56
3/16/2013 96.72 100.37
4/16/2013 98.61 101.79
5/16/2013 99.53 103.89
6/16/2013 100.52 104.76
7/16/2013 100.91 107.46
8/16/2013 101.31 108.55
9/16/2013 101.72 110.37
10/16/2013 102.50 110.76
11/16/2013 103.89 111.59
12/16/2013 104.68 110.34
1/16/2014 105.75 109.75
2/15/2014 106.83 109.20
3/16/2014 106.95 109.34
4/16/2014 107.29 109.85
5/16/2014 107.61 110.60
6/16/2014 108.20 111.08
7/16/2014 109.44 111.61
8/16/2014 110.62 112.85
9/16/2014 111.90 113.26
10/16/2014 113.37 114.89
11/16/2014 115.38 116.25
12/16/2014 116.66 120.07
1/16/2015 117.73 123.51
2/15/2015 117.78 127.66
3/16/2015 118.31 126.24
4/16/2015 119.48 126.28
5/16/2015 120.02 124.46
6/16/2015 120.30 125.36
7/16/2015 120.97 124.72
8/16/2015 121.83 124.66
9/16/2015 122.41 125.25
10/16/2015 122.79 125.37
11/16/2015 123.80 126.20
12/16/2015 125.54 126.21
1/16/2016 126.98 125.72
2/15/2016 128.00 124.61
3/16/2016 128.10 122.27
4/16/2016 127.49 121.37
5/16/2016 127.23 122.59
6/16/2016 127.28 125.07
7/16/2016 129.15 127.67
8/16/2016 130.62 128.42
9/16/2016 132.33 127.85
10/16/2016 133.03 128.58
11/16/2016 134.18 129.50
12/16/2016 134.90 130.59
1/16/2017 135.71 128.87
2/15/2017 137.71 128.54
3/16/2017 139.95 128.99
4/16/2017 141.85 129.69
5/16/2017 143.45 130.60
6/16/2017 145.55 130.65
7/16/2017 146.96 130.79
8/16/2017 146.76 131.86
9/16/2017 145.56 132.91
10/16/2017 145.25 136.09
11/16/2017 146.99 136.29
12/16/2017 148.84 135.36
1/16/2018 150.07 132.34
2/15/2018 148.80 134.06
3/16/2018 147.71 136.65
4/16/2018 147.18 139.73
5/16/2018 148.40 137.52
6/16/2018 150.39 134.41
7/16/2018 151.50 132.13
8/16/2018 151.68 133.20
9/16/2018 151.52 134.41
10/16/2018 152.46 134.09
11/16/2018 155.14 133.94
12/16/2018 156.71 135.20
1/16/2019 156.51 137.34
2/15/2019 155.07 139.74
3/16/2019 155.66 138.57
4/16/2019 155.71 138.53
5/16/2019 156.94 140.01
6/16/2019 157.54 144.36
7/16/2019 158.57 145.58
8/16/2019 160.26 145.34
9/16/2019 161.44 143.49
10/16/2019 160.74 142.47
11/16/2019 160.38 141.97
12/16/2019 160.01 142.86
1/16/2020 161.31 142.48
2/15/2020 163.10 144.12
3/16/2020 165.95 144.13
4/16/2020 165.89 144.85
5/16/2020 163.88 142.69
6/16/2020 161.62 140.28
7/16/2020 160.88 139.33
8/16/2020 162.29 140.17
9/16/2020 164.77 142.22
10/16/2020 169.30 144.02
11/16/2020 172.89 147.51
12/16/2020 172.25 148.43
1/16/2021 170.65 148.09
2/15/2021 168.52 145.86
3/16/2021 170.57 145.88
4/16/2021 172.30 145.71
5/16/2021 174.92 145.64
6/16/2021 175.88 144.64
7/16/2021 176.54 146.08
8/16/2021 177.36 148.10

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

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

Return to text
Figure 1-13. Capitalization Rate at Property Purchase

Percent

Date Capitalization rate
1/16/2001 8.42
2/15/2001 8.42
3/16/2001 8.45
4/16/2001 8.40
5/16/2001 8.45
6/16/2001 8.43
7/16/2001 8.47
8/16/2001 8.49
9/16/2001 8.53
10/16/2001 8.52
11/16/2001 8.55
12/16/2001 8.61
1/16/2002 8.63
2/15/2002 8.65
3/16/2002 8.67
4/16/2002 8.73
5/16/2002 8.67
6/16/2002 8.68
7/16/2002 8.64
8/16/2002 8.59
9/16/2002 8.48
10/16/2002 8.44
11/16/2002 8.41
12/16/2002 8.35
1/16/2003 8.31
2/15/2003 8.28
3/16/2003 8.27
4/16/2003 8.24
5/16/2003 8.24
6/16/2003 8.18
7/16/2003 8.15
8/16/2003 8.12
9/16/2003 8.11
10/16/2003 8.09
11/16/2003 8.06
12/16/2003 8.01
1/16/2004 7.98
2/15/2004 7.93
3/16/2004 7.89
4/16/2004 7.84
5/16/2004 7.81
6/16/2004 7.79
7/16/2004 7.75
8/16/2004 7.72
9/16/2004 7.64
10/16/2004 7.59
11/16/2004 7.54
12/16/2004 7.44
1/16/2005 7.41
2/15/2005 7.36
3/16/2005 7.31
4/16/2005 7.25
5/16/2005 7.20
6/16/2005 7.13
7/16/2005 7.08
8/16/2005 7.04
9/16/2005 7.00
10/16/2005 6.93
11/16/2005 6.90
12/16/2005 6.87
1/16/2006 6.81
2/15/2006 6.78
3/16/2006 6.73
4/16/2006 6.71
5/16/2006 6.68
6/16/2006 6.65
7/16/2006 6.62
8/16/2006 6.59
9/16/2006 6.56
10/16/2006 6.56
11/16/2006 6.56
12/16/2006 6.55
1/16/2007 6.53
2/15/2007 6.52
3/16/2007 6.52
4/16/2007 6.49
5/16/2007 6.46
6/16/2007 6.45
7/16/2007 6.44
8/16/2007 6.44
9/16/2007 6.44
10/16/2007 6.45
11/16/2007 6.43
12/16/2007 6.42
1/16/2008 6.43
2/15/2008 6.45
3/16/2008 6.46
4/16/2008 6.50
5/16/2008 6.55
6/16/2008 6.60
7/16/2008 6.63
8/16/2008 6.68
9/16/2008 6.74
10/16/2008 6.73
11/16/2008 6.78
12/16/2008 6.82
1/16/2009 6.88
2/15/2009 6.89
3/16/2009 6.93
4/16/2009 6.95
5/16/2009 6.99
6/16/2009 7.08
7/16/2009 7.20
8/16/2009 7.25
9/16/2009 7.35
10/16/2009 7.43
11/16/2009 7.47
12/16/2009 7.54
1/16/2010 7.54
2/15/2010 7.57
3/16/2010 7.60
4/16/2010 7.68
5/16/2010 7.68
6/16/2010 7.67
7/16/2010 7.63
8/16/2010 7.65
9/16/2010 7.62
10/16/2010 7.59
11/16/2010 7.56
12/16/2010 7.49
1/16/2011 7.50
2/15/2011 7.47
3/16/2011 7.41
4/16/2011 7.38
5/16/2011 7.36
6/16/2011 7.30
7/16/2011 7.28
8/16/2011 7.23
9/16/2011 7.20
10/16/2011 7.19
11/16/2011 7.17
12/16/2011 7.15
1/16/2012 7.10
2/15/2012 7.10
3/16/2012 7.08
4/16/2012 7.04
5/16/2012 7.01
6/16/2012 6.98
7/16/2012 6.96
8/16/2012 6.95
9/16/2012 6.94
10/16/2012 6.90
11/16/2012 6.88
12/16/2012 6.84
1/16/2013 6.85
2/15/2013 6.84
3/16/2013 6.83
4/16/2013 6.81
5/16/2013 6.81
6/16/2013 6.79
7/16/2013 6.78
8/16/2013 6.74
9/16/2013 6.72
10/16/2013 6.72
11/16/2013 6.72
12/16/2013 6.69
1/16/2014 6.65
2/15/2014 6.62
3/16/2014 6.59
4/16/2014 6.60
5/16/2014 6.58
6/16/2014 6.57
7/16/2014 6.54
8/16/2014 6.54
9/16/2014 6.50
10/16/2014 6.47
11/16/2014 6.46
12/16/2014 6.43
1/16/2015 6.41
2/15/2015 6.40
3/16/2015 6.39
4/16/2015 6.34
5/16/2015 6.32
6/16/2015 6.31
7/16/2015 6.30
8/16/2015 6.28
9/16/2015 6.28
10/16/2015 6.26
11/16/2015 6.24
12/16/2015 6.22
1/16/2016 6.23
2/15/2016 6.21
3/16/2016 6.19
4/16/2016 6.18
5/16/2016 6.18
6/16/2016 6.17
7/16/2016 6.15
8/16/2016 6.14
9/16/2016 6.11
10/16/2016 6.10
11/16/2016 6.11
12/16/2016 6.12
1/16/2017 6.10
2/15/2017 6.11
3/16/2017 6.13
4/16/2017 6.14
5/16/2017 6.13
6/16/2017 6.12
7/16/2017 6.12
8/16/2017 6.11
9/16/2017 6.10
10/16/2017 6.11
11/16/2017 6.10
12/16/2017 6.09
1/16/2018 6.08
2/15/2018 6.08
3/16/2018 6.06
4/16/2018 6.04
5/16/2018 6.04
6/16/2018 6.04
7/16/2018 6.04
8/16/2018 6.04
9/16/2018 6.05
10/16/2018 6.05
11/16/2018 6.04
12/16/2018 6.02
1/16/2019 6.03
2/15/2019 6.02
3/16/2019 6.03
4/16/2019 6.03
5/16/2019 6.05
6/16/2019 6.04
7/16/2019 6.04
8/16/2019 6.03
9/16/2019 6.01
10/16/2019 5.99
11/16/2019 5.98
12/16/2019 5.97
1/16/2020 5.96
2/15/2020 5.97
3/16/2020 5.94
4/16/2020 5.94
5/16/2020 5.90
6/16/2020 5.89
7/16/2020 5.86
8/16/2020 5.85
9/16/2020 5.86
10/16/2020 5.84
11/16/2020 5.82
12/16/2020 5.80
1/16/2021 5.78
2/15/2021 5.77
3/16/2021 5.77
4/16/2021 5.77
5/16/2021 5.78
6/16/2021 5.78
7/16/2021 5.77
8/16/2021 5.77

Note: The 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.

Return to text
1-14. Change in Bank Standards for Commercial Real Estate Loans

This is a line chart titled “Change in Bank Standards for Commercial Real Estate Loans.” The x axis measures time and ranges from the years 1997 to 2021. 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 50 in 1998. It declines until 2000 with a spike back up to 50 in 2001 then steadily declines to -20 in 2005. It then increases until 2009 to around 95. It decreases to around -20 in 2011 and remains fairly steady until 2015. It then increases and hits 50 in 2016 before falling to around -15 in2018. It increases to around 19 by the end of 2019. The series then drops to around 5 and then sharply increases to 80 by Q2 of 2020. The series then sharply decreases to a little under zero at the beginning of 2020, and ultimately ends at about –25 in Q2 of 2021. The chart also includes recession bars.

Note: Banks’ responses are weighted by their commercial real estate loan market shares. The shaded bars 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–April 2020. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter.

