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Overview of financial system vulnerabilities

Asset valuations

  • Yields on Treasury securities declined across all maturities in March amid heightened financial market volatility.
  • Risk premiums in equity and corporate bond markets continued to be near the middle of their historical distributions.
  • Real estate valuations remained very elevated even though activity weakened. Both house prices and commercial property prices have shown recent declines.

Borrowing by businesses and households

  • The ratio of total private debt to gross domestic product (GDP) edged down but was still at a moderate level.
  • The business debt-to-GDP ratio remained at a high level, but debt issuance by the riskiest companies slowed markedly. Interest coverage ratios for publicly traded firms declined a bit from historically high levels.
  • Household debt remained at modest levels relative to GDP and was concentrated among prime-rated borrowers.

Leverage in the financial sector

  • Poor management of interest rate risk and liquidity risk contributed to three sizable bank failures since March 2023. Concerns over broader spillovers in the banking sector led to official interventions by the Federal Reserve, the Federal Deposit Insurance Corporation, and the U.S. Department of Treasury.
  • Broker-dealer leverage rested near historically low levels. The limited willingness and ability of dealers to intermediate during times of distress can amplify volatility.
  • Hedge fund leverage remained elevated. Bank lending to nonbank financial institutions stabilized at high levels.

Funding risks

  • Some banks experienced notable funding strains following the failures of Silicon Valley Bank and Signature Bank. The actions by the official sector reduced funding strains in the banking system.
  • Structural vulnerabilities persisted at money market funds, other cash-management vehicles, and stablecoins. Certain types of mutual funds continued to be susceptible to large redemptions.
  • Liquidity risks for life insurers remained elevated as the share of illiquid and risky assets continued to edge up. Domestic banks maintained high levels of liquid assets and stable funding.
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Survey of salient risks to the U.S. 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."

  Persistent inflation; monetary tightening Banking-sector stress U.S.-China tensions Commercial and residential real estate Russia-Ukraine war
May 2023 56% of contacts surveyed 56% of contacts surveyed 56% of contacts surveyed 52% of contacts surveyed 52% of contacts surveyed
November 2022 62% of contacts surveyed 12% of contacts surveyed 42% of contacts surveyed 12% of contacts surveyed 62% of contacts surveyed
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Figure 1.1. Nominal Treasury yields fell in March and April

