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Financial system vulnerability assessment, May 2022

Asset valuations:

  • Uncertainty about the economic outlook led to large fluctuations in prices of financial assets.
  • Despite markedly higher Treasury yields, real and financial asset prices generally remained high relative to their corresponding expected cash flows.
  • House prices continued to rise at a rapid pace that outstripped increases in rents. Borrowing by businesses and households
  • The debt-to-GDP ratio continued to decline, although businesses and households' debt grew throughout 2021.
  • Interest coverage ratios for large businesses exceeded the historical average, but the business debt-to-GDP ratio remains high.
  • Increases in household debt were concentrated among borrowers with strong credit histories.

Leverage in the financial sector

  • Banks are well capitalized, but risk-based capital ratios declined at the largest banks due to heighted market volatility.
  • Leverage was high at life insurers and somewhat elevated at hedge funds.
  • Issuance of non-agency securitized products reached post-2008 highs, and bank lending to nonbank financial institutions continued to grow rapidly.

Funding risks

  • Domestic banks maintained high levels of liquid assets and stable funding.
  • Structural vulnerabilities persist at money market funds and some other mutual funds, and the rapidly growing stablecoin sector is vulnerable to runs.
  • Central counterparties made larger margin calls amid elevated market volatility.
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Survey of salient risks to the financial system

Survey respondents cited several emerging and existing events or conditions as presenting risks to the U.S. financial system and the broader global economy. For more information, see the box “Survey of Salient Risks to Financial Stability.”

  Russian Invasion of Ukraine Persistent Inflation; monetary tightening Risk asset valuations/correction Foreign divestment from U.S. assets Higher energy prices
May-22 77% of contacts surveyed 68% of contacts surveyed 50% of contacts surveyed 41% of contacts surveyed 41%of contacts surveyed
Nov-21 Not cited 65% of contacts surveyed 23% of contacts surveyed Not cited 8% of contacts surveyed
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Figure 1.1. Yields on nominal Treasury securities

Percent, annual rate

Date 2-year 10-year
1/31/1997 6.01 6.58
2/28/1997 5.9 6.42
3/31/1997 6.22 6.69
4/30/1997 6.45 6.89
5/31/1997 6.28 6.71
6/30/1997 6.09 6.49
7/31/1997 5.89 6.22
8/31/1997 5.94 6.3
9/30/1997 5.88 6.21
10/31/1997 5.77 6.03
11/30/1997 5.71 5.88
12/31/1997 5.72 5.81
1/31/1998 5.36 5.54
2/28/1998 5.42 5.57
3/31/1998 5.56 5.65
4/30/1998 5.56 5.64
5/31/1998 5.59 5.65
6/30/1998 5.52 5.5
7/31/1998 5.46 5.46
8/31/1998 5.27 5.34
9/30/1998 4.67 4.81
10/31/1998 4.09 4.53
11/30/1998 4.54 4.83
12/31/1998 4.51 4.65
1/31/1999 4.62 4.72
2/28/1999 4.88 5
3/31/1999 5.05 5.23
4/30/1999 4.98 5.18
5/31/1999 5.25 5.54
6/30/1999 5.62 5.9
7/31/1999 5.55 5.79
8/31/1999 5.68 5.94
9/30/1999 5.66 5.92
10/31/1999 5.86 6.11
11/30/1999 5.86 6.03
12/31/1999 6.1 6.28
1/31/2000 6.44 6.66
2/29/2000 6.61 6.52
3/31/2000 6.53 6.26
4/30/2000 6.4 5.99
5/31/2000 6.81 6.44
6/30/2000 6.48 6.1
7/31/2000 6.34 6.05
8/31/2000 6.23 5.83
9/30/2000 6.08 5.8
10/31/2000 5.91 5.74
11/30/2000 5.88 5.72
12/31/2000 5.35 5.24
1/31/2001 4.76 5.16
2/28/2001 4.66 5.1
3/31/2001 4.34 4.89
4/30/2001 4.23 5.14
5/31/2001 4.26 5.39
6/30/2001 4.08 5.28
7/31/2001 4.04 5.24
8/31/2001 3.76 4.97
9/30/2001 3.12 4.73
10/31/2001 2.73 4.57
11/30/2001 2.78 4.65
12/31/2001 3.11 5.09
1/31/2002 3.03 5.04
2/28/2002 3.02 4.91
3/31/2002 3.56 5.28
4/30/2002 3.42 5.21
5/31/2002 3.26 5.16
6/30/2002 2.99 4.93
7/31/2002 2.56 4.65
8/31/2002 2.13 4.26
9/30/2002 2 3.87
10/31/2002 1.91 3.94
11/30/2002 1.92 4.05
12/31/2002 1.84 4.03
1/31/2003 1.74 4.05
2/28/2003 1.63 3.9
3/31/2003 1.57 3.81
4/30/2003 1.62 3.96
5/31/2003 1.42 3.57
6/30/2003 1.23 3.33
7/31/2003 1.47 3.98
8/31/2003 1.86 4.45
9/30/2003 1.71 4.27
10/31/2003 1.75 4.29
11/30/2003 1.93 4.3
12/31/2003 1.91 4.27
1/31/2004 1.76 4.15
2/29/2004 1.74 4.08
3/31/2004 1.58 3.83
4/30/2004 2.07 4.35
5/31/2004 2.53 4.72
6/30/2004 2.76 4.73
7/31/2004 2.64 4.5
8/31/2004 2.51 4.28
9/30/2004 2.53 4.13
10/31/2004 2.58 4.1
11/30/2004 2.85 4.19
12/31/2004 3.01 4.23
1/31/2005 3.22 4.22
2/28/2005 3.38 4.17
3/31/2005 3.73 4.5
4/30/2005 3.65 4.34
5/31/2005 3.64 4.14
6/30/2005 3.64 4
7/31/2005 3.87 4.18
8/31/2005 4.04 4.26
9/30/2005 3.95 4.2
10/31/2005 4.27 4.46
11/30/2005 4.42 4.54
12/31/2005 4.4 4.47
1/31/2006 4.4 4.42
2/28/2006 4.67 4.57
3/31/2006 4.73 4.72
4/30/2006 4.89 4.99
5/31/2006 4.97 5.11
6/30/2006 5.12 5.11
7/31/2006 5.12 5.09
8/31/2006 4.9 4.88
9/30/2006 4.77 4.72
10/31/2006 4.8 4.73
11/30/2006 4.74 4.6
12/31/2006 4.67 4.56
1/31/2007 4.88 4.76
2/28/2007 4.85 4.72
3/31/2007 4.57 4.56
4/30/2007 4.67 4.69
5/31/2007 4.77 4.75
6/30/2007 4.98 5.1
7/31/2007 4.82 5
8/31/2007 4.31 4.67
9/30/2007 4.01 4.52
10/31/2007 3.97 4.53
11/30/2007 3.34 4.15
12/31/2007 3.12 4.1
1/31/2008 2.48 3.74
2/29/2008 1.97 3.74
3/31/2008 1.62 3.51
4/30/2008 2.05 3.68
5/31/2008 2.45 3.88
6/30/2008 2.77 4.1
7/31/2008 2.57 4.01
8/31/2008 2.42 3.89
9/30/2008 2.08 3.69
10/31/2008 1.61 3.81
11/30/2008 1.21 3.53
12/31/2008 0.82 2.42
1/31/2009 0.81 2.52
2/28/2009 0.98 2.87
3/31/2009 0.93 2.82
4/30/2009 0.93 2.93
5/31/2009 0.93 3.29
6/30/2009 1.18 3.72
7/31/2009 1.02 3.56
8/31/2009 1.12 3.59
9/30/2009 0.96 3.4
10/31/2009 0.95 3.39
11/30/2009 0.8 3.4
12/31/2009 0.87 3.59
1/31/2010 0.93 3.73
2/28/2010 0.86 3.69
3/31/2010 0.96 3.73
4/30/2010 1.06 3.85
5/31/2010 0.83 3.42
6/30/2010 0.72 3.2
7/31/2010 0.62 3.01
8/31/2010 0.52 2.7
9/30/2010 0.48 2.65
10/31/2010 0.38 2.54
11/30/2010 0.45 2.76
12/31/2010 0.62 3.29
1/31/2011 0.61 3.39
2/28/2011 0.77 3.58
3/31/2011 0.7 3.41
4/30/2011 0.73 3.46
5/31/2011 0.56 3.17
6/30/2011 0.41 3
7/31/2011 0.41 3
8/31/2011 0.23 2.3
9/30/2011 0.21 1.98
10/31/2011 0.28 2.15
11/30/2011 0.25 2.01
12/31/2011 0.26 1.98
1/31/2012 0.24 1.97
2/29/2012 0.28 1.97
3/31/2012 0.34 2.17
4/30/2012 0.29 2.05
5/31/2012 0.29 1.8
6/30/2012 0.29 1.62
7/31/2012 0.25 1.53
8/31/2012 0.27 1.68
9/30/2012 0.26 1.72
10/31/2012 0.28 1.75
11/30/2012 0.27 1.65
12/31/2012 0.26 1.72
1/31/2013 0.27 1.91
2/28/2013 0.27 1.98
3/31/2013 0.26 1.96
4/30/2013 0.23 1.76
5/31/2013 0.25 1.93
6/30/2013 0.33 2.3
7/31/2013 0.34 2.58
8/31/2013 0.36 2.74
9/30/2013 0.4 2.81
10/31/2013 0.34 2.62
11/30/2013 0.3 2.72
12/31/2013 0.34 2.9
1/31/2014 0.39 2.86
2/28/2014 0.33 2.71
3/31/2014 0.4 2.72
4/30/2014 0.42 2.71
5/31/2014 0.39 2.56
6/30/2014 0.45 2.6
7/31/2014 0.51 2.54
8/31/2014 0.47 2.42
9/30/2014 0.57 2.53
10/31/2014 0.45 2.3
11/30/2014 0.53 2.33
12/31/2014 0.64 2.21
1/31/2015 0.55 1.88
2/28/2015 0.62 1.98
3/31/2015 0.64 2.04
4/30/2015 0.54 1.94
5/31/2015 0.61 2.2
6/30/2015 0.69 2.36
7/31/2015 0.67 2.32
8/31/2015 0.7 2.17
9/30/2015 0.71 2.17
10/31/2015 0.64 2.07
11/30/2015 0.88 2.26
12/31/2015 0.98 2.24
1/31/2016 0.9 2.09
2/29/2016 0.73 1.78
3/31/2016 0.88 1.89
4/30/2016 0.77 1.81
5/31/2016 0.82 1.81
6/30/2016 0.73 1.64
7/31/2016 0.67 1.5
8/31/2016 0.74 1.56
9/30/2016 0.77 1.63
10/31/2016 0.84 1.76
11/30/2016 0.98 2.14
12/31/2016 1.2 2.49
1/31/2017 1.21 2.43
2/28/2017 1.2 2.42
3/31/2017 1.31 2.48
4/30/2017 1.24 2.3
5/31/2017 1.3 2.3
6/30/2017 1.34 2.19
7/31/2017 1.37 2.32
8/31/2017 1.34 2.21
9/30/2017 1.38 2.2
10/31/2017 1.55 2.36
11/30/2017 1.7 2.35
12/31/2017 1.84 2.4
1/31/2018 2.03 2.58
2/28/2018 2.18 2.86
3/31/2018 2.28 2.84
4/30/2018 2.38 2.87
5/31/2018 2.51 2.98
6/30/2018 2.53 2.91
7/31/2018 2.61 2.89
8/31/2018 2.64 2.89
9/30/2018 2.77 3
10/31/2018 2.86 3.15
11/30/2018 2.86 3.12
12/31/2018 2.68 2.83
1/31/2019 2.54 2.71
2/28/2019 2.5 2.68
3/31/2019 2.41 2.57
4/30/2019 2.34 2.53
5/31/2019 2.21 2.4
6/30/2019 1.81 2.07
7/31/2019 1.84 2.06
8/31/2019 1.57 1.63
9/30/2019 1.65 1.7
10/31/2019 1.55 1.71
11/30/2019 1.61 1.81
12/31/2019 1.61 1.86
1/31/2020 1.52 1.76
2/29/2020 1.33 1.5
3/31/2020 0.45 0.87
4/30/2020 0.22 0.66
5/31/2020 0.17 0.67
6/30/2020 0.19 0.73
7/31/2020 0.15 0.62
8/31/2020 0.14 0.65
9/30/2020 0.13 0.68
10/31/2020 0.15 0.79
11/30/2020 0.17 0.87
12/31/2020 0.14 0.93
1/31/2021 0.13 1.08
2/28/2021 0.12 1.26
3/31/2021 0.15 1.61
4/30/2021 0.16 1.64
5/31/2021 0.16 1.62
6/30/2021 0.2 1.52
7/31/2021 0.22 1.32
8/31/2021 0.22 1.28
9/30/2021 0.24 1.37
10/31/2021 0.39 1.58
11/30/2021 0.51 1.56
12/31/2021 0.68 1.47
1/31/2022 0.98 1.76
2/28/2022 1.44 1.93
3/31/2022 1.91 2.13
4/25/2022 2.52 2.73

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
1/31/1997 1.49
2/28/1997 1.42
3/31/1997 1.56
4/30/1997 1.66
5/31/1997 1.56
6/30/1997 1.48
7/31/1997 1.3
8/31/1997 1.33
9/30/1997 1.33
10/31/1997 1.22
11/30/1997 1.07
12/31/1997 0.99
1/31/1998 0.88
2/28/1998 0.92
3/31/1998 0.97
4/30/1998 0.97
5/31/1998 0.98
6/30/1998 0.89
7/31/1998 0.86
8/31/1998 0.8
9/30/1998 0.57
10/31/1998 0.61
11/30/1998 0.69
12/31/1998 0.6
1/31/1999 0.7
2/28/1999 0.84
3/31/1999 1
4/30/1999 0.98
5/31/1999 1.14
6/30/1999 1.32
7/31/1999 1.29
8/31/1999 1.35
9/30/1999 1.35
10/31/1999 1.44
11/30/1999 1.28
12/31/1999 1.35
1/31/2000 1.51
2/29/2000 1.38
3/31/2000 1.21
4/30/2000 1.05
5/31/2000 1.24
6/30/2000 1.05
7/31/2000 0.96
8/31/2000 0.82
9/30/2000 0.84
10/31/2000 0.75
11/30/2000 0.7
12/31/2000 0.53
1/31/2001 0.69
2/28/2001 0.77
3/31/2001 0.78
4/30/2001 1.06
5/31/2001 1.29
6/30/2001 1.29
7/31/2001 1.26
8/31/2001 1.17
9/30/2001 1.22
10/31/2001 1.27
11/30/2001 1.41
12/31/2001 1.78
1/31/2002 1.75
2/28/2002 1.66
3/31/2002 1.85
4/30/2002 1.8
5/31/2002 1.75
6/30/2002 1.6
7/31/2002 1.45
8/31/2002 1.21
9/30/2002 0.93
10/31/2002 0.99
11/30/2002 1.15
12/31/2002 1.16
1/31/2003 1.16
2/28/2003 1.07
3/31/2003 0.99
4/30/2003 1.09
5/31/2003 0.82
6/30/2003 0.68
7/31/2003 1.1
8/31/2003 1.46
9/30/2003 1.33
10/31/2003 1.32
11/30/2003 1.33
12/31/2003 1.31
1/31/2004 1.23
2/29/2004 1.18
3/31/2004 1
4/30/2004 1.34
5/31/2004 1.56
6/30/2004 1.48
7/31/2004 1.29
8/31/2004 1.12
9/30/2004 0.96
10/31/2004 0.9
11/30/2004 0.87
12/31/2004 0.83
1/31/2005 0.78
2/28/2005 0.68
3/31/2005 0.85
4/30/2005 0.72
5/31/2005 0.57
6/30/2005 0.45
7/31/2005 0.48
8/31/2005 0.48
9/30/2005 0.43
10/31/2005 0.53
11/30/2005 0.54
12/31/2005 0.48
1/31/2006 0.37
2/28/2006 0.42
3/31/2006 0.49
4/30/2006 0.61
5/31/2006 0.66
6/30/2006 0.62
7/31/2006 0.56
8/31/2006 0.44
9/30/2006 0.38
10/31/2006 0.37
11/30/2006 0.27
12/31/2006 0.27
1/31/2007 0.38
2/28/2007 0.35
3/31/2007 0.27
4/30/2007 0.36
5/31/2007 0.41
6/30/2007 0.67
7/31/2007 0.58
8/31/2007 0.53
9/30/2007 0.51
10/31/2007 0.53
11/30/2007 0.48
12/31/2007 0.53
1/31/2008 0.4
2/29/2008 0.63
3/31/2008 0.67
4/30/2008 0.78
5/31/2008 0.84
6/30/2008 0.92
7/31/2008 0.88
8/31/2008 0.79
9/30/2008 0.78
10/31/2008 1.11
11/30/2008 1.12
12/31/2008 0.51
1/31/2009 0.55
2/28/2009 0.74
3/31/2009 0.67
4/30/2009 0.68
5/31/2009 0.93
6/30/2009 1.28
7/31/2009 1.15
8/31/2009 1.18
9/30/2009 1.06
10/31/2009 1.03
11/30/2009 1.03
12/31/2009 1.1
1/31/2010 1.21
2/28/2010 1.16
3/31/2010 1.15
4/30/2010 1.22
5/31/2010 0.96
6/30/2010 0.83
7/31/2010 0.66
8/31/2010 0.42
9/30/2010 0.39
10/31/2010 0.28
11/30/2010 0.4
12/31/2010 0.81
1/31/2011 0.87
2/28/2011 1.02
3/31/2011 0.92
4/30/2011 0.97
5/31/2011 0.76
6/30/2011 0.61
7/31/2011 0.61
8/31/2011 0.15
9/30/2011 -0.04
10/31/2011 0.07
11/30/2011 -0.03
12/31/2011 -0.06
1/31/2012 -0.09
2/29/2012 -0.12
3/31/2012 0.02
4/30/2012 -0.06
5/31/2012 -0.22
6/30/2012 -0.33
7/31/2012 -0.4
8/31/2012 -0.3
9/30/2012 -0.29
10/31/2012 -0.28
11/30/2012 -0.33
12/31/2012 -0.29
1/31/2013 -0.17
2/28/2013 -0.12
3/31/2013 -0.13
4/30/2013 -0.26
5/31/2013 -0.15
6/30/2013 0.14
7/31/2013 0.35
8/31/2013 0.46
9/30/2013 0.52
10/31/2013 0.36
11/30/2013 0.41
12/31/2013 0.55
1/31/2014 0.56
2/28/2014 0.45
3/31/2014 0.48
4/30/2014 0.5
5/31/2014 0.4
6/30/2014 0.43
7/31/2014 0.41
8/31/2014 0.34
9/30/2014 0.43
10/31/2014 0.27
11/30/2014 0.29
12/31/2014 0.21
1/31/2015 0.01
2/28/2015 0.07
3/31/2015 0.1
4/30/2015 0.01
5/31/2015 0.19
6/30/2015 0.3
7/31/2015 0.26
8/31/2015 0.13
9/30/2015 0.14
10/31/2015 0.07
11/30/2015 0.18
12/31/2015 0.12
1/31/2016 0.01
2/29/2016 -0.2
3/31/2016 -0.12
4/30/2016 -0.18
5/31/2016 -0.17
6/30/2016 -0.28
7/31/2016 -0.38
8/31/2016 -0.35
9/30/2016 -0.3
10/31/2016 -0.23
11/30/2016 0
12/31/2016 0.24
1/31/2017 0.19
2/28/2017 0.18
3/31/2017 0.16
4/30/2017 0.01
5/31/2017 -0.02
6/30/2017 -0.13
7/31/2017 -0.06
8/31/2017 -0.12
9/30/2017 -0.14
10/31/2017 -0.06
11/30/2017 -0.09
12/31/2017 -0.08
1/31/2018 0
2/28/2018 0.14
3/31/2018 0.09
4/30/2018 0.08
5/31/2018 0.13
6/30/2018 0.08
7/31/2018 0.04
8/31/2018 0.01
9/30/2018 0.05
10/31/2018 0.11
11/30/2018 0.07
12/31/2018 -0.13
1/31/2019 -0.21
2/28/2019 -0.23
3/31/2019 -0.3
4/30/2019 -0.32
5/31/2019 -0.39
6/30/2019 -0.54
7/31/2019 -0.53
8/31/2019 -0.74
9/30/2019 -0.69
10/31/2019 -0.63
11/30/2019 -0.52
12/31/2019 -0.49
1/31/2020 -0.55
2/29/2020 -0.71
3/31/2020 -0.75
4/30/2020 -0.84
5/31/2020 -0.85
6/30/2020 -0.84
7/31/2020 -0.9
8/31/2020 -0.89
9/30/2020 -0.87
10/31/2020 -0.81
11/30/2020 -0.75
12/31/2020 -0.72
1/31/2021 -0.63
2/28/2021 -0.51
3/31/2021 -0.24
4/30/2021 -0.21
5/31/2021 -0.23
6/30/2021 -0.28
7/31/2021 -0.4
8/31/2021 -0.43
9/30/2021 -0.37
10/31/2021 -0.21
11/30/2021 -0.2
12/31/2021 -0.26
1/31/2022 -0.1
2/28/2022 -0.07
3/31/2022 -0.01
4/25/2022 0.28

Note: The data extend through April 25, 2022. 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 2022. 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, spikes to about 165 basis points, before steadily declining from 2004 to 2007 where it reaches around 70 basis points. It rises from 2007 to 2009 peak of around 250 basis points in 2009. It then drops steeply to around 100 basis points in 2010, and hovers there through 2011. The series falls further to around 60 basis points in 2013, rises briefly to 100 basis points, falls back to 60 basis points in 2014 before rising to around the median of the series. The series gradually falls to around 50 basis points through 2019. The series rises and spikes in early 2020 to around 130 basis points, before falling back to 50 basis points in late 2020. The series then steadily rises to around 120 basis points in April 2022, the end of the series. The median for this series, designated by a horizontal red line, is plotted at 81.14 basis points.

Note: The data extend through April 22, 2022. Implied volatility on the 10-year swap rate, 1 month ahead, is derived from swaptions. The median value is 81.14 basis points.