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

Return to text
Figure 1-15. Farmland Prices

2020 dollars per acre

Date Midwest index United States
7/2/1967 2570.07 na
7/2/1968 2695.72 na
7/2/1969 2643.50 na
7/2/1970 2528.56 na
7/2/1971 2363.41 na
7/2/1972 2367.13 na
7/2/1973 2545.79 na
7/2/1974 3073.63 na
7/2/1975 3424.13 na
7/2/1976 4022.62 na
7/2/1977 4827.56 na
7/2/1978 5041.31 na
7/2/1979 5115.66 na
7/2/1980 5119.61 na
7/2/1981 4870.29 na
7/2/1982 4438.25 na
7/2/1983 3767.96 na
7/2/1984 3311.84 na
7/2/1985 2361.69 na
7/2/1986 1875.72 na
7/2/1987 1595.78 na
7/2/1988 1748.01 na
7/2/1989 1912.61 na
7/2/1990 1920.14 na
7/2/1991 1878.38 na
7/2/1992 1884.05 na
7/2/1993 1886.05 na
7/2/1994 2287.15 na
7/2/1995 2207.01 na
7/2/1996 2356.86 na
7/2/1997 2168.92 2047.86
7/2/1998 2292.36 2127.81
7/2/1999 2314.42 2175.38
7/2/2000 2283.74 2194.72
7/2/2001 2267.47 2207.70
7/2/2002 2301.67 2288.15
7/2/2003 2331.91 2335.22
7/2/2004 2437.10 2397.87
7/2/2005 2815.95 2730.72
7/2/2006 3037.12 3069.27
7/2/2007 3365.54 3158.40
7/2/2008 3755.46 3318.91
7/2/2009 3569.03 3221.00
7/2/2010 3759.17 3204.75
7/2/2011 4362.84 3429.42
7/2/2012 5109.16 3776.92
7/2/2013 5850.08 4233.48
7/2/2014 6293.60 4472.35
7/2/2015 6043.37 4477.86
7/2/2016 5759.23 4357.11
7/2/2017 5581.32 4255.37
7/2/2018 5446.74 4174.87
7/2/2019 5345.26 4151.18
7/2/2020 5230.70 4100.00
7/2/2021 5427.38 4190.76

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states derived from staff calculations. Values are given in real terms. The data extend through July 2021. Median marked with a horizontal red line at about 2800.

Source: Department of Agriculture; Federal Reserve Bank of Minneapolis staff calculations.

Return to text
Figure 1-16. Farmland Price-to-Rent Ratio

Ratio

Date Midwest index United States
7/2/1967 14.13 na
7/2/1968 14.20 na
7/2/1969 14.20 na
7/2/1970 13.99 na
7/2/1971 13.51 na
7/2/1972 13.40 na
7/2/1973 14.17 na
7/2/1974 14.53 na
7/2/1975 14.60 na
7/2/1976 16.16 na
7/2/1977 18.02 na
7/2/1978 19.56 na
7/2/1979 20.58 na
7/2/1980 21.55 na
7/2/1981 21.25 na
7/2/1982 19.56 na
7/2/1983 17.42 na
7/2/1984 15.95 na
7/2/1985 13.00 na
7/2/1986 11.90 na
7/2/1987 11.72 na
7/2/1988 12.52 na
7/2/1989 13.30 na
7/2/1990 13.41 na
7/2/1991 13.51 na
7/2/1992 13.74 na
7/2/1993 13.89 na
7/2/1994 17.97 na
7/2/1995 17.35 na
7/2/1996 18.36 na
7/2/1997 16.67 na
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
7/2/2021 33.81 31.35

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states derived from staff calculations. The data extend through July 2021. Median marked with a horizontal red line at about 18.

Source: Department of Agriculture; Federal Reserve Bank of Minneapolis staff calculations.

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

Twelve-month percent change

Date CoreLogic Zillow Case-Shiller
1/16/2003 9.69 7.23 9.63
2/15/2003 9.62 7.30 9.76
3/16/2003 9.57 7.36 9.65
4/16/2003 9.50 7.44 9.46
5/16/2003 9.25 7.53 9.15
6/16/2003 8.99 7.58 8.91
7/16/2003 8.82 7.61 8.86
8/16/2003 8.97 7.65 9.00
9/16/2003 9.38 7.73 9.24
10/16/2003 9.88 7.81 9.39
11/16/2003 10.31 7.86 9.58
12/16/2003 10.88 7.87 9.82
1/16/2004 11.36 7.94 10.23
2/15/2004 11.77 8.10 10.68
3/16/2004 12.35 8.32 11.42
4/16/2004 13.01 8.57 12.02
5/16/2004 13.51 8.86 12.51
6/16/2004 14.16 9.22 12.98
7/16/2004 14.54 9.60 13.14
8/16/2004 14.60 9.93 13.13
9/16/2004 14.73 10.18 13.15
10/16/2004 14.99 10.38 13.28
11/16/2004 15.21 10.58 13.50
12/16/2004 15.49 10.83 13.64
1/16/2005 15.59 11.06 13.80
2/15/2005 15.83 11.24 14.01
3/16/2005 16.24 11.36 14.23
4/16/2005 16.38 11.54 14.24
5/16/2005 16.23 11.67 14.31
6/16/2005 16.01 11.78 14.28
7/16/2005 15.88 11.81 14.28
8/16/2005 16.04 11.86 14.37
9/16/2005 16.27 11.89 14.51
10/16/2005 15.99 11.91 14.36
11/16/2005 15.62 11.88 14.08
12/16/2005 15.20 11.74 13.51
1/16/2006 14.69 11.50 12.93
2/15/2006 13.83 11.20 12.09
3/16/2006 12.50 10.89 11.04
4/16/2006 10.96 10.51 9.97
5/16/2006 9.35 10.05 8.75
6/16/2006 7.50 9.45 7.28
7/16/2006 5.90 8.73 6.04
8/16/2006 4.50 7.92 4.83
9/16/2006 3.32 7.02 3.71
10/16/2006 2.41 6.18 2.97
11/16/2006 1.44 5.36 2.20
12/16/2006 0.35 4.63 1.73
1/16/2007 -0.56 4.00 1.05
2/15/2007 -1.39 3.40 0.53
3/16/2007 -2.68 2.79 -0.31
4/16/2007 -3.57 2.14 -0.83
5/16/2007 -4.24 1.44 -1.35
6/16/2007 -4.56 0.76 -1.63
7/16/2007 -4.90 0.10 -1.96
8/16/2007 -5.48 -0.48 -2.26
9/16/2007 -6.40 -1.00 -2.76
10/16/2007 -7.55 -1.49 -3.55
11/16/2007 -8.70 -1.99 -4.61
12/16/2007 -9.79 -2.49 -5.40
1/16/2008 -10.99 -3.06 -6.37
2/15/2008 -12.14 -3.69 -7.28
3/16/2008 -12.82 -4.38 -7.84
4/16/2008 -13.41 -5.11 -8.13
5/16/2008 -13.52 -5.78 -8.18
6/16/2008 -13.55 -6.40 -8.26
7/16/2008 -13.87 -6.96 -8.44
8/16/2008 -14.26 -7.64 -8.85
9/16/2008 -15.07 -8.23 -9.60
10/16/2008 -15.87 -8.78 -10.34
11/16/2008 -16.37 -9.23 -10.90
12/16/2008 -17.16 -9.68 -11.99
1/16/2009 -17.63 -10.03 -12.70
2/15/2009 -17.19 -10.14 -12.75
3/16/2009 -16.40 -10.14 -12.74
4/16/2009 -15.12 -10.07 -12.19
5/16/2009 -13.39 -10.01 -11.29
6/16/2009 -11.63 -9.86 -10.05
7/16/2009 -10.09 -9.58 -9.03
8/16/2009 -8.73 -9.17 -8.28
9/16/2009 -7.50 -8.73 -7.59
10/16/2009 -5.86 -8.21 -6.65
11/16/2009 -3.89 -7.48 -5.21
12/16/2009 -2.22 -6.64 -3.85
1/16/2010 -1.41 -5.77 -2.92
2/15/2010 -1.42 -5.10 -3.09
3/16/2010 -0.25 -4.40 -1.99
4/16/2010 0.85 -3.66 -1.05
5/16/2010 1.04 -2.94 -0.76
6/16/2010 0.67 -2.42 -1.40
7/16/2010 -0.20 -2.24 -2.12
8/16/2010 -1.23 -2.21 -2.81
9/16/2010 -2.14 -2.31 -3.35
10/16/2010 -2.79 -2.52 -3.67
11/16/2010 -3.55 -2.96 -4.14
12/16/2010 -3.67 -3.45 -4.11
1/16/2011 -3.58 -3.94 -4.10
2/15/2011 -3.51 -4.37 -3.72
3/16/2011 -4.32 -4.83 -4.04
4/16/2011 -4.52 -5.40 -4.29
5/16/2011 -4.40 -5.93 -4.31
6/16/2011 -3.89 -6.29 -3.89
7/16/2011 -3.05 -6.29 -3.54
8/16/2011 -2.29 -6.12 -3.17
9/16/2011 -1.61 -5.81 -3.07
10/16/2011 -1.36 -5.53 -3.30
11/16/2011 -1.34 -5.18 -3.64
12/16/2011 -0.96 -4.86 -3.89
1/16/2012 -0.34 -4.46 -3.51
2/15/2012 0.58 -4.04 -2.72
3/16/2012 1.92 -3.48 -1.40
4/16/2012 2.71 -2.81 -0.49
5/16/2012 3.38 -2.01 0.25
6/16/2012 3.78 -1.24 0.86
7/16/2012 4.13 -0.57 1.36
8/16/2012 4.66 0.05 2.05
9/16/2012 5.30 0.65 2.99
10/16/2012 5.99 1.34 4.02
11/16/2012 6.95 2.05 5.34
12/16/2012 7.78 2.79 6.44
1/16/2013 8.66 3.52 7.57
2/15/2013 9.35 4.26 8.33
3/16/2013 9.91 4.91 8.90
4/16/2013 9.94 5.47 9.02
5/16/2013 9.74 5.97 9.09
6/16/2013 9.36 6.51 9.27
7/16/2013 9.42 7.03 9.72
8/16/2013 9.58 7.51 10.17
9/16/2013 9.88 7.92 10.61
10/16/2013 10.09 8.24 10.83
11/16/2013 10.04 8.42 10.70
12/16/2013 9.88 8.52 10.72
1/16/2014 9.81 8.51 10.44
2/15/2014 9.75 8.43 10.14
3/16/2014 8.91 8.16 8.95
4/16/2014 7.95 7.78 7.96
5/16/2014 7.02 7.33 7.03
6/16/2014 6.31 6.88 6.25
7/16/2014 5.72 6.39 5.58
8/16/2014 5.33 5.86 5.05
9/16/2014 5.07 5.37 4.74
10/16/2014 5.11 4.96 4.61
11/16/2014 5.06 4.69 4.58
12/16/2014 5.00 4.50 4.51
1/16/2015 5.00 4.32 4.32
2/15/2015 5.09 4.17 4.24
3/16/2015 5.17 4.17 4.29
4/16/2015 5.19 4.27 4.30
5/16/2015 5.18 4.41 4.35
6/16/2015 5.18 4.46 4.36
7/16/2015 5.06 4.51 4.41
8/16/2015 5.07 4.65 4.47
9/16/2015 5.25 4.82 4.67
10/16/2015 5.32 4.95 4.88
11/16/2015 5.40 4.98 5.10
12/16/2015 5.51 5.04 5.21
1/16/2016 5.63 5.14 5.29
2/15/2016 5.64 5.24 5.19
3/16/2016 5.61 5.22 5.07
4/16/2016 5.57 5.22 5.02
5/16/2016 5.39 5.21 4.95
6/16/2016 5.16 5.27 4.89
7/16/2016 5.15 5.34 4.89
8/16/2016 5.13 5.40 4.99
9/16/2016 5.20 5.45 5.09
10/16/2016 5.32 5.52 5.13
11/16/2016 5.43 5.66 5.19
12/16/2016 5.45 5.75 5.30
1/16/2017 5.51 5.78 5.49
2/15/2017 5.65 5.79 5.56
3/16/2017 5.69 5.88 5.63
4/16/2017 5.64 5.98 5.63
5/16/2017 5.64 6.06 5.65
6/16/2017 5.75 6.12 5.69
7/16/2017 5.76 6.15 5.74
8/16/2017 5.84 6.21 5.83
9/16/2017 5.90 6.29 5.92
10/16/2017 5.97 6.39 6.02
11/16/2017 6.05 6.45 6.09
12/16/2017 6.06 6.52 6.21
1/16/2018 6.00 6.58 6.21
2/15/2018 6.21 6.66 6.42
3/16/2018 6.39 6.70 6.46
4/16/2018 6.35 6.70 6.41
5/16/2018 6.23 6.67 6.26
6/16/2018 5.96 6.63 6.13
7/16/2018 5.75 6.61 5.91
8/16/2018 5.50 6.57 5.65
9/16/2018 5.32 6.49 5.41
10/16/2018 5.20 6.35 5.27
11/16/2018 4.93 6.18 4.94
12/16/2018 4.61 6.01 4.52
1/16/2019 4.41 5.86 4.13
2/15/2019 4.17 5.63 3.84
3/16/2019 3.90 5.37 3.64
4/16/2019 3.81 5.07 3.53
5/16/2019 3.79 4.80 3.42
6/16/2019 3.70 4.56 3.22
7/16/2019 3.63 4.33 3.13
8/16/2019 3.74 4.14 3.12
9/16/2019 3.83 3.98 3.18
10/16/2019 3.89 3.85 3.23
11/16/2019 4.06 3.74 3.43
12/16/2019 4.28 3.65 3.70
1/16/2020 4.43 3.62 4.01
2/15/2020 4.59 3.69 4.29
3/16/2020 4.94 3.88 4.58
4/16/2020 4.86 4.08 4.61
5/16/2020 4.45 4.15 4.38
6/16/2020 4.67 4.19 4.40
7/16/2020 5.33 4.40 4.85
8/16/2020 5.87 4.94 5.84
9/16/2020 6.54 5.70 7.05
10/16/2020 7.32 6.53 8.43
11/16/2020 8.00 7.44 9.53
12/16/2020 8.75 8.31 10.43
1/16/2021 9.27 9.07 11.29
2/15/2021 9.88 9.82 12.16
3/16/2021 11.00 10.58 13.44
4/16/2021 12.78 11.53 14.97
5/16/2021 14.85 12.96 16.90
6/16/2021 16.58 14.76 18.73
7/16/2021 17.51 16.52 19.70
8/16/2021 18.14 17.68 na
9/16/2021 na 18.43 na

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data; S&P Case-Shiller Home Price Indices.

