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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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

Board of Governors of the Federal Reserve System

Financial Stability Report