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 April 2022. 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 black line begins around 150. It increases to roughly 250 in February 2019. It then declines to 150 by August 2019. It then drops sharply to around 100 and stays roughly around that value until the start of 2020. By February it reaches almost 175 and then drops sharply to around 25 in March 2020. It then increases steadily to around 200 in October 2020. The series oscillates between 200 and 250 from October 2020 through the end of 2020 before stabilizing around 225 in January 2021. There is a sharp decrease to around 100 in March 2021, a rebound to 150, and a decrease to 100 in April. The series then steadily increases to about 180 by June 2021, then decreases to about 150 in July. The series remains around 150 until October 21 and then hovers between 100 and 150 until February 2022. The series then falls to around 50 in February 2022 where it remains until the end of the curve. The red line begins in January 2019 around 100 and in the same month sees an increase to 225. In March, it rises to around 250, briefly drops to 200, before rising back to around 225 by early April. From April to July 2019, the series slowly declines to 180 and falls sharply to about 80. The series then rises to 130 in September 2019, falls to around 75 in October 2019, increases to 125 in November, and falls to 80 by year-end 2019. From January 2020 through February, the series rises to around 140 before falling sharply in March to around 10. It then increases to right above 150 by October 2020. The series generally oscillates between 100 and 150 from October 2020 to February 2022, except for a sharp drop to around 50 in late-February 2020. Starting in February 2022, the series falls from around 120 to 60 where it hovers until the end of the curve. The blue line begins around 15 in January 2019. From February to July, it stays between roughly 23 and 28. It then drops sharply to around 7 in August 2019 and remains there through October 2019. The series then rises to around 15 by February 2020 before falling sharply to below 5 in March 2020. The curve rises to around 7 by July 2020, before spiking to about 15 in late July. It then decreases to right below 10 in October 2020, where it remains until January 2021. The series spikes to about 15 in February 2021, falls to around 7, before rising steadily to about 20 by June 2021. The series then sharply decreases to about 10 by July 2021, rises back to 20 in October 2021, and then falls to around 12 by December 2021. The series falls from around 12 in February 2022 to around 8 in March 2022, before ending around 10 on April 22, 2022.

Note: Market depth is defined as the average top 3 bid and ask quote sizes for on-the-run Treasury securities.

Source: Inter Dealer Broker Community.

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Figure A. Market depth

This is a panel line chart titled “Figure A. Market depth – Treasury market”. The x-axis ranges from 2019 to 2022. The data are daily.

The left chart is subtitled “Treasury market”. The left y-axis for the “Treasury market” ranges from 0 to 120. The right y-axis ranges from 0 to 800. Both the left and right y axes are in millions of dollars. There are three variables charted on the plot. The black line is labeled 2-year and plotted along the right y-axis. This variable starts around 100 in 2019 and oscillates around that level through April 2019. The series then decreases to about 10 by September 2019. The series then increases back to around 100 by February 2020. In March 2020, the series falls close to 0 before steadily increasing to 300 by January 2021. The series then drops sharply to 50 before quickly rebounding to 200, where it remains through May 2021. The series briefly increases to around 300 in May and June 2021 before falling back to around 150 in July 2021, where the series remains until the end of September 2021. Next, the series falls to about 25 by December 2021, rises briefly back to 100, before falling to around 10 on April 22, 2022, the final date of the chart. The second line is labeled 10-year and is designated by a blue line. The variable starts at around 45 and rises to around 90 by April 2019. The series then falls to around 60 by July 2019 before falling sharply to 30 in August 2019. The series generally increases to around 50 until February 2020, when the series sharply decreases to around 5. From March 2020, the series increases steadily to about 60 by October 2020. From October 2020 through October 2021, the series fluctuates between 30 and 60. The series then enters a steady decline and ends at about 15 on April 22, 2022. The third line is labeled 30-year and is designated by a thick red line. The variable starts at 5.5 in 2019 and remains there through August, when it drops to decreases to 3.5. The variable generally remains between 3.5 and 5 through April 22, 2022.

Note: Market depth is computed as the average of the posted quote sizes at the best bid and ask prices.

The right chart is subtitled “Market depth - Equity and oil futures market”. The left y-axis ranges from 0 to 60 in number of contracts. The right y-axis ranges from 0 to 300 in number of contracts. There are two variables charted on the plot. The black line is labeled “Equity” and plotted along the right y-axis. This variable starts at 40 in 2019 and rises to around 250 in April 2019 before falling sharply to around 75 in May 2019. The series then rises to around 200 in July 2021, before falling quickly to around 50 in August. The variable rises to around 200 in early 2020 before falling close to 0 in March 2020. The data has some volatility, but generally rises, back up to 160 around September 2021 before decreasing steadily to around 40 by April 22, 2022. The blue line is labeled “Oil” and is plotted along the left y-axis. The line starts around 18 and rises quickly to 50 in April 2019. There is some volatility in the line, however, the series generally falls to around 15 in September 2019, before rising to around 30 by February 2020. The line drops sharply to around 10 in March 2020 before a steady increaser to around 25 by August 2020. The series hovers between 20 and 30 until January 2021, falls to 10 around the end of March, and then fluctuates between 10 and 25 until September 2021. The series then steadily declines to around 5 by April 22, 2022.

Note: Market depth is computed as the average of the posted quote sizes at the best bid and ask prices.

Source: For left panel Inter Dealer Broker Community; for right panel, Refinitiv, DataScope Tick History.

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Figure B. Market depth and volatility in oil futures

This is a scatter plot chart titled “Figure B. Market depth volatility in oil futures”. The x-axis measures the market depth in number of contracts and ranges from 0 to 100. The y-axis measures intraday volatility in an annual percentage rate and ranges from 0 to 300. The data are daily. The data begins in January 2007 and ends April 22, 2022. The scatter plot points appear in two colors. Blue open circles denote data points for days since the Russian Invasion on February 24, 2022. Black filled circles denote all days prior to the Russian Invasion dating back to January 3, 2007. A majority of the black filled-in circles sit below 100 percent and 25 contracts. The black filled-in dots have two tails. One tail extends along the x-axis, depicting days with high market depth and low intraday volatility. The other tail extends up the y-axis, depicting days with low market depth and high intraday volatility. The blue open circles generally sit to the left of the black circles, indicating that there was lower market depth on these days. The blue open circles also extend up the y-axis, but less so than the black filled-in circles.

Note: Intraday volatility is calculated daily from 1-minute intraday returns. Market depth is computed as the average of the posted quote sizes at the best bid and ask prices. The data sample is from January 1, 2007, to April 22, 2022. The blue dots are days since the Russian invasion of Ukraine, starting from February 24, 2022. The black dots are all other days before February 24, 2022.

Source: Refinitiv, DataScope Tick History.

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Figure C. Bid-ask spreads

This is a panel of two line charts titled “Figure C. Bid-ask spreads – Treasury market”. The x-axis of each chart ranges from 2019 to 2022. The data are daily.

The left chart is subtitled “Treasury market”. The right y-axis ranges from 0 to 5 and is measured in ticks. The left y-axis ranges from 0 to 15 and is measured in ticks. The chart plots three variables. The first line is labeled “2-year” and denoted in black. It is plotted against the right y-axis. The line starts at just above 1 tick and remains there until February 2020, except for two spikes of about 1.5 ticks in October and December 2019. The line has a spike in early 2020 peaking on March 12, 2020 at about 2 ticks. The line decreases back to around 1 tick in mid-2020 and remains steady until October 2021. From there, the series increases to about 1.25 ticks through April 22, 2022. The second line is labeled “10-year” and is plotted against the right axis. The line follows a similar pattern to the “2-year” line and sits around 1 tick from the start of the series through February 2020. There is a spike in March 2020, peaking at around 2 ticks on March 12, 2020. After decreasing back to 2019 levels, the line remains steady ending at around 1.2 ticks on April 22, 2022. The third line is labeled “30-year” represented in red and plotted against the left axis. The line starts at about 1.5 ticks and remains there until September 2019, when the series increases to around 2 ticks. From September 2019 through February 2020, the series decreases back to 1.5 ticks. There is a big spike in March 2020 peaking at about 12 ticks on March 12, 2020. The line returns back to 2019 values and remains steady with a few smaller spikes in the fall of 2020. There is a gradual increase from 2021 to April 2022 when the series increases from 1.5 to about 3 ticks.

Note: Bid-ask spreads are expressed as a multiple of tick size (minimum price increment). The tick size for the 2-year Treasury note is 1/256 of a dollar per $100 of par value, while that for the 10-year Treasury note and the 30-year Treasury bond is 4/256 of a dollar per $100 of par value. The tick size for the S&P 500 E-mini futures contract is $0.25 per index point, and that for the West Texas Intermediate crude oil futures contract is $0.01 per barrel.

The right chart is subtitled “Bid-ask spreads - Equity and oil futures market”. The y-axis ranges from 0 to 5 measured in ticks. The chart plots two variables. The first line is titled “Equity” and is denoted in black. The line ranges from 1 to 1.5. There is a spike in March 2020 where the value peaks at 1.5 before returning to around 1 tick ending on April 22, 2022. The second line is titled “Oil” and is denoted in blue. The line remains around 1 from 2019 until October of 2021 where it first spikes to around 2 before briefly returning around just above 1. There is a second much larger spike to around 4.3 in early 2022 before the value returns to 1.7 on April 22, 2022.

Note: Bid-ask spreads are expressed as a multiple of tick size (minimum price increment). The tick size for the 2-year Treasury note is 1/256 of a dollar per $100 of par value, while that for the 10-year Treasury note and the 30-year Treasury bond is 4/256 of a dollar per $100 of par value. The tick size for the S&P 500 E-mini futures contract is $0.25 per index point, and that for the West Texas Intermediate crude oil futures contract is $0.01 per barrel.

Source: For left panel Inter Dealer Broker Community; for right panel, Refinitiv, DataScope Tick History.

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Figure D. Bid-ask spreads for oil futures

This a line chart titled “Figure D. Bid-ask spreads for oil futures”. The x-axis ranges from January 4, 2021 to the week of April 22, 2022. The data are daily. The Y-axis ranges from 0 to 8 in units of ticks. The chart plots one variable and includes the 90th and 10th percentiles as the shaded area. The mean line is denoted in red. The mean line remains steady around 1 from January through February. Beginning in March the data begins to increase, peaking at 4.5 on March 9, 2022. Following the peak, the data gradually decreases to about 1.5 by April 22, 2022. The 90th percentile generally remains steady at 2 except for the period around March 9, 2022 when it peaks around 7. The 10th percentile generally remains at 1 tick, except for a few days around March 9, 2022 when it increases to 2.

Note: Bid-ask spreads are expressed as a multiple of tick size (minimum price increment). The tick size for the West Texas Intermediate crude oil futures contract is $0.01 per barrel.

Source: Refinitiv, DataScope Tick History.

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Figure E. Bid-ask spreads and market depth for the 10-year Treasury note

This is a panel of two line charts titled “Figure E. Bid-ask spreads and market depth for the 10-year Treasury note”. The left Y-axis for each chart ranges from 0 to 220 in millions of dollars. The right Y-axis ranges from 1 to 4 in cents per $100 of par value. The data are daily.

The left chart is subtitled “March 2020 onset of COVID-19 pandemic”. The x-axis ranges from February 2020 through May of 2020. The chart plots two variables. The first line is titled “Bid-ask spreads” plotted against the right scale and denoted in black. The line remains steady around 1.8 until early March when there is a quick spike to nearly 3.5. The line returns to around 2 before another smaller spike to 2.3 on April 11. The series returns to around 1.8 and remains there through April 30, 2020. The second variable is titled “Market depth” and is plotted on the left scale. The line is denoted in blue. The line starts and remains around 100 through late-February. It then declines to around 15 by mid-March. There is a steady increase until April 30, 2020 where the data finishes at a value around 50.

Note: Market depth is computed as the average of the posted quote sizes at the best bid and ask prices.

Source: Inter Dealer Broker Community.

The right chart is subtitled “August 2019 global growth concerns”. The x-axis ranges from July 2019 through October of 2019. There are two variables. The first line is titled “Bid-ask spreads” plotted against the right scale and denoted in black. Bid-ask spreads remain steady around 1.75 throughout the whole period. The second variable is titled “Market depth” and is plotted on the left scale. The line is denoted in blue. The line ranges from 100 to 130 during July before dropping sharply to around 60 in August. There is some volatility in the line with a sharp spike in early September peaking back at 110. The line ends around 60 on October 1, 2022.

Note: Market depth is computed as the average of the posted quote sizes at the best bid and ask prices.

Source: Inter Dealer 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 2022. 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 2002. It falls to around 7 percent in 2003 and remains there until 2007. The curve rises to 11 in 2008, before spiking to about 22 percent in late 2008. The series falls sharply in 2009 before decreasing more slowly to 7 percent in 2011. The series generally remains around 6 percent through 2020, with local spikes to around 9 in late 2011, early 2016, and early 2020. There series stays around 4 percent in 2021 before rising to about 6 percent by April 2022 when the series ends. The second line is labeled "Triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, fluctuates between 7 and 9 percent until 2002, and drops to 10 percent in late 2008. The series falls sharply to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to 2019. It has a spike in early 2020 then decreases to around 2 percent in October 2020. It hovers at the level through 2021 before rising to about 4 percent in April 2022.

Note: The data extends through April 22, 2022. 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 2022. 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 and rises steadily to around 10 percentage points by 2002. The series falls to 4 percentage points by the end of 2003 and then declines slowly to around 2 percent until 2007. The series then rises rapidly to its peak in late 2008 of around 20 percentage points. It then falls steeply in 2009 to around 6 percentage points before falls gradually to 4 percentage points in 2011. In late 2011, the series spikes to 8 percentage points, before falling steadily to around 4 percentage points in 2014. The series rises back to 8 percentage points by early 2016, 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 in 2017, remaining there through 2019. In mid-2020, it jumps to almost 10 percent then drops to about 5 percent in October. It then steadily decreases to about 3 percentage points in April 2021 to just below 3 percentage points and remains there until April 2022. 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 3.5 percentage by the end of 2002. It declines to around 1 percentage by the start of 2004 and remains there until mid-2007. From there, it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 3 percentage points and declines further to 2 percentage points in 2011. The series jumps to 3 percentage points in mid-2011 before declining slowly to 1.5 percentage points in 2014. It then rises gradually to around 3 percentage points in early 2016, then declines to around 1 percentage point by early 2018. The series remains around 1.5 percentage points from 2018 through early 2020 before jumping to almost 4 percentage points. It then decreases to 1 percent by April 2021 and remains there through 2021. It slightly increases at the very end of 2021 into 2022 to end right around 1.5 percentage points.

Note: The data extends through April 22, 2022. 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
1/31/1997 -0.33
2/28/1997 -0.48
3/31/1997 -0.51
4/30/1997 -0.46
5/31/1997 -0.46
6/30/1997 -0.56
7/31/1997 -0.54
8/31/1997 -0.49
9/30/1997 -0.58
10/31/1997 -0.44
11/30/1997 -0.35
12/31/1997 -0.4
1/31/1998 -0.36
2/28/1998 -0.36
3/31/1998 -0.41
4/30/1998 -0.43
5/31/1998 -0.39
6/30/1998 -0.36
7/31/1998 -0.32
8/31/1998 0.09
9/30/1998 0.06
10/31/1998 0.2
11/30/1998 0.17
12/31/1998 0.04
1/31/1999 0.05
2/28/1999 -0.2
3/31/1999 -0.18
4/30/1999 -0.22
5/31/1999 -0.22
6/30/1999 -0.16
7/31/1999 -0.11
8/31/1999 -0.04
9/30/1999 0.08
10/31/1999 0.1
11/30/1999 0.06
12/31/1999 -0.17
1/31/2000 0.02
2/29/2000 0.1
3/31/2000 0.36
4/30/2000 0.52
5/31/2000 0.7
6/30/2000 0.74
7/31/2000 0.82
8/31/2000 1
9/30/2000 1.1
10/31/2000 1.51
11/30/2000 1.57
12/31/2000 1.57
1/31/2001 1.15
2/28/2001 1.13
3/31/2001 1.07
4/30/2001 0.88
5/31/2001 0.75
6/30/2001 0.98
7/31/2001 0.74
8/31/2001 0.75
9/30/2001 1.19
10/31/2001 1.02
11/30/2001 -0.12
12/31/2001 0.38
1/31/2002 0.57
2/28/2002 0.74
3/31/2002 0.25
4/30/2002 0.37
5/31/2002 0.47
6/30/2002 0.91
7/31/2002 1.51
8/31/2002 1.42
9/30/2002 1.58
10/31/2002 1.4
11/30/2002 1
12/31/2002 0.86
1/31/2003 0.83
2/28/2003 0.6
3/31/2003 0.1
4/30/2003 0.01
5/31/2003 -0.53
6/30/2003 -0.43
7/31/2003 -1.08
8/31/2003 -0.22
9/30/2003 -0.58
10/31/2003 -0.54
11/30/2003 -0.58
12/31/2003 -0.55
1/31/2004 -0.73
2/29/2004 -0.37
3/31/2004 -0.55
4/30/2004 -0.77
5/31/2004 -0.39
6/30/2004 -0.4
7/31/2004 -0.34
8/31/2004 -0.42
9/30/2004 -0.57
10/31/2004 -0.54
11/30/2004 -0.69
12/31/2004 -0.74
1/31/2005 -0.7
2/28/2005 -0.96
3/31/2005 -0.66
4/30/2005 -0.41
5/31/2005 -0.33
6/30/2005 -0.48
7/31/2005 -0.58
8/31/2005 -0.56
9/30/2005 -0.49
10/31/2005 -0.33
11/30/2005 -0.34
12/31/2005 -0.3
1/31/2006 -0.36
2/28/2006 -0.34
3/31/2006 -0.43
4/30/2006 -0.47
5/31/2006 -0.37
6/30/2006 -0.38
7/31/2006 -0.29
8/31/2006 -0.3
9/30/2006 -0.37
10/31/2006 -0.39
11/30/2006 -0.38
12/31/2006 -0.5
1/31/2007 -0.55
2/28/2007 -0.57
3/31/2007 -0.38
4/30/2007 -0.39
5/31/2007 -0.6
6/30/2007 -0.39
7/31/2007 0.01
8/31/2007 0.14
9/30/2007 0.06
10/31/2007 -0.01
11/30/2007 0.32
12/31/2007 0.47
1/31/2008 0.71
2/29/2008 0.91
3/31/2008 1.13
4/30/2008 0.65
5/31/2008 0.66
6/30/2008 0.8
7/31/2008 1.06
8/31/2008 1.23
9/30/2008 1.78
10/31/2008 3.47
11/30/2008 3.2
12/31/2008 3.35
1/31/2009 2.81
2/28/2009 3.17
3/31/2009 2.73
4/30/2009 2.22
5/31/2009 1.36
6/30/2009 0.92
7/31/2009 0.32
8/31/2009 0.08
9/30/2009 0.03
10/31/2009 -0.15
11/30/2009 -0.04
12/31/2009 -0.49
1/31/2010 -0.21
2/28/2010 -0.03
3/31/2010 -0.19
4/30/2010 -0.3
5/31/2010 -0.16
6/30/2010 0.01
7/31/2010 0.13
8/31/2010 -0.31
9/30/2010 -0.05
10/31/2010 -0.04
11/30/2010 -0.17
12/31/2010 -0.44
1/31/2011 -0.04
2/28/2011 -0.3
3/31/2011 -0.34
4/30/2011 -0.3
5/31/2011 -0.17
6/30/2011 -0.05
7/31/2011 -0.1
8/31/2011 -0.12
9/30/2011 0.4
10/31/2011 -0.12
11/30/2011 0.46
12/31/2011 0.24
1/31/2012 0.14
2/29/2012 0.01
3/31/2012 -0.38
4/30/2012 -0.21
5/31/2012 -0.12
6/30/2012 0.12
7/31/2012 -0.05
8/31/2012 -0.23
9/30/2012 -0.19
10/31/2012 -0.21
11/30/2012 -0.08
12/31/2012 -0.2
1/31/2013 -0.12
2/28/2013 -0.07
3/31/2013 -0.13
4/30/2013 -0.16
5/31/2013 -0.52
6/30/2013 -0.37
7/31/2013 -0.04
8/31/2013 -0.13
9/30/2013 -0.16
10/31/2013 -0.05
11/30/2013 -0.02
12/31/2013 -0.17
1/31/2014 -0.32
2/28/2014 -0.23
3/31/2014 -0.3
4/30/2014 -0.38
5/31/2014 -0.39
6/30/2014 -0.33
7/31/2014 -0.33
8/31/2014 -0.32
9/30/2014 -0.23
10/31/2014 -0.22
11/30/2014 0.05
12/31/2014 0.08
1/31/2015 -0.05
2/28/2015 -0.3
3/31/2015 -0.14
4/30/2015 -0.01
5/31/2015 0.04
6/30/2015 0.14
7/31/2015 0.21
8/31/2015 0.4
9/30/2015 0.53
10/31/2015 0.42
11/30/2015 0.51
12/31/2015 0.69
1/31/2016 0.92
2/29/2016 0.95
3/31/2016 0.57
4/30/2016 0.23
5/31/2016 0.24
6/30/2016 0.05
7/31/2016 -0.01
8/31/2016 -0.02
9/30/2016 -0.08
10/31/2016 -0.07
11/30/2016 -0.72
12/31/2016 -0.24
1/31/2017 -0.19
2/28/2017 -0.19
3/31/2017 -0.18
4/30/2017 -0.13
5/31/2017 -0.18
6/30/2017 -0.13
7/31/2017 -0.16
8/31/2017 -0.07
9/30/2017 -0.26
10/31/2017 -0.21
11/30/2017 -0.14
12/31/2017 -0.2
1/31/2018 -0.4
2/28/2018 -0.25
3/31/2018 -0.11
4/30/2018 -0.28
5/31/2018 -0.2
6/30/2018 0.02
7/31/2018 -0.13
8/31/2018 -0.08
9/30/2018 -0.18
10/31/2018 0
11/30/2018 0.14
12/31/2018 0.34
1/31/2019 0.17
2/28/2019 0.06
3/31/2019 -0.13
4/30/2019 -0.02
5/31/2019 -0.03
6/30/2019 0
7/31/2019 -0.06
8/31/2019 -0.16
9/30/2019 -0.25
10/31/2019 -0.24
11/30/2019 -0.19
12/31/2019 -0.3
1/31/2020 -0.26
2/29/2020 -0.17
3/31/2020 1.22
4/30/2020 0.66
5/31/2020 0.4
6/30/2020 0.05
7/31/2020 -0.17
8/31/2020 -0.27
9/30/2020 0
10/31/2020 -0.2
11/30/2020 -0.47
12/31/2020 -0.5
1/31/2021 -0.65
2/28/2021 -0.93
3/31/2021 -0.74
4/30/2021 -0.49
5/31/2021 -0.42
6/30/2021 -0.58
7/31/2021 -0.55
8/31/2021 -0.46
9/30/2021 -0.64
10/31/2021 -0.51
11/30/2021 -0.43
12/31/2021 -0.43
1/31/2022 -0.32
2/28/2022 -0.19
3/31/2022 -0.77