Return to text
Figure 1-18. House Price Valuation Measure
Date Percent Valuation
1979 Q1 -1.64
1979 Q2 0.37
1979 Q3 -0.34
1979 Q4 1.06
1980 Q1 0.65
1980 Q2 0.39
1980 Q3 1.56
1980 Q4 4.42
1981 Q1 4.81
1981 Q2 3.46
1981 Q3 1.83
1981 Q4 1.19
1982 Q1 -1.11
1982 Q2 -0.71
1982 Q3 -0.27
1982 Q4 -0.66
1983 Q1 0.96
1983 Q2 0.29
1983 Q3 1.53
1983 Q4 -2.04
1984 Q1 -2.24
1984 Q2 -1.97
1984 Q3 -1.93
1984 Q4 -1.16
1985 Q1 -0.14
1985 Q2 1.19
1985 Q3 1.72
1985 Q4 0.87
1986 Q1 1.35
1986 Q2 0.30
1986 Q3 1.65
1986 Q4 1.48
1987 Q1 1.32
1987 Q2 -0.88
1987 Q3 0.00
1987 Q4 -0.21
1988 Q1 -0.78
1988 Q2 1.80
1988 Q3 1.19
1988 Q4 1.93
1989 Q1 1.20
1989 Q2 2.97
1989 Q3 2.33
1989 Q4 2.27
1990 Q1 2.10
1990 Q2 0.01
1990 Q3 -1.01
1990 Q4 -0.95
1991 Q1 -1.10
1991 Q2 -0.87
1991 Q3 -1.94
1991 Q4 -3.61
1992 Q1 -4.17
1992 Q2 -4.91
1992 Q3 -4.94
1992 Q4 -6.24
1993 Q1 -6.14
1993 Q2 -5.88
1993 Q3 -5.24
1993 Q4 -4.66
1994 Q1 -4.59
1994 Q2 -5.53
1994 Q3 -7.05
1994 Q4 -6.37
1995 Q1 -6.48
1995 Q2 -4.60
1995 Q3 -2.95
1995 Q4 -2.89
1996 Q1 -3.24
1996 Q2 -4.74
1996 Q3 -4.99
1996 Q4 -5.74
1997 Q1 -5.36
1997 Q2 -4.64
1997 Q3 -4.24
1997 Q4 -5.16
1998 Q1 -4.80
1998 Q2 -3.27
1998 Q3 -3.92
1998 Q4 -2.59
1999 Q1 -2.34
1999 Q2 -1.35
1999 Q3 -1.25
1999 Q4 -1.27
2000 Q1 0.26
2000 Q2 1.30
2000 Q3 3.62
2000 Q4 4.59
2001 Q1 5.39
2001 Q2 6.01
2001 Q3 5.62
2001 Q4 4.57
2002 Q1 4.06
2002 Q2 4.70
2002 Q3 5.22
2002 Q4 7.06
2003 Q1 8.26
2003 Q2 9.56
2003 Q3 10.33
2003 Q4 10.32
2004 Q1 11.86
2004 Q2 13.42
2004 Q3 16.29
2004 Q4 19.07
2005 Q1 20.61
2005 Q2 24.20
2005 Q3 26.91
2005 Q4 27.88
2006 Q1 28.73
2006 Q2 29.14
2006 Q3 29.11
2006 Q4 28.98
2007 Q1 27.83
2007 Q2 26.99
2007 Q3 25.46
2007 Q4 22.79
2008 Q1 20.26
2008 Q2 16.97
2008 Q3 13.35
2008 Q4 9.44
2009 Q1 5.25
2009 Q2 3.53
2009 Q3 0.91
2009 Q4 -0.93
2010 Q1 -1.20
2010 Q2 -0.24
2010 Q3 -1.82
2010 Q4 -4.91
2011 Q1 -7.19
2011 Q2 -9.75
2011 Q3 -12.56
2011 Q4 -13.75
2012 Q1 -13.70
2012 Q2 -13.92
2012 Q3 -15.08
2012 Q4 -13.85
2013 Q1 -12.91
2013 Q2 -11.58
2013 Q3 -10.49
2013 Q4 -9.40
2014 Q1 -7.69
2014 Q2 -7.41
2014 Q3 -5.50
2014 Q4 -5.23
2015 Q1 -4.51
2015 Q2 -4.84
2015 Q3 -5.16
2015 Q4 -5.26
2016 Q1 -4.22
2016 Q2 -3.14
2016 Q3 -3.05
2016 Q4 -2.31
2017 Q1 -2.25
2017 Q2 -0.89
2017 Q3 -0.40
2017 Q4 1.41
2018 Q1 2.90
2018 Q2 2.71
2018 Q3 3.26
2018 Q4 3.19
2019 Q1 4.37
2019 Q2 4.08
2019 Q3 3.39
2019 Q4 3.69
2020 Q1 3.42
2020 Q2 4.07
2020 Q3 4.93
2020 Q4 6.96
2021 Q1 9.49
2021 Q2 12.48
2021Q3 17.31

Note: Valuation is measured as the deviation from the long-run relationship between the price-to-rent ratio and the real 10-year Treasury yield.

Source: For house prices, Zillow, Inc., Zillow Real Estate Data; for rent data, Bureau of Labor Statistics.