Percent, annual rate

Date 2-year 10-year
199701 6.01 6.58
199702 5.9 6.42
199703 6.22 6.69
199704 6.45 6.89
199705 6.28 6.71
199706 6.09 6.49
199707 5.89 6.22
199708 5.94 6.3
199709 5.88 6.21
199710 5.77 6.03
199711 5.71 5.88
199712 5.72 5.81
199801 5.36 5.54
199802 5.42 5.57
199803 5.56 5.65
199804 5.56 5.64
199805 5.59 5.65
199806 5.52 5.5
199807 5.46 5.46
199808 5.27 5.34
199809 4.67 4.81
199810 4.09 4.53
199811 4.54 4.83
199812 4.51 4.65
199901 4.62 4.72
199902 4.88 5
199903 5.05 5.23
199904 4.98 5.18
199905 5.25 5.54
199906 5.62 5.9
199907 5.55 5.79
199908 5.68 5.94
199909 5.66 5.92
199910 5.86 6.11
199911 5.86 6.03
199912 6.1 6.28
200001 6.44 6.66
200002 6.61 6.52
200003 6.53 6.26
200004 6.4 5.99
200005 6.81 6.44
200006 6.48 6.1
200007 6.34 6.05
200008 6.23 5.83
200009 6.08 5.8
200010 5.91 5.74
200011 5.88 5.72
200012 5.35 5.24
200101 4.76 5.16
200102 4.66 5.1
200103 4.34 4.89
200104 4.23 5.14
200105 4.26 5.39
200106 4.08 5.28
200107 4.04 5.24
200108 3.76 4.97
200109 3.12 4.73
200110 2.73 4.57
200111 2.78 4.65
200112 3.11 5.09
200201 3.03 5.04
200202 3.02 4.91
200203 3.56 5.28
200204 3.42 5.21
200205 3.26 5.16
200206 2.99 4.93
200207 2.56 4.65
200208 2.13 4.26
200209 2 3.87
200210 1.91 3.94
200211 1.92 4.05
200212 1.84 4.03
200301 1.74 4.05
200302 1.63 3.9
200303 1.57 3.81
200304 1.62 3.96
200305 1.42 3.57
200306 1.23 3.33
200307 1.47 3.98
200308 1.86 4.45
200309 1.71 4.27
200310 1.75 4.29
200311 1.93 4.3
200312 1.91 4.27
200401 1.76 4.15
200402 1.74 4.08
200403 1.58 3.83
200404 2.07 4.35
200405 2.53 4.72
200406 2.76 4.73
200407 2.64 4.5
200408 2.51 4.28
200409 2.53 4.13
200410 2.58 4.1
200411 2.85 4.19
200412 3.01 4.23
200501 3.22 4.22
200502 3.38 4.17
200503 3.73 4.5
200504 3.65 4.34
200505 3.64 4.14
200506 3.64 4
200507 3.87 4.18
200508 4.04 4.26
200509 3.95 4.2
200510 4.27 4.46
200511 4.42 4.54
200512 4.4 4.47
200601 4.4 4.42
200602 4.67 4.57
200603 4.73 4.72
200604 4.89 4.99
200605 4.97 5.11
200606 5.12 5.11
200607 5.12 5.09
200608 4.9 4.88
200609 4.77 4.72
200610 4.8 4.73
200611 4.74 4.6
200612 4.67 4.56
200701 4.88 4.76
200702 4.85 4.72
200703 4.57 4.56
200704 4.67 4.69
200705 4.77 4.75
200706 4.98 5.1
200707 4.82 5
200708 4.31 4.67
200709 4.01 4.52
200710 3.97 4.53
200711 3.34 4.15
200712 3.12 4.1
200801 2.48 3.74
200802 1.97 3.74
200803 1.62 3.51
200804 2.05 3.68
200805 2.45 3.88
200806 2.77 4.1
200807 2.57 4.01
200808 2.42 3.89
200809 2.08 3.69
200810 1.61 3.81
200811 1.21 3.53
200812 0.82 2.42
200901 0.81 2.52
200902 0.98 2.87
200903 0.93 2.82
200904 0.93 2.93
200905 0.93 3.29
200906 1.18 3.72
200907 1.02 3.56
200908 1.12 3.59
200909 0.96 3.4
200910 0.95 3.39
200911 0.8 3.4
200912 0.87 3.59
201001 0.93 3.73
201002 0.86 3.69
201003 0.96 3.73
201004 1.06 3.85
201005 0.83 3.42
201006 0.72 3.2
201007 0.62 3.01
201008 0.52 2.7
201009 0.48 2.65
201010 0.38 2.54
201011 0.45 2.76
201012 0.62 3.29
201101 0.61 3.39
201102 0.77 3.58
201103 0.7 3.41
201104 0.73 3.46
201105 0.56 3.17
201106 0.41 3
201107 0.41 3
201108 0.23 2.3
201109 0.21 1.98
201110 0.28 2.15
201111 0.25 2.01
201112 0.26 1.98
201201 0.24 1.97
201202 0.28 1.97
201203 0.34 2.17
201204 0.29 2.05
201205 0.29 1.8
201206 0.29 1.62
201207 0.25 1.53
201208 0.27 1.68
201209 0.26 1.72
201210 0.28 1.75
201211 0.27 1.65
201212 0.26 1.72
201301 0.27 1.91
201302 0.27 1.98
201303 0.26 1.96
201304 0.23 1.76
201305 0.25 1.93
201306 0.33 2.3
201307 0.34 2.58
201308 0.36 2.74
201309 0.4 2.81
201310 0.34 2.62
201311 0.3 2.72
201312 0.34 2.9
201401 0.39 2.86
201402 0.33 2.71
201403 0.4 2.72
201404 0.42 2.71
201405 0.39 2.56
201406 0.45 2.6
201407 0.51 2.54
201408 0.47 2.42
201409 0.57 2.53
201410 0.45 2.3
201411 0.53 2.33
201412 0.64 2.21
201501 0.55 1.88
201502 0.62 1.98
201503 0.64 2.04
201504 0.54 1.94
201505 0.61 2.2
201506 0.69 2.36
201507 0.67 2.32
201508 0.7 2.17
201509 0.71 2.17
201510 0.64 2.07
201511 0.88 2.26
201512 0.98 2.24
201601 0.9 2.09
201602 0.73 1.78
201603 0.88 1.89
201604 0.77 1.81
201605 0.82 1.81
201606 0.73 1.64
201607 0.67 1.5
201608 0.74 1.56
201609 0.77 1.63
201610 0.84 1.76
201611 0.98 2.14
201612 1.2 2.49
201701 1.21 2.43
201702 1.2 2.42
201703 1.31 2.48
201704 1.24 2.3
201705 1.3 2.3
201706 1.34 2.19
201707 1.37 2.32
201708 1.34 2.21
201709 1.38 2.2
201710 1.55 2.36
201711 1.7 2.35
201712 1.84 2.4
201801 2.03 2.58
201802 2.18 2.86
201803 2.28 2.84
201804 2.38 2.87
201805 2.51 2.98
201806 2.53 2.91
201807 2.61 2.89
201808 2.64 2.89
201809 2.77 3
201810 2.86 3.15
201811 2.86 3.12
201812 2.68 2.83
201901 2.54 2.71
201902 2.5 2.68
201903 2.41 2.57
201904 2.34 2.53
201905 2.21 2.4
201906 1.81 2.07
201907 1.84 2.06
201908 1.57 1.63
201909 1.65 1.7
201910 1.55 1.71
201911 1.61 1.81
201912 1.61 1.86
202001 1.52 1.76
202002 1.33 1.5
202003 0.45 0.87
202004 0.22 0.66
202005 0.17 0.67
202006 0.19 0.73
202007 0.15 0.62
202008 0.14 0.65
202009 0.13 0.68
202010 0.15 0.79
202011 0.17 0.87
202012 0.14 0.93
202101 0.13 1.08
202102 0.12 1.26
202103 0.15 1.61
202104 0.16 1.64
202105 0.16 1.62
202106 0.2 1.52
202107 0.22 1.32
202108 0.22 1.28
202109 0.24 1.37
202110 0.39 1.58
202111 0.51 1.56
202112 0.68 1.47
202201 0.98 1.76
202202 1.44 1.93
202203 1.91 2.13
202204 2.54 2.75
202205 2.62 2.9
202206 3 3.14
202207 3.04 2.9
202208 3.25 2.9
202209 3.86 3.52
202210 4.38 3.98
202211 4.5 3.89
202212 4.29 3.62
202301 4.21 3.53
202302 4.53 3.75
202303 4.3 3.66
202304 4.02 3.46

