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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.

Return to text

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.

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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.

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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.

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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

Board of Governors of the Federal Reserve System

Financial Stability Report – May 2022