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

Jan. 2010 = 100

Date Phoenix Miami Los Angeles Median 90th Percentile 10th Percentile
1/16/1996 na 99.31 71.19 83.02 108.70 71.19
2/15/1996 na 99.41 71.29 82.72 108.65 71.29
3/16/1996 na 99.67 70.94 82.44 108.30 70.94
4/16/1996 na 99.66 70.94 82.19 108.39 70.94
5/16/1996 na 99.59 70.83 82.01 108.20 70.83
6/16/1996 na 99.88 70.73 82.06 107.71 70.73
7/16/1996 na 100.46 70.67 82.09 107.76 70.67
8/16/1996 na 100.34 70.39 82.21 107.62 70.39
9/16/1996 na 100.26 70.23 82.24 107.04 70.23
10/16/1996 na 99.93 69.87 82.30 107.32 69.87
11/16/1996 na 99.82 69.91 82.42 107.11 69.91
12/16/1996 na 99.89 69.94 82.54 106.89 69.94
1/16/1997 na 99.61 69.77 82.73 106.07 69.77
2/15/1997 na 99.52 69.64 82.91 106.37 69.64
3/16/1997 na 99.33 69.60 83.15 106.15 69.60
4/16/1997 na 99.39 69.55 83.47 105.93 69.55
5/16/1997 na 99.28 69.62 83.73 105.81 69.62
6/16/1997 na 99.18 69.66 83.93 105.81 69.66
7/16/1997 na 99.04 69.79 84.56 105.82 69.79
8/16/1997 na 98.90 70.03 84.76 105.53 70.03
9/16/1997 na 98.95 70.08 84.96 105.69 70.08
10/16/1997 na 99.06 70.38 85.12 105.19 70.38
11/16/1997 na 99.03 70.58 85.31 105.59 70.58
12/16/1997 na 99.15 70.81 85.54 105.86 70.81
1/16/1998 na 99.50 71.36 85.09 106.39 71.36
2/15/1998 na 99.75 71.81 85.52 106.38 71.81
3/16/1998 na 99.82 72.21 85.75 106.64 72.21
4/16/1998 na 99.85 72.58 85.98 106.44 72.58
5/16/1998 na 100.07 72.95 86.20 106.09 72.95
6/16/1998 na 99.96 73.31 86.24 105.97 73.31
7/16/1998 na 99.84 73.50 86.28 105.71 73.50
8/16/1998 na 99.68 73.93 86.64 105.90 73.77
9/16/1998 na 100.42 74.40 87.07 105.64 74.01
10/16/1998 na 100.86 74.82 87.40 105.40 74.26
11/16/1998 na 101.18 75.25 87.79 105.28 74.57
12/16/1998 na 101.11 75.41 87.87 104.82 74.82
1/16/1999 na 101.23 75.96 88.01 105.08 75.03
2/15/1999 na 101.25 76.29 87.92 105.58 74.88
3/16/1999 na 101.19 76.73 88.01 106.04 74.82
4/16/1999 na 101.37 77.03 88.52 106.55 74.85
5/16/1999 na 101.46 77.42 88.68 107.31 74.86
6/16/1999 na 102.23 77.82 89.30 108.02 75.03
7/16/1999 na 102.89 78.32 89.78 108.51 75.22
8/16/1999 na 103.47 78.84 90.33 108.66 75.34
9/16/1999 na 102.91 78.95 90.82 108.64 75.58
10/16/1999 na 102.93 79.27 91.33 108.75 75.78
11/16/1999 na 103.09 79.66 91.45 108.92 76.45
12/16/1999 na 103.14 80.21 91.56 109.41 77.58
1/16/2000 na 103.13 80.42 91.77 109.44 78.36
2/15/2000 na 103.50 80.73 92.04 109.81 79.19
3/16/2000 na 104.10 81.33 92.31 110.31 79.93
4/16/2000 na 104.41 81.66 92.63 111.01 81.13
5/16/2000 na 104.93 82.41 93.19 111.46 81.56
6/16/2000 na 104.22 83.02 93.27 111.84 81.83
7/16/2000 na 104.72 83.60 94.27 112.28 81.93
8/16/2000 na 104.88 84.23 95.24 112.71 81.89
9/16/2000 na 105.30 84.89 95.98 113.03 81.92
10/16/2000 na 105.78 85.25 96.61 113.54 82.03
11/16/2000 na 106.29 85.79 97.33 114.04 82.16
12/16/2000 na 107.22 86.16 97.87 114.60 82.28
1/16/2001 na 107.64 86.63 98.41 114.49 82.37
2/15/2001 na 108.06 87.12 99.12 115.19 82.68
3/16/2001 na 108.81 87.48 99.99 115.71 82.33
4/16/2001 na 109.48 87.96 99.75 115.79 82.44
5/16/2001 na 110.45 88.10 99.48 115.80 82.40
6/16/2001 na 111.22 88.29 99.07 115.94 82.13
7/16/2001 na 112.19 88.62 99.37 116.33 82.43
8/16/2001 na 113.31 88.93 99.57 116.26 82.75
9/16/2001 na 114.31 89.23 99.67 116.27 83.17
10/16/2001 na 115.54 89.71 99.71 116.14 83.22
11/16/2001 na 116.50 90.19 99.64 116.50 83.34
12/16/2001 na 117.33 90.59 99.54 117.33 83.96
1/16/2002 108.12 117.95 90.68 99.14 117.95 84.08
2/15/2002 108.62 118.79 91.26 99.38 118.79 84.55
3/16/2002 109.23 119.38 91.91 99.66 119.38 85.19
4/16/2002 109.78 120.07 92.73 100.02 120.07 85.65
5/16/2002 110.13 120.42 93.56 100.30 120.42 85.95
6/16/2002 110.53 121.28 94.43 100.57 121.28 86.58
7/16/2002 110.77 121.66 95.43 100.81 121.66 87.06
8/16/2002 111.02 122.77 96.70 100.94 122.77 87.63
9/16/2002 111.26 123.29 97.68 101.20 123.29 87.53
10/16/2002 111.57 124.18 98.64 101.63 124.18 88.28
11/16/2002 112.09 125.06 99.66 102.12 125.06 88.26
12/16/2002 112.64 126.63 100.78 102.57 126.63 89.10
1/16/2003 113.28 127.92 101.83 103.00 127.92 89.78
2/15/2003 113.79 129.25 102.83 103.44 129.25 90.57
3/16/2003 114.29 130.82 103.96 103.96 130.82 91.14
4/16/2003 114.68 132.40 105.08 104.34 132.40 91.77
5/16/2003 114.93 133.93 106.37 104.52 133.93 92.67
6/16/2003 115.23 134.96 107.41 105.16 134.96 93.48
7/16/2003 115.33 136.39 108.63 105.80 136.39 94.37
8/16/2003 115.55 137.39 109.76 106.51 137.39 94.98
9/16/2003 116.10 139.07 111.29 107.32 139.07 95.53
10/16/2003 116.61 140.30 112.80 108.31 140.30 96.57
11/16/2003 117.37 141.75 114.40 109.45 141.75 97.84
12/16/2003 117.94 142.61 116.06 110.73 142.61 98.89
1/16/2004 118.64 144.24 118.02 111.71 144.24 99.76
2/15/2004 119.34 146.08 120.09 112.86 146.08 100.76
3/16/2004 120.30 147.64 122.15 113.98 147.64 101.82
4/16/2004 121.16 148.76 124.36 115.27 148.76 103.06
5/16/2004 122.11 150.39 126.66 116.76 150.39 105.00
6/16/2004 123.15 152.11 129.09 118.02 152.11 105.90
7/16/2004 124.62 154.23 131.61 119.58 154.23 106.75
8/16/2004 126.25 156.52 133.23 120.08 156.52 106.93
9/16/2004 127.90 158.80 135.26 120.88 158.80 106.79
10/16/2004 129.51 161.23 137.11 121.65 161.23 106.89
11/16/2004 131.61 162.02 138.29 123.21 162.02 106.84
12/16/2004 134.33 164.04 139.61 124.06 164.04 106.48
1/16/2005 137.45 165.27 140.61 124.40 165.27 107.23
2/15/2005 140.68 167.42 141.89 125.06 167.42 107.47
3/16/2005 143.90 169.50 143.17 125.54 169.50 107.75
4/16/2005 147.40 171.55 144.19 126.36 171.55 107.84
5/16/2005 151.15 174.90 145.32 127.16 174.90 108.11
6/16/2005 156.67 178.43 146.57 127.45 176.86 108.95
7/16/2005 162.61 181.24 148.18 127.86 176.75 108.53
8/16/2005 168.44 183.67 149.75 128.41 176.36 108.96
9/16/2005 174.81 187.08 151.44 129.27 175.51 109.24
10/16/2005 179.61 189.63 153.26 129.90 176.05 109.02
11/16/2005 185.08 191.88 154.46 130.26 175.74 109.62
12/16/2005 187.66 193.80 156.03 131.05 176.40 109.59
1/16/2006 188.76 196.05 157.17 131.72 176.84 110.19
2/15/2006 190.06 197.50 157.90 132.52 176.86 110.32
3/16/2006 192.04 199.47 158.41 132.99 176.45 110.16
4/16/2006 194.04 201.84 158.10 133.10 176.42 110.06
5/16/2006 193.42 204.83 159.00 133.22 176.94 109.97
6/16/2006 192.31 205.45 159.23 133.33 177.23 110.50
7/16/2006 190.08 205.52 158.62 133.87 176.76 110.68
8/16/2006 187.69 206.22 158.43 134.23 176.42 111.00
9/16/2006 184.93 205.40 157.35 133.23 175.34 110.66
10/16/2006 182.93 204.26 156.52 132.95 173.94 110.47
11/16/2006 181.28 203.82 155.58 132.99 171.97 110.81
12/16/2006 179.57 202.52 154.23 133.38 169.63 111.01
1/16/2007 177.75 201.30 153.42 133.51 167.67 111.11
2/15/2007 176.45 199.38 152.38 133.75 166.94 109.95
3/16/2007 175.60 196.65 151.26 133.54 165.96 109.63
4/16/2007 174.83 193.14 150.20 133.00 164.58 109.45
5/16/2007 173.73 189.79 148.91 132.41 163.01 109.19
6/16/2007 172.27 186.48 147.64 131.56 162.03 109.31
7/16/2007 170.39 183.23 146.03 130.69 160.99 109.48
8/16/2007 168.54 179.32 144.04 129.73 160.27 109.48
9/16/2007 166.59 176.21 142.03 129.33 158.51 109.98
10/16/2007 164.18 173.76 139.88 128.73 157.07 109.99
11/16/2007 161.85 170.27 138.06 127.93 155.41 110.45
12/16/2007 159.14 167.58 136.11 126.88 153.95 110.01
1/16/2008 156.38 164.21 133.77 126.09 152.36 109.22
2/15/2008 152.80 160.67 131.06 124.67 150.87 108.44
3/16/2008 149.06 155.88 128.26 123.99 148.93 106.80
4/16/2008 144.41 152.29 124.37 122.31 145.96 105.98
5/16/2008 141.02 148.09 120.83 120.46 142.98 105.13
6/16/2008 137.70 144.10 117.34 118.33 139.93 104.19
7/16/2008 134.19 140.46 114.39 116.56 136.71 104.05
8/16/2008 130.17 136.94 112.11 114.54 133.64 103.55
9/16/2008 126.44 132.79 110.07 112.34 130.30 102.45
10/16/2008 123.19 128.85 107.95 110.87 128.16 101.34
11/16/2008 119.43 124.78 105.63 109.73 124.78 100.88
12/16/2008 115.25 121.45 103.25 108.46 121.45 100.41
1/16/2009 111.55 117.74 101.22 106.83 117.74 99.76
2/15/2009 110.11 115.23 100.02 105.96 115.23 99.67
3/16/2009 108.42 112.73 99.19 104.67 112.73 99.19
4/16/2009 106.77 110.21 98.54 103.44 110.21 99.01
5/16/2009 104.50 108.12 98.01 102.75 108.12 98.24
6/16/2009 103.01 106.41 97.41 101.49 106.41 97.41
7/16/2009 101.93 104.96 96.92 100.96 104.96 96.92
8/16/2009 101.06 103.56 97.38 100.01 103.56 97.35
9/16/2009 100.26 102.34 97.57 100.18 102.34 97.14
10/16/2009 98.67 101.58 98.04 100.02 101.58 97.59
11/16/2009 99.07 101.43 98.69 100.26 101.23 98.63
12/16/2009 99.30 100.48 99.85 100.08 100.50 99.35
1/16/2010 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2010 99.54 99.59 99.72 99.94 100.48 99.59
3/16/2010 98.80 99.74 100.08 100.09 100.81 99.22
4/16/2010 98.79 99.07 100.43 100.29 101.41 99.07
5/16/2010 98.37 98.81 101.32 99.94 101.48 98.71
6/16/2010 98.07 97.46 101.05 99.63 101.47 98.68
7/16/2010 96.39 96.78 100.56 99.20 100.86 97.72
8/16/2010 95.11 96.02 99.64 98.82 100.57 96.98
9/16/2010 93.31 95.26 98.70 97.78 100.04 95.58
10/16/2010 92.36 94.38 97.98 97.02 99.36 94.49
11/16/2010 91.46 93.30 97.03 96.58 98.88 93.44
12/16/2010 90.16 91.92 96.65 95.97 98.41 92.66
1/16/2011 88.64 91.46 95.92 95.18 97.92 91.88
2/15/2011 87.17 90.75 96.16 94.72 97.56 90.75
3/16/2011 86.15 90.20 95.59 94.18 97.30 89.86
4/16/2011 84.90 89.55 94.89 93.36 96.63 88.90
5/16/2011 83.56 88.98 93.89 92.44 96.08 88.03
6/16/2011 82.06 88.69 93.37 91.20 95.42 86.44
7/16/2011 81.30 88.20 93.06 90.75 94.69 85.51
8/16/2011 81.13 87.68 93.02 90.17 94.29 84.91
9/16/2011 81.07 87.49 92.17 89.87 94.15 84.36
10/16/2011 81.10 87.39 91.40 89.08 93.67 83.91
11/16/2011 81.36 87.29 91.21 88.63 93.26 83.64
12/16/2011 81.94 87.10 90.72 88.62 93.04 82.70
1/16/2012 82.40 87.15 90.13 88.17 92.85 82.07
2/15/2012 83.15 86.98 89.66 87.59 92.70 81.03
3/16/2012 83.29 86.78 89.09 87.16 92.74 80.65
4/16/2012 84.88 86.87 88.90 86.90 92.79 80.44
5/16/2012 87.14 87.22 89.08 87.59 92.75 80.26
6/16/2012 89.53 87.40 89.29 88.67 92.63 80.69
7/16/2012 91.40 87.65 89.75 89.59 92.96 81.28
8/16/2012 93.00 88.13 90.41 89.86 93.35 81.74
9/16/2012 94.94 88.91 91.02 89.65 93.79 82.42
10/16/2012 96.73 89.45 91.95 89.49 94.25 83.18
11/16/2012 98.71 90.32 92.78 90.32 94.76 83.66
12/16/2012 99.40 91.03 93.84 91.03 95.69 83.66
1/16/2013 100.67 92.05 94.86 91.16 96.68 84.13
2/15/2013 101.46 93.20 96.69 91.60 97.89 84.30
3/16/2013 102.56 94.58 98.49 91.85 99.05 84.35
4/16/2013 103.33 95.70 100.41 92.10 100.71 84.33
5/16/2013 104.20 96.86 102.04 92.90 102.51 84.36
6/16/2013 105.40 98.05 103.79 93.52 104.30 84.32
7/16/2013 107.08 99.38 105.40 94.31 106.26 84.35
8/16/2013 108.54 100.87 107.18 94.90 108.47 84.35
9/16/2013 109.60 101.63 108.61 95.44 109.53 84.33
10/16/2013 110.34 103.22 109.78 96.09 110.24 84.45
11/16/2013 110.65 104.61 110.74 96.58 110.74 84.45
12/16/2013 111.22 106.25 111.44 97.34 111.44 84.69
1/16/2014 112.13 107.55 112.00 98.18 112.12 84.87
2/15/2014 113.67 108.29 112.24 98.91 113.56 85.48
3/16/2014 113.68 109.12 112.34 99.35 114.35 85.82
4/16/2014 113.37 109.66 112.05 99.44 114.74 85.86
5/16/2014 113.02 110.18 112.07 99.65 115.33 85.85
6/16/2014 112.82 110.51 111.89 99.63 115.46 86.03
7/16/2014 112.38 111.23 111.82 100.09 114.96 86.31
8/16/2014 112.05 111.97 111.50 100.42 115.52 86.24
9/16/2014 111.46 112.44 111.32 100.29 115.84 85.99
10/16/2014 111.34 113.18 111.14 100.51 116.15 85.71
11/16/2014 111.82 112.84 111.32 101.03 116.71 85.54
12/16/2014 112.25 113.16 111.67 101.34 117.32 85.72
1/16/2015 112.29 113.30 112.04 101.59 117.54 85.49
2/15/2015 112.21 113.58 112.72 101.71 118.24 85.26
3/16/2015 112.65 113.66 112.82 101.72 119.11 85.17
4/16/2015 113.46 114.11 113.02 101.79 119.92 85.15
5/16/2015 114.10 114.73 113.19 101.78 120.58 85.12
6/16/2015 114.07 114.94 113.35 101.96 121.24 85.02
7/16/2015 114.46 115.13 113.55 102.09 121.61 84.93
8/16/2015 114.88 115.22 113.82 102.38 123.22 85.04
9/16/2015 115.49 115.50 114.25 102.54 122.74 84.95
10/16/2015 115.72 115.85 114.58 102.73 123.24 85.27
11/16/2015 115.91 116.36 114.85 102.92 123.29 85.17
12/16/2015 116.00 116.57 115.19 103.29 123.88 85.19
1/16/2016 116.63 117.07 115.33 103.60 124.44 85.06
2/15/2016 117.15 117.37 115.80 104.08 124.75 85.07
3/16/2016 117.21 117.52 115.34 104.71 125.02 85.09
4/16/2016 117.46 117.42 115.86 105.06 125.80 85.18
5/16/2016 117.63 118.17 115.97 105.27 126.06 85.16
6/16/2016 117.83 118.98 116.25 105.57 125.85 85.24
7/16/2016 117.53 119.63 116.14 105.32 124.66 85.46
8/16/2016 117.48 119.90 116.30 105.08 123.58 85.53
9/16/2016 117.56 120.17 116.43 104.81 122.41 85.85
10/16/2016 118.07 120.34 116.71 104.77 122.73 86.20
11/16/2016 118.54 120.20 116.68 104.89 122.61 86.41
12/16/2016 118.72 120.43 116.59 105.40 122.52 86.55
1/16/2017 118.64 120.78 116.65 105.46 122.21 86.80
2/15/2017 118.82 120.93 116.78 106.05 122.54 86.42
3/16/2017 118.99 120.85 117.17 106.46 122.71 86.35
4/16/2017 119.30 121.05 117.36 107.24 122.75 86.48
5/16/2017 119.33 121.29 117.86 107.92 123.27 86.65
6/16/2017 119.54 121.52 118.46 108.71 123.78 86.94
7/16/2017 119.99 121.54 118.32 109.25 124.49 87.06
8/16/2017 120.09 121.59 118.34 109.59 125.25 87.18
9/16/2017 120.34 121.96 118.42 109.94 126.33 87.49
10/16/2017 120.56 122.24 118.43 109.84 126.81 87.77
11/16/2017 120.83 122.54 118.83 109.94 128.31 88.04
12/16/2017 121.06 122.73 119.22 109.79 129.49 88.36
1/16/2018 120.41 122.89 119.55 109.90 130.82 88.51
2/15/2018 120.88 123.23 120.12 109.96 131.87 88.77
3/16/2018 121.09 123.95 120.38 110.67 132.96 89.16
4/16/2018 121.09 124.39 120.52 111.01 134.68 89.41
5/16/2018 121.37 124.90 120.57 111.31 136.14 89.71
6/16/2018 121.40 124.39 120.78 112.07 136.52 89.69
7/16/2018 121.56 124.96 120.79 112.44 137.24 89.87
8/16/2018 121.80 125.23 120.69 112.94 137.82 90.11
9/16/2018 122.08 125.40 120.18 113.25 138.04 90.23
10/16/2018 122.07 124.79 119.93 113.49 138.10 90.32
11/16/2018 122.26 124.99 119.65 113.50 137.23 90.55
12/16/2018 122.34 125.20 119.14 113.55 135.93 90.38
1/16/2019 122.58 125.45 118.52 113.76 134.54 90.46
2/15/2019 122.53 124.60 117.45 112.80 134.06 90.44
3/16/2019 122.61 124.34 116.73 111.92 133.19 90.49
4/16/2019 122.57 124.16 116.29 110.82 132.54 90.47
5/16/2019 122.70 123.96 116.08 110.50 132.20 90.55
6/16/2019 122.96 123.51 115.75 110.26 131.81 90.60
7/16/2019 122.46 123.35 115.40 109.56 131.61 90.52
8/16/2019 122.05 123.38 115.24 109.48 131.14 90.33
9/16/2019 121.92 123.36 115.18 109.23 130.64 90.03
10/16/2019 122.25 123.58 115.24 109.22 130.12 89.82
11/16/2019 122.24 124.18 114.99 109.58 129.91 89.68
12/16/2019 122.78 124.44 115.08 110.36 130.29 89.27
1/16/2020 123.59 124.49 115.52 111.16 130.99 89.12
2/15/2020 124.52 125.27 116.33 111.78 131.29 88.95
3/16/2020 125.21 125.71 117.35 112.63 132.13 88.91
4/16/2020 126.28 125.95 117.78 113.29 132.99 88.88
5/16/2020 126.66 125.80 117.08 113.15 131.33 88.71
6/16/2020 127.28 126.21 116.49 113.36 129.85 88.64
7/16/2020 128.13 126.35 116.65 113.76 129.68 88.87
8/16/2020 129.97 125.91 118.21 115.34 131.36 89.07
9/16/2020 131.61 126.55 119.73 117.21 132.64 89.90
10/16/2020 133.70 127.33 120.98 118.61 133.27 90.77
11/16/2020 136.04 128.04 122.44 119.64 134.41 91.80
12/16/2020 137.94 128.71 123.61 120.96 135.40 92.32
1/16/2021 140.28 129.90 124.56 121.98 136.23 92.68
2/15/2021 142.38 131.00 125.76 123.17 137.19 93.36
3/16/2021 145.31 132.20 127.19 124.74 138.75 94.08
4/16/2021 147.53 133.67 129.41 126.23 141.25 94.63
5/16/2021 151.04 135.70 131.53 128.40 144.50 95.81
6/16/2021 154.66 137.47 134.55 130.58 148.05 96.94
7/16/2021 158.44 140.37 137.58 132.92 151.26 97.91
8/16/2021 160.35 142.79 139.64 135.16 153.25 99.28
9/16/2021 161.07 144.90 140.61 136.53 154.86 99.59