Note: The 2-year and 10-year Treasury rates are the monthly average of 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. An estimate of the nominal Treasury term premium remained low

Percentage points

Date Term Premium
199701 1.49387619608925
199702 1.4219388961792
199703 1.56349500417709
199704 1.66056819395586
199705 1.56349525565193
199706 1.48142857210977
199707 1.30218181826852
199708 1.33278094586872
199709 1.32660953203837
199710 1.21571363644166
199711 1.06898887952169
199712 0.994054555892944
199801 0.88231999874115
199802 0.916031583359367
199803 0.974218176169829
199804 0.973090475513822
199805 0.975814998149872
199806 0.886295459487221
199807 0.864068183031949
199808 0.795357142175947
199809 0.57252856805211
199810 0.613519049826123
199811 0.688826313144282
199812 0.597131821242246
199901 0.698215792053624
199902 0.843757889772716
199903 0.995682602343352
199904 0.975800003324236
199905 1.13935790563885
199906 1.32467727227644
199907 1.28947368421053
199908 1.35223636843941
199909 1.34805713381086
199910 1.4444649875164
199911 1.27639001011848
199912 1.35427726398815
200001 1.50946500301361
200002 1.38115000724792
200003 1.21349130506101
200004 1.04713683693033
200005 1.23775907538154
200006 1.05134545673024
200007 0.963879996538162
200008 0.823352178801661
200009 0.836045002937317
200010 0.747542863800412
200011 0.701523809205918
200012 0.529730004072189
200101 0.69438095887502
200102 0.774110521140852
200103 0.783759092742747
200104 1.06420498788357
200105 1.2931318228895
200106 1.29323333785647
200107 1.25510475749061
200108 1.1700739186743
200109 1.21610587484696
200110 1.27206818623976
200111 1.41033499240875
200112 1.78161498904228
200201 1.75319523470742
200202 1.65985790051912
200203 1.84941499829292
200204 1.80147726969285
200205 1.74901364066384
200206 1.59664998650551
200207 1.44536362452941
200208 1.20719091458754
200209 0.934149995446205
200210 0.987090904604305
200211 1.1454631592098
200212 1.15573809260414
200301 1.16111426694053
200302 1.06583157652303
200303 0.992842858745938
200304 1.08824284871419
200305 0.81813333148048
200306 0.677409526847658
200307 1.10343636436896
200308 1.45625713893345
200309 1.33401905354999
200310 1.32285455682061
200311 1.33156110843023
200312 1.31312273849141
200401 1.23160499334335
200402 1.183631583264
200403 1.00030000572619
200404 1.34154762540545
200405 1.56125501394272
200406 1.48352380593618
200407 1.29254761763981
200408 1.12465454773469
200409 0.95767620347795
200410 0.896695005893707
200411 0.869494992494583
200412 0.833740906281905
200501 0.780529999732971
200502 0.683468420254557
200503 0.845963632518595
200504 0.720423814796266
200505 0.571966658035914
200506 0.449209088628942
200507 0.484030000865459
200508 0.47995217209277
200509 0.432985713084539
200510 0.527364999055862
200511 0.543864995241165
200512 0.481928574187415
200601 0.371660001575947
200602 0.424115787995489
200603 0.491604347591815
200604 0.613742100565057
200605 0.658986359834671
200606 0.618022729050029
200607 0.560589998960494
200608 0.443221734917682
200609 0.383484996855259
200610 0.36910476287206
200611 0.274742857331321
200612 0.272580000013113
200701 0.375890474943888
200702 0.350757895331634
200703 0.265227270397273
200704 0.35528571548916
200705 0.407745454799045
200706 0.667999991348812
200707 0.578766666707538
200708 0.532921739246534
200709 0.511942104289406
200710 0.532390914180062
200711 0.477490001916885
200712 0.527690000832081
200801 0.397038099311647
200802 0.631790000200272
200803 0.671790006756783
200804 0.776504546403885
200805 0.835947615759713
200806 0.921828576496669
200807 0.884422730315815
200808 0.791690480141413
200809 0.776576198282696
200810 1.1084409031001
200811 1.11563889516724
200812 0.506795446981083
200901 0.547700001299381
200902 0.740510529593418
200903 0.668354543772611
200904 0.67949048110417
200905 0.934760001301765
200906 1.27825456315821
200907 1.15004090829329
200908 1.17922379857018
200909 1.05722857656933
200910 1.02750476201375
200911 1.02790525712465
200912 1.10391820018942
201001 1.20727367777573