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, 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 4.84 3.37
1/3/2014 4.77 3.34
1/10/2014 4.74 3.35
1/17/2014 4.74 3.34
1/24/2014 4.77 3.37
1/31/2014 4.76 3.37
2/7/2014 4.74 3.42
2/14/2014 4.72 3.44
2/21/2014 4.71 3.32
2/28/2014 4.70 3.32
3/7/2014 4.68 3.32
3/14/2014 4.65 3.31
3/21/2014 4.65 3.32
3/28/2014 4.72 3.38
3/31/2014 4.70 3.41
4/4/2014 4.72 3.40
4/11/2014 4.76 3.45
4/17/2014 4.74 3.41
4/25/2014 4.73 3.37
4/30/2014 4.70 3.38
5/2/2014 4.71 3.39
5/9/2014 4.72 3.39
5/16/2014 4.70 3.40
5/23/2014 4.69 3.40
5/30/2014 4.69 3.39
6/6/2014 4.68 3.37
6/13/2014 4.67 3.38
6/20/2014 4.66 3.42
6/27/2014 4.67 3.42
6/30/2014 4.67 3.43
7/3/2014 4.75 3.50
7/11/2014 4.76 3.56
7/18/2014 4.80 3.63
7/25/2014 4.79 3.61
7/31/2014 4.76 3.58
8/1/2014 4.77 3.58
8/8/2014 4.82 3.63
8/15/2014 4.82 3.63
8/22/2014 4.90 3.71
8/29/2014 4.97 3.76
9/5/2014 4.99 3.78
9/12/2014 5.14 3.92
9/19/2014 5.09 3.84
9/26/2014 5.00 3.74
9/30/2014 5.01 3.71
10/3/2014 5.00 3.69
10/10/2014 5.01 3.68
10/17/2014 5.03 3.67
10/24/2014 5.14 3.69
10/31/2014 5.41 3.91
11/7/2014 5.52 3.95
11/14/2014 5.45 3.90
11/21/2014 5.44 3.89
11/28/2014 5.44 3.92
12/5/2014 5.45 3.89
12/12/2014 5.44 3.88
12/19/2014 5.47 3.93
12/26/2014 5.41 3.86
12/31/2014 5.33 3.79
1/2/2015 5.27 3.75
1/9/2015 5.22 3.73
1/16/2015 5.19 3.68
1/23/2015 5.16 3.69
1/30/2015 5.21 3.70
2/6/2015 5.21 3.67
2/13/2015 5.18 3.66
2/20/2015 5.12 3.58
2/27/2015 5.14 3.56
3/6/2015 5.11 3.56
3/13/2015 5.12 3.55
3/20/2015 5.09 3.57
3/27/2015 5.11 3.60
3/31/2015 5.13 3.57
4/2/2015 5.14 3.57
4/10/2015 5.22 3.58
4/17/2015 5.28 3.61
4/24/2015 5.31 3.64
4/30/2015 5.31 3.62
5/1/2015 5.35 3.63
5/8/2015 5.34 3.59
5/15/2015 5.30 3.55
5/22/2015 5.31 3.55
5/29/2015 5.36 3.58
6/5/2015 5.38 3.62
6/12/2015 5.41 3.68
6/19/2015 5.48 3.71
6/26/2015 5.56 3.74
6/30/2015 5.41 3.72
7/2/2015 5.42 3.69
7/10/2015 5.45 3.68
7/17/2015 5.52 3.70
7/24/2015 5.75 3.78
7/31/2015 5.75 3.77
8/7/2015 5.79 3.78
8/14/2015 5.76 3.78
8/21/2015 5.77 3.85
8/28/2015 5.77 3.81
8/31/2015 5.90 3.90
9/4/2015 6.08 3.95
9/11/2015 6.11 3.92
9/18/2015 6.21 3.87
9/25/2015 6.66 3.96
9/30/2015 7.00 4.02
10/2/2015 7.08 4.05
10/9/2015 7.08 4.03
10/16/2015 7.12 4.01
10/23/2015 7.22 4.03
10/30/2015 7.46 4.14
11/6/2015 7.43 4.14
11/13/2015 7.46 4.11
11/20/2015 7.71 4.26
11/27/2015 7.52 4.27
11/30/2015 7.51 4.24
12/4/2015 7.25 4.11
12/11/2015 6.95 3.97
12/18/2015 6.56 3.76
12/24/2015 6.50 3.78
12/31/2015 6.28 3.81
1/8/2016 6.20 3.73
1/15/2016 5.81 3.69
1/22/2016 5.60 3.62
1/29/2016 5.52 3.60
2/5/2016 5.50 3.64
2/12/2016 5.46 3.65
2/19/2016 5.42 3.62
2/26/2016 5.33 3.58
2/29/2016 5.34 3.57
3/4/2016 5.29 3.61
3/11/2016 5.29 3.65
3/18/2016 5.34 3.64
3/24/2016 5.38 3.65
3/31/2016 5.34 3.62
4/1/2016 5.23 3.54
4/8/2016 5.15 3.48
4/15/2016 5.12 3.45
4/22/2016 5.10 3.47
4/29/2016 5.07 3.44
5/6/2016 5.13 3.44
5/13/2016 5.10 3.45
5/20/2016 5.04 3.43
5/27/2016 5.00 3.39
5/31/2016 5.00 3.37
6/3/2016 4.89 3.35
6/10/2016 4.88 3.34
6/17/2016 4.84 3.27
6/24/2016 4.86 3.27
6/30/2016 4.81 3.20
7/1/2016 4.78 3.19
7/8/2016 4.80 3.25
7/15/2016 4.80 3.27
7/22/2016 4.77 3.22
7/29/2016 4.75 3.21
8/5/2016 4.68 3.20
8/12/2016 4.59 3.09
8/19/2016 4.54 3.07
8/26/2016 4.60 3.07
8/31/2016 4.64 3.04
9/2/2016 4.57 3.02
9/9/2016 4.54 3.03
9/16/2016 4.56 3.06
9/23/2016 4.54 3.09
9/30/2016 4.50 3.06
10/7/2016 4.51 3.01
10/14/2016 4.45 2.95
10/21/2016 4.39 2.93
10/28/2016 4.34 2.88
10/31/2016 4.34 2.87
11/4/2016 4.32 2.85
11/10/2016 4.32 2.94
11/18/2016 4.25 2.91
11/25/2016 4.15 2.88
11/30/2016 4.12 2.85
12/2/2016 4.13 2.83
12/9/2016 4.13 2.82
12/16/2016 4.16 2.88
12/23/2016 4.13 2.88
12/30/2016 4.11 2.89
1/6/2017 4.04 2.89
1/13/2017 4.05 2.87
1/20/2017 4.03 2.87
1/27/2017 4.04 2.88
1/31/2017 4.07 2.86
2/3/2017 4.08 2.84
2/10/2017 4.07 2.83
2/17/2017 4.09 2.83
2/24/2017 4.09 2.80
2/28/2017 4.03 2.78
3/3/2017 4.03 2.75
3/10/2017 4.06 2.80
3/17/2017 4.07 2.78
3/24/2017 4.07 2.82
3/31/2017 4.06 2.85
4/7/2017 4.02 2.87
4/13/2017 4.02 2.89
4/21/2017 4.02 2.82
4/28/2017 4.01 2.72
5/5/2017 3.98 2.67
5/12/2017 3.95 2.67
5/19/2017 3.93 2.65
5/26/2017 3.94 2.65
5/31/2017 3.97 2.63
6/2/2017 3.98 2.62
6/9/2017 3.96 2.65
6/16/2017 3.95 2.64
6/23/2017 3.95 2.63
6/30/2017 3.94 2.61
7/7/2017 4.00 2.62
7/14/2017 3.91 2.63
7/21/2017 3.89 2.59
7/28/2017 3.87 2.55
7/31/2017 3.81 2.54
8/4/2017 3.77 2.52
8/11/2017 3.73 2.50
8/18/2017 3.70 2.44
8/25/2017 3.74 2.48
8/31/2017 3.73 2.49
9/1/2017 3.73 2.50
9/8/2017 3.72 2.51
9/15/2017 3.72 2.51
9/22/2017 3.70 2.49
9/29/2017 3.72 2.49
10/6/2017 3.72 2.49
10/13/2017 3.72 2.49
10/20/2017 3.68 2.49
10/27/2017 3.66 2.46
10/31/2017 3.67 2.44
11/3/2017 3.68 2.44
11/10/2017 3.68 2.44
11/17/2017 3.68 2.47
11/24/2017 3.69 2.49
11/30/2017 3.72 2.48
12/1/2017 3.71 2.49
12/8/2017 3.73 2.49
12/15/2017 3.75 2.52
12/22/2017 3.76 2.55
12/29/2017 3.75 2.53
1/5/2018 3.76 2.54
1/12/2018 3.75 2.53
1/19/2018 3.76 2.51
1/26/2018 3.75 2.50
1/31/2018 3.77 2.52
2/2/2018 3.77 2.53
2/9/2018 3.81 2.48
2/16/2018 3.83 2.49
2/23/2018 3.82 2.49
2/28/2018 3.81 2.50
3/2/2018 3.78 2.48
3/9/2018 3.73 2.48
3/16/2018 3.73 2.48
3/23/2018 3.75 2.49
3/30/2018 3.75 2.49
4/6/2018 3.79 2.54
4/13/2018 3.84 2.58
4/20/2018 3.86 2.61
4/27/2018 3.95 2.68
4/30/2018 4.07 2.76
5/4/2018 4.18 2.88
5/11/2018 4.33 3.01
5/18/2018 4.51 3.15
5/25/2018 4.83 3.37
5/31/2018 4.94 3.46
6/1/2018 4.73 3.18
6/8/2018 4.49 2.91
6/15/2018 4.48 2.84
6/22/2018 4.53 2.88
6/29/2018 4.54 2.89
7/6/2018 4.49 2.86
7/13/2018 4.44 2.83
7/20/2018 4.33 2.76
7/27/2018 4.24 2.69
7/31/2018 4.32 2.75
8/3/2018 4.31 2.73
8/10/2018 4.40 2.79
8/17/2018 4.46 2.88
8/24/2018 4.32 2.79
8/31/2018 4.26 2.74
9/7/2018 4.21 2.73
9/14/2018 4.18 2.70
9/21/2018 4.13 2.68
9/28/2018 4.20 2.68
10/5/2018 4.16 2.68
10/12/2018 4.22 2.68
10/19/2018 4.30 2.68
10/26/2018 4.30 2.67
10/31/2018 4.31 2.65
11/2/2018 4.31 2.66
11/9/2018 4.36 2.70
11/16/2018 4.36 2.69
11/23/2018 4.32 2.67
11/30/2018 4.30 2.65
12/7/2018 4.30 2.65
12/14/2018 4.30 2.73
12/21/2018 4.41 2.77
12/28/2018 4.50 2.80
12/31/2018 4.51 2.78
1/4/2019 4.46 2.80
1/11/2019 4.42 2.74
1/18/2019 4.35 2.67
1/25/2019 4.34 2.68
1/31/2019 4.33 2.67
2/1/2019 4.43 2.70
2/8/2019 4.59 2.74
2/15/2019 4.62 2.72
2/22/2019 4.63 2.71
2/28/2019 4.68 2.75
3/1/2019 4.68 2.75
3/8/2019 4.62 2.75
3/15/2019 4.67 2.75
3/22/2019 4.66 2.74
3/29/2019 4.55 2.71
4/5/2019 4.36 2.66
4/12/2019 4.24 2.64
4/18/2019 4.24 2.64
4/26/2019 4.23 2.62
4/30/2019 4.14 2.58
5/3/2019 4.11 2.57
5/10/2019 4.11 2.60
5/17/2019 4.19 2.63
5/24/2019 4.22 2.68
5/31/2019 4.21 2.69
6/7/2019 4.19 2.71
6/14/2019 4.58 3.04
6/21/2019 4.85 3.24
6/28/2019 6.39 4.75
7/5/2019 9.69 7.88
7/12/2019 9.03 6.15
7/19/2019 8.15 5.05
7/26/2019 7.31 4.26
7/31/2019 6.74 3.94
8/2/2019 6.91 4.12
8/9/2019 6.88 4.14
8/16/2019 6.56 4.05
8/23/2019 6.51 4.03
8/30/2019 6.16 3.71
9/6/2019 5.77 3.43
9/13/2019 5.42 3.21
9/20/2019 5.37 3.26
9/27/2019 5.22 3.14
9/30/2019 5.51 3.38
10/4/2019 5.40 3.36
10/11/2019 5.37 3.30
10/18/2019 5.20 3.19
10/25/2019 5.07 3.09
10/31/2019 5.09 3.13
11/1/2019 4.96 3.05
11/8/2019 4.86 3.02
11/15/2019 4.88 3.09
11/22/2019 4.83 3.07
11/29/2019 4.65 2.90
12/6/2019 4.58 2.87
12/13/2019 4.56 2.88
12/20/2019 4.74 3.06
12/27/2019 4.75 3.10
12/31/2019 4.63 3.01
1/3/2020 4.67 3.04
1/10/2020 4.83 3.07
1/17/2020 5.00 3.22
1/24/2020 4.81 3.06
1/31/2020 4.67 2.99
2/7/2020 4.67 3.02
2/14/2020 4.61 2.98
2/21/2020 4.50 2.90
2/28/2020 4.46 2.86
3/6/2020 4.39 2.81
3/13/2020 4.41 2.81
3/20/2020 4.39 2.80
3/27/2020 4.23 2.63
3/31/2020 4.16 2.65
4/3/2020 4.16 2.63
4/9/2020 4.22 2.69
4/17/2020 4.20 2.68
4/24/2020 4.13 2.70
4/30/2020 4.12 2.71
5/1/2020 4.13 2.69
5/8/2020 4.14 2.75
5/15/2020 4.15 2.77
5/22/2020 4.21 2.81
5/29/2020 4.23 2.84
6/5/2020 4.24 2.84
6/12/2020 4.17 2.79
6/19/2020 4.16 2.81
6/26/2020 4.19 2.77
6/30/2020 4.18 2.80
7/3/2020 4.19 2.81
7/10/2020 4.19 2.84
7/17/2020 4.16 2.82
7/24/2020 4.15 2.79
7/31/2020 4.14 2.82
8/7/2020 4.12 2.80
8/14/2020 4.15 2.86
8/21/2020 4.17 2.88
8/28/2020 4.17 2.90
8/31/2020 4.16 2.91
9/4/2020 4.15 2.86
9/11/2020 4.17 2.90
9/18/2020 4.21 2.92
9/25/2020 4.23 2.93
9/30/2020 4.23 3.09
10/2/2020 4.25 3.14
10/9/2020 4.24 3.12
10/16/2020 4.21 3.09
10/23/2020 4.18 3.07
10/30/2020 4.18 3.07
11/6/2020 4.18 3.06
11/13/2020 4.17 3.05
11/20/2020 4.18 3.05
11/27/2020 4.20 3.05
11/30/2020 4.19 3.05
12/4/2020 4.20 3.06
12/11/2020 4.18 3.05
12/18/2020 4.17 3.00
12/24/2020 4.17 3.01
12/31/2020 4.21 3.04
1/8/2021 4.29 3.08
1/15/2021 4.24 3.03
1/22/2021 4.23 3.07
1/29/2021 4.22 3.06
2/5/2021 4.28 3.08
2/12/2021 4.21 3.02
2/19/2021 4.18 2.99
2/26/2021 4.16 2.99
3/5/2021 4.24 3.03
3/12/2021 4.24 3.03
3/19/2021 4.30 3.06
3/26/2021 4.38 3.16
3/31/2021 4.46 3.23
4/2/2021 4.45 3.24
4/9/2021 4.77 3.50
4/16/2021 4.72 3.45
4/23/2021 4.58 3.34
4/30/2021 4.43 3.18
5/7/2021 4.20 3.01
5/14/2021 4.20 3.05
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
10/22/2021 4.19 3.05
10/29/2021 4.20 3.06
11/5/2021 4.18 3.05
11/12/2021 4.17 3.00
11/19/2021 4.17 3.01
11/26/2021 4.21 3.04
12/3/2021 4.29 3.08
12/10/2021 4.24 3.03
12/17/2021 4.23 3.07
12/24/2021 4.22 3.06
12/31/2021 4.28 3.08
1/7/2022 4.21 3.02
1/14/2022 4.18 2.99
1/21/2022 4.16 2.99
1/28/2022 4.24 3.03
2/4/2022 4.24 3.03
2/11/2022 4.30 3.06
2/18/2022 4.38 3.16
2/25/2022 4.46 3.23
3/4/2022 4.45 3.24
3/11/2022 4.77 3.50
3/18/2022 4.72 3.45
3/25/2022 4.58 3.34
4/1/2022 4.43 3.18
4/8/2022 4.20 3.01
4/15/2022 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. The line break represents the data transitioning from monthly to weekly in November 2013.

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

Return to text
Figure A. Transition progress in several markets is near completion

This is a line series chart titled “Transition progress in several markets is near completion”. The x-axis measures time and ranges from September 2020 to March 2022. The right y-axis measures the percent of new issuance volume referencing SOFR and ranges from 0 to 100. The data is monthly. The first series is labeled ‘FRNs’ and is deep red. This variable starts at 65 and declines to 57 in November 2020. It then increases to 66 in December 2020 before declining to a low of 49 in March 2021. From there on, it increases to 99 by January 2022. It ends at 96 in March 2022. The second series is labeled “ARMs”, designated by a blue line, and starts at 0. It increases to 26 in January 2021 before quickly increasing to 100 by April 2021, where it stays until the end of the chart. The third series is “Cross-currency basis swap volumes, designated by a thin black line, which begins at 0 and stays flat. It increases slightly in July 2021 to 4, before decreasing slightly in August 2021 back to 3. In October 2021 it increases sharply to 100, where it stays until the end of the chart.

Note: FRNs are floating-rate notes; Agency ARMs are adjustable-rate mortgages; SOFR is the Secured Overnight Financing Rate.

Source: Black Knight, Inc. – eMBS, Clarus Perspective.

Return to text
Figure B. Syndicated lending

This is a bar chart titled “Syndicated lending”. The x-axis measures time and ranges from September 2021 to March 2022. The y-axis measures billions of dollars and ranges from 0 to 200. The data are monthly. For each month, there are two bars charted. The left bars for each month are labeled “LIBOR” and are light blue. This series starts at 180 in September 2021, drops to 126 in October 2021, and rises to 157 in November 2021. In December 2021 the series declines to 80 and falls to 4 in January 2021 and stays flat for the rest of the chart. The right bars for each month are labeled “SOFR” and are dark blue. The series starts at 13 in in September 2021 and rises to 112 in January 2022. It falls in February 2022 to 83, before ending at 150 in March 2022.

Note: SOFR is the Secured Overnight Financing Rate. The key identifies bars in order from left to right.

Source: S&P Global, Leveraged Commentary & Data; Refinitiv LPC DealScan.