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, Zillow, Inc., Zillow Real Estate Data; for rent data, Bureau of Labor Statistics.

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A. Household Willingness to Take Financial Risks and Direct Stock Ownership

Percent

Date Household Willingness Direct Stock Ownership
1989 13.07 16.89
1992 14.27 16.99
1995 17.09 15.24
1998 22.79 19.21
2001 22.77 21.31
2004 19.25 20.65
2007 20.13 17.93
2010 16.89 15.09
2013 17.09 13.75
2016 20.57 13.94
2019 22.66 15.18

Note: The black line is the share of households who are willing to take substantial or above-average financial risks and expecting to earn substantial or above-average returns. 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, and December 2007–June 2009.

Source: Federal Reserve Board, Survey of Consumer Finances.

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B. Payment for Order Flow Paid to Selected Retail Brokers

This is a stacked bar chart titled “Payment for Order Flow Paid to Selected Retail Brokers”. The x-axis shows January 2020 to May of 2021. The data is monthly. The y-axis is in millions of dollars and ranges from 0 to 450. There are four variables represented in the chart. The first variable is Schwab, represented by the blue section of the bar. The value of the blue section is around 15 millions of dollars in January 2020 and increases slightly to around 20 millions of dollars in June 2021, fluctuating during the increase. The second variable is Robinhood, designated by the red section of the bar. It starts at around 60 millions of dollars in January 2020, increasing to 150 millions of dollars in June of 2020. It then decreases to around 100 millions of dollars in October of 2020, before increasing to around 160 millions of dollars by February 2021. It then decreases again to just around 100 millions of dollars in May 2021, before increasing to 125 million in June 2021. The third variable is TD Ameritrade which is not visible until April 2020. In April 2020 it shows a value just shy of 50 millions of dollars and remains at that level with minor fluctuations for the remainder of the chart finishing at just under 50 millions of dollars in June 2021. The fourth variable is E-Trade designated by the light gray section of each bar starting at 20 millions of dollars in January 2020. It then increases to around 100 millions of dollars in June of 2020 before reducing to around 75 millions of dollars in July 2020 and staying consistent until October 2020. Bar then increases steadily to around 150 millions of dollars in February 2021 decreasing with some fluctuation to 100 millions of dollars in June 2021.

Note: The key identifies bars in order from bottom to top.

Source: Securities and Exchange Commission, filings under Rule 606 from Schwab, TD Ameritrade, E-Trade, and Robinhood, Disclosure of Order Routing Information.

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C. Payment for Order Flow Paid by Selected Venues

This is a stacked bar chart is titled “Payment for Order Flow Paid by Selected Trading Venues”. The x-axis shows January 2020 to June 2021. The data is monthly. The y-axis shows millions of dollars and ranges from 0 to 450. This chart shows five variables. The first variable is Citadel, designated by the light gray portion of the bars, starts at around 30 millions of dollars in January 2020 and steadily increasing to around 120 millions of dollars in June of 2020. It then decreases to around 100 millions of dollars by August of 2020 before increasing to almost 150 millions of dollars in February of 2021. After February, it decreases to just over 75 millions of dollars in May of 2021, before increasing to just over 100 millions of dollars by June 2021. The second variable is Virtu Financial, designated by the dark gray section of the bars, starts at around 10 millions of dollars, steadily increasing to around 40 million dollars in June of 2020. It then reduces 20 millions of dollars in August through November of 2020 before expanding back to around 50 millions of dollars by February of 2021. It then reduces to around 30 millions of dollars by June of 2021. The third variable is Wolverine Trading, designated by the red portion of the bar. It starts at around 5 millions of dollars and increases slightly to around 15 millions of dollars by June of 2020. It shows minor fluctuations between July and September of 2020 before expanding to around 30 millions of dollars by February of 2021. It remains between 20 and 30 millions of dollars until it increases to around 40 millions of dollars in June of 2021. The fourth variable is Global Execution designated by the blue portion of the bar which starts at around 10 millions of dollars in June of 2020. It then increases to around 50 millions of dollars by June of 2020. It remains at 50 millions of dollars until increasing to just under 60 millions of dollars in December of 2020 where it remains until June of 2021. The fifth variable is Other and is designated by the tan section of the bars. It starts at around 20 millions of dollars in January 2020 and increases to around 70 millions of dollars by June of 2020. It then decreases to around 40 millions of dollars by October of 2020 before increasing back to around 70 millions of dollars by February 2021. It then decreases to 20 millions of dollars by May 2021 before increasing to around 50 millions of dollars by June 2021.

Note: “Other” consists of all other trading venues. Includes payment for order flow from only E-Trade, TD Ameritrade, Robinhood, and Schwab. The key identifies bars in order from top to bottom.

Source: Securities and Exchange Commission, filings under Rule 606 from Schwab, TD Ameritrade, E-Trade, and Robinhood, Disclosure of Order Routing Information.

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D. GameStop Stock Price and Twitter Mentions of GameStop

Thousands of tweets, Dollars

Date Tweets (thousands) GameStop stock price (dollars)
20201201 3761 15.8
20201202 7883 16.58
20201203 8430 16.120001
20201204 3044 16.9
20201205 2493  
20201206 2869  
20201207 3105 16.35
20201208 3647 16.940001
20201209 4419 13.66
20201210 4125 14.12
20201211 3421 13.31
20201212 6895  
20201213 7076  
20201214 4702 12.72
20201215 5632 13.85
20201216 3452 13.85
20201217 3644 14.83
20201218 9522 15.63
20201219 6193  
20201220 4732  
20201221 4953 15.53
20201222 6617 19.459999
20201223 5236 20.57
20201224 3987 20.15
20201225 3122  
20201226 2621  
20201227 2357  
20201228 12148 20.99
20201229 6992 19.379999
20201230 2931 19.26
20201231 2579 18.84
20210101 1803  
20210102 5176  
20210103 3506  
20210104 2187 17.25
20210105 2075 17.370001
20210106 3321 18.360001
20210107 6515 18.08
20210108 4398 17.690001
20210109 1765  
20210110 1975  
20210111 3208 19.940001
20210112 2422 19.950001
20210113 7080 31.4
20210114 7469 39.91
20210115 6174 35.5
20210116 10946  
20210117 3337  
20210118 6916  
20210119 6399 39.360001
20210120 10279 39.119999
20210121 21517 43.029999
20210122 34275 65.010002
20210123 12400  
20210124 8349  
20210125 64996 76.790001
20210126 137190 147.979996
20210127 742846 347.51001
20210128 2121200 193.600006
20210129 1013126 325
20210130 384364  
20210131 196565  
20210201 240083 225
20210202 203047 90
20210203 114615 92.410004
20210204 89148 53.5
20210205 69976 63.77
20210206 32645  
20210207 26551  
20210208 31741 60
20210209 28828 50.310001
20210210 28493 51.200001
20210211 22777 51.099998
20210212 18969 52.400002
20210213 12902  
20210214 10202  
20210215 13040  
20210216 15025 49.509998
20210217 22990 45.939999
20210218 53468 40.689999
20210219 25883 40.59
20210220 12751  
20210221 9870  
20210222 12638 46
20210223 13338 44.970001
20210224 94339 91.709999
20210225 92035 108.730003
20210226 35380 101.739998
20210227 13010  
20210228 12827  

Note: There is a vertical line marked at January 22, 2021 to mark when Twitter posts spiked alongside a sharp rises in trading volumes for GameStop and other meme stocks.