201002 1.15732631557866
201003 1.15418260512145
201004 1.22110000523654
201005 0.960190010070801
201006 0.825204543092034
201007 0.658290471349444
201008 0.424377272074873
201009 0.387247617755617
201010 0.278835001587868
201011 0.400010000169277
201012 0.808072726834904
201101 0.873700001835823
201102 1.01930526369496
201103 0.920582608036373
201104 0.967024999856949
201105 0.762685713313875
201106 0.606786362149499
201107 0.61241499632597
201108 0.150026087203751
201109 -0.0431190477739576
201110 0.0662800004705787
201111 -0.0326900002513867
201112 -0.0621142848838298
201201 -0.0896999998018146
201202 -0.119230000674725
201203 0.023895455354994
201204 -0.0574857145547867
201205 -0.221072724258358
201206 -0.331609524431683
201207 -0.399980946665718
201208 -0.297308694409288
201209 -0.29425789258982
201210 -0.282638093545323
201211 -0.33052000105381
201212 -0.292379996925592
201301 -0.16697142769893
201302 -0.116231578353204
201303 -0.13496499992907
201304 -0.258204544132406
201305 -0.14679090899881
201306 0.13666999959969
201307 0.346813642165878
201308 0.462968176061457
201309 0.524625004827976
201310 0.363963635130362
201311 0.410194735778006
201312 0.552542859599704
201401 0.563266661905107
201402 0.453494740159888
201403 0.484333334934144
201404 0.501880952290126
201405 0.400666668301537
201406 0.431604760033744
201407 0.407331817529418
201408 0.342380950848262
201409 0.425128567786444
201410 0.272081818092953
201411 0.293038888110055
201412 0.214790911159732
201501 0.00559999986362527
201502 0.0680210537424213
201503 0.102645455404523
201504 0.0121045455651421
201505 0.190974999219179
201506 0.29705454476855
201507 0.259263634004376
201508 0.134219046682119
201509 0.135995237245446
201510 0.0714285712511767
201511 0.182115790091063
201512 0.12458181804554
201601 0.0117157894235693
201602 -0.197440000623465
201603 -0.123422727666118
201604 -0.175476191299302
201605 -0.174190475117593
201606 -0.281345457515933
201607 -0.378130002319813
201608 -0.346008693394454
201609 -0.303919047117233
201610 -0.233139999210835
201611 -0.000429997965693474
201612 0.239971428399994
201701 0.194879999756813
201702 0.182310527876804
201703 0.161569566182468
201704 0.00816315786428995
201705 -0.0163909089328213
201706 -0.128790908577767
201707 -0.0597199995536357
201708 -0.121347826136195
201709 -0.140994998812675
201710 -0.0568333335132116
201711 -0.0927142862762724
201712 -0.082375000603497
201801 -0.00222857172290484
201802 0.139010527416279
201803 0.093342856370977
201804 0.0834190470743037
201805 0.132377272641117
201806 0.077390475996903
201807 0.0409333331599122
201808 0.0144130433808364
201809 0.0539684207668822
201810 0.112749999727715
201811 0.065265000378713
201812 -0.130531578275718
201901 -0.213571427833466
201902 -0.234726317619023
201903 -0.29969047719524
201904 -0.315585714010965
201905 -0.386936363848773
201906 -0.537979997694492
201907 -0.528490909121253
201908 -0.743495456197045
201909 -0.692489996552467
201910 -0.629077269272371
201911 -0.521136848550094
201912 -0.485528574103401
202001 -0.548323810100555
202002 -0.708584205100411
202003 -0.747604548931122
202004 -0.836404760678609
202005 -0.848649996519089
202006 -0.838395449248227
202007 -0.896695451302962
202008 -0.888223807017008
202009 -0.873147621041253
202010 -0.808919049444653
202011 -0.748073681404716
202012 -0.717913633043116
202101 -0.634089466772581
202102 -0.512842107760279
202103 -0.243360867966776
202104 -0.21143181825226
202105 -0.22790000140667
202106 -0.276977270164273
202107 -0.403057140963418
202108 -0.427063633095134
202109 -0.365047621585074
202110 -0.207384999096394
202111 -0.198465000838041
202112 -0.262281818823381
202201 -0.104759999364614
202202 -0.0713315794342443
202203 -0.00709130355845327
202204 0.283249996602535
202205 0.321052378841809
202206 0.321319048603376
202207 -0.0563150002155453
202208 -0.170813045423964
202209 0.0819285708102619
202210 0.217925000563264
202211 0.0366600008215755
202212 -0.216776191301289
202301 -0.332845001295209
202302 -0.233573686135443
202303 -0.251256520819405
202304 -0.420113331079483