Return to text
Figure 1.9. Forward price-to-earnings ratio of S&P 500 firms

Ratio

Date Forward Price-to-Earnings Ratio
1/31/1989 10.07
2/28/1989 10.14
3/31/1989 10.11
4/30/1989 10.42
5/31/1989 10.73
6/30/1989 10.85
7/31/1989 11.24
8/31/1989 11.56
9/30/1989 11.51
10/31/1989 11.47
11/30/1989 11.51
12/31/1989 11.88
1/31/1990 11.53
2/28/1990 11.3
3/31/1990 11.5
4/30/1990 11.65
5/31/1990 12.07
6/30/1990 12.38
7/31/1990 12.39
8/31/1990 11.51
9/30/1990 10.79
10/31/1990 10.3
11/30/1990 11.18
12/31/1990 11.66
1/31/1991 11.26
2/28/1991 13.43
3/31/1991 13.77
4/30/1991 14.45
5/31/1991 13.64
6/30/1991 13.9
7/31/1991 14.16
8/31/1991 14.4
9/30/1991 14.21
10/31/1991 14.31
11/30/1991 14.45
12/31/1991 14.01
1/31/1992 15.37
2/29/1992 15.01
3/31/1992 14.86
4/30/1992 14.81
5/31/1992 14.7
6/30/1992 14.01
7/31/1992 14.43
8/31/1992 14.45
9/30/1992 14.41
10/31/1992 14
11/30/1992 14.52
12/31/1992 14.71
1/31/1993 14.61
2/28/1993 14.66
3/31/1993 15.01
4/30/1993 15.03
5/31/1993 14.72
6/30/1993 14.63
7/31/1993 14.63
8/31/1993 14.76
9/30/1993 14.8
10/31/1993 14.64
11/30/1993 14.67
12/31/1993 14.48
1/31/1994 14.75
2/28/1994 14.6
3/31/1994 14.34
4/30/1994 13.46
5/31/1994 13.42
6/30/1994 13.47
7/31/1994 13
8/31/1994 13.21
9/30/1994 13.11
10/31/1994 12.92
11/30/1994 12.56
12/31/1994 12.09
1/31/1995 12.31
2/28/1995 12.48
3/31/1995 12.5
4/30/1995 12.66
5/31/1995 12.91
6/30/1995 13.06
7/31/1995 13.3
8/31/1995 13.35
9/30/1995 13.67
10/31/1995 13.77
11/30/1995 13.8
12/31/1995 14.32
1/31/1996 14.01
2/29/1996 15.23
3/31/1996 14.81
4/30/1996 14.79
5/31/1996 15.19
6/30/1996 14.71
7/31/1996 14.41
8/31/1996 14.92
9/30/1996 15.24
10/31/1996 15.61
11/30/1996 16.07
12/31/1996 15.85
1/31/1997 16.46
2/28/1997 17.36
3/31/1997 16.65
4/30/1997 16.03
5/31/1997 17.38
6/30/1997 18.39
7/31/1997 19.23
8/31/1997 18.68
9/30/1997 18.92
10/31/1997 19.2
11/30/1997 18.6
12/31/1997 18.87
1/31/1998 18.66
2/28/1998 20.36
3/31/1998 21.42
4/30/1998 21.9
5/31/1998 21.69
6/30/1998 21.42
7/31/1998 22.77
8/31/1998 21.17
9/30/1998 20.01
10/31/1998 19.28
11/30/1998 22.02
12/31/1998 22.3
1/31/1999 23.7
2/28/1999 23.53
3/31/1999 24.72
4/30/1999 24.95
5/31/1999 24.74
6/30/1999 24.3
7/31/1999 25.44
8/31/1999 23.9
9/30/1999 23.47
10/31/1999 22.55
11/30/1999 24.5
12/31/1999 24.42
1/31/2000 24.85
2/29/2000 24.02
3/31/2000 23.73
4/30/2000 23.91
5/31/2000 23.88
6/30/2000 24.1
7/31/2000 24.1
8/31/2000 23.86
9/30/2000 23.86
10/31/2000 21.44
11/30/2000 22.25
12/31/2000 22.1
1/31/2001 21.98
2/28/2001 22.1
3/31/2001 19.72
4/30/2001 21.41
5/31/2001 22.23
6/30/2001 21.67
7/31/2001 21.61
8/31/2001 21.17
9/30/2001 18.42
10/31/2001 20.37
11/30/2001 21.49
12/31/2001 21.57
1/31/2002 21
2/28/2002 20.47
3/31/2002 20.75
4/30/2002 20.17
5/31/2002 19.4
6/30/2002 18.11
7/31/2002 16.14
8/31/2002 16.6
9/30/2002 15.72
10/31/2002 15.78
11/30/2002 16.02
12/31/2002 16.12
1/31/2003 16.48
2/28/2003 15.34
3/31/2003 15.71
4/30/2003 15.68
5/31/2003 16.56
6/30/2003 17.69
7/31/2003 17.27
8/31/2003 16.94
9/30/2003 17.41
10/31/2003 17.5
11/30/2003 17.1
12/31/2003 17.43
1/31/2004 18.1
2/29/2004 18.09
3/31/2004 17.4
4/30/2004 17.11
5/31/2004 15.98
6/30/2004 16.41
7/31/2004 15.92
8/31/2004 15.51
9/30/2004 15.77
10/31/2004 15.48
11/30/2004 16.17
12/31/2004 16.32
1/31/2005 15.95
2/28/2005 16.17
3/31/2005 15.64
4/30/2005 15.3
5/31/2005 15.28
6/30/2005 15.41
7/31/2005 15.41
8/31/2005 15.14
9/30/2005 14.95
10/31/2005 14.33
11/30/2005 14.61
12/31/2005 14.98
1/31/2006 14.9
2/28/2006 14.93
3/31/2006 15.06
4/30/2006 14.99
5/31/2006 14.3
6/30/2006 13.69
7/31/2006 13.9
8/31/2006 14.13
9/30/2006 14.26
10/31/2006 14.65
11/30/2006 14.81
12/31/2006 14.83
1/31/2007 15.01
2/28/2007 15.39
3/31/2007 14.56
4/30/2007 15.31
5/31/2007 15.51
6/30/2007 15.3
7/31/2007 15.41
8/31/2007 13.87
9/30/2007 15.01
10/31/2007 15.01
11/30/2007 14.32
12/31/2007 14.2
1/31/2008 13.49
2/29/2008 13.68
3/31/2008 13.09
4/30/2008 13.81
5/31/2008 14.3
6/30/2008 13.51
7/31/2008 12.6
8/31/2008 13.29
9/30/2008 12.01
10/31/2008 9.93
11/30/2008 9.74
12/31/2008 11.87
1/31/2009 11.48
2/28/2009 12.46
3/31/2009 12.42
4/30/2009 13.51
5/31/2009 14.66
6/30/2009 14.73
7/31/2009 14.8
8/31/2009 15.2
9/30/2009 15.91
10/31/2009 15.85
11/30/2009 15.12
12/31/2009 14.89
1/31/2010 14.8
2/28/2010 13.81
3/31/2010 14.44
4/30/2010 14.82
5/31/2010 12.99
6/30/2010 12.82
7/31/2010 12.49
8/31/2010 12.1
9/30/2010 12.35
10/31/2010 12.84
11/30/2010 12.57
12/31/2010 13.03
1/31/2011 13.21
2/28/2011 13.7
3/31/2011 12.61
4/30/2011 12.97
5/31/2011 12.9
6/30/2011 12.07
7/31/2011 12.64
8/31/2011 11.28
9/30/2011 11.24
10/31/2011 11.5
11/30/2011 11.67
12/31/2011 11.4
1/31/2012 12.33
2/29/2012 12.63
3/31/2012 12.96
4/30/2012 12.66
5/31/2012 12.01
6/30/2012 11.89
7/31/2012 12.59
8/31/2012 12.92
9/30/2012 13.34
10/31/2012 13.21
11/30/2012 12.19
12/31/2012 12.86
1/31/2013 13.12
2/28/2013 13.53
3/31/2013 13.72
4/30/2013 13.59
5/31/2013 14.48
6/30/2013 14.1
7/31/2013 14.51
8/31/2013 14.58
9/30/2013 14.84
10/31/2013 14.71
11/30/2013 15.03
12/31/2013 15.2
1/31/2014 15.43
2/28/2014 15.44
3/31/2014 15.6
4/30/2014 15.5
5/31/2014 15.45
6/30/2014 15.83
7/31/2014 15.97
8/31/2014 15.55
9/30/2014 15.89
10/31/2014 14.76
11/30/2014 16.19
12/31/2014 16.11
1/31/2015 16.23
2/28/2015 17.35
3/31/2015 17.27
4/30/2015 17.28
5/31/2015 17.09
6/30/2015 16.96
7/31/2015 16.98
8/31/2015 16.75
9/30/2015 16.09
10/31/2015 16.14
11/30/2015 16.8
12/31/2015 16.69
1/31/2016 15.3
2/29/2016 15.91
3/31/2016 16.71
4/30/2016 17.09
5/31/2016 16.67
6/30/2016 16.74
7/31/2016 17.4
8/31/2016 17.52
9/30/2016 16.92
10/31/2016 16.89
11/30/2016 16.95
12/31/2016 17.33
1/31/2017 17.28
2/28/2017 17.91
3/31/2017 18.04
4/30/2017 17.54
5/31/2017 17.49
6/30/2017 17.91
7/31/2017 18.23
8/31/2017 18.09
9/30/2017 18.18
10/31/2017 18.44
11/30/2017 18.15
12/31/2017 18.64
1/31/2018 18.73
2/28/2018 17.28
3/31/2018 17.37
4/30/2018 16.92
5/31/2018 16.68
6/30/2018 16.84
7/31/2018 17.03
8/31/2018 16.82
9/30/2018 17.21
10/31/2018 16.49
11/30/2018 15.72
12/31/2018 14.65
1/31/2019 15.45
2/28/2019 16.34
3/31/2019 16.6
4/30/2019 17.08
5/31/2019 16.66
6/30/2019 17.03
7/31/2019 17.45
8/31/2019 16.54
9/30/2019 17.4
10/31/2019 17.31
11/30/2019 17.83
12/31/2019 18.25
1/31/2020 18.73
2/29/2020 19.27
3/31/2020 14.13
4/30/2020 18.93
5/31/2020 20.52
6/30/2020 22.4
7/31/2020 23.1
8/31/2020 23.1
9/30/2020 22.64
10/31/2020 22.81
11/30/2020 22.24
12/31/2020 22.56
1/31/2021 23.05
2/28/2021 22.76
3/31/2021 22.45
4/30/2021 22.65
5/31/2021 21.33
6/30/2021 21.6
7/31/2021 22.18
8/31/2021 21.44
9/30/2021 21.63
10/31/2021 20.81
11/30/2021 21.84
12/31/2021 21.6
1/31/2022 20.55
2/28/2022 19.96
3/31/2022 19.14
4/25/2022 19.4

Note: The figure shows the aggregate forward price-to-earnings ratio of S&P 500 firms, based on expected earnings for 12 months ahead. The median value is 15.42.

Source: Federal Reserve Board staff calculations using Refinitiv, Institutional Brokers' Estimate System estimates.

Return to text
Figure 1.10. Spread of forward earnings-to-price ratio of S&P 500 firms to expected 10-year real Treasury yield

Percentage points

Date Spread
10/31/1991 3.31
11/30/1991 3.3
12/31/1991 3.81
1/31/1992 2.88
2/29/1992 2.8
3/31/1992 2.74
4/30/1992 3
5/31/1992 3.14
6/30/1992 3.59
7/31/1992 3.57
8/31/1992 3.78
9/30/1992 3.93
10/31/1992 3.84
11/30/1992 3.38
12/31/1992 3.38
1/31/1993 3.49
2/28/1993 3.8
3/31/1993 3.87
4/30/1993 4.09
5/31/1993 4.23
6/30/1993 4.41
7/31/1993 4.33
8/31/1993 4.36
9/30/1993 4.65
10/31/1993 4.77
11/30/1993 4.38
12/31/1993 4.44
1/31/1994 4.36
2/28/1994 4.18
3/31/1994 3.79
4/30/1994 3.83
5/31/1994 3.68
6/30/1994 3.74
7/31/1994 3.8
8/31/1994 3.75
9/30/1994 3.58
10/31/1994 3.44
11/30/1994 3.47
12/31/1994 3.89
1/31/1995 3.54
2/28/1995 3.76
3/31/1995 3.99
4/30/1995 4.09
5/31/1995 4.38
6/30/1995 4.72
7/31/1995 4.32
8/31/1995 4.08
9/30/1995 4.18
10/31/1995 4.12
11/30/1995 4.22
12/31/1995 4.16
1/31/1996 4.37
2/29/1996 3.65
3/31/1996 3.34
4/30/1996 3.1
5/31/1996 2.74
6/30/1996 2.81
7/31/1996 3.03
8/31/1996 3.03
9/30/1996 2.65
10/31/1996 2.8
11/30/1996 2.94
12/31/1996 2.95
1/31/1997 2.46
2/28/1997 2.28
3/31/1997 2.22
4/30/1997 2.11
5/31/1997 1.82
6/30/1997 1.69
7/31/1997 1.88
8/31/1997 1.93
9/30/1997 1.94
10/31/1997 1.68
11/30/1997 2.03
12/31/1997 2.05
1/31/1998 2.29
2/28/1998 1.78
3/31/1998 1.46
4/30/1998 1.27
5/31/1998 1.29
6/30/1998 1.5
7/31/1998 1.28
8/31/1998 1.76
9/30/1998 2.48
10/31/1998 2.86
11/30/1998 1.96
12/31/1998 2.04
1/31/1999 1.44
2/28/1999 1.2
3/31/1999 0.76
4/30/1999 1.01
5/31/1999 0.72
6/30/1999 0.43
7/31/1999 0.33
8/31/1999 0.4
9/30/1999 0.46
10/31/1999 0.43
11/30/1999 0.24
12/31/1999 0.03
1/31/2000 -0.3
2/29/2000 -0.04
3/31/2000 0.21
4/30/2000 0.42
5/31/2000 0.02
6/30/2000 0.32
7/31/2000 0.41
8/31/2000 0.63
9/30/2000 0.63
10/31/2000 1.21
11/30/2000 1.1
12/31/2000 1.57
1/31/2001 1.67
2/28/2001 1.67
3/31/2001 2.39
4/30/2001 1.78
5/31/2001 1.4
6/30/2001 1.61
7/31/2001 1.68
8/31/2001 1.98
9/30/2001 2.88
10/31/2001 2.6
11/30/2001 2.26
12/31/2001 1.78
1/31/2002 1.94
2/28/2002 2.15
3/31/2002 1.72
4/30/2002 1.97
5/31/2002 2.26
6/30/2002 2.86
7/31/2002 3.79
8/31/2002 3.99
9/30/2002 4.7
10/31/2002 4.54
11/30/2002 4.37
12/31/2002 4.34
1/31/2003 4.27
2/28/2003 4.88
3/31/2003 4.83
4/30/2003 4.71
5/31/2003 4.79
6/30/2003 4.65
7/31/2003 4.15
8/31/2003 3.76
9/30/2003 3.8
10/31/2003 3.77
11/30/2003 3.9
12/31/2003 3.83
1/31/2004 3.75
2/29/2004 3.81
3/31/2004 4.29
4/30/2004 3.85
5/31/2004 3.88
6/30/2004 3.71
7/31/2004 4.14
8/31/2004 4.51
9/30/2004 4.58
10/31/2004 4.72
11/30/2004 4.36
12/31/2004 4.29
1/31/2005 4.4
2/28/2005 4.39
3/31/2005 4.26
4/30/2005 4.61
5/31/2005 4.82
6/30/2005 4.92
7/31/2005 4.74
8/31/2005 4.77
9/30/2005 4.91
10/31/2005 4.92
11/30/2005 4.68
12/31/2005 4.6
1/31/2006 4.71
2/28/2006 4.54
3/31/2006 4.32
4/30/2006 4.1
5/31/2006 4.31
6/30/2006 4.62
7/31/2006 4.54
8/31/2006 4.64
9/30/2006 4.71
10/31/2006 4.52
11/30/2006 4.59
12/31/2006 4.61
1/31/2007 4.18
2/28/2007 4.05
3/31/2007 4.57
4/30/2007 4.16
5/31/2007 4.03
6/30/2007 3.76
7/31/2007 3.81
8/31/2007 4.81
9/30/2007 4.43
10/31/2007 4.43
11/30/2007 5.08
12/31/2007 5.17
1/31/2008 5.99
2/29/2008 5.86
3/31/2008 6.41
4/30/2008 5.86
5/31/2008 5.4
6/30/2008 5.6
7/31/2008 6.25
8/31/2008 5.96
9/30/2008 6.93
10/31/2008 8.31
11/30/2008 8.74
12/31/2008 7.99
1/31/2009 8.05
2/28/2009 7.04
3/31/2009 7.2
4/30/2009 6.65
5/31/2009 5.7
6/30/2009 5.24
7/31/2009 5.39
8/31/2009 5.2
9/30/2009 5.11
10/31/2009 4.94
11/30/2009 5.24
12/31/2009 5.2
1/31/2010 5.25
2/28/2010 5.78
3/31/2010 5.46
4/30/2010 5.21
5/31/2010 6.54
6/30/2010 6.85
7/31/2010 7.16
8/31/2010 7.77
9/30/2010 7.64
10/31/2010 7.35
11/30/2010 7.33
12/31/2010 6.48
1/31/2011 6.4
2/28/2011 5.96
3/31/2011 6.74
4/30/2011 6.58
5/31/2011 6.91
6/30/2011 7.61
7/31/2011 7.23
8/31/2011 8.9
9/30/2011 9.25
10/31/2011 8.98
11/30/2011 9.01
12/31/2011 9.26
1/31/2012 8.42
2/29/2012 8.23
3/31/2012 7.81
4/30/2012 8.31
5/31/2012 9.01
6/30/2012 9.27
7/31/2012 8.77
8/31/2012 8.4
9/30/2012 8.13
10/31/2012 8.14
11/30/2012 8.87
12/31/2012 8.38
1/31/2013 8.02
2/28/2013 7.71
3/31/2013 7.63
4/30/2013 7.92
5/31/2013 7.28
6/30/2013 7.06
7/31/2013 6.49
8/31/2013 6.28
9/30/2013 6.1
10/31/2013 6.45
11/30/2013 6.19
12/31/2013 5.93
1/31/2014 5.89
2/28/2014 6.03
3/31/2014 5.95
4/30/2014 5.96
5/31/2014 6.14
6/30/2014 5.94
7/31/2014 5.89
8/31/2014 6.17
9/30/2014 5.92
10/31/2014 6.63
11/30/2014 6
12/31/2014 6.16
1/31/2015 6.34
2/28/2015 5.83
3/31/2015 5.79
4/30/2015 5.93
5/31/2015 5.72
6/30/2015 5.6
7/31/2015 5.68
8/31/2015 5.92
9/30/2015 6.15
10/31/2015 6.24
11/30/2015 5.78
12/31/2015 5.84
1/31/2016 6.52
2/29/2016 6.57
3/31/2016 6.16
4/30/2016 6.21
5/31/2016 6.35
6/30/2016 6.5
7/31/2016 6.37
8/31/2016 6.27
9/30/2016 6.4
10/31/2016 6.35
11/30/2016 5.93
12/31/2016 5.43
1/31/2017 5.61
2/28/2017 5.42
3/31/2017 5.32
4/30/2017 5.67
5/31/2017 5.67
6/30/2017 5.67
7/31/2017 5.39
8/31/2017 5.54
9/30/2017 5.53
10/31/2017 5.25
11/30/2017 5.34
12/31/2017 5.14
1/31/2018 5
2/28/2018 5.15
3/31/2018 5.15
4/30/2018 5.34
5/31/2018 5.31
6/30/2018 5.31
7/31/2018 5.17
8/31/2018 5.25
9/30/2018 5
10/31/2018 5.12
11/30/2018 5.45
12/31/2018 6.2
1/31/2019 5.96
2/28/2019 5.65
3/31/2019 5.65
4/30/2019 5.52
5/31/2019 5.79
6/30/2019 5.99
7/31/2019 5.87
8/31/2019 6.61
9/30/2019 6.23
10/31/2019 6.26
11/30/2019 5.98
12/31/2019 5.79
1/31/2020 5.76
2/29/2020 5.87
3/31/2020 8.34
4/30/2020 6.69
5/31/2020 6.3
6/30/2020 5.85
7/31/2020 5.73
8/31/2020 5.71
9/30/2020 5.77
10/31/2020 5.72
11/30/2020 5.75
12/31/2020 5.63
1/31/2021 5.46
2/28/2021 5.32
3/31/2021 4.98
4/30/2021 5.03
5/31/2021 5.31
6/30/2021 5.36
7/31/2021 5.59
8/31/2021 5.79
9/30/2021 5.66
10/31/2021 5.74
11/30/2021 5.52
12/31/2021 5.65
1/31/2022 5.53
2/28/2022 5.5
3/31/2022 5.54
4/25/2022 4.87

Note: The figure shows the 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. The median value is 4.77 percentage points.

Source: Federal Reserve Board staff calculations using Refinitiv, Institutional Brokers' Estimate System estimates; Department of the Treasury; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Return to text
Figure 1.11. S&P 500 return volatility