Source: For Twitter mentions, Twitter, Inc., enterprise-level application programming interface; for GameStop stock price, Bloomberg.

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E. Intraday Flow Correlations of GameStop and AMC Entertainment Holdings

This is a bar chart entitled “Intraday Flow Correlations of GameStop and AMC Entertainment holdings. The x-axis shows October 2020 to March 2021. The data is daily. The y-axis measures beta and ranges from negative 0.2 to positive 0.8. There is a vertical event line labeled “Jan. 22, 2021”. The chart begins in October where the bars fluctuate between 0.15 and negative 0.1 until the event line where the chart shows a dramatic spike up to a beta of 0.6 in late January. The bars then decline sharply to a beta of 0.1 until early February 2021 where there is a one day spike to just under 0.12 before decreasing to 0.025 by mid February. The bars then spike upward to a beta of 0.6 in late February before reducing to between 0.3 and 0.4 for a few days, spiking again to a beta just over 0.5 in mid-March, reducing to around 0.2 for a few days, spiking to almost 0.4 for a day, returning to just under 0.2 until late-March. In late march there is a spike to a beta just under 0.3 before declining to under 0.1 by the end of the chart.

Source: Bloomberg; New York Stock Exchange, Daily TAQ (Trade and Quote); Federal Reserve Board staff estimates.

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A. Foreign Holdings of U.S. Treasury Securities

This is a line chart titled “A. Foreign Holdings of U.S. Treasury Securities”. The X axis ranges from 2006 to 2021 in 1-year units. The left-hand side Y axis ranges from 0 to 8 in trillions of dollars. The right-hand side Y-axis ranges from 0 to 45 in percent. The data are quarterly. There are two variables charted on the plot. The first line is labeled Total and is plotted with respect to the left-hand side Y axis; is designated by a solid blue line; and ranges from 2 to 7 trillion. The variable starts at 2 trillion in 2005:Q4 and steadily increases to 6.28 trillion in 2015:Q4. The variable remains steady at this level through 2019:Q1. The variable quickly increases to about 7 trillion in 2019:Q4. The variables last value is 7.2 trillion in 2021:Q1. The second line is labeled Share of U.S. Treasury securities outstanding and is plotted with respect to the right-hand Y axis; is designated by a solid green line; and ranges from 30 to 44 percent. The variable starts at 35 percent in 2005:Q4. The variable rises steadily to 44 percent in 2008:Q3. The variable plateaus through 2015:Q1 around 44 percent. The variable begins to steadily decline in the later part of 2015 till late 2018 where it ends up around 35 percent in 2018:Q3. After a small tick up in early 2019, the variable decreases rapidly to 30 percent in 2020:Q2. The variable remains at this level through the remainder of the sample ending in 2021:Q1.

Source: Federal Reserve Board (FRB), Statistical Release Z.1, “Financial Accounts of the United States”; FRB staff calculations.

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B. Net Purchases of U.S. Treasury Securities by U.S. and Foreign Holders

This is a side-by-side bar chart titled “B. Net Purchases of U.S. Treasury Securities by U.S. and Foreign Holders.” The X axis ranges from 2019:Q1 to 2020:Q4 in quarters. The Y axis ranges from -400 to 1400 in 200 billions. The data are quarterly. There are six variables charted on the plot. The first bar is labeled All foreign investors; is designated by a grey bar; and ranges from –287 to 140 billion. This variable starts at 140 in 2019:Q1 and remains positive through 2019:Q3. There is large decline of 287 billion dollars in 2020:Q1. The variable rebounds in 2020:Q2 with an increase of 108 billion. The last value is in 2020:Q4 at 60 billion. The second bar is labeled Mutual funds; is designated by a burnt orange bar; and ranges from –264 to 101 billion. The variable increases from 1 to 62 billion through 2019. There is a large decrease in the variable in 2020:Q1 of 265 billion. The variable experiences a rebound of 100 billion in 2020:Q2 and remains positive throughout the rest of sample where it ends at 61 billion in 2020:Q4. The third bar is labeled Households (incl. Hedge funds); is designated by a tan bar; and ranges from –224 to 170 billion. The variable starts at 170 in 2019:Q1 and is positive through 2019:Q3. The variable experiences three large declines in 2019:Q4, 2020:Q1, and 2020:Q2 of –137, -244, and -100, respectively. The variable increases in 2020:Q3 and 2020:Q4 where it ends at 126 billion. The fourth bar is labeled Other; is designated by a light blue bar; and ranges from –213 to 530 billion. The variable starts at –213 in 2019:Q1. It experiences two large increases in 2019:Q3 and 2019:Q4 of 375 and 236, respectively. There is another large increase in 2020:Q2 of 530 billion. The variable remains positive throughout the rest of sample. The fifth bar is labeled Money market funds; is designated by a dark blue bar; and ranges from –136 to 1081 billion. The variable starts at 6 billion in 2019:Q1 and experiences a decline of –136 billion in 2019:Q2. Thereafter, the variable remains positive through 2020:Q2 where its largest increase of 1081 billion occurs. The variables experience two small declines in 2020:Q3 and 2020:Q4 of –74 and –18 billion, respectively. The sixth bar labeled Federal Reserve; is designated by a dark grey bar; and ranges from –67 to 1129 billion. The variable starts at –50 billion in 2019:Q1. The variable has a massive increase of 1019 billion in 2020:Q2. Thereafter, the variable is positive around 250 throughout the rest of the sample.

Note: The key identifies bars in order from left to right.

Source: Federal Reserve Board (FRB), Statistical Release Z.1, “Financial Accounts of the United States”; FRB staff calculations.

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C. Cumulative Net Flows to Foreign-Domiciled Bond Funds

This is a line chart titled “Cumulative Net Flows to Foreign-Domiciled Bond Funds.” The X axis ranges from January 2020 to May 2020. The Y axis ranges from –60 to 40 in 20 billions. The data are daily. There are two variables charted on the plot. The first variable is labeled Foreign-Domiciled funds focused on U.S. government securities; is designated by a black line; and ranges from 0 to 10 billion. The variable ranges just above zero billion from January 2020 till the end of February 2020. The variable increases to 8 billion in the end of march and then slowly decreases throughout the rest of the sample. Its last value is around 4 billion in the end of May 2020. The second variable is labeled Other foreign-domiciled bond funds; is designated by a blue line; and ranges from -46 to 33 billion. The variable starts at around 0 in January 2020 and steadily increases to 21 billion in early March 2020. The variable decreases sharply in the latter part of march to –46 billion. In the middle part of April 2020, the variable begins to increase, and it ends at –27 billion on April 30th, 2020.

Note: The sample includes foreign-domiciled funds with a reported investment mandate for either U.S. or global bonds, excluding funds domiciled in Caribbean offshore financial centers.

Source: EPFR Global; Federal Reserve Board staff calculations.

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D. Sensitivity of Foreign-Domiciled Bond Fund Holdings to Net Outflows in March 2020

This is a bar chart with three bars titled “D. Sensitivity of Foreign-Domiciled Bond Fund Holdings to Net Outflows in March 2020.” The X axis has three labels U.S. Treasury Securities, Other Countries’ sovereign bonds, and Corporate bonds, from left to right. The Y axis ranges from 0 to 1.6 where units represent a percent reduction following net flows of 1 percent. The first bar labeled U.S. Treasury securities stands at 1.5. The second bar labeled Other Countries’ sovereign bond stands at 0.75. The third bar labeled Corporate bonds stands at 0.5.

Note: Percent reduction in security holdings by foreign-domiciled bond funds following net outflows equivalent to 1 percent of assets in March 2020, by type of security. This is estimated from fund-level regressions of changes in portfolio holdings, by type of security, on net outflows—while controlling for fund size, returns, and dummies for fund type—for a sample of 840 foreign-domiciled bond funds with a reported investment mandate for either U.S. or global bonds.

Source: Morningstar, Inc.; Federal Reserve Board staff calculations.

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Figure 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 1.20
1988:Q2 1.20
1988:Q3 1.21
1988:Q4 1.21
1989:Q1 1.21
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 1.24
1991:Q1 1.24
1991:Q2 1.23
1991:Q3 1.21
1991:Q4 1.21
1992:Q1 1.19
1992:Q2 1.18
1992:Q3 1.17
1992:Q4 1.16
1993:Q1 1.16
1993:Q2 1.16
1993:Q3 1.16
1993:Q4 1.16
1994:Q1 1.16
1994:Q2 1.16
1994:Q3 1.16
1994:Q4 1.16
1995:Q1 1.17
1995:Q2 1.18
1995:Q3 1.18
1995:Q4 1.19
1996:Q1 1.19
1996:Q2 1.19
1996:Q3 1.19
1996:Q4 1.19
1997:Q1 1.19
1997:Q2 1.19
1997:Q3 1.20
1997:Q4 1.20
1998:Q1 1.22
1998:Q2 1.24
1998:Q3 1.24
1998:Q4 1.25
1999:Q1 1.26
1999:Q2 1.27
1999:Q3 1.29
1999:Q4 1.29
2000:Q1 1.31
2000:Q2 1.31
2000:Q3 1.32
2000:Q4 1.33
2001:Q1 1.34
2001:Q2 1.35
2001:Q3 1.38
2001:Q4 1.39
2002:Q1 1.40
2002:Q2 1.40
2002:Q3 1.41
2002:Q4 1.42
2003:Q1 1.43
2003:Q2 1.45
2003:Q3 1.44
2003:Q4 1.44
2004:Q1 1.45
2004:Q2 1.46
2004:Q3 1.47
2004:Q4 1.48
2005:Q1 1.48
2005:Q2 1.50
2005:Q3 1.51
2005:Q4 1.52
2006:Q1 1.54
2006:Q2 1.56
2006:Q3 1.58
2006:Q4 1.60
2007:Q1 1.61
2007:Q2 1.63
2007:Q3 1.65
2007:Q4 1.66
2008:Q1 1.69
2008:Q2 1.68
2008:Q3 1.69
2008:Q4 1.71
2009:Q1 1.72
2009:Q2 1.72
2009:Q3 1.69
2009:Q4 1.66
2010:Q1 1.64
2010:Q2 1.61
2010:Q3 1.58
2010:Q4 1.56
2011:Q1 1.56
2011:Q2 1.54
2011:Q3 1.53
2011:Q4 1.52
2012:Q1 1.50
2012:Q2 1.49
2012:Q3 1.49
2012:Q4 1.49
2013:Q1 1.48
2013:Q2 1.48
2013:Q3 1.48
2013:Q4 1.47
2014:Q1 1.49
2014:Q2 1.47
2014:Q3 1.46
2014:Q4 1.46
2015:Q1 1.47
2015:Q2 1.47
2015:Q3 1.47
2015:Q4 1.48
2016:Q1 1.49
2016:Q2 1.49
2016:Q3 1.49
2016:Q4 1.49
2017:Q1 1.49
2017:Q2 1.50
2017:Q3 1.49
2017:Q4 1.49
2018:Q1 1.49
2018:Q2 1.49
2018:Q3 1.49
2018:Q4 1.49
2019:Q1 1.50
2019:Q2 1.49
2019:Q3 1.49
2019:Q4 1.49
2020:Q1 1.55
2020:Q2 1.74
2020:Q3 1.62
2020:Q4 1.60
2021:Q1 1.58
2021:Q2 1.55

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–April 2020.  GDP is gross domestic product.