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

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

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Figure 1.3. Interest rate volatility remained above its long-term median

Basis points

Date Implied Volatility of 10-Year Swap Rate
200504 93.1407611818182
200505 87.2053020454545
200506 87.5994123636364
200507 89.342594
200508 84.2202744347826
200509 83.8325441363636
200510 86.0325223333333
200511 87.1229912727273
200512 77.7070317272727
200601 75.8552282272727
200602 72.57082995
200603 72.1180623913044
200604 76.56824595
200605 74.3080899130435
200606 70.7608532727273
200607 69.4930483333333
200608 62.8133045217391
200609 62.7310715238095
200610 64.0431154545455
200611 67.6373596363636
200612 66.234062
200701 66.4426889130435
200702 66.7878776
200703 70.8117155454546
200704 62.8650858095238
200705 58.1989928695652
200706 79.0500360952381
200707 82.6708996818182
200708 84.3294735217391
200709 97.0252322
200710 91.0426627826087
200711 97.0015865454545
200712 117.976205190476
200801 133.406423652174
200802 150.923306095238
200803 163.97233552381
200804 139.643575363636
200805 126.353198590909
200806 140.475449761905
200807 127.802219956522
200808 111.567181571429
200809 141.1032905
200810 188.875971130435
200811 205.83388575
200812 232.030661695652
200901 169.826971590909
200902 187.7330855
200903 157.275367409091
200904 129.736551454545
200905 153.281603190476
200906 223.655879409091
200907 197.755332409091
200908 180.745684190476
200909 147.807639681818
200910 134.645040636364
200911 112.442800571429
200912 110.287802913044
201001 110.495807619048
201002 100.7843527
201003 90.5415333043478
201004 95.7845809090909
201005 108.376839047619
201006 108.348928954545
201007 91.2602745454546
201008 100.908488681818
201009 110.990158909091
201010 102.931406714286
201011 109.178534727273
201012 125.347307227273
201101 113.23575147619
201102 111.22755815
201103 110.334852782609
201104 92.08106005
201105 89.4274393636364
201106 94.3602630909091
201107 101.407765333333
201108 117.109677521739
201109 121.005849181818
201110 124.639285238095
201111 125.236508363636
201112 105.109209590909
201201 86.8961869090909
201202 87.928798047619
201203 92.8956355454546
201204 86.3847064761905
201205 78.4844144782609
201206 89.6806648095238
201207 72.8232575909091
201208 78.5166424347826
201209 75.8383667
201210 75.6908457391304
201211 67.6227298181818
201212 61.8341229047619
201301 67.3589163478261
201302 68.8840089
201303 64.7794116190476
201304 60.4505235
201305 69.0075274782609
201306 100.3947363
201307 104.775979478261
201308 100.2640195
201309 101.211893142857
201310 81.617062173913
201311 74.5137228571429
201312 75.8982773636364
201401 70.363670826087
201402 69.2855606
201403 65.5307374285714
201404 62.8501716666667
201405 61.4742948181818
201406 61.9679537142857
201407 59.6560042608696
201408 62.2641432380952
201409 65.4064466363636
201410 76.7030626956522
201411 67.40892365
201412 70.2256455652174
201501 87.0186313636364
201502 91.13263945
201503 84.3177593181818
201504 77.4148326818182
201505 86.7601392380952
201506 88.911496
201507 82.9971814347826
201508 80.31959485
201509 79.7947395
201510 75.1609395454545
201511 72.1120120952381
201512 70.300521826087
201601 76.2914845238095
201602 89.1231934761905
201603 78.9347058181818
201604 72.0117337619048
201605 69.0779673636364
201606 77.249059
201607 76.8601374285714
201608 68.1436731739131
201609 67.2750649090909
201610 65.2515483809524
201611 83.5448066818182
201612 81.1593321363636
201701 81.1271510909091
201702 75.6451058
201703 69.9332405652174
201704 75.8273615
201705 62.2952567826087
201706 58.9056952272727
201707 59.5746184761905
201708 57.3938232608696
201709 58.1155528095238
201710 59.6366519545455
201711 52.3190709090909
201712 50.8717691904762
201801 55.5877003043478
201802 72.027128
201803 63.4433651363636
201804 58.5823622857143
201805 58.537723
201806 57.8168248095238
201807 53.9075479545455
201808 52.7038092608696
201809 51.701349
201810 58.2089809130435
201811 57.7368546363636
201812 59.4768278095238
201901 56.8872852608696
201902 50.92862395
201903 52.1450475238095
201904 51.7224289090909
201905 57.229373826087
201906 68.6766383
201907 62.13732
201908 81.9997485454546
201909 82.103384952381
201910 78.1486783478261
201911 66.9196303809524
201912 64.9177692272727
202001 63.7826934782609
202002 76.3504349
202003 128.198282909091
202004 79.1194908181818
202005 62.0802865714286
202006 68.1176147272727
202007 56.0211723913044
202008 54.0961076666667
202009 49.9714252727273
202010 68.7694889545455
202011 57.2393500952381
202012 58.7475827391304
202101 58.6661465714286
202102 68.86160195
202103 82.8590066956522
202104 76.9544033181818
202105 69.6327573333333
202106 66.3641393636364
202107 73.0951925454546
202108 75.2578712727273
202109 69.2562043181818
202110 73.8939421904762
202111 80.0323039090909
202112 80.5436253043478
202201 82.2416188571429
202202 89.12005315
202203 109.082986913044
202204 119.87279447619
202205 115.472141045455
202206 120.215722318182
202207 123.308576227273
202208 111.678260869565
202209 127.081818181818
202210 138.352380952381
202211 126.554545454545
202212 125.859090909091
202301 111.909090909091
202302 105.985
202303 120.695652173913
202304 112.621428571429

Note: The data begin in April 2005. Implied volatility on the 10-year swap rate, 1 month ahead, is derived from swaptions. The median value is 78.93 basis points.

Source: For data through July 13, 2022, Barclays Trading and IHS Markit; for data from July 14, 2022, onward, ICAP, Swaptions and Interest Rate Caps and Floors Data.