Percent

Date Option-implied volatility Realized volatility
1/31/1996 13.47 11.63
2/28/1996 15.03 11.46
3/31/1996 17.76 14.53
4/30/1996 16.21 12.22
5/31/1996 16.15 11.28
6/30/1996 16.5 11.08
7/31/1996 17.98 15
8/31/1996 15.76 13.4
9/30/1996 16.58 11.15
10/31/1996 16.29 9.84
11/30/1996 16 10.24
12/31/1996 19.26 13.39
1/31/1997 19.62 14.56
2/28/1997 20.14 14.79
3/31/1997 20.17 14.59
4/30/1997 19.7 17.13
5/31/1997 19.92 16.33
6/30/1997 20.19 14.96
7/31/1997 20.51 16.12
8/31/1997 23.08 18.07
9/30/1997 23.8 18.72
10/31/1997 23.87 18.77
11/30/1997 31.98 23.95
12/31/1997 26.28 18.48
1/31/1998 23.87 17.86
2/28/1998 20 15.33
3/31/1998 20.03 12.64
4/30/1998 22.16 12.98
5/31/1998 20.87 13.91
6/30/1998 21.66 15.56
7/31/1998 20.23 14.58
8/31/1998 31.59 22.75
9/30/1998 38.13 34.15
10/31/1998 36.61 32.96
11/30/1998 26.22 23.1
12/31/1998 25.48 18.91
1/31/1999 27.97 19.47
2/28/1999 28.82 21.68
3/31/1999 25.31 20.6
4/30/1999 23.48 19.81
5/31/1999 26.2 20.91
6/30/1999 23.55 19.22
7/31/1999 21.05 16.51
8/31/1999 24.32 17.7
9/30/1999 24.54 18.92
10/31/1999 24.02 20.86
11/30/1999 21.82 19.21
12/31/1999 22.16 16.85
1/31/2000 23.2 19.21
2/29/2000 23.6 21.81
3/31/2000 22.73 24.33
4/30/2000 27.16 32.58
5/31/2000 26.37 28.59
6/30/2000 21.54 22.84
7/31/2000 19.89 17.94
8/31/2000 18.09 16.17
9/30/2000 19.69 15.17
10/31/2000 25.2 23.3
11/30/2000 26.38 24.75
12/31/2000 26.53 25.18
1/31/2001 24.92 27.29
2/28/2001 23.41 21.5
3/31/2001 28.54 26.75
4/30/2001 28.13 28.18
5/31/2001 22.94 21.86
6/30/2001 20.94 18.02
7/31/2001 22.32 17.36
8/31/2001 21.86 16.93
9/30/2001 35.07 25.28
10/31/2001 32.61 27.35
11/30/2001 26.63 23.62
12/31/2001 23.72 18.75
1/31/2002 22.25 16.03
2/28/2002 22.88 18.96
3/31/2002 18.99 18.1
4/30/2002 19.9 16.3
5/31/2002 20.09 17.42
6/30/2002 25.27 21.08
7/31/2002 34.05 33.7
8/31/2002 33.74 37.88
9/30/2002 37.65 31.05
10/31/2002 35.43 35
11/30/2002 28.18 29.74
12/31/2002 28.21 23.9
1/31/2003 27.51 21.39
2/28/2003 32.22 23.19
3/31/2003 30.63 23.95
4/30/2003 23.99 22.67
5/31/2003 20.24 19.35
6/30/2003 20.36 17.83
7/31/2003 19.16 17.9
8/31/2003 19.27 17.39
9/30/2003 19.53 14.59
10/31/2003 18.02 14.36
11/30/2003 17.4 13.11
12/31/2003 16.83 11.87
1/31/2004 15.95 11.1
2/29/2004 16 12.38
3/31/2004 17.69 13.07
4/30/2004 15.7 13.19
5/31/2004 17.71 15.25
6/30/2004 15.36 12.43
7/31/2004 15.5 11.53
8/31/2004 16.68 12.48
9/30/2004 14.08 10.49
10/31/2004 14.97 10.51
11/30/2004 13.58 11.18
12/31/2004 12.46 10.51
1/31/2005 13.44 10.65
2/28/2005 11.71 9.94
3/31/2005 13.13 10.42
4/30/2005 14.46 11.92
5/31/2005 13.97 13.09
6/30/2005 11.87 10.85
7/31/2005 11.05 10.26
8/31/2005 12.95 9.64
9/30/2005 12.63 10.3
10/31/2005 14.94 12.9
11/30/2005 12.15 11.95
12/31/2005 11.26 9.83
1/31/2006 12.04 9.72
2/28/2006 12.47 10.36
3/31/2006 11.69 9.64
4/30/2006 11.85 10.15
5/31/2006 14.45 11.84
6/30/2006 16.92 15.14
7/31/2006 15.33 13.77
8/31/2006 13.35 12.22
9/30/2006 12.18 9.55
10/31/2006 11.31 8.85
11/30/2006 10.82 9.02
12/31/2006 10.96 9.45
1/31/2007 11.04 9.42
2/28/2007 11.16 9.06
3/31/2007 15.16 14.29
4/30/2007 12.93 11.37
5/31/2007 13.3 9.89
6/30/2007 14.95 11.38
7/31/2007 17.27 13.48
8/31/2007 25.03 23.37
9/30/2007 22.2 19.69
10/31/2007 19.12 15.45
11/30/2007 25.58 21.45
12/31/2007 21.65 20.94
1/31/2008 25.82 25.07
2/29/2008 25.46 27.87
3/31/2008 27.1 26.65
4/30/2008 21.56 21.32
5/31/2008 18.3 16.76
6/30/2008 22.11 17.34
7/31/2008 24.32 22.99
8/31/2008 20.7 20.32
9/30/2008 30.24 30.03
10/31/2008 61.18 66.21
11/30/2008 62.64 72.14
12/31/2008 52.41 61.45
1/31/2009 44.68 43.3
2/28/2009 45.57 40.38
3/31/2009 44.8 42.61
4/30/2009 38.06 35.11
5/31/2009 31.98 29.32
6/30/2009 29.14 25.02
7/31/2009 26.16 21.47
8/31/2009 25.34 19.28
9/30/2009 24.93 17.44
10/31/2009 24.25 17.53
11/30/2009 23.78 19.44
12/31/2009 21.24 15.23
1/31/2010 20.64 12.81
2/28/2010 22.54 17.88
3/31/2010 17.77 14.1
4/30/2010 17.42 12.46
5/31/2010 31.93 27.53
6/30/2010 29.92 26.92
7/31/2010 25.57 22.96
8/31/2010 24.75 18.85
9/30/2010 22.52 16.79
10/31/2010 20.37 14.85
11/30/2010 20.1 13.9
12/31/2010 17.57 11.81
1/31/2011 17.32 9.71
2/28/2011 17.43 10.6
3/31/2011 20.72 14.27
4/30/2011 16.24 12.38
5/31/2011 16.91 12.33
6/30/2011 19.15 13.53
7/31/2011 19.23 13.74
8/31/2011 35.03 31.64
9/30/2011 36.53 30.87
10/31/2011 32.83 30.08
11/30/2011 31.94 24.95
12/31/2011 25.05 20.57
1/31/2012 20.23 15.43
2/29/2012 18.42 12.38
3/31/2012 16.17 10.87
4/30/2012 17.82 11.47
5/31/2012 21 13.69
6/30/2012 21.13 15.53
7/31/2012 17.57 14.76
8/31/2012 15.69 13.1
9/30/2012 15.28 10.95
10/31/2012 16.28 11.24
11/30/2012 16.7 13.78
12/31/2012 17.31 12.85
1/31/2013 13.51 11.72
2/28/2013 14.07 9.62
3/31/2013 13.03 10.11
4/30/2013 13.97 11.42
5/31/2013 13.49 11.58
6/30/2013 17.27 14.46
7/31/2013 13.97 13.45
8/31/2013 14.21 10.37
9/30/2013 14.69 10.67
10/31/2013 15.41 11.18
11/30/2013 12.92 9.86
12/31/2013 14.19 9.47
1/31/2014 14.24 9.31
2/28/2014 15.47 11.74
3/31/2014 14.84 11.61
4/30/2014 14.2 12.17
5/31/2014 12.48 10.95
6/30/2014 11.54 8.23
7/31/2014 12.3 7.96
8/31/2014 13.49 9.79
9/30/2014 13.47 8.79
10/31/2014 18.06 15.77
11/30/2014 13.41 13.35
12/31/2014 16.29 12.63
1/31/2015 19.12 15.71
2/28/2015 15.9 15.01
3/31/2015 14.81 11.87
4/30/2015 13.49 11.33
5/31/2015 13.34 10.83
6/30/2015 14.34 10.15
7/31/2015 14.35 11.16
8/31/2015 19.43 17.1
9/30/2015 24.38 26.84
10/31/2015 16.79 19.49
11/30/2015 16.21 14.08
12/31/2015 18.03 14.71
1/31/2016 23.72 20.91
2/29/2016 22.52 23.71
3/31/2016 15.85 17.38
4/30/2016 14.3 12.53
5/31/2016 14.85 11.42
6/30/2016 17.77 11.08
7/31/2016 13.16 11.5
8/31/2016 12.4 8.4
9/30/2016 14.22 9.47
10/31/2016 14.59 9.83
11/30/2016 15.24 10.71
12/31/2016 12.47 8.98
1/31/2017 11.61 8.04
2/28/2017 11.53 7.14
3/31/2017 11.9 7.18
4/30/2017 13.14 8.46
5/31/2017 10.86 7.22
6/30/2017 10.51 6.99
7/31/2017 10.26 7.1
8/31/2017 11.98 6.88
9/30/2017 10.44 6.52
10/31/2017 10.13 5.26
11/30/2017 10.54 5.82
12/31/2017 10.26 7.21
1/31/2018 11.06 6.75
2/28/2018 22.46 20.5
3/31/2018 19.02 19.2
4/30/2018 18.27 19.51
5/31/2018 14.12 14.76
6/30/2018 13.68 11.01
7/31/2018 13.15 9.99
8/31/2018 12.55 8.24
9/30/2018 12.91 8.17
10/31/2018 19.35 14.63
11/30/2018 19.39 20.27
12/31/2018 24.95 24.15
1/31/2019 19.57 24.73
2/28/2019 15.23 16.1
3/31/2019 14.49 12.5
4/30/2019 12.95 10.39
5/31/2019 16.72 11.92
6/30/2019 15.84 12.26
7/31/2019 13.31 9.31
8/31/2019 18.98 15.45
9/30/2019 15.56 13.67
10/31/2019 15.47 12.89
11/30/2019 12.52 9.12
12/31/2019 13.76 8.37
1/31/2020 13.94 7.96
2/29/2020 19.63 12.19
3/31/2020 57.74 56.36
4/30/2020 41.45 53.23
5/31/2020 30.9 32.64
6/30/2020 31.12 25.54
7/31/2020 26.84 21.43
8/31/2020 22.89 15.32
9/30/2020 27.65 20.47
10/31/2020 29.44 19.52
11/30/2020 25 19.97
12/31/2020 22.37 14.5
1/31/2021 24.91 13.91
2/28/2021 23.14 15.01
3/31/2021 21.84 18.31
4/30/2021 17.42 13.19
5/31/2021 19.76 12.78
6/30/2021 16.96 10.57
7/31/2021 17.6 9.49
8/31/2021 17.47 8.96
9/30/2021 19.82 9.87
10/31/2021 17.87 13.1
11/30/2021 18.5 10.72
12/31/2021 21.35 15.74
1/31/2022 23.18 17.87
2/28/2022 25.75 23.98
3/31/2022 26.97 24.33
4/22/2022 22.13 19.13

Note: The data extends through April 22, 2022. Realized volatility is computed from an exponentially weighted moving average of 5-minute daily realized variances with 75 percent of the weight distributed over the past 20 business days.

Source: Refinitiv, DataScope Tick History; Federal Reserve Board staff estimates.

Return to text
Figure 1.12. Commercial real estate prices (real)

Jan. 2001 = 100

Date Equal-weighted Value-weighted
1/31/1996 n.a. 71.53
2/28/1996 n.a. 71.36
3/31/1996 n.a. 72.19
4/30/1996 n.a. 73.12
5/31/1996 n.a. 73.22
6/30/1996 n.a. 72.57
7/31/1996 n.a. 72.15
8/31/1996 n.a. 71.74
9/30/1996 n.a. 71.38
10/31/1996 n.a. 69.39
11/30/1996 n.a. 71.29
12/31/1996 n.a. 73.69
1/31/1997 n.a. 75.95
2/28/1997 n.a. 78.51
3/31/1997 n.a. 80.04
4/30/1997 n.a. 80.17
5/31/1997 n.a. 80.86
6/30/1997 n.a. 80.79
7/31/1997 n.a. 81.53
8/31/1997 n.a. 81.7
9/30/1997 n.a. 82.77
10/31/1997 n.a. 81.99
11/30/1997 n.a. 85.89
12/31/1997 n.a. 87.85
1/31/1998 84.03 90.88
2/28/1998 84.35 90.82
3/31/1998 84.58 90.82
4/30/1998 85.11 89.88
5/31/1998 85.34 92.53
6/30/1998 85.6 94.33
7/31/1998 85.41 93.98
8/31/1998 85.25 93.96
9/30/1998 84.83 93.72
10/31/1998 86.18 93.89
11/30/1998 87.58 94.29
12/31/1998 89.38 93.84
1/31/1999 88.97 92.11
2/28/1999 89.16 92.34
3/31/1999 89.44 91.88
4/30/1999 89.78 91.1
5/31/1999 90.75 91.3
6/30/1999 91.31 91.42
7/31/1999 91.83 91.77
8/31/1999 92.31 93.04
9/30/1999 92.25 93.36
10/31/1999 93.03 93.52
11/30/1999 93.65 93.94
12/31/1999 94.56 94.2
1/31/2000 95.1 93.91
2/29/2000 95.42 91.46
3/31/2000 95.58 89.27
4/30/2000 96.28 88.23
5/31/2000 97.48 91.88
6/30/2000 98.17 94.48
7/31/2000 98.37 96.66
8/31/2000 98.17 98.19
9/30/2000 97.17 99.15
10/31/2000 98.45 100.14
11/30/2000 99.2 101.05
12/31/2000 100.43 101.08
1/31/2001 100 100
2/28/2001 100.06 99.71
3/31/2001 99.92 99.9
4/30/2001 99.57 100.24
5/31/2001 99.1 100.02
6/30/2001 99.52 98.97
7/31/2001 101.24 99.08
8/31/2001 103.07 99.04
9/30/2001 103.81 98.41
10/31/2001 104.2 97.09
11/30/2001 103.31 95.99
12/31/2001 103.07 95.21
1/31/2002 103.43 95.29
2/28/2002 104.39 96.25
3/31/2002 105.33 96.92
4/30/2002 105.46 96.87
5/31/2002 105.81 96.56
6/30/2002 105.82 95.8
7/31/2002 106.52 95.29
8/31/2002 107.1 95.24
9/30/2002 108.45 95.5
10/31/2002 110.32 96.27
11/30/2002 112.31 98.24
12/31/2002 114.3 100.83
1/31/2003 113.88 102.7
2/28/2003 112.71 102.6
3/31/2003 112.3 102.06
4/30/2003 113.81 101.76
5/31/2003 115.38 102.23
6/30/2003 115.99 101.52
7/31/2003 116.61 100.95
8/31/2003 116.91 98.48
9/30/2003 118.07 97.15
10/31/2003 119.72 97.2
11/30/2003 121.32 98.47
12/31/2003 122.75 99.88
1/31/2004 123.31 99.92
2/29/2004 124.43 102.13
3/31/2004 125.3 103.24
4/30/2004 126.81 106.02
5/31/2004 127.38 105.75
6/30/2004 128.83 107.69
7/31/2004 130.62 109.87
8/31/2004 132.43 112.52
9/30/2004 133.21 114.31
10/31/2004 132.97 115.42
11/30/2004 133.8 115.3
12/31/2004 135.64 115.15
1/31/2005 137.9 113.96
2/28/2005 139.67 115.26
3/31/2005 141.16 115.93
4/30/2005 141.77 117.26
5/31/2005 143.41 117.22
6/30/2005 144.47 117.71
7/31/2005 145.06 118.29
8/31/2005 146.12 119.05
9/30/2005 146.48 119.53
10/31/2005 148.45 121.19
11/30/2005 151.26 123.94
12/31/2005 153.17 125.54
1/31/2006 152.67 125.61
2/28/2006 153.4 126.39
3/31/2006 152.72 127.98
4/30/2006 152.16 128.83
5/31/2006 152.02 129.92
6/30/2006 152.88 130.59
7/31/2006 151.94 131.8
8/31/2006 150.88 132.82
9/30/2006 150.86 133.73
10/31/2006 151.74 134.73
11/30/2006 153.97 135.49
12/31/2006 154.62 137.67
1/31/2007 155.62 138.85
2/28/2007 155.51 140
3/31/2007 155.56 139.97
4/30/2007 155.84 141.14
5/31/2007 155.18 142.81
6/30/2007 155.06 143.77
7/31/2007 154.38 144.98
8/31/2007 154.96 145.81
9/30/2007 154.17 145.53
10/31/2007 152.66 145.41
11/30/2007 150.91 144.83
12/31/2007 149.66 144.42
1/31/2008 149.13 142.19
2/29/2008 147.83 136.19
3/31/2008 145.54 130.7
4/30/2008 142.59 125.35
5/31/2008 140.28 128.29
6/30/2008 137.53 129.51
7/31/2008 135.88 132.05
8/31/2008 135.03 128.98
9/30/2008 133.35 125.76
10/31/2008 132.68 124.63
11/30/2008 131.85 126.93
12/31/2008 129.96 127.49
1/31/2009 125.33 126.65
2/28/2009 121.84 123.08
3/31/2009 118.36 118.78
4/30/2009 115.87 111.58
5/31/2009 114.33 104.17
6/30/2009 112.87 95.9
7/31/2009 112.9 91.49
8/31/2009 110.97 92.25
9/30/2009 108.28 92.98
10/31/2009 105.47 92.65
11/30/2009 105.1 89.77
12/31/2009 104.93 87.16
1/31/2010 105.71 85.88
2/28/2010 106.19 86.51
3/31/2010 105.96 88.93
4/30/2010 103.93 92.03
5/31/2010 101.45 95.63
6/30/2010 99.43 95.58
7/31/2010 99.17 95.01
8/31/2010 98.95 94.65
9/30/2010 98.6 94.72
10/31/2010 97.91 95.07
11/30/2010 98.15 94.23
12/31/2010 97.76 94.55
1/31/2011 96.74 94.94
2/28/2011 95.56 96.64
3/31/2011 94.05 96.39
4/30/2011 93.74 95.22
5/31/2011 93.75 94.83
6/30/2011 93.45 94.14
7/31/2011 93.16 93.27
8/31/2011 92.91 92.47
9/30/2011 93.78 92.26
10/31/2011 94.91 94.14
11/30/2011 96 96.13
12/31/2011 95.1 98.18
1/31/2012 93.65 98.7
2/29/2012 92.62 98.49
3/31/2012 92.39 96.63
4/30/2012 92.77 95.64
5/31/2012 93.59 95.52
6/30/2012 93.82 96.49
7/31/2012 94.61 97.47
8/31/2012 94.52 97.92
9/30/2012 94.75 96.84
10/31/2012 95.99 96.9
11/30/2012 98.18 97.71
12/31/2012 98.78 99.18
1/31/2013 97.68 99.3
2/28/2013 96.68 99.07
3/31/2013 96.5 100.23
4/30/2013 98.4 101.8
5/31/2013 99.32 103.95
6/30/2013 100.27 104.8
7/31/2013 100.63 107.36
8/31/2013 101.05 108.32
9/30/2013 101.49 110.02
10/31/2013 102.33 110.44
11/30/2013 103.76 111.23
12/31/2013 104.49 110.22
1/31/2014 105.61 109.59
2/28/2014 106.6 108.82
3/31/2014 106.71 109.12
4/30/2014 107.12 109.67
5/31/2014 107.47 110.51
6/30/2014 108.22 110.99
7/31/2014 109.41 111.57
8/31/2014 110.48 112.79
9/30/2014 111.62 113.21
10/31/2014 113.04 114.6
11/30/2014 115.01 115.81
12/31/2014 116.46 119.73
1/31/2015 117.55 123.18
2/28/2015 117.58 127.23
3/31/2015 118.06 125.95
4/30/2015 119.2 126.11
5/31/2015 119.76 124.39
6/30/2015 119.99 125.25
7/31/2015 120.69 124.72
8/31/2015 121.57 124.51
9/30/2015 122.2 125.11
10/31/2015 122.49 125.05
11/30/2015 123.37 126.01
12/31/2015 125.07 126.18
1/31/2016 126.74 125.9
2/29/2016 127.73 124.73
3/31/2016 127.79 122.78
4/30/2016 127.02 121.76
5/31/2016 126.76 122.9
6/30/2016 126.91 125.04
7/31/2016 128.89 127.93
8/31/2016 130.49 128.92
9/30/2016 132.23 128.5
10/31/2016 132.74 128.98
11/30/2016 133.62 129.54
12/31/2016 134.28 130.35
1/31/2017 135.2 128.41
2/28/2017 137.27 127.73
3/31/2017 139.61 128.42
4/30/2017 141.33 129.22
5/31/2017 142.79 130.45
6/30/2017 144.61 130.46
7/31/2017 146.06 130.96
8/31/2017 145.71 131.58
9/30/2017 144.6 132.4
10/31/2017 144.42 135.21
11/30/2017 146.39 135.93
12/31/2017 148.31 135.17
1/31/2018 149.54 132.25
2/28/2018 147.82 133.37
3/31/2018 146.73 136.14
4/30/2018 146.13 139.32
5/31/2018 147.4 137.2
6/30/2018 149.44 133.59
7/31/2018 150.36 131.69
8/31/2018 150.53 132.55
9/30/2018 150.28 133.68
10/31/2018 151.12 133.08
11/30/2018 153.68 133.05
12/31/2018 155.08 134.18
1/31/2019 155.11 136.13
2/28/2019 153.8 138.25
3/31/2019 154.07 137.65
4/30/2019 154.07 138.04
5/31/2019 155.43 139.88
6/30/2019 155.84 143.46
7/31/2019 156.84 145.17
8/31/2019 158.46 144.08
9/30/2019 159.5 141.94
10/31/2019 158.5 140.8
11/30/2019 158.45 140.76
12/31/2019 158.35 141.59
1/31/2020 159.78 141.41
2/29/2020 161.56 142.96
3/31/2020 164.31 143.52
4/30/2020 164.7 144.55
5/31/2020 163.14 142.9
6/30/2020 161.46 139.91
7/31/2020 160.63 139.61
8/31/2020 161.59 139.98
9/30/2020 164.31 141.91
10/31/2020 167.88 144.17
11/30/2020 171.68 147.67
12/31/2020 171.29 147.93
1/31/2021 170.29 147.27
2/28/2021 168.08 145.17
3/31/2021 169.99 145.71
4/30/2021 171.38 145.66
5/31/2021 173.64 146.15
6/30/2021 174.83 144.79
7/31/2021 175.91 147.68
8/31/2021 177.28 151.04
9/30/2021 178.55 153.31
10/31/2021 179.64 153.47
11/30/2021 182.59 153.82
12/31/2021 185.1 156.18
1/31/2022 186.49 157.38

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

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

Return to text
Figure 1.13. Capitalization rate at property purchase

Percent

Date Rate
1/31/2001 8.43
2/28/2001 8.43
3/31/2001 8.45
4/30/2001 8.41
5/31/2001 8.45
6/30/2001 8.44
7/31/2001 8.47
8/31/2001 8.49
9/30/2001 8.53
10/31/2001 8.52
11/30/2001 8.55
12/31/2001 8.61
1/31/2002 8.63
2/28/2002 8.65
3/31/2002 8.67
4/30/2002 8.73
5/31/2002 8.67
6/30/2002 8.68
7/31/2002 8.64
8/31/2002 8.59
9/30/2002 8.48
10/31/2002 8.44
11/30/2002 8.41
12/31/2002 8.35
1/31/2003 8.31
2/28/2003 8.28
3/31/2003 8.27
4/30/2003 8.24
5/31/2003 8.24
6/30/2003 8.18
7/31/2003 8.15
8/31/2003 8.12
9/30/2003 8.11
10/31/2003 8.09
11/30/2003 8.06
12/31/2003 8.01
1/31/2004 7.98
2/29/2004 7.93
3/31/2004 7.89
4/30/2004 7.84
5/31/2004 7.81
6/30/2004 7.79
7/31/2004 7.75
8/31/2004 7.72
9/30/2004 7.64
10/31/2004 7.59
11/30/2004 7.54
12/31/2004 7.44
1/31/2005 7.41
2/28/2005 7.37
3/31/2005 7.32
4/30/2005 7.25
5/31/2005 7.2
6/30/2005 7.13
7/31/2005 7.09
8/31/2005 7.04
9/30/2005 7
10/31/2005 6.94
11/30/2005 6.9
12/31/2005 6.87
1/31/2006 6.81
2/28/2006 6.78
3/31/2006 6.73
4/30/2006 6.71
5/31/2006 6.68
6/30/2006 6.65
7/31/2006 6.62
8/31/2006 6.59
9/30/2006 6.56
10/31/2006 6.56
11/30/2006 6.56
12/31/2006 6.55
1/31/2007 6.53
2/28/2007 6.52
3/31/2007 6.52
4/30/2007 6.49
5/31/2007 6.46
6/30/2007 6.45
7/31/2007 6.44
8/31/2007 6.44
9/30/2007 6.44
10/31/2007 6.44
11/30/2007 6.43
12/31/2007 6.42
1/31/2008 6.43
2/29/2008 6.45
3/31/2008 6.46
4/30/2008 6.5
5/31/2008 6.55
6/30/2008 6.6
7/31/2008 6.63
8/31/2008 6.68
9/30/2008 6.74
10/31/2008 6.73
11/30/2008 6.78
12/31/2008 6.82
1/31/2009 6.88
2/28/2009 6.89
3/31/2009 6.93
4/30/2009 6.95
5/31/2009 6.99
6/30/2009 7.08
7/31/2009 7.2
8/31/2009 7.25
9/30/2009 7.35
10/31/2009 7.43
11/30/2009 7.47
12/31/2009 7.54
1/31/2010 7.54
2/28/2010 7.57
3/31/2010 7.6
4/30/2010 7.68
5/31/2010 7.68
6/30/2010 7.67
7/31/2010 7.63
8/31/2010 7.65
9/30/2010 7.62
10/31/2010 7.59
11/30/2010 7.56
12/31/2010 7.49
1/31/2011 7.5
2/28/2011 7.47
3/31/2011 7.42
4/30/2011 7.38
5/31/2011 7.36
6/30/2011 7.3
7/31/2011 7.28
8/31/2011 7.23
9/30/2011 7.2
10/31/2011 7.19
11/30/2011 7.17
12/31/2011 7.15
1/31/2012 7.1
2/29/2012 7.1
3/31/2012 7.08
4/30/2012 7.04
5/31/2012 7.01
6/30/2012 6.98
7/31/2012 6.96
8/31/2012 6.95
9/30/2012 6.94
10/31/2012 6.9
11/30/2012 6.88
12/31/2012 6.84
1/31/2013 6.84
2/28/2013 6.83
3/31/2013 6.83
4/30/2013 6.81
5/31/2013 6.81
6/30/2013 6.79
7/31/2013 6.78
8/31/2013 6.74
9/30/2013 6.72
10/31/2013 6.72
11/30/2013 6.72
12/31/2013 6.69
1/31/2014 6.65
2/28/2014 6.63
3/31/2014 6.59
4/30/2014 6.6
5/31/2014 6.59
6/30/2014 6.57
7/31/2014 6.54
8/31/2014 6.54
9/30/2014 6.5
10/31/2014 6.47
11/30/2014 6.46
12/31/2014 6.43
1/31/2015 6.41
2/28/2015 6.41
3/31/2015 6.39
4/30/2015 6.35
5/31/2015 6.32
6/30/2015 6.31
7/31/2015 6.3
8/31/2015 6.28
9/30/2015 6.28
10/31/2015 6.26
11/30/2015 6.24
12/31/2015 6.22
1/31/2016 6.23
2/29/2016 6.21
3/31/2016 6.19
4/30/2016 6.19
5/31/2016 6.18
6/30/2016 6.17
7/31/2016 6.15
8/31/2016 6.14
9/30/2016 6.11
10/31/2016 6.1
11/30/2016 6.11
12/31/2016 6.12
1/31/2017 6.1
2/28/2017 6.11
3/31/2017 6.13
4/30/2017 6.14
5/31/2017 6.13
6/30/2017 6.12
7/31/2017 6.12
8/31/2017 6.11
9/30/2017 6.1
10/31/2017 6.11
11/30/2017 6.1
12/31/2017 6.09
1/31/2018 6.08
2/28/2018 6.07
3/31/2018 6.05
4/30/2018 6.04
5/31/2018 6.04
6/30/2018 6.04
7/31/2018 6.04
8/31/2018 6.04
9/30/2018 6.05
10/31/2018 6.05
11/30/2018 6.04
12/31/2018 6.02
1/31/2019 6.03
2/28/2019 6.02
3/31/2019 6.03
4/30/2019 6.03
5/31/2019 6.06
6/30/2019 6.05
7/31/2019 6.05
8/31/2019 6.04
9/30/2019 6.02
10/31/2019 6
11/30/2019 5.98
12/31/2019 5.98
1/31/2020 5.97
2/29/2020 5.97
3/31/2020 5.95
4/30/2020 5.94
5/31/2020 5.9
6/30/2020 5.89
7/31/2020 5.86
8/31/2020 5.85
9/30/2020 5.85
10/31/2020 5.84
11/30/2020 5.82
12/31/2020 5.8
1/31/2021 5.77
2/28/2021 5.76
3/31/2021 5.76
4/30/2021 5.76
5/31/2021 5.76
6/30/2021 5.75
7/31/2021 5.74
8/31/2021 5.73
9/30/2021 5.69
10/31/2021 5.67
11/30/2021 5.66
12/31/2021 5.65
1/31/2022 5.64
2/28/2022 5.63