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

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Figure 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 0.58 0.63
1989:Q3 0.58 0.63
1989:Q4 0.59 0.64
1990:Q1 0.59 0.63
1990:Q2 0.59 0.63
1990:Q3 0.60 0.63
1990:Q4 0.61 0.63
1991:Q1 0.61 0.62
1991:Q2 0.61 0.61
1991:Q3 0.61 0.60
1991:Q4 0.62 0.59
1992:Q1 0.61 0.58
1992:Q2 0.61 0.57
1992:Q3 0.61 0.56
1992:Q4 0.61 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 0.62 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 0.64 0.55
1996:Q1 0.64 0.55
1996:Q2 0.64 0.55
1996:Q3 0.64 0.55
1996:Q4 0.64 0.55
1997:Q1 0.65 0.55
1997:Q2 0.64 0.55
1997:Q3 0.64 0.55
1997:Q4 0.65 0.56
1998:Q1 0.65 0.57
1998:Q2 0.66 0.58
1998:Q3 0.66 0.58
1998:Q4 0.66 0.59
1999:Q1 0.66 0.60
1999:Q2 0.67 0.60
1999:Q3 0.67 0.61
1999:Q4 0.68 0.61
2000:Q1 0.69 0.62
2000:Q2 0.68 0.62
2000:Q3 0.70 0.63
2000:Q4 0.70 0.63
2001:Q1 0.71 0.63
2001:Q2 0.71 0.64
2001:Q3 0.74 0.65
2001:Q4 0.74 0.65
2002:Q1 0.75 0.64
2002:Q2 0.76 0.64
2002:Q3 0.77 0.64
2002:Q4 0.79 0.64
2003:Q1 0.80 0.63
2003:Q2 0.82 0.63
2003:Q3 0.82 0.62
2003:Q4 0.83 0.61
2004:Q1 0.84 0.61
2004:Q2 0.85 0.61
2004:Q3 0.86 0.61
2004:Q4 0.87 0.60
2005:Q1 0.88 0.60
2005:Q2 0.89 0.61
2005:Q3 0.90 0.61
2005:Q4 0.91 0.61
2006:Q1 0.92 0.62
2006:Q2 0.93 0.63
2006:Q3 0.95 0.63
2006:Q4 0.96 0.64
2007:Q1 0.96 0.65
2007:Q2 0.97 0.66
2007:Q3 0.97 0.68
2007:Q4 0.98 0.69
2008:Q1 0.99 0.70
2008:Q2 0.97 0.71
2008:Q3 0.98 0.72
2008:Q4 0.97 0.73
2009:Q1 0.98 0.74
2009:Q2 0.98 0.73
2009:Q3 0.98 0.72
2009:Q4 0.96 0.70
2010:Q1 0.95 0.69
2010:Q2 0.93 0.67
2010:Q3 0.92 0.67
2010:Q4 0.91 0.66
2011:Q1 0.90 0.65
2011:Q2 0.89 0.65
2011:Q3 0.88 0.65
2011:Q4 0.87 0.65
2012:Q1 0.86 0.65
2012:Q2 0.84 0.65
2012:Q3 0.84 0.65
2012:Q4 0.83 0.66
2013:Q1 0.82 0.66
2013:Q2 0.82 0.66
2013:Q3 0.81 0.66
2013:Q4 0.81 0.66
2014:Q1 0.81 0.67
2014:Q2 0.80 0.67
2014:Q3 0.79 0.67
2014:Q4 0.79 0.68
2015:Q1 0.78 0.69
2015:Q2 0.78 0.69
2015:Q3 0.77 0.70
2015:Q4 0.77 0.71
2016:Q1 0.77 0.72
2016:Q2 0.77 0.72
2016:Q3 0.77 0.72
2016:Q4 0.77 0.72
2017:Q1 0.77 0.72
2017:Q2 0.77 0.73
2017:Q3 0.76 0.73
2017:Q4 0.76 0.73
2018:Q1 0.76 0.73
2018:Q2 0.75 0.74
2018:Q3 0.75 0.74
2018:Q4 0.75 0.75
2019:Q1 0.75 0.75
2019:Q2 0.74 0.75
2019:Q3 0.74 0.75
2019:Q4 0.74 0.75
2020:Q1 0.76 0.79
2020:Q2 0.83 0.91
2020:Q3 0.78 0.84
2020:Q4 0.78 0.82
2021:Q1 0.77 0.81
2021:Q2 0.76 0.79

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–April 2020. GDP is gross domestic product.

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

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

Percent change, annual rate

Date Growth of aggregate debt
1997:Q1 5.12
1997:Q2 5.86
1997:Q3 9.67
1997:Q4 6.59
1998:Q1 10.59
1998:Q2 11.83
1998:Q3 8.54
1998:Q4 8.77
1999:Q1 10.84
1999:Q2 6.38
1999:Q3 10.51
1999:Q4 6.38
2000:Q1 8.79
2000:Q2 9.39
2000:Q3 4.36
2000:Q4 4.73
2001:Q1 1.09
2001:Q2 6.09
2001:Q3 3.25
2001:Q4 1.42
2002:Q1 1.80
2002:Q2 -0.56
2002:Q3 -0.45
2002:Q4 1.03
2003:Q1 -0.19
2003:Q2 -0.61
2003:Q3 1.14
2003:Q4 -2.13
2004:Q1 3.92
2004:Q2 1.12
2004:Q3 5.24
2004:Q4 3.87
2005:Q1 4.46
2005:Q2 5.77
2005:Q3 4.97
2005:Q4 6.80
2006:Q1 7.83
2006:Q2 6.78
2006:Q3 4.58
2006:Q4 10.01
2007:Q1 8.03
2007:Q2 11.46
2007:Q3 11.47
2007:Q4 7.91
2008:Q1 5.90
2008:Q2 6.33
2008:Q3 3.44
2008:Q4 1.47
2009:Q1 -3.48
2009:Q2 -4.82
2009:Q3 -6.37
2009:Q4 -6.78
2010:Q1 -4.03
2010:Q2 -3.67
2010:Q3 0.97
2010:Q4 -0.51
2011:Q1 -1.93
2011:Q2 0.70
2011:Q3 1.06
2011:Q4 2.40
2012:Q1 0.87
2012:Q2 2.59
2012:Q3 5.36
2012:Q4 6.23
2013:Q1 1.02
2013:Q2 3.82
2013:Q3 5.58
2013:Q4 2.45
2014:Q1 5.02
2014:Q2 3.81
2014:Q3 4.95
2014:Q4 6.69
2015:Q1 6.59
2015:Q2 6.81
2015:Q3 4.20
2015:Q4 5.19
2016:Q1 6.80
2016:Q2 2.14
2016:Q3 3.86
2016:Q4 0.20
2017:Q1 4.03
2017:Q2 5.29
2017:Q3 4.19
2017:Q4 3.37
2018:Q1 1.75
2018:Q2 0.99
2018:Q3 3.64
2018:Q4 2.76
2019:Q1 5.62
2019:Q2 1.92
2019:Q3 4.11
2019:Q4 0.90
2020:Q1 17.13
2020:Q2 16.01
2020:Q3 -3.42
2020:Q4 -0.76
2021:Q1 1.61
2021:Q2 -4.57

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

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

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Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period High-yield and Unrated Bonds Institutional Leveraged Loans
2004:Q2 -12.80 15.57
2004:Q3 -4.74 6.33
2004:Q4 -14.74 20.88
2005:Q1 2.97 10.50
2005:Q2 -6.40 16.90
2005:Q3 -12.99 7.28
2005:Q4 2.73 20.61
2006:Q1 -13.66 27.16
2006:Q2 12.57 40.14
2006:Q3 -5.59 17.86
2006:Q4 30.51 66.30
2007:Q1 1.69 40.68
2007:Q2 23.35 54.31
2007:Q3 -7.04 25.72
2007:Q4 -10.42 36.06
2008:Q1 -20.14 2.21
2008:Q2 3.04 26.22
2008:Q3 -0.41 6.60
2008:Q4 -23.88 4.80
2009:Q1 -26.27 -11.82
2009:Q2 1.71 -15.53
2009:Q3 -9.79 -13.26
2009:Q4 -9.41 -24.98
2010:Q1 3.24 -17.85
2010:Q2 13.18 -9.71
2010:Q3 14.21 11.76
2010:Q4 24.80 -15.34
2011:Q1 -0.93 -4.49
2011:Q2 16.40 25.49
2011:Q3 -7.89 -5.51
2011:Q4 3.69 3.91
2012:Q1 23.12 -6.47
2012:Q2 -13.41 18.45
2012:Q3 38.55 -4.38
2012:Q4 22.46 25.96
2013:Q1 23.05 11.30
2013:Q2 18.30 31.31
2013:Q3 26.33 45.16
2013:Q4 22.54 43.54
2014:Q1 14.77 29.44
2014:Q2 15.14 45.62
2014:Q3 32.94 48.42
2014:Q4 4.02 26.18
2015:Q1 32.37 6.46
2015:Q2 3.91 -3.11
2015:Q3 -1.20 8.58
2015:Q4 -13.41 28.80
2016:Q1 1.20 9.09
2016:Q2 2.36 4.99
2016:Q3 -3.04 -12.88
2016:Q4 -44.17 7.19
2017:Q1 9.06 -4.24
2017:Q2 -10.84 49.01
2017:Q3 -2.13 13.03
2017:Q4 -3.39 16.81
2018:Q1 -0.14 24.23
2018:Q2 -8.16 62.21
2018:Q3 11.04 46.68
2018:Q4 -20.48 48.55
2019:Q1 13.01 45.53
2019:Q2 21.75 9.20
2019:Q3 11.04 -11.33
2019:Q4 7.04 13.09
2020:Q1 0.20 3.09
2020:Q2 79.96 -11.42
2020:Q3 6.04 14.32
2020:Q4 -21.11 -6.17
2021:Q1 6.70 13.65
2021:Q2 21.28 51.34
2021:Q3 15.37 41.24

Note: Institutional leveraged loans generally exclude loan commitments held by banks.

Source: Mergent, Fixed Income Securities Database; S&P Global Market Intelligence, Leveraged Commentary & Data.

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

Percent

Date All firms 75th percentile firms
2000:Q1 30.36 48.23
2000:Q2 29.61 47.96
2000:Q3 29.02 47.49
2000:Q4 29.18 46.99
2001:Q1 29.19 47.47
2001:Q2 29.38 47.46
2001:Q3 29.36 47.33
2001:Q4 29.99 47.14
2002:Q1 30.61 46.04
2002:Q2 29.67 44.28
2002:Q3 29.45 44.00
2002:Q4 29.18 44.39
2003:Q1 28.97 42.83
2003:Q2 28.15 42.18
2003:Q3 27.79 41.60
2003:Q4 26.73 41.51
2004:Q1 26.33 39.46
2004:Q2 25.72 38.93
2004:Q3 25.40 38.73
2004:Q4 25.15 39.17
2005:Q1 24.95 37.81
2005:Q2 24.82 37.81
2005:Q3 24.14 37.48
2005:Q4 24.19 38.32
2006:Q1 24.47 37.41
2006:Q2 24.36 37.75
2006:Q3 24.38 37.69
2006:Q4 24.71 38.52
2007:Q1 24.95 37.98
2007:Q2 25.18 38.62
2007:Q3 25.58 38.56
2007:Q4 25.84 38.90
2008:Q1 26.07 39.07
2008:Q2 26.19 38.75
2008:Q3 27.19 39.96
2008:Q4 28.77 42.57
2009:Q1 28.71 41.54
2009:Q2 27.96 39.94
2009:Q3 26.98 38.48
2009:Q4 26.77 38.74
2010:Q1 26.37 37.07
2010:Q2 26.25 36.69
2010:Q3 26.24 36.29
2010:Q4 26.03 36.97
2011:Q1 25.80 36.14
2011:Q2 25.86 35.62
2011:Q3 26.18 36.37
2011:Q4 26.11 37.74
2012:Q1 26.03 36.97
2012:Q2 26.59 37.13
2012:Q3 26.71 37.48
2012:Q4 27.10 38.79
2013:Q1 26.95 38.04
2013:Q2 27.37 38.24
2013:Q3 27.68 38.48
2013:Q4 27.94 40.09
2014:Q1 28.54 39.16
2014:Q2 28.47 40.27
2014:Q3 28.63 40.79
2014:Q4 29.22 42.13
2015:Q1 30.07 42.35
2015:Q2 30.60 42.02
2015:Q3 31.11 42.51
2015:Q4 32.05 43.82
2016:Q1 32.66 43.75
2016:Q2 32.90 43.64
2016:Q3 32.99 42.96
2016:Q4 32.85 43.10
2017:Q1 33.12 42.69
2017:Q2 33.49 42.19
2017:Q3 33.32 42.07
2017:Q4 32.97 41.91
2018:Q1 33.28 41.91
2018:Q2 33.07 42.11
2018:Q3 32.79 41.58
2018:Q4 33.18 42.43
2019:Q1 35.26 46.21
2019:Q2 35.44 46.53
2019:Q3 35.50 47.27
2019:Q4 35.47 47.53
2020:Q1 37.48 49.74
2020:Q2 37.70 49.10
2020:Q3 36.80 47.18
2020:Q4 36.19 46.35
2021:Q1 35.71 45.83
2021:Q2 35.16 44.75

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. The new accounting standard requires operating leases, previously considered off-balance-sheet activities, to be included in measures of debt and assets.