Return to text
Figure 1.4. The price-to-earnings ratio of S&P 500 firms continued to be above its historical median

Ratio

Date Forward Price-to-Earnings Ratio
198901 10.0671742071852
198902 10.1319694421189
198903 10.11418466847
198904 10.4232259582463
198905 10.725593921358
198906 10.8529156729879
198907 11.2422984165753
198908 11.5556754542242
198909 11.5074717257702
198910 11.4718058275942
198911 11.5143143242907
198912 11.884201147533
199001 11.528315328471
199002 11.3005872634517
199003 11.4949308091727
199004 11.6503643865759
199005 12.0730200775074
199006 12.3810239359247
199007 12.3902358555333
199008 11.5089305534682
199009 10.7864474541333
199010 10.3025226101324
199011 11.1818911075676
199012 11.6619796205543
199101 11.2550858931057
199102 13.4293328390948
199103 13.7688487548013
199104 14.4455914088974
199105 13.6421419272363
199106 13.9017468978428
199107 14.1581105589639
199108 14.39598868377
199109 14.2070851611185
199110 14.3145545789273
199111 14.4537086530241
199112 14.0102441469713
199201 15.368358289062
199202 15.0082392497479
199203 14.8636613724216
199204 14.8072465748702
199205 14.6969397459983
199206 14.0100742459998
199207 14.4295399036632
199208 14.4495625870657
199209 14.4077668469035
199210 14.0025690692984
199211 14.5158804016831
199212 14.7060423882035
199301 14.6115963363986
199302 14.6619199604946
199303 15.0106427377622
199304 15.0304486104987
199305 14.7171628110741
199306 14.6343585942742
199307 14.6317460229422
199308 14.7618188215198
199309 14.8034705344017
199310 14.6420126266835
199311 14.6668367840603
199312 14.4782805948521
199401 14.7481429679263
199402 14.6041375083065
199403 14.3352500190302
199404 13.456030580283
199405 13.4173391598185
199406 13.4683691836968
199407 13.0020648312486
199408 13.2064028460184
199409 13.1090121711998
199410 12.918680525647
199411 12.5567925753133
199412 12.0886432493601
199501 12.31489283675
199502 12.485007266347
199503 12.5047524715046
199504 12.6592147867659
199505 12.9075410977283
199506 13.055979860097
199507 13.3026602080606
199508 13.3528533034166
199509 13.674094701184
199510 13.7720386831429
199511 13.8027851238511
199512 14.319462193535
199601 14.0130038956195
199602 15.2293938516872
199603 14.8060899255747
199604 14.7872057751655
199605 15.1920808695328
199606 14.7149119753877
199607 14.4058539053309
199608 14.9200483225136
199609 15.244704520794
199610 15.6118581061616
199611 16.0724425650974
199612 15.8482429004173
199701 16.4601350149336
199702 17.3612715548802
199703 16.6463655723895
199704 16.0264780616226
199705 17.3840079181155
199706 18.3933625243185
199707 19.2290277376015
199708 18.6792011595562
199709 18.9192509930383
199710 19.199563318005
199711 18.6006297654653
199712 18.8678443887348
199801 18.6616667550781
199802 20.3620821455426
199803 21.4234029605327
199804 21.9046204071934
199805 21.6889419185948
199806 21.4190497549296
199807 22.772063516664
199808 21.1661052338416
199809 20.0142249134172
199810 19.2769848154015
199811 22.0184854731441
199812 22.2981591318599
199901 23.7035438838057
199902 23.5287425197971
199903 24.7239205867708
199904 24.9524833097916
199905 24.736530192212
199906 24.2960610147964
199907 25.4377464188884
199908 23.9033994297711
199909 23.465492349906
199910 22.5482243562647
199911 24.4965473831957
199912 24.4190632588604
200001 24.8500127988724
200002 24.0242446153595
200003 23.7274053921035
200004 23.910781231427
200005 23.8835488647179
200006 24.0989155218107
200007 24.0959197395895
200008 23.8563478921336
200009 23.8586212693265
200010 21.4415689830023
200011 22.245266538735
200012 22.0979087189795
200101 21.9792389998843
200102 22.0974977678334
200103 19.7213249631437
200104 21.408993546396
200105 22.2344467808483
200106 21.6724929305484
200107 21.6063705927885
200108 21.1653684134075
200109 18.4181006750978
200110 20.3746106446517
200111 21.4917696140268
200112 21.5711539024653
200201 20.9997457476363
200202 20.468041175139
200203 20.7499399824897
200204 20.1697400936086
200205 19.3975196296408
200206 18.1106136141448
200207 16.144104065009
200208 16.6002864808184
200209 15.7178737258545
200210 15.7767283938108
200211 16.0197351428456
200212 16.1196459159049
200301 16.4820136095937
200302 15.3393664577141
200303 15.7057513645709
200304 15.6782042497112
200305 16.5623879456789
200306 17.6901273568137
200307 17.2744306067917
200308 16.9370485150998
200309 17.4137585320906
200310 17.5046552098873
200311 17.1001663012497
200312 17.4286477429182
200401 18.0952942715105
200402 18.0922156165378
200403 17.3972400177488
200404 17.1053373211682
200405 15.9757170726185
200406 16.4110587244638
200407 15.9243481982502
200408 15.513231935436
200409 15.7695885840039
200410 15.4848461196724
200411 16.168463702106
200412 16.3212843601547
200501 15.9516954072526
200502 16.1670626964976
200503 15.6428047596538
200504 15.3033435828246
200505 15.2780375086805
200506 15.4142450595707
200507 15.407615596552
200508 15.1379673473605
200509 14.9529104955336
200510 14.3344615174609