Note: The data are a 12-month moving average of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), "Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market," Journal of Real Estate Portfolio Management, vol. 16 (May-August), pp. 101-18.

Return to text
Figure 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 around -10 and spikes to around 40 in 1998. It declines to around 0 by the end of 1999 before spiking to around 50 at the end of 2000. The series steadily declines to -20 by the end of 2004. The series rises steadily to about 20 by mid-2007 before spiking to 90 percent in mid-2008. It decreases to around -20 in early 2011 and remains between -10 and -20 until 2015. It then increases and hits 25 in 2016 before falling to around -15 in 2018. It increases to 0 by the end of 2019 before spiking to around 80 in early 2020. The series then falls to about -20 in:Q4 of 2021, the final date in the series. The chart also includes recession bars.

Note: Banks’ responses are weighted by their commercial real estate loan market shares. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–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, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

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Figure 1.15. Farmland prices

2020 dollars per acre

Year Midwest index United States
1967 2570.07  
1968 2695.72  
1969 2643.5  
1970 2528.56  
1971 2363.41  
1972 2367.13  
1973 2545.79  
1974 3073.63  
1975 3424.13  
1976 4022.62  
1977 4827.56  
1978 5041.31  
1979 5115.66  
1980 5119.61  
1981 4870.29  
1982 4438.25  
1983 3767.96  
1984 3311.84  
1985 2361.69  
1986 1875.72  
1987 1595.78  
1988 1748.01  
1989 1912.61  
1990 1920.14  
1991 1878.38  
1992 1884.05  
1993 1886.05  
1994 2287.15  
1995 2207.01  
1996 2356.86  
1997 2168.92 2047.855386
1998 2292.36 2127.811901
1999 2314.42 2175.377989
2000 2283.74 2194.719228
2001 2267.47 2207.698183
2002 2301.67 2288.150996
2003 2331.91 2335.223795
2004 2437.1 2397.867462
2005 2815.95 2730.721125
2006 3037.12 3069.272051
2007 3365.54 3158.398625
2008 3755.46 3318.910869
2009 3569.03 3221.004247
2010 3759.17 3204.747386
2011 4362.84 3429.419705
2012 5109.16 3776.917427
2013 5850.08 4233.477351
2014 6293.6 4472.349876
2015 6043.37 4477.86036
2016 5759.23 4357.110399
2017 5581.32 4255.367565
2018 5446.74 4174.865775
2019 5345.26 4151.183328
2020 5230.7 4100
2021 5427.38 4190.762916

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. Data are annual as of July. The median value is 2815.95 dollars.

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

Return to text
Figure 1.16. Farmland price-to-rent ratios

Ratio

Year Midwest index United States
1967 14.13  
1968 14.2  
1969 14.2  
1970 13.99  
1971 13.51  
1972 13.4  
1973 14.17  
1974 14.53  
1975 14.6  
1976 16.16  
1977 18.02  
1978 19.56  
1979 20.58  
1980 21.55  
1981 21.25  
1982 19.56  
1983 17.42  
1984 15.95  
1985 13  
1986 11.9  
1987 11.72  
1988 12.52  
1989 13.3  
1990 13.41  
1991 13.51  
1992 13.74  
1993 13.89  
1994 17.97  
1995 17.35  
1996 18.36  
1997 16.67  
1998 17.47 20.15
1999 18.2 20.74
2000 17.84 20.86
2001 17.95 21.27
2002 18.18 22.21
2003 18.63 22.74
2004 19.45 22.88
2005 22.5 26.41
2006 24.61 30.06
2007 25.78 32.65
2008 26.32 32.28
2009 24.43 26.97
2010 25.44 26.47
2011 27.84 26.85
2012 28.48 26.8
2013 30.45 28.01
2014 32.19 29.01
2015 31.64 28.47
2016 32.1 29.71
2017 32.28 29.63
2018 31.89 29.35
2019 32.05 29.29
2020 31.9 29.5
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. The data are annual as of July. The median value is 18.02.

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

Return to text
Figure 1.17. Growth of nominal prices of existing homes

12-month percent change

Date Zillow CoreLogic Case-Shiller
1/31/2003 7.23 9.69 9.63
2/28/2003 7.3 9.63 9.76
3/31/2003 7.36 9.59 9.65
4/30/2003 7.44 9.5 9.46
5/31/2003 7.53 9.26 9.15
6/30/2003 7.58 9.01 8.91
7/31/2003 7.61 8.82 8.86
8/31/2003 7.65 8.97 9.01
9/30/2003 7.73 9.38 9.24
10/31/2003 7.81 9.88 9.39
11/30/2003 7.86 10.31 9.58
12/31/2003 7.87 10.88 9.82
1/31/2004 7.94 11.37 10.23
2/29/2004 8.1 11.78 10.68
3/31/2004 8.32 12.34 11.42
4/30/2004 8.57 13.01 12.02
5/31/2004 8.86 13.51 12.51
6/30/2004 9.22 14.16 12.98
7/31/2004 9.6 14.53 13.14
8/31/2004 9.93 14.59 13.12
9/30/2004 10.18 14.73 13.15
10/31/2004 10.37 14.99 13.28
11/30/2004 10.58 15.21 13.5
12/31/2004 10.83 15.48 13.64
1/31/2005 11.06 15.58 13.8
2/28/2005 11.24 15.83 14
3/31/2005 11.36 16.23 14.23
4/30/2005 11.54 16.38 14.24
5/31/2005 11.67 16.22 14.3
6/30/2005 11.78 16.01 14.28
7/31/2005 11.81 15.88 14.28
8/31/2005 11.86 16.03 14.37
9/30/2005 11.9 16.27 14.51
10/31/2005 11.91 15.98 14.36
11/30/2005 11.88 15.61 14.08
12/31/2005 11.74 15.18 13.51
1/31/2006 11.5 14.68 12.93
2/28/2006 11.2 13.81 12.09
3/31/2006 10.89 12.5 11.04
4/30/2006 10.51 10.96 9.97
5/31/2006 10.05 9.35 8.75
6/30/2006 9.45 7.5 7.28
7/31/2006 8.73 5.9 6.04
8/31/2006 7.92 4.51 4.82
9/30/2006 7.02 3.33 3.71
10/31/2006 6.18 2.41 2.97
11/30/2006 5.36 1.44 2.2
12/31/2006 4.63 0.36 1.73
1/31/2007 3.99 -0.54 1.05
2/28/2007 3.4 -1.38 0.53
3/31/2007 2.79 -2.68 -0.31
4/30/2007 2.14 -3.56 -0.83
5/31/2007 1.44 -4.23 -1.35
6/30/2007 0.76 -4.55 -1.63
7/31/2007 0.1 -4.88 -1.96
8/31/2007 -0.48 -5.47 -2.26
9/30/2007 -1 -6.38 -2.76
10/31/2007 -1.49 -7.52 -3.55
11/30/2007 -1.99 -8.68 -4.61
12/31/2007 -2.49 -9.76 -5.4
1/31/2008 -3.06 -10.96 -6.37
2/29/2008 -3.69 -12.1 -7.28
3/31/2008 -4.38 -12.77 -7.84
4/30/2008 -5.11 -13.35 -8.13
5/31/2008 -5.78 -13.47 -8.18
6/30/2008 -6.4 -13.51 -8.26
7/31/2008 -6.96 -13.82 -8.44
8/31/2008 -7.64 -14.21 -8.85
9/30/2008 -8.23 -15.03 -9.61
10/31/2008 -8.78 -15.83 -10.35
11/30/2008 -9.23 -16.32 -10.9
12/31/2008 -9.68 -17.1 -12
1/31/2009 -10.03 -17.58 -12.7
2/28/2009 -10.14 -17.16 -12.75
3/31/2009 -10.14 -16.38 -12.74
4/30/2009 -10.07 -15.11 -12.18
5/31/2009 -10.01 -13.38 -11.29
6/30/2009 -9.86 -11.63 -10.05
7/31/2009 -9.58 -10.09 -9.03
8/31/2009 -9.17 -8.72 -8.28
9/30/2009 -8.73 -7.49 -7.58
10/31/2009 -8.21 -5.86 -6.65
11/30/2009 -7.48 -3.89 -5.21
12/31/2009 -6.64 -2.24 -3.85
1/31/2010 -5.77 -1.43 -2.92
2/28/2010 -5.1 -1.44 -3.09
3/31/2010 -4.4 -0.27 -1.99
4/30/2010 -3.66 0.83 -1.05
5/31/2010 -2.94 1.04 -0.76
6/30/2010 -2.42 0.68 -1.4
7/31/2010 -2.24 -0.2 -2.12
8/31/2010 -2.21 -1.23 -2.81
9/30/2010 -2.31 -2.14 -3.35
10/31/2010 -2.52 -2.78 -3.67
11/30/2010 -2.96 -3.56 -4.14
12/31/2010 -3.45 -3.7 -4.12
1/31/2011 -3.95 -3.6 -4.11
2/28/2011 -4.37 -3.52 -3.72
3/31/2011 -4.83 -4.32 -4.05
4/30/2011 -5.4 -4.53 -4.29
5/31/2011 -5.93 -4.42 -4.32
6/30/2011 -6.29 -3.91 -3.9
7/31/2011 -6.29 -3.06 -3.54
8/31/2011 -6.12 -2.3 -3.18
9/30/2011 -5.81 -1.62 -3.07
10/31/2011 -5.53 -1.39 -3.3
11/30/2011 -5.18 -1.36 -3.63
12/31/2011 -4.86 -0.97 -3.88
1/31/2012 -4.46 -0.36 -3.5
2/29/2012 -4.04 0.55 -2.72
3/31/2012 -3.48 1.9 -1.4
4/30/2012 -2.81 2.7 -0.5
5/31/2012 -2.01 3.37 0.26
6/30/2012 -1.24 3.77 0.87
7/31/2012 -0.57 4.13 1.36
8/31/2012 0.05 4.66 2.06
9/30/2012 0.65 5.3 2.99
10/31/2012 1.34 5.98 4.02
11/30/2012 2.05 6.95 5.33
12/31/2012 2.79 7.77 6.44
1/31/2013 3.52 8.66 7.56
2/28/2013 4.26 9.35 8.34
3/31/2013 4.91 9.91 8.91
4/30/2013 5.47 9.92 9.03
5/31/2013 5.97 9.74 9.08
6/30/2013 6.51 9.38 9.26
7/31/2013 7.03 9.43 9.71
8/31/2013 7.51 9.58 10.16
9/30/2013 7.92 9.88 10.61
10/31/2013 8.24 10.1 10.83
11/30/2013 8.42 10.05 10.7
12/31/2013 8.52 9.91 10.71
1/31/2014 8.51 9.84 10.44
2/28/2014 8.43 9.78 10.14
3/31/2014 8.16 8.92 8.94
4/30/2014 7.78 7.96 7.95
5/31/2014 7.33 7.03 7.04
6/30/2014 6.88 6.31 6.26
7/31/2014 6.39 5.73 5.59
8/31/2014 5.86 5.34 5.05
9/30/2014 5.37 5.08 4.73
10/31/2014 4.96 5.11 4.61
11/30/2014 4.69 5.07 4.58
12/31/2014 4.5 5 4.51
1/31/2015 4.32 5.01 4.32
2/28/2015 4.17 5.09 4.23
3/31/2015 4.17 5.18 4.29
4/30/2015 4.27 5.21 4.3
5/31/2015 4.41 5.19 4.35
6/30/2015 4.46 5.18 4.36
7/31/2015 4.51 5.07 4.4
8/31/2015 4.65 5.07 4.48
9/30/2015 4.82 5.25 4.68
10/31/2015 4.95 5.32 4.88
11/30/2015 4.98 5.39 5.1
12/31/2015 5.04 5.51 5.2
1/31/2016 5.14 5.63 5.29
2/29/2016 5.24 5.63 5.2
3/31/2016 5.22 5.6 5.07
4/30/2016 5.22 5.56 5.02
5/31/2016 5.21 5.39 4.95
6/30/2016 5.27 5.17 4.88
7/31/2016 5.34 5.16 4.89
8/31/2016 5.4 5.14 4.98
9/30/2016 5.45 5.2 5.08
10/31/2016 5.52 5.32 5.13
11/30/2016 5.66 5.44 5.19
12/31/2016 5.75 5.45 5.3
1/31/2017 5.79 5.51 5.5
2/28/2017 5.79 5.66 5.56
3/31/2017 5.88 5.71 5.62
4/30/2017 5.98 5.66 5.63
5/31/2017 6.06 5.66 5.65
6/30/2017 6.12 5.75 5.69
7/31/2017 6.15 5.77 5.74
8/31/2017 6.21 5.83 5.83
9/30/2017 6.29 5.89 5.92
10/31/2017 6.39 5.97 6.01
11/30/2017 6.45 6.05 6.09
12/31/2017 6.52 6.05 6.21
1/31/2018 6.58 6 6.21
2/28/2018 6.66 6.2 6.43
3/31/2018 6.7 6.37 6.46
4/30/2018 6.7 6.32 6.41
5/31/2018 6.67 6.19 6.26
6/30/2018 6.63 5.94 6.13
7/31/2018 6.61 5.74 5.91
8/31/2018 6.57 5.51 5.64
9/30/2018 6.49 5.34 5.41
10/31/2018 6.35 5.2 5.27
11/30/2018 6.18 4.93 4.94
12/31/2018 6.01 4.61 4.52
1/31/2019 5.86 4.41 4.13
2/28/2019 5.63 4.16 3.83
3/31/2019 5.37 3.88 3.64
4/30/2019 5.07 3.8 3.53
5/31/2019 4.8 3.77 3.41
6/30/2019 4.56 3.69 3.21
7/31/2019 4.33 3.64 3.13
8/31/2019 4.14 3.73 3.11
9/30/2019 3.98 3.84 3.17
10/31/2019 3.85 3.92 3.22
11/30/2019 3.74 4.12 3.42
12/31/2019 3.65 4.39 3.69
1/31/2020 3.62 4.58 4.01
2/29/2020 3.69 4.8 4.29
3/31/2020 3.88 5.14 4.57
4/30/2020 4.08 5.08 4.59
5/31/2020 4.15 4.72 4.36
6/30/2020 4.19 4.91 4.37
7/31/2020 4.4 5.56 4.84
8/31/2020 4.94 6.12 5.84
9/30/2020 5.7 6.81 7.05
10/31/2020 6.53 7.6 8.42
11/30/2020 7.44 8.28 9.54
12/31/2020 8.31 9 10.44
1/31/2021 9.18 9.45 11.33
2/28/2021 10.03 9.96 12.21
3/31/2021 10.92 11.03 13.5
4/30/2021 11.91 12.71 15.01
5/31/2021 13.39 14.65 16.92
6/30/2021 15.26 16.22 18.83
7/31/2021 17.07 16.93 19.85
8/31/2021 18.29 17.18 19.99
9/30/2021 18.93 17.31 19.71
10/31/2021 19.21 17.35 19.11
11/30/2021 19.32 17.57 18.87
12/31/2021 19.58 17.99 18.88
1/31/2022 19.89 18.57 19.17
2/28/2022 20.31 19.97 n.a.
3/31/2022 20.61 n.a. n.a.

Note: The data extend through January 2022 for Case-Shiller, February 2022 for CoreLogic, and March 2022 for Zillow.

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

Return to text
Figure 1.18. House price valuation measure

Percent

Date Valuation
3/31/1979 -2.1
6/30/1979 -0.96
9/30/1979 -1.54
12/31/1979 0.3
3/31/1980 -0.03
6/30/1980 0.2
9/30/1980 -0.12
12/31/1980 2.64
3/31/1981 4.9
6/30/1981 2.76
9/30/1981 1.05
12/31/1981 1.74
3/31/1982 -0.84
6/30/1982 0.06
9/30/1982 1.27
12/31/1982 -0.44
3/31/1983 0.71
6/30/1983 0.52
9/30/1983 1.87
12/31/1983 -2.7
3/31/1984 -2.41
6/30/1984 -2.4
9/30/1984 -1.33
12/31/1984 -0.43
3/31/1985 0.02
6/30/1985 2.18
9/30/1985 3.04
12/31/1985 1.51
3/31/1986 2.19
6/30/1986 0.71
9/30/1986 1.48
12/31/1986 1.11
3/31/1987 0.78
6/30/1987 -1.88
9/30/1987 -0.44
12/31/1987 -0.66
3/31/1988 -1.79
6/30/1988 1
9/30/1988 0.6
12/31/1988 2.31
3/31/1989 0.96
6/30/1989 2.78
9/30/1989 1.9
12/31/1989 1.73
3/31/1990 2.05
6/30/1990 0.28
9/30/1990 -0.99
12/31/1990 -1.38
3/31/1991 -1.15
6/30/1991 -0.92
9/30/1991 -1.98
12/31/1991 -3.46
3/31/1992 -4.37
6/30/1992 -5.04
9/30/1992 -4.71
12/31/1992 -6.47
3/31/1993 -6.09
6/30/1993 -5.99
9/30/1993 -6.19
12/31/1993 -5.54
3/31/1994 -5.43
6/30/1994 -6.37
9/30/1994 -7.38
12/31/1994 -6.61
3/31/1995 -6.78
6/30/1995 -4.6
9/30/1995 -3.57
12/31/1995 -3.41
3/31/1996 -3.31
6/30/1996 -5.14
9/30/1996 -5.19
12/31/1996 -6.07
3/31/1997 -6.01
6/30/1997 -4.77
9/30/1997 -4.1
12/31/1997 -5.54
3/31/1998 -5.04
6/30/1998 -3.22
9/30/1998 -4.41
12/31/1998 -3.2
3/31/1999 -3.33
6/30/1999 -1.88
9/30/1999 -1.62
12/31/1999 -1.88
3/31/2000 0.21
6/30/2000 1.4
9/30/2000 3.73
12/31/2000 4.55
3/31/2001 5.52
6/30/2001 5.96
9/30/2001 5.51
12/31/2001 4.58
3/31/2002 3.87
6/30/2002 4.85
9/30/2002 5.34
12/31/2002 6.5
3/31/2003 7.66
6/30/2003 9.34
9/30/2003 9.64
12/31/2003 9.72
3/31/2004 11.48
6/30/2004 12.46
9/30/2004 15.84
12/31/2004 18.7
3/31/2005 19.66
6/30/2005 23.69
9/30/2005 26.16
12/31/2005 26.97
3/31/2006 28.26
6/30/2006 28.61
9/30/2006 28.53
12/31/2006 28.45
3/31/2007 27.17
6/30/2007 26.96
9/30/2007 25.54
12/31/2007 22.42
3/31/2008 19.78
6/30/2008 16.61
9/30/2008 13.18
12/31/2008 9.1
3/31/2009 4.27
6/30/2009 2.57
9/30/2009 0.25
12/31/2009 -1.23
3/31/2010 -1.89
6/30/2010 -1.03
9/30/2010 -2.59
12/31/2010 -5.75
3/31/2011 -7.49
6/30/2011 -9.8
9/30/2011 -13.28
12/31/2011 -14.81
3/31/2012 -14.43
6/30/2012 -14.67
9/30/2012 -16.32
12/31/2012 -15.4
3/31/2013 -14.42
6/30/2013 -12.95
9/30/2013 -11.92
12/31/2013 -10.57
3/31/2014 -8.63
6/30/2014 -8.61
9/30/2014 -6.35
12/31/2014 -6.22
3/31/2015 -5.52
6/30/2015 -5.92
9/30/2015 -5.98
12/31/2015 -6.01
3/31/2016 -5.35
6/30/2016 -4.5
9/30/2016 -4.47
12/31/2016 -3.48
3/31/2017 -3.31
6/30/2017 -2.02
9/30/2017 -2.11
12/31/2017 0
3/31/2018 1.79
6/30/2018 1.65
9/30/2018 2.38
12/31/2018 2.34
3/31/2019 3.77
6/30/2019 3.38
9/30/2019 2.63
12/31/2019 3.11
3/31/2020 2.67
6/30/2020 3.05
9/30/2020 3.25
12/31/2020 5.6
3/31/2021 8.41
6/30/2021 11.78
9/30/2021 16.24
12/31/2021 19.51
3/31/2022 23.61