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

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Figure 2-6. Interest Coverage Ratios for Public Nonfinancial Businesses

Ratio

Date Median 25th percentile
2000:Q1 2.36 0.88
2000:Q2 2.32 0.86
2000:Q3 2.26 0.84
2000:Q4 2.20 0.79
2001:Q1 2.11 0.67
2001:Q2 2.06 0.58
2001:Q3 1.87 0.38
2001:Q4 1.78 0.28
2002:Q1 1.78 0.29
2002:Q2 1.74 0.24
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 0.65
2004:Q1 2.54 0.74
2004:Q2 2.85 0.88
2004:Q3 3.02 1.00
2004:Q4 2.97 0.93
2005:Q1 3.01 0.98
2005:Q2 3.01 0.92
2005:Q3 3.07 0.90
2005:Q4 3.04 0.93
2006:Q1 3.07 0.93
2006:Q2 3.01 0.96
2006:Q3 2.98 0.89
2006:Q4 2.93 0.90
2007:Q1 2.92 0.89
2007:Q2 2.84 0.78
2007:Q3 2.70 0.78
2007:Q4 2.73 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 2.68 0.39
2009:Q2 2.47 0.35
2009:Q3 2.33 0.22
2009:Q4 2.28 0.41
2010:Q1 2.60 0.71
2010:Q2 2.74 0.78
2010:Q3 2.93 0.95
2010:Q4 3.03 1.02
2011:Q1 3.19 1.09
2011:Q2 3.36 1.16
2011:Q3 3.50 1.24
2011:Q4 3.45 1.26
2012:Q1 3.40 1.24
2012:Q2 3.43 1.23
2012:Q3 3.28 1.03
2012:Q4 3.10 0.88
2013:Q1 3.19 0.94
2013:Q2 3.25 0.95
2013:Q3 3.27 0.95
2013:Q4 3.17 0.79
2014:Q1 3.21 0.74
2014:Q2 3.41 0.86
2014:Q3 3.47 0.84
2014:Q4 3.37 0.75
2015:Q1 3.35 0.67
2015:Q2 3.29 0.53
2015:Q3 3.30 0.51
2015:Q4 3.11 0.40
2016:Q1 2.93 0.26
2016:Q2 2.91 0.20
2016:Q3 2.94 0.24
2016:Q4 3.00 0.18
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 3.06 0.49
2019:Q1 2.96 0.45
2019:Q2 2.90 0.40
2019:Q3 2.81 0.32
2019:Q4 2.68 0.13
2020:Q1 2.51 -0.35
2020:Q2 2.13 -0.89
2020:Q3 2.22 -0.89
2020:Q4 2.23 -1.17
2021:Q1 2.75 -0.82
2021:Q2 3.25 -0.31

Note: The interest coverage ratio is earnings before interest and taxes divided by 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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Figure 2-7. Default Rates of Leveraged Loans

Percent

Date Leveraged loan default rate
12/31/1998 1.51
1/31/1999 1.40
2/28/1999 0.62
3/31/1999 0.96
4/30/1999 0.91
5/31/1999 1.08
6/30/1999 1.51
7/31/1999 1.47
8/31/1999 2.59
9/30/1999 2.84
10/31/1999 2.80
11/30/1999 4.23
12/31/1999 4.17
1/31/2000 5.32
2/29/2000 5.64
3/31/2000 5.79
4/30/2000 7.39
5/31/2000 7.13
6/30/2000 7.50
7/31/2000 7.39
8/31/2000 6.66
9/30/2000 6.60
10/31/2000 6.74
11/30/2000 5.80
12/31/2000 6.57
1/31/2001 5.89
2/28/2001 5.65
3/31/2001 5.48
4/30/2001 4.78
5/31/2001 6.42
6/30/2001 6.28
7/31/2001 6.82
8/31/2001 6.80
9/30/2001 6.50
10/31/2001 6.72
11/30/2001 6.50
12/31/2001 6.30
1/31/2002 7.25
2/28/2002 7.25
3/31/2002 6.85
4/30/2002 6.95
5/31/2002 5.69
6/30/2002 7.41
7/31/2002 6.84
8/31/2002 6.78
9/30/2002 6.41
10/31/2002 6.59
11/30/2002 6.53
12/31/2002 6.01
1/31/2003 5.13
2/28/2003 5.01
3/31/2003 5.47
4/30/2003 5.26
5/31/2003 5.35
6/30/2003 2.62
7/31/2003 2.64
8/31/2003 2.67
9/30/2003 2.91
10/31/2003 2.30
11/30/2003 2.28
12/31/2003 2.25
1/31/2004 1.89
2/29/2004 1.61
3/31/2004 1.11
4/30/2004 0.94
5/31/2004 0.68
6/30/2004 0.94
7/31/2004 0.91
8/31/2004 0.88
9/30/2004 1.01
10/31/2004 1.02
11/30/2004 1.02
12/31/2004 1.01
1/31/2005 1.03
2/28/2005 1.37
3/31/2005 1.26
4/30/2005 1.48
5/31/2005 1.54
6/30/2005 1.29
7/31/2005 1.46
8/31/2005 1.43
9/30/2005 1.65
10/31/2005 2.56
11/30/2005 2.29
12/31/2005 3.02
1/31/2006 2.96
2/28/2006 2.89
3/31/2006 2.79
4/30/2006 2.47
5/31/2006 2.30
6/30/2006 2.28
7/31/2006 2.08
8/31/2006 2.08
9/30/2006 1.56
10/31/2006 0.99
11/30/2006 1.07
12/31/2006 0.48
1/31/2007 0.45
2/28/2007 0.24
3/31/2007 0.23
4/30/2007 0.22
5/31/2007 0.16
6/30/2007 0.15
7/31/2007 0.21
8/31/2007 0.21
9/30/2007 0.42
10/31/2007 0.33
11/30/2007 0.25
12/31/2007 0.24
1/31/2008 0.72
2/29/2008 0.94
3/31/2008 1.07
4/30/2008 1.30
5/31/2008 1.73
6/30/2008 1.70
7/31/2008 1.90
8/31/2008 2.03
9/30/2008 1.91
10/31/2008 1.97
11/30/2008 1.94
12/31/2008 3.75
1/31/2009 4.95
2/28/2009 5.25
3/31/2009 8.02
4/30/2009 8.03
5/31/2009 8.66
6/30/2009 9.15
7/31/2009 9.57
8/31/2009 9.68
9/30/2009 9.75
10/31/2009 10.71
11/30/2009 10.81
12/31/2009 9.61
1/31/2010 8.82
2/28/2010 8.59
3/31/2010 5.82
4/30/2010 5.65
5/31/2010 4.64
6/30/2010 4.02
7/31/2010 3.47
8/31/2010 3.57
9/30/2010 3.55
10/31/2010 2.28
11/30/2010 2.25
12/31/2010 1.87
1/31/2011 1.46
2/28/2011 1.27
3/31/2011 1.11
4/30/2011 0.95
5/31/2011 0.91
6/30/2011 0.91
7/31/2011 0.77
8/31/2011 0.33
9/30/2011 0.32
10/31/2011 0.32
11/30/2011 0.17
12/31/2011 0.17
1/31/2012 0.21
2/29/2012 0.21
3/31/2012 0.21
4/30/2012 0.56
5/31/2012 1.05
6/30/2012 1.04
7/31/2012 1.04
8/31/2012 1.07
9/30/2012 1.00
10/31/2012 1.06
11/30/2012 1.28
12/31/2012 1.27
1/31/2013 1.42
2/28/2013 1.40
3/31/2013 2.21
4/30/2013 1.91
5/31/2013 1.40
6/30/2013 1.37
7/31/2013 2.02
8/31/2013 2.16
9/30/2013 2.41
10/31/2013 2.31
11/30/2013 2.08
12/31/2013 2.11
1/31/2014 1.88
2/28/2014 1.86
3/31/2014 1.21
4/30/2014 4.64
5/31/2014 4.60
6/30/2014 4.41
7/31/2014 3.89
8/31/2014 3.61
9/30/2014 3.34
10/31/2014 3.28
11/30/2014 3.33
12/31/2014 3.24
1/31/2015 3.99
2/28/2015 3.92
3/31/2015 3.79
4/30/2015 1.26
5/31/2015 1.26
6/30/2015 1.24
7/31/2015 1.10
8/31/2015 1.30
9/30/2015 1.27
10/31/2015 1.27
11/30/2015 1.42
12/31/2015 1.50
1/31/2016 1.29
2/29/2016 1.41
3/31/2016 1.75
4/30/2016 1.69
5/31/2016 1.96
6/30/2016 1.97
7/31/2016 2.17
8/31/2016 1.98
9/30/2016 1.95
10/31/2016 1.95
11/30/2016 1.66
12/31/2016 1.58
1/31/2017 1.56
2/28/2017 1.41
3/31/2017 1.49
4/30/2017 1.43
5/31/2017 1.42
6/30/2017 1.54
7/31/2017 1.36
8/31/2017 1.36
9/30/2017 1.53
10/31/2017 1.51
11/30/2017 1.95
12/31/2017 2.05
1/31/2018 1.95
2/28/2018 2.00
3/31/2018 2.42
4/30/2018 2.37
5/31/2018 2.12
6/30/2018 1.98
7/31/2018 1.99
8/31/2018 1.99
9/30/2018 1.81
10/31/2018 1.92
11/30/2018 1.61
12/31/2018 1.63
1/31/2019 1.42
2/28/2019 1.62
3/31/2019 0.93
4/30/2019 1.01
5/31/2019 1.00
6/30/2019 1.34
7/31/2019 1.32
8/31/2019 1.29
9/30/2019 1.29
10/31/2019 1.43
11/30/2019 1.48
12/31/2019 1.39
1/31/2020 1.83
2/29/2020 1.83
3/31/2020 1.84
4/30/2020 2.32
5/31/2020 3.14
6/30/2020 3.23
7/31/2020 3.90
8/31/2020 4.08
9/30/2020 4.17
10/31/2020 4.11
11/30/2020 3.89
12/31/2020 3.83
1/31/2021 3.38
2/28/2021 3.25
3/31/2021 3.15
4/30/2021 2.61
5/31/2021 1.73
6/30/2021 1.25
7/31/2021 0.58
8/31/2021 0.47
9/30/2021 0.35

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–April 2020.

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

Return to text
Figure 2-8. Distribution of Large Institutional Leveraged Loan Volumes, by Debt-to-EBITDA Ratio

Percent

Date Debt multiples ≤ 4x Debt multiples 4x­4.99x Debt multiples 5x-5.99x Debt multiples ≥ 6x
2001 61.10 26.20 10.10 2.70
2002 54.60 27.30 12.20 5.90
2003 52.60 29.30 11.50 6.70
2004 45.00 28.60 17.60 8.80
2005 41.80 25.10 25.10 8.00
2006 36.40 26.30 21.10 16.30
2007 31.20 23.70 17.50 27.70
2008 63.10 14.20 12.10 10.70
2009 53.10 17.70 11.50 17.70
2010 53.70 22.60 17.90 5.80
2011 43.80 22.60 19.20 14.40
2012 35.90 26.60 21.80 15.80
2013 31.50 29.00 23.10 16.40
2014 28.70 22.60 21.50 27.20
2015 29.90 24.80 26.50 18.90
2016 21.90 32.60 24.40 21.00
2017 22.70 27.60 27.60 22.00
2018 19.30 24.20 26.90 29.60
2019 20.30 23.50 23.30 32.90
2020 22.60 25.50 23.70 28.20
2021:Q1 21.40 29.30 20.70 28.50
2021:Q2 18.10 19.30 20.50 42.20
2021:Q3 25.00 20.00 22.50 32.50

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. The key identifies bars in order from top to bottom.

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

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Figure 2-9. Total Household Loan Balances

This is a line chart titled “Total Household Loan Balances”. The x-axis measures time and ranges from the years 1999 to 2021. The y-axis measures trillions of dollars (real) and ranges