200511 14.6095565360508
200512 14.978839195399
200601 14.9027949866491
200602 14.9314189191115
200603 15.0614315471095
200604 14.9915493858673
200605 14.2958362559054
200606 13.6922951790455
200607 13.9022250239988
200608 14.1250430472216
200609 14.2607559922987
200610 14.6540477350587
200611 14.8071513076266
200612 14.8247171994619
200701 15.0143695648518
200702 15.3899853189057
200703 14.5564950964851
200704 15.3143111991688
200705 15.5073679072785
200706 15.2975442906089
200707 15.4094597792472
200708 13.8720193248276
200709 15.0075987644657
200710 15.0142489154439
200711 14.3225667672557
200712 14.1975156411918
200801 13.4912907418099
200802 13.6764281171557
200803 13.0890226340655
200804 13.8050341062565
200805 14.3034743646662
200806 13.5074849056027
200807 12.5967075386936
200808 13.2894335487083
200809 12.0099232517863
200810 9.93183570501414
200811 9.73674311474256
200812 11.8728906448913
200901 11.479366075644
200902 12.4571934909775
200903 12.4233884482004
200904 13.5118967347282
200905 14.6564514630946
200906 14.7270108814209
200907 14.7971588048122
200908 15.2005246744186
200909 15.9097931240414
200910 15.8525942865293
200911 15.1214285157945
200912 14.8891204228012
201001 14.8033271222078
201002 13.80979681276
201003 14.4374134871356
201004 14.8235941565328
201005 12.9868381450424
201006 12.8174165613977
201007 12.494674325929
201008 12.1002473701947
201009 12.3544214744146
201010 12.8372710894154
201011 12.5678050182375
201012 13.0311450458787
201101 13.2144355711387
201102 13.7054230609555
201103 12.6073126882178
201104 12.9703029638387
201105 12.8955216757034
201106 12.0671220937582
201107 12.6380853372802
201108 11.2819845850644
201109 11.2422347561753
201110 11.4982283967366
201111 11.6744381767577
201112 11.4043366441588
201201 12.3280990052721
201202 12.6334535012203
201203 12.9636957702922
201204 12.656711974856
201205 12.0114718434985
201206 11.8911653768209
201207 12.5919104596551
201208 12.9175180065578
201209 13.3369889607517
201210 13.2083071938254
201211 12.1870178239455
201212 12.8551803881697
201301 13.1189796566723
201302 13.5300230222157
201303 13.7171760677603
201304 13.5910720706511
201305 14.4772815920518
201306 14.1019360313688
201307 14.508003942399
201308 14.5796132241299
201309 14.8366443232693
201310 14.7109227425549
201311 15.0320955165825
201312 15.1988338215562
201401 15.4252430366362
201402 15.4342440891567
201403 15.6027033991903
201404 15.4960980228424
201405 15.4499313038387
201406 15.8287685948327
201407 15.9658953143716
201408 15.5473865134388
201409 15.8925425683386
201410 14.7596221445493
201411 16.189883390834
201412 16.1134979343437
201501 16.2286971994056
201502 17.3509999704107
201503 17.2718966537922
201504 17.2854961209612
201505 17.088985228879
201506 16.9588977461734
201507 16.9772169014072
201508 16.7530460626705
201509 16.093088893263
201510 16.1401681798561
201511 16.7962345059878
201512 16.6871331543022
201601 15.2958625033011
201602 15.9113487881028
201603 16.7090370102316
201604 17.0915271906946
201605 16.6740205347203
201606 16.7454672559505
201607 17.3977629429638
201608 17.5188869533909
201609 16.9176715215672
201610 16.8895537223306
201611 16.9468143088282
201612 17.3283859668519
201701 17.2752500878079
201702 17.909808196704
201703 18.0365277976565
201704 17.5411101102714
201705 17.495125606295
201706 17.9095448963421
201707 18.2283824814624
201708 18.0949369312075
201709 18.1816001044339
201710 18.4433718251869
201711 18.1455032328558
201712 18.637672954483
201801 18.7257580148602
201802 17.2804175346685
201803 17.3746507659165
201804 16.921259725982
201805 16.6826807993206
201806 16.8409541808905
201807 17.029467989854
201808 16.8207376007116
201809 17.2091962591976
201810 16.4921820577268
201811 15.7184965524319
201812 14.6494267785085
201901 15.4544787177931
201902 16.3426324922794
201903 16.6017064466197
201904 17.0780854604336
201905 16.6616692736079
201906 17.0282761847525
201907 17.4493721865079
201908 16.5422964862988
201909 17.4029923152
201910 17.3126342839806
201911 17.8323901968299
201912 18.2515361469096
202001 18.731865259892
202002 19.2711513376624
202003 14.1257787905268
202004 18.9300807802764
202005 20.5181240602554
202006 22.3997981758114
202007 23.096322431073
202008 23.097509530222
202009 22.6402912265307
202010 22.8103716416134
202011 22.2430121977852
202012 22.5584144857107
202101 23.0472880396499
202102 22.7577271648318
202103 22.4530482530821
202104 22.6457718183993
202105 21.3306390222077
202106 21.5964261158389
202107 22.1794793766553
202108 21.4375558653595
202109 21.6305767023577
202110 20.8067097909515
202111 21.8412699690836
202112 21.6020320969553
202201 20.5507550229434
202202 19.9606389015591
202203 19.1287422501368
202204 19.3245595426881
202205 16.8647841125008
202206 16.1620569546522
202207 16.336252572997
202208 18.6066650197832
202209 17.1279547567621
202210 16.1721679689392
202211 17.5840329207811
202212 17.6530423094477
202301 17.4914831773666
202302 18.6593467490867
202303 17.4063817620655