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

Source: For house prices, Zillow, Inc., 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 Bottom Line Middle 80% Top Line Middle 80%
1/31/1996 n.a. 99.23 71.08 82.99 73.5 105
2/29/1996 n.a. 99.34 71.19 82.69 73.44 104.82
3/31/1996 n.a. 99.61 70.85 82.42 73.13 104.58
4/30/1996 n.a. 99.61 70.84 82.21 72.97 105.03
5/31/1996 n.a. 99.54 70.73 82.1 72.78 104.6
6/30/1996 n.a. 99.83 70.64 82.22 72.67 104.47
7/31/1996 n.a. 100.42 70.58 82.36 72.45 104.39
8/31/1996 n.a. 100.25 70.29 82.53 72.3 104.4
9/30/1996 n.a. 100.16 70.14 82.62 72.09 104.2
10/31/1996 n.a. 99.83 69.77 82.75 71.78 104.25
11/30/1996 n.a. 99.72 69.84 82.89 71.81 104.03
12/31/1996 n.a. 99.79 69.77 83.06 71.77 104.03
1/31/1997 n.a. 99.53 69.66 83.16 71.79 103.56
2/28/1997 n.a. 99.45 69.54 83.39 71.68 103.62
3/31/1997 n.a. 99.29 69.51 83.64 71.7 103.38
4/30/1997 n.a. 99.36 69.47 83.99 71.77 103.07
5/31/1997 n.a. 99.24 69.53 84.17 71.8 103.16
6/30/1997 n.a. 99.14 69.57 84.34 71.8 103.2
7/31/1997 n.a. 99 69.71 85.46 72.16 102.76
8/31/1997 n.a. 98.81 69.92 85.65 72.29 102.82
9/30/1997 n.a. 98.84 69.98 85.82 72.32 103.14
10/31/1997 n.a. 98.94 70.26 86.05 72.34 103.23
11/30/1997 n.a. 98.92 70.49 86.31 72.48 103.53
12/31/1997 n.a. 99.06 70.61 86.7 72.53 103.75
1/31/1998 n.a. 99.4 71.23 85.39 73.23 103.46
2/28/1998 n.a. 99.68 71.73 85.69 73.36 103.69
3/31/1998 n.a. 99.8 72.15 85.89 73.46 104.12
4/30/1998 n.a. 99.83 72.54 86 73.55 103.35
5/31/1998 n.a. 100.05 72.88 86.17 73.46 103.58
6/30/1998 n.a. 99.93 73.23 86.26 73.45 103.3
7/31/1998 n.a. 99.8 73.42 86.26 73.52 103.65
8/31/1998 n.a. 99.57 73.8 86.67 73.77 103.99
9/30/1998 n.a. 100.28 74.24 87.08 74.2 104.26
10/31/1998 n.a. 100.72 74.66 87.37 74.59 104.48
11/30/1998 n.a. 101.05 75.09 87.71 74.92 104.3
12/31/1998 n.a. 101.01 75.18 87.83 74.9 104.7
1/31/1999 n.a. 101.12 75.82 88.14 74.99 104.49
2/28/1999 n.a. 101.19 76.26 88.43 75.16 105.44
3/31/1999 n.a. 101.2 76.72 88.9 75.54 105.88
4/30/1999 n.a. 101.38 77.04 89.27 75.88 106.37
5/31/1999 n.a. 101.47 77.4 89.46 76.32 107.43
6/30/1999 n.a. 102.22 77.77 89.86 76.86 108.09
7/31/1999 n.a. 102.84 78.21 90.17 77.4 108.57
8/31/1999 n.a. 103.35 78.65 90.63 77.72 108.79
9/30/1999 n.a. 102.74 78.71 91.06 78.22 108.76
10/31/1999 n.a. 102.74 79.05 91.49 78.69 108.87
11/30/1999 n.a. 102.93 79.41 91.76 79.07 109.02
12/31/1999 n.a. 103.04 79.94 91.85 79.57 109.35
1/31/2000 n.a. 103.02 80.28 91.98 79.84 109.14
2/29/2000 n.a. 103.31 80.47 92.19 80.27 109.05
3/31/2000 n.a. 103.68 80.89 92.26 80.66 108.68
4/30/2000 n.a. 103.97 81.22 92.51 81.09 108.55
5/31/2000 n.a. 104.45 82 92.73 81.7 107.8
6/30/2000 n.a. 103.77 82.65 93.12 82.56 107.64
7/31/2000 n.a. 104.3 83.23 93.85 83.08 107.48
8/31/2000 n.a. 104.49 83.81 94.65 83.6 107.66
9/30/2000 n.a. 104.86 84.4 95.19 84.13 107.57
10/31/2000 n.a. 105.33 84.79 95.64 84.49 107.56
11/30/2000 n.a. 105.82 85.3 96.13 84.75 107.54
12/31/2000 n.a. 106.76 85.68 96.58 85.17 107.5
1/31/2001 n.a. 107.04 86.17 97.03 85.3 107.73
2/28/2001 n.a. 107.44 86.7 97.52 85.68 108.17
3/31/2001 n.a. 108.22 87.07 98.26 86.2 108.94
4/30/2001 n.a. 108.9 87.5 98.87 86.77 109.55
5/31/2001 n.a. 109.82 87.67 98.94 87.13 110.38
6/30/2001 n.a. 110.55 87.91 98.58 87.32 111.05
7/31/2001 n.a. 111.48 88.23 98.82 87.63 111.92
8/31/2001 n.a. 112.6 88.56 98.7 87.96 112.93
9/30/2001 n.a. 113.58 88.88 98.88 88.28 113.81
10/31/2001 n.a. 114.79 89.36 98.99 88.65 114.89
11/30/2001 n.a. 115.73 89.82 99.01 88.69 115.65
12/31/2001 n.a. 116.68 90.24 99.07 88.41 115.61
1/31/2002 108.12 117.94 90.68 99.08 88.27 115.84
2/28/2002 108.62 118.79 91.26 99.38 88.21 116.04
3/31/2002 109.23 119.38 91.91 99.64 88.3 116.41
4/30/2002 109.77 120.07 92.73 99.92 88.58 115.68
5/31/2002 110.13 120.42 93.56 100.13 89.08 115.9
6/30/2002 110.53 121.28 94.43 100.35 89.97 116.1
7/31/2002 110.77 121.66 95.43 100.62 90.94 115.81
8/31/2002 111.02 122.77 96.7 100.89 92.01 116.08
9/30/2002 111.26 123.29 97.68 101.17 92.83 116.61
10/31/2002 111.57 124.18 98.64 101.57 93.81 117.57
11/30/2002 112.09 125.06 99.66 102.04 94.63 117.32
12/31/2002 112.64 126.63 100.78 102.45 95.31 117.34
1/31/2003 113.28 127.92 101.83 102.86 95.9 117.5
2/28/2003 113.79 129.25 102.83 103.33 96.72 118.54
3/31/2003 114.29 130.82 103.96 103.9 97.38 119.64
4/30/2003 114.68 132.4 105.08 104.3 97.74 120.81
5/31/2003 114.93 133.93 106.37 104.63 98.22 121.85
6/30/2003 115.23 134.96 107.41 105.26 98.56 122.82
7/31/2003 115.33 136.39 108.63 105.78 98.81 124.03
8/31/2003 115.55 137.39 109.76 106.5 99.29 125.1
9/30/2003 116.1 139.07 111.29 107.11 100.27 126.44
10/31/2003 116.6 140.3 112.8 107.73 100.33 127.7
11/30/2003 117.37 141.75 114.4 108.57 100.75 129.27
12/31/2003 117.94 142.61 116.06 109.49 101.03 129.61
1/31/2004 118.63 144.24 118.02 110.27 102.35 130.89
2/29/2004 119.34 146.08 120.09 111.43 103.35 133.13
3/31/2004 120.3 147.64 122.15 112.24 104.43 135.59
4/30/2004 121.16 148.76 124.36 113.17 105.3 137.59
5/31/2004 122.11 150.39 126.66 114.76 106.29 139.16
6/30/2004 123.15 152.11 129.09 116.23 106.66 143.04
7/31/2004 124.62 154.23 131.61 118 106.81 146.43
8/31/2004 126.25 156.52 133.23 119.05 107.49 149.77
9/30/2004 127.89 158.8 135.26 120.41 107.51 151.76
10/31/2004 129.51 161.23 137.11 121.51 107.49 154.19
11/30/2004 131.61 162.02 138.29 123.01 107.55 156.04
12/31/2004 134.33 164.04 139.61 123.86 107.49 157.75
1/31/2005 137.45 165.27 140.61 124.37 107.86 158.54
2/28/2005 140.68 167.42 141.89 125.02 107.59 159.75
3/31/2005 143.9 169.5 143.17 125.45 107.79 160.99
4/30/2005 147.4 171.55 144.19 126.32 108.75 162.84
5/31/2005 151.14 174.9 145.32 126.88 109.2 164.17
6/30/2005 156.67 178.43 146.57 127.16 109.55 164.64
7/31/2005 162.61 181.24 148.18 127.77 109.81 164.48
8/31/2005 168.44 183.67 149.75 128.33 110.26 164.56
9/30/2005 174.81 187.08 151.44 129.06 110.75 164.34
10/31/2005 179.61 189.63 153.26 129.56 111.19 166.5
11/30/2005 185.07 191.88 154.46 130.01 111.67 168.74
12/31/2005 187.66 193.8 156.03 130.74 112.08 170.72
1/31/2006 188.75 196.05 157.17 131.22 112.48 172.32
2/28/2006 190.06 197.5 157.9 131.75 112.71 173.52
3/31/2006 192.03 199.47 158.41 132.64 112.42 174.87
4/30/2006 194.04 201.84 158.1 132.95 112.05 176.23
5/31/2006 193.42 204.83 159 132.9 111.76 175.73
6/30/2006 192.31 205.45 159.23 133.21 111.5 174.13
7/31/2006 190.07 205.52 158.62 133.59 111.14 173.3
8/31/2006 187.69 206.22 158.43 133.73 111 172.45
9/30/2006 184.93 205.4 157.35 132.83 110.95 171.75
10/31/2006 182.92 204.26 156.52 132.63 111.31 170.83
11/30/2006 181.28 203.82 155.58 132.29 111.77 169.57
12/31/2006 179.57 202.52 154.23 131.89 112.77 168.55
1/31/2007 177.75 201.3 153.42 131.91 112.94 166.53
2/28/2007 176.45 199.38 152.38 131.84 112.99 165.52
3/31/2007 175.6 196.66 151.26 132.08 112.65 164.62
4/30/2007 174.83 193.14 150.2 131.66 112.18 163.67
5/31/2007 173.73 189.79 148.91 131.34 112.86 162.6
6/30/2007 172.27 186.48 147.64 131.17 113.06 161.31
7/31/2007 170.39 183.23 146.03 130.38 113.12 158.88
8/31/2007 168.53 179.32 144.04 129.63 113.06 156.32
9/30/2007 166.59 176.21 142.03 129.12 112.8 153.86
10/31/2007 164.18 173.76 139.88 128.69 112.43 151.38
11/30/2007 161.85 170.27 138.06 127.92 112.02 149.33
12/31/2007 159.14 167.59 136.11 126.86 111.53 146.86
1/31/2008 156.38 164.21 133.77 125.79 110.98 144.3
2/29/2008 152.8 160.67 131.06 124.38 110.56 141.45
3/31/2008 149.06 155.88 128.26 123.36 110 138.67
4/30/2008 144.4 152.29 124.37 121.79 109.28 135.83
5/31/2008 141.02 148.09 120.83 120.35 108.54 133.07
6/30/2008 137.7 144.1 117.34 118.27 107.8 130.57
7/31/2008 134.19 140.46 114.39 116.12 107.42 128.1
8/31/2008 130.16 136.94 112.11 113.89 107.02 126.02
9/30/2008 126.44 132.79 110.07 112.17 106.58 123.91
10/31/2008 123.19 128.85 107.95 110.72 105.45 121.75
11/30/2008 119.43 124.78 105.63 109.37 103.82 119.33
12/31/2008 115.24 121.45 103.25 108.16 102.57 116.97
1/31/2009 111.55 117.74 101.22 106.69 101.07 114.67
2/28/2009 110.1 115.23 100.02 105.77 99.98 112.69
3/31/2009 108.42 112.73 99.19 104.6 99.55 110.66
4/30/2009 106.77 110.21 98.54 103.5 99.31 108.53
5/31/2009 104.5 108.12 98.01 102.69 98.99 106.74
6/30/2009 103.01 106.41 97.41 101.7 98.22 105.28
7/31/2009 101.93 104.96 96.92 101.12 97.94 103.89
8/31/2009 101.06 103.56 97.38 100.29 97.38 102.99
9/30/2009 100.26 102.34 97.57 100.21 97.53 102
10/31/2009 98.67 101.58 98.04 100.03 97.99 101.26
11/30/2009 99.07 101.43 98.69 100.16 98.68 100.84
12/31/2009 99.29 100.48 99.85 100.05 99.55 100.48
1/31/2010 100 100 100 100 100 100
2/28/2010 99.54 99.59 99.72 99.94 99.62 100.48
3/31/2010 98.8 99.74 100.08 100.09 99.4 100.71
4/30/2010 98.79 99.07 100.43 100.12 99.21 101.08
5/31/2010 98.37 98.81 101.32 99.94 98.71 101.33
6/30/2010 98.07 97.46 101.05 99.64 98.71 101.09
7/31/2010 96.39 96.78 100.56 99.21 98.24 100.59
8/31/2010 95.11 96.02 99.64 98.8 97.37 99.87
9/30/2010 93.31 95.26 98.7 97.99 96.02 99.76
10/31/2010 92.35 94.38 97.98 97.23 95.33 99.2
11/30/2010 91.46 93.3 97.03 96.6 94 98.22
12/31/2010 90.16 91.92 96.65 96.04 92.96 97.78
1/31/2011 88.64 91.46 95.92 95.39 91.97 97.6
2/28/2011 87.17 90.75 96.16 94.78 91.06 97.14
3/31/2011 86.15 90.2 95.59 94.2 90.17 96.7
4/30/2011 84.9 89.55 94.89 93.54 89.34 96.06
5/31/2011 83.56 88.98 93.89 92.76 88.08 95.7
6/30/2011 82.06 88.69 93.37 91.77 87.14 95.38
7/31/2011 81.3 88.2 93.06 91.23 85.62 94.65
8/31/2011 81.13 87.68 93.02 90.56 85.16 94.19
9/30/2011 81.07 87.49 92.17 90.06 84.84 93.88
10/31/2011 81.1 87.39 91.4 89.4 84.28 93.47
11/30/2011 81.36 87.29 91.21 88.94 83.79 93.21
12/31/2011 81.94 87.1 90.72 88.7 82.91 92.98
1/31/2012 82.4 87.15 90.13 88.27 82.14 92.61
2/29/2012 83.15 86.98 89.66 87.77 81.53 92.4
3/31/2012 83.29 86.78 89.09 87.74 81.8 92.44
4/30/2012 84.88 86.87 88.9 87.76 82.26 92.39
5/31/2012 87.14 87.22 89.08 88.33 82.65 92.41
6/30/2012 89.52 87.4 89.29 88.98 82.86 92.48
7/31/2012 91.4 87.65 89.75 89.57 83.17 92.89
8/31/2012 93 88.13 90.41 89.76 83.49 93.2
9/30/2012 94.93 88.91 91.02 89.72 83.58 93.29
10/31/2012 96.73 89.45 91.95 89.75 83.56 93.64
11/30/2012 98.71 90.32 92.78 90.31 84.17 94.37
12/31/2012 99.4 91.03 93.84 90.83 84.83 95.6
1/31/2013 100.67 92.05 94.86 91.06 85.14 96.26
2/28/2013 101.46 93.2 96.69 91.47 85.41 97.06
3/31/2013 102.56 94.58 98.49 91.82 85.19 98.55
4/30/2013 103.33 95.7 100.41 92.17 85.53 100.44
5/31/2013 104.2 96.86 102.04 92.8 85.79 102.09
6/30/2013 105.4 98.05 103.79 93.37 86.03 103.84
7/31/2013 107.08 99.38 105.4 94.05 86.26 105.48
8/31/2013 108.54 100.87 107.18 94.6 86.46 107.31
9/30/2013 109.6 101.63 108.61 95.13 86.76 108.7
10/31/2013 110.34 103.22 109.78 96.03 86.7 109.83
11/30/2013 110.65 104.61 110.74 96.56 86.75 110.7
12/31/2013 111.21 106.25 111.44 97.24 86.56 111.17
1/31/2014 112.13 107.55 112 98.1 86.58 112.1
2/28/2014 113.67 108.29 112.24 98.65 86.72 113.36
3/31/2014 113.68 109.12 112.35 99.09 86.66 113.37
4/30/2014 113.36 109.66 112.05 99.31 86.53 113.07
5/31/2014 113.02 110.18 112.07 99.55 86.28 112.49
6/30/2014 112.81 110.51 111.89 99.54 86.31 112.25
7/31/2014 112.38 111.24 111.82 99.98 86.39 112.25
8/31/2014 112.04 111.97 111.5 100.2 86.37 112.32
9/30/2014 111.46 112.44 111.32 100.26 86.09 112.78
10/31/2014 111.34 113.18 111.14 100.43 86.11 113.48
11/30/2014 111.81 112.84 111.32 100.16 85.76 113.22
12/31/2014 112.25 113.16 111.67 100.37 85.81 113.58
1/31/2015 112.29 113.3 112.03 100.22 85.84 113.72
2/28/2015 112.21 113.58 112.72 100.23 85.29 114.05
3/31/2015 112.65 113.66 112.83 100.34 85.2 114.21
4/30/2015 113.46 114.11 113.02 100.56 85.21 114.69
5/31/2015 114.09 114.73 113.19 100.48 85.28 115.31
6/30/2015 114.06 114.94 113.34 100.78 85.3 115.57
7/31/2015 114.45 115.14 113.55 101.06 85.33 115.78
8/31/2015 114.88 115.22 113.82 101.47 85.31 116.02
9/30/2015 115.49 115.5 114.25 101.79 85.29 116.22
10/31/2015 115.72 115.85 114.58 102.2 85.5 116.59
11/30/2015 115.9 116.36 114.85 102.52 85.26 117.05
12/31/2015 115.99 116.57 115.19 102.97 85.2 117.3
1/31/2016 116.63 117.08 115.33 103.53 85.26 117.82
2/29/2016 117.15 117.37 115.8 103.9 85.35 118.11
3/31/2016 117.21 117.52 115.37 104.29 85.3 118.27
4/30/2016 117.46 117.42 115.86 104.47 85.31 118.26
5/31/2016 117.63 118.16 115.97 104.58 85.35 118.95
6/30/2016 117.83 118.98 116.24 104.92 85.4 119.66
7/31/2016 117.53 119.64 116.14 105.04 85.54 120.14
8/31/2016 117.48 119.9 116.3 104.97 85.71 120.27
9/30/2016 117.56 120.17 116.42 104.66 85.96 120.39
10/31/2016 118.06 120.34 116.71 104.5 86.29 120.58
11/30/2016 118.53 120.2 116.68 104.76 86.7 120.44
12/31/2016 118.71 120.43 116.59 105.29 86.98 120.64
1/31/2017 118.64 120.8 116.66 105.45 87.29 120.94
2/28/2017 118.82 120.93 116.78 106.03 87.54 121.09
3/31/2017 118.99 120.85 117.18 106.45 87.85 121.04
4/30/2017 119.3 121.05 117.36 106.92 88.18 121.22
5/31/2017 119.33 121.28 117.86 107.35 88.4 121.47
6/30/2017 119.54 121.52 118.45 107.76 88.59 121.74
7/31/2017 119.99 121.54 118.32 108.33 88.83 121.84
8/31/2017 120.09 121.59 118.33 107.83 89.16 121.95
9/30/2017 120.33 121.95 118.38 108.26 89.53 122.38
10/31/2017 120.55 122.23 118.43 108.63 89.8 122.69
11/30/2017 120.82 122.54 118.84 108.92 89.97 123.12
12/31/2017 121.05 122.73 119.24 108.99 90.13 123.41
1/31/2018 120.41 122.92 119.59 109.3 90.25 123.72
2/28/2018 120.88 123.23 120.14 109.78 90.19 124.1
3/31/2018 121.09 123.96 120.37 110.34 90.48 124.86
4/30/2018 121.1 124.39 120.51 110.82 90.34 125.42
5/31/2018 121.39 124.88 120.58 111.29 90.39 126
6/30/2018 121.42 124.4 120.77 111.7 90.44 125.61
7/31/2018 121.56 124.95 120.77 112.04 90.42 126.16
8/31/2018 121.81 125.21 120.65 112.11 90.49 126.46
9/30/2018 122.07 125.38 120.09 112.05 90.52 126.63
10/31/2018 122.04 124.77 119.92 112.12 90.66 126.1
11/30/2018 122.22 124.98 119.68 111.96 90.96 126.21
12/31/2018 122.32 125.19 119.2 111.96 91.03 126.28
1/31/2019 122.58 125.53 118.62 112.16 90.78 126.45
2/28/2019 122.55 124.62 117.53 111.76 90.92 125.58
3/31/2019 122.62 124.36 116.73 110.95 90.81 125.25
4/30/2019 122.6 124.18 116.26 110.16 90.79 125.01
5/31/2019 122.72 123.95 116.11 109.79 90.61 124.76
6/30/2019 122.98 123.54 115.7 109.6 90.73 124.36
7/31/2019 122.46 123.3 115.31 109.2 90.64 124.11
8/31/2019 122.06 123.34 115.12 108.99 90.47 124.1
9/30/2019 121.92 123.32 115.01 108.87 90.36 124.03
10/31/2019 122.19 123.54 115.19 109.16 90.27 124.21
11/30/2019 122.17 124.14 115.07 109.12 90 124.74
12/31/2019 122.75 124.43 115.22 109.53 90.33 125.04
1/31/2020 123.62 124.61 115.74 109.87 90.42 125.27
2/29/2020 124.56 125.31 116.55 110.24 90.51 125.93
3/31/2020 125.23 125.78 117.41 110.73 90.55 126.42
4/30/2020 126.32 125.98 117.74 111.11 90.7 126.68
5/31/2020 126.69 125.79 117.09 111.07 90.8 126.33
6/30/2020 127.3 126.25 116.33 111.22 90.77 126.59
7/31/2020 128.12 126.26 116.44 111.54 91.16 126.57
8/31/2020 129.97 125.83 117.95 112.68 91.82 126.36
9/30/2020 131.6 126.5 119.41 114.04 92.77 127.26
10/31/2020 133.6 127.26 120.9 115.63 93.98 128.21
11/30/2020 135.93 127.98 122.59 116.7 95.17 130.3
12/31/2020 137.89 128.71 123.88 118.14 96.45 131.68
1/31/2021 140.39 130.08 124.96 119.17 97.48 133.65
2/28/2021 142.51 131.09 126.14 120.42 98.16 135.16
3/31/2021 145.42 132.28 127.45 121.53 99.09 135.94
4/30/2021 147.63 133.66 129.37 123.01 99.93 137.92
5/31/2021 151.13 135.66 131.53 124.87 101.24 141.72
6/30/2021 154.74 137.5 134.17 126.92 102.19 145.19
7/31/2021 158.53 140.26 137.17 129.11 103.67 148.62
8/31/2021 160.69 142.67 139.15 131.26 104.5 150.22
9/30/2021 161.4 144.83 140.12 132.69 104.77 151.89
10/31/2021 162.3 146.94 140.56 134.43 105.11 152.78
11/30/2021 162.9 149.18 141.33 135.98 104.73 153.66
12/31/2021 163.71 151.28 142.76 137.35 105.88 155.62
1/31/2022 163.85 152.96 144.37 138.86 106.51 158.66
2/28/2022 n.a. 154.6 146.15 146.15 108.21 162.06
3/31/2022 n.a. 157.61 148.52 148.52 109.21 165.21

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

Return to text
Figure 2.1. Private nonfinancial-sector credit-to-GDP ratio

Ratio

Date Private Nonfinancial-Sector Credit-to-GDP Ratio
3/31/1980 0.98
6/30/1980 0.99
9/30/1980 0.98
12/31/1980 0.97
3/31/1981 0.94
6/30/1981 0.96
9/30/1981 0.96
12/31/1981 0.97
3/31/1982 0.99
6/30/1982 0.99
9/30/1982 1.00
12/31/1982 1.00
3/31/1983 1.00
6/30/1983 0.99
9/30/1983 0.99
12/31/1983 0.99
3/31/1984 0.99
6/30/1984 1.00
9/30/1984 1.02
12/31/1984 1.04
3/31/1985 1.05
6/30/1985 1.07
9/30/1985 1.08
12/31/1985 1.10
3/31/1986 1.11
6/30/1986 1.13
9/30/1986 1.15
12/31/1986 1.17
3/31/1987 1.18
6/30/1987 1.18
9/30/1987 1.19
12/31/1987 1.18
3/31/1988 1.20
6/30/1988 1.20
9/30/1988 1.21
12/31/1988 1.21
3/31/1989 1.21
6/30/1989 1.21
9/30/1989 1.21
12/31/1989 1.22
3/31/1990 1.22
6/30/1990 1.22
9/30/1990 1.22
12/31/1990 1.24
3/31/1991 1.24
6/30/1991 1.23
9/30/1991 1.21
12/31/1991 1.21
3/31/1992 1.19
6/30/1992 1.18
9/30/1992 1.17
12/31/1992 1.16
3/31/1993 1.16
6/30/1993 1.16
9/30/1993 1.16
12/31/1993 1.16
3/31/1994 1.16
6/30/1994 1.16
9/30/1994 1.16
12/31/1994 1.16
3/31/1995 1.17
6/30/1995 1.18
9/30/1995 1.18
12/31/1995 1.19
3/31/1996 1.19
6/30/1996 1.19
9/30/1996 1.19
12/31/1996 1.19
3/31/1997 1.19
6/30/1997 1.19
9/30/1997 1.20
12/31/1997 1.20
3/31/1998 1.22
6/30/1998 1.24
9/30/1998 1.24
12/31/1998 1.25
3/31/1999 1.26
6/30/1999 1.27
9/30/1999 1.29
12/31/1999 1.29
3/31/2000 1.31
6/30/2000 1.31
9/30/2000 1.32
12/31/2000 1.33
3/31/2001 1.34
6/30/2001 1.35
9/30/2001 1.38
12/31/2001 1.39
3/31/2002 1.40
6/30/2002 1.40
9/30/2002 1.41
12/31/2002 1.42
3/31/2003 1.43
6/30/2003 1.45
9/30/2003 1.44
12/31/2003 1.44
3/31/2004 1.45
6/30/2004 1.46
9/30/2004 1.47
12/31/2004 1.48
3/31/2005 1.48
6/30/2005 1.50
9/30/2005 1.51
12/31/2005 1.52
3/31/2006 1.54
6/30/2006 1.56
9/30/2006 1.58
12/31/2006 1.60
3/31/2007 1.61
6/30/2007 1.63
9/30/2007 1.65
12/31/2007 1.66
3/31/2008 1.69
6/30/2008 1.68
9/30/2008 1.69
12/31/2008 1.71
3/31/2009 1.72
6/30/2009 1.72
9/30/2009 1.69
12/31/2009 1.66
3/31/2010 1.64
6/30/2010 1.61
9/30/2010 1.58
12/31/2010 1.56
3/31/2011 1.56
6/30/2011 1.54
9/30/2011 1.53
12/31/2011 1.52
3/31/2012 1.50
6/30/2012 1.49
9/30/2012 1.49
12/31/2012 1.49
3/31/2013 1.48
6/30/2013 1.48
9/30/2013 1.48
12/31/2013 1.47
3/31/2014 1.49
6/30/2014 1.47
9/30/2014 1.46
12/31/2014 1.46
3/31/2015 1.47
6/30/2015 1.47
9/30/2015 1.47
12/31/2015 1.48
3/31/2016 1.49
6/30/2016 1.49
9/30/2016 1.49
12/31/2016 1.49
3/31/2017 1.49
6/30/2017 1.50
9/30/2017 1.50
12/31/2017 1.49
3/31/2018 1.49
6/30/2018 1.49
9/30/2018 1.49
12/31/2018 1.50
3/31/2019 1.50
6/30/2019 1.49
9/30/2019 1.50
12/31/2019 1.49
3/31/2020 1.55
6/30/2020 1.74
9/30/2020 1.62
12/31/2020 1.60
3/31/2021 1.58
6/30/2021 1.55
9/30/2021 1.54
12/31/2021 1.52

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

Return to text
Figure 2.2. Nonfinancial business- and household-sector credit-to-GDP ratios

Ratios

Date Nonfinancial business (right scale) Household (left scale)
3/31/1980 0.50 0.48
6/30/1980 0.50 0.48
9/30/1980 0.50 0.48
12/31/1980 0.49 0.48
3/31/1981 0.48 0.46
6/30/1981 0.50 0.47
9/30/1981 0.50 0.46
12/31/1981 0.51 0.47
3/31/1982 0.52 0.47
6/30/1982 0.52 0.47
9/30/1982 0.53 0.47
12/31/1982 0.53 0.47
3/31/1983 0.53 0.46
6/30/1983 0.53 0.46
9/30/1983 0.53 0.46
12/31/1983 0.53 0.46
3/31/1984 0.53 0.46
6/30/1984 0.54 0.47
9/30/1984 0.55 0.47
12/31/1984 0.56 0.48
3/31/1985 0.56 0.49
6/30/1985 0.57 0.50
9/30/1985 0.57 0.51
12/31/1985 0.58 0.52
3/31/1986 0.58 0.53
6/30/1986 0.60 0.54
9/30/1986 0.60 0.55
12/31/1986 0.62 0.56
3/31/1987 0.62 0.56
6/30/1987 0.62 0.56
9/30/1987 0.62 0.57
12/31/1987 0.62 0.56
3/31/1988 0.63 0.57
6/30/1988 0.63 0.57
9/30/1988 0.63 0.57
12/31/1988 0.63 0.57
3/31/1989 0.63 0.57
6/30/1989 0.63 0.58
9/30/1989 0.63 0.58
12/31/1989 0.64 0.59
3/31/1990 0.63 0.59
6/30/1990 0.63 0.59
9/30/1990 0.63 0.60
12/31/1990 0.63 0.61
3/31/1991 0.62 0.61
6/30/1991 0.61 0.61
9/30/1991 0.60 0.61
12/31/1991 0.59 0.62
3/31/1992 0.58 0.61
6/30/1992 0.57 0.61
9/30/1992 0.56 0.61
12/31/1992 0.55 0.61
3/31/1993 0.55 0.61
6/30/1993 0.55 0.61
9/30/1993 0.55 0.61
12/31/1993 0.54 0.61
3/31/1994 0.54 0.61
6/30/1994 0.54 0.61
9/30/1994 0.54 0.62
12/31/1994 0.54 0.62
3/31/1995 0.54 0.62
6/30/1995 0.55 0.63
9/30/1995 0.55 0.63
12/31/1995 0.55 0.64
3/31/1996 0.55 0.64
6/30/1996 0.55 0.64
9/30/1996 0.55 0.64
12/31/1996 0.55 0.64
3/31/1997 0.55 0.65
6/30/1997 0.55 0.64
9/30/1997 0.55 0.64
12/31/1997 0.56 0.65
3/31/1998 0.57 0.65
6/30/1998 0.58 0.66
9/30/1998 0.58 0.66
12/31/1998 0.59 0.66
3/31/1999 0.60 0.66
6/30/1999 0.60 0.67
9/30/1999 0.61 0.67
12/31/1999 0.61 0.68
3/31/2000 0.62 0.69
6/30/2000 0.62 0.68
9/30/2000 0.63 0.70
12/31/2000 0.63 0.70
3/31/2001 0.63 0.71
6/30/2001 0.64 0.71
9/30/2001 0.65 0.74
12/31/2001 0.65 0.74
3/31/2002 0.64 0.75
6/30/2002 0.64 0.76
9/30/2002 0.64 0.77
12/31/2002 0.64 0.79
3/31/2003 0.63 0.80
6/30/2003 0.63 0.82
9/30/2003 0.62 0.82
12/31/2003 0.61 0.83
3/31/2004 0.61 0.84
6/30/2004 0.61 0.85
9/30/2004 0.61 0.86
12/31/2004 0.60 0.87
3/31/2005 0.60 0.88
6/30/2005 0.61 0.89
9/30/2005 0.61 0.90
12/31/2005 0.61 0.91
3/31/2006 0.62 0.92
6/30/2006 0.63 0.93
9/30/2006 0.63 0.95
12/31/2006 0.64 0.96
3/31/2007 0.65 0.96
6/30/2007 0.66 0.97
9/30/2007 0.68 0.97
12/31/2007 0.69 0.98
3/31/2008 0.70 0.99
6/30/2008 0.71 0.97
9/30/2008 0.72 0.98
12/31/2008 0.73 0.97
3/31/2009 0.74 0.98
6/30/2009 0.73 0.98
9/30/2009 0.72 0.98
12/31/2009 0.70 0.96
3/31/2010 0.69 0.95
6/30/2010 0.67 0.93
9/30/2010 0.67 0.92
12/31/2010 0.66 0.91
3/31/2011 0.65 0.90
6/30/2011 0.65 0.89
9/30/2011 0.65 0.88
12/31/2011 0.65 0.87
3/31/2012 0.65 0.86
6/30/2012 0.65 0.84
9/30/2012 0.65 0.84
12/31/2012 0.66 0.83
3/31/2013 0.66 0.82
6/30/2013 0.66 0.82
9/30/2013 0.66 0.81
12/31/2013 0.66 0.81
3/31/2014 0.67 0.81
6/30/2014 0.67 0.80
9/30/2014 0.67 0.79
12/31/2014 0.68 0.79
3/31/2015 0.69 0.78
6/30/2015 0.69 0.78
9/30/2015 0.70 0.77
12/31/2015 0.71 0.77
3/31/2016 0.72 0.77
6/30/2016 0.72 0.77
9/30/2016 0.72 0.77
12/31/2016 0.72 0.77
3/31/2017 0.72 0.77
6/30/2017 0.73 0.77
9/30/2017 0.73 0.76
12/31/2017 0.73 0.76
3/31/2018 0.73 0.76
6/30/2018 0.74 0.75
9/30/2018 0.74 0.75
12/31/2018 0.75 0.75
3/31/2019 0.75 0.75
6/30/2019 0.75 0.74
9/30/2019 0.75 0.74
12/31/2019 0.75 0.74
3/31/2020 0.79 0.76
6/30/2020 0.91 0.83
9/30/2020 0.84 0.78
12/31/2020 0.83 0.78
3/31/2021 0.81 0.77
6/30/2021 0.79 0.76
9/30/2021 0.79 0.76
12/31/2021 0.77 0.75

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

Return to text
Figure 2.3. Growth of real aggregate debt of the business sector

Percent change, annual rate

Date Growth of agg debt
3/31/1997 5.12
6/30/1997 5.86
9/30/1997 9.67
12/31/1997 6.59
3/31/1998 10.59
6/30/1998 11.83
9/30/1998 8.53
12/31/1998 8.77
3/31/1999 10.85
6/30/1999 6.38
9/30/1999 10.51
12/31/1999 6.38
3/31/2000 8.79
6/30/2000 9.39
9/30/2000 4.36
12/31/2000 4.73
3/31/2001 1.09
6/30/2001 6.09
9/30/2001 3.25
12/31/2001 1.42
3/31/2002 1.80
6/30/2002 -0.56
9/30/2002 -0.45
12/31/2002 1.03
3/31/2003 -0.19
6/30/2003 -0.61
9/30/2003 1.14
12/31/2003 -2.13
3/31/2004 3.94
6/30/2004 1.12
9/30/2004 5.24
12/31/2004 3.87
3/31/2005 4.46
6/30/2005 5.77
9/30/2005 4.97
12/31/2005 6.80
3/31/2006 7.83
6/30/2006 6.79
9/30/2006 4.58
12/31/2006 10.01
3/31/2007 8.04
6/30/2007 11.46
9/30/2007 11.46
12/31/2007 7.90
3/31/2008 5.90
6/30/2008 6.33
9/30/2008 3.44
12/31/2008 1.47
3/31/2009 -3.48
6/30/2009 -4.83
9/30/2009 -6.37
12/31/2009 -6.78
3/31/2010 -3.99
6/30/2010 -3.67
9/30/2010 0.97
12/31/2010 -0.52
3/31/2011 -1.93
6/30/2011 0.73
9/30/2011 1.06
12/31/2011 2.40
3/31/2012 0.86
6/30/2012 2.59
9/30/2012 5.36
12/31/2012 6.23
3/31/2013 1.02
6/30/2013 3.82
9/30/2013 5.58
12/31/2013 2.45
3/31/2014 5.02
6/30/2014 3.81
9/30/2014 4.96
12/31/2014 6.69
3/31/2015 6.59
6/30/2015 6.82
9/30/2015 4.20
12/31/2015 5.18
3/31/2016 6.80
6/30/2016 2.15
9/30/2016 3.85
12/31/2016 0.20
3/31/2017 4.03
6/30/2017 5.28
9/30/2017 4.19
12/31/2017 3.34
3/31/2018 2.19
6/30/2018 0.97
9/30/2018 3.64
12/31/2018 2.76
3/31/2019 5.63
6/30/2019 1.90
9/30/2019 4.11
12/31/2019 0.91
3/31/2020 17.15
6/30/2020 15.98
9/30/2020 -3.36
12/31/2020 -0.74
3/31/2021 1.94
6/30/2021 -4.15
9/30/2021 0.23
12/31/2021 1.75

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.”

Return to text
Figure 2.4. Net issuance of risky business debt

Billions of dollars

Date Institutional leveraged loans High-yield and unrated bonds
6/30/2004 15.57 -12.80
9/30/2004 6.33 -4.74
12/31/2004 20.88 -14.74
3/31/2005 10.50 2.97
6/30/2005 16.90 -6.40
9/30/2005 7.28 -12.99
12/31/2005 20.61 2.73
3/31/2006 27.16 -13.66
6/30/2006 40.14 12.57
9/30/2006 17.86 -5.59
12/31/2006 66.30 30.51
3/31/2007 40.68 1.69
6/30/2007 54.31 23.35
9/30/2007 25.72 -7.04
12/31/2007 36.06 -10.42
3/31/2008 2.21 -20.14
6/30/2008 26.22 3.04
9/30/2008 6.60 -0.41
12/31/2008 4.80 -23.88
3/31/2009 -11.82 -26.27
6/30/2009 -15.53 1.71
9/30/2009 -13.26 -9.79
12/31/2009 -24.98 -9.41
3/31/2010 -17.85 3.24
6/30/2010 -9.71 13.21
9/30/2010 11.76 14.21
12/31/2010 -15.34 24.80
3/31/2011 -4.49 -0.93
6/30/2011 25.49 16.40
9/30/2011 -5.51 -7.89
12/31/2011 3.91 3.69
3/31/2012 -6.47 23.12
6/30/2012 18.45 -13.41
9/30/2012 -4.38 38.55
12/31/2012 25.96 22.46
3/31/2013 11.30 23.05
6/30/2013 31.31 18.30
9/30/2013 45.16 25.86
12/31/2013 43.54 22.54
3/31/2014 29.44 14.77
6/30/2014 45.62 15.14
9/30/2014 48.42 32.94
12/31/2014 26.18 4.02
3/31/2015 6.46 32.92
6/30/2015 -3.11 3.91
9/30/2015 8.58 -1.20
12/31/2015 28.80 -13.41
3/31/2016 9.09 1.20
6/30/2016 4.99 2.36
9/30/2016 -12.88 -3.04
12/31/2016 7.19 -44.17
3/31/2017 -4.24 9.05
6/30/2017 49.01 -11.10
9/30/2017 13.03 -2.13
12/31/2017 16.81 -4.01
3/31/2018 24.23 16.02
6/30/2018 62.21 -8.66
9/30/2018 46.68 11.04
12/31/2018 48.55 -20.48
3/31/2019 45.53 12.98
6/30/2019 9.20 19.82
9/30/2019 -11.33 10.54
12/31/2019 13.09 7.12
3/31/2020 3.09 2.62
6/30/2020 -11.42 83.97
9/30/2020 14.32 6.75
12/31/2020 -6.17 -15.84
3/31/2021 13.65 18.97
6/30/2021 51.34 19.95
9/30/2021 41.24 13.06
12/31/2021 41.81 3.70
3/31/2022 49.30 -10.43

Note: Institutional leveraged loans generally exclude loan commitments held by banks. The key identifies bars in order from top to bottom (except for some bars with at least one negative data value).

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

Return to text
Figure 2.5. Gross balance sheet leverage of public nonfinancial businesses

Percent

Date 75th percentile All firms
3/31/2000 48.23 30.36
6/30/2000 47.96 29.61
9/30/2000 47.49 29.02
12/31/2000 46.99 29.18
3/31/2001 47.47 29.19
6/30/2001 47.46 29.38
9/30/2001 47.33 29.36
12/31/2001 47.14 29.99
3/31/2002 46.04 30.61
6/30/2002 44.28 29.67
9/30/2002 44.00 29.45
12/31/2002 44.39 29.18
3/31/2003 42.83 28.97
6/30/2003 42.18 28.15
9/30/2003 41.72 27.79
12/31/2003 41.46 26.73
3/31/2004 39.46 26.33
6/30/2004 38.93 25.71
9/30/2004 38.68 25.40
12/31/2004 39.09 25.15
3/31/2005 37.77 24.94
6/30/2005 37.78 24.81
9/30/2005 37.48 24.14
12/31/2005 38.31 24.19
3/31/2006 37.37 24.47
6/30/2006 37.72 24.36
9/30/2006 37.68 24.38
12/31/2006 38.48 24.71
3/31/2007 37.96 24.94
6/30/2007 38.62 25.18
9/30/2007 38.56 25.58
12/31/2007 38.90 25.85
3/31/2008 39.07 26.07
6/30/2008 38.88 26.19
9/30/2008 39.96 27.19
12/31/2008 42.59 28.78
3/31/2009 41.54 28.71
6/30/2009 39.94 27.96
9/30/2009 38.46 26.99
12/31/2009 38.74 26.77
3/31/2010 37.07 26.37
6/30/2010 36.64 26.25
9/30/2010 36.29 26.25
12/31/2010 36.97 26.04
3/31/2011 36.14 25.80
6/30/2011 35.62 25.86
9/30/2011 36.37 26.18
12/31/2011 37.74 26.11
3/31/2012 36.99 26.05
6/30/2012 37.22 26.61
9/30/2012 37.50 26.73
12/31/2012 38.79 27.12
3/31/2013 38.04 26.96
6/30/2013 38.24 27.39
9/30/2013 38.50 27.69
12/31/2013 40.09 27.96
3/31/2014 39.21 28.55
6/30/2014 40.28 28.49
9/30/2014 40.79 28.65
12/31/2014 42.15 29.24
3/31/2015 42.27 30.09
6/30/2015 42.08 30.62
9/30/2015 42.53 31.15
12/31/2015 43.84 32.10
3/31/2016 43.79 32.71
6/30/2016 43.69 32.95
9/30/2016 42.97 33.03
12/31/2016 43.21 32.89
3/31/2017 42.70 33.17
6/30/2017 42.20 33.54
9/30/2017 42.14 33.36
12/31/2017 41.94 33.01
3/31/2018 41.96 33.32
6/30/2018 42.19 33.11
9/30/2018 41.64 32.84
12/31/2018 42.47 33.23
3/31/2019 46.29 35.30
6/30/2019 46.58 35.48
9/30/2019 47.38 35.54
12/31/2019 47.79 35.51
3/31/2020 49.81 37.51
6/30/2020 49.12 37.71
9/30/2020 47.27 36.84
12/31/2020 46.58 36.22
3/31/2021 45.92 35.72
6/30/2021 45.05 35.19
9/30/2021 44.27 34.66
12/31/2021 43.92 34.36

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 fir