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 15.5.

Source: Federal Reserve Board staff calculations using Refinitiv, Institutional Brokers’ Estimate System

Return to text
Figure 1.5. An estimate of the equity premium fell below its historical median

Percentage points

Date Spread
199110 3.31427010992933
199111 3.29903766883821
199112 3.80762327381709
199201 2.88297739349424
199202 2.79872283149168
199203 2.73553236501514
199204 3.00458317695771
199205 3.1447329688378
199206 3.59476231850855
199207 3.57410315122668
199208 3.78308638709405
199209 3.92795806513843
199210 3.83744985294281
199211 3.38282575652048
199212 3.38447460914295
199301 3.48812928288156
199302 3.80455674403826
199303 3.87349750163222
199304 4.09277390660521
199305 4.22688814007965
199306 4.40954764456495
199307 4.33184694012072
199308 4.35514790450371
199309 4.64818814163862
199310 4.76707844437311
199311 4.38464775579905
199312 4.44471028305064
199401 4.35630559800068
199402 4.17932752659611
199403 3.79479194239644
199404 3.82863271991632
199405 3.6780948404889
199406 3.73794171007627
199407 3.80104336936774
199408 3.75142590556865
199409 3.58307653107891
199410 3.43771055015621
199411 3.46588734108495
199412 3.88674595821905
199501 3.5405693051
199502 3.7605068722
199503 3.98661780517977
199504 4.09168277935384
199505 4.3816388443795
199506 4.72190430483636
199507 4.32177401927545
199508 4.08359366389548
199509 4.1793393536478
199510 4.11672246323124
199511 4.21912044125324
199512 4.1584239310457
199601 4.36825794779476
199602 3.64660625023885
199603 3.34441116801229
199604 3.09523853406768
199605 2.74370855801186
199606 2.81173305949495
199607 3.03327776030268
199608 3.03036178298195
199609 2.6548492282005
199610 2.80365147054795
199611 2.94339364584958
199612 2.95155842112662
199701 2.45520573885991
199702 2.28000174369389
199703 2.2215301597253
199704 2.11276149208368
199705 1.81520805647943
199706 1.69465150059229
199707 1.87902725529582
199708 1.9317849863801
199709 1.93794894389938
199710 1.68111523227904
199711 2.02992687327511
199712 2.04576274322786
199801 2.2949436509839
199802 1.77995283633
199803 1.46067140152118
199804 1.26767393076067
199805 1.28888214301285
199806 1.50294241812118
199807 1.27898469340859
199808 1.75769821997876
199809 2.48130982724038
199810 2.8586904668259
199811 1.96175057355216
199812 2.04317370279159
199901 1.44158033827905
199902 1.20179443139689
199903 0.757652474876651
199904 1.00716881935467
199905 0.715034105060791
199906 0.430593245375135
199907 0.329191710212053
199908 0.397004216947228
199909 0.456282422969048
199910 0.426474098012697
199911 0.244003950360101
199912 0.0268023157567292
200001 -0.3032656520661
200002 -0.0426616981237986
200003 0.210798232157346
200004 0.42038281573579
200005 0.0155125307449548
200006 0.319158109347865
200007 0.41283551769425
200008 0.634165408322303
200009 0.63142348406575
200010 1.2118213600059
200011 1.10252050340762
200012 1.57019995319645
200101 1.66645349274638
200102 1.67443981455751
200103 2.39243566165568
200104 1.7760571354528
200105 1.3997623125465
200106 1.607023592875
200107 1.68437798092391
200108 1.98420640803557
200109 2.8810414915
200110 2.6012692507
200111 2.2622389779
200112 1.7824856173
200201 1.93791003524762
200202 2.14872326663684
200203 1.7198010478
200204 1.96879481927273
200205 2.25610739240909
200206 2.862874067
200207 3.79269816983637
200208 3.98896969692727
200209 4.6980786989
200210 4.53603155908182
200211 4.36718466732632
200212 4.34433402042381
200301 4.26666269864286
200302 4.88128459231579
200303 4.82917049107619
200304 4.71462911144762
200305 4.79426717409048
200306 4.64640388553333
200307 4.1533528169
200308 3.76135928014286
200309 3.79677613429048
200310 3.76695695909091
200311 3.89602967763333
200312 3.82603433995454
200401 3.7461686332
200402 3.80818111896316
200403 4.28623384087391
200404 3.84953326100476
200405 3.8841399364
200406 3.70950446585238
200407 4.13893949434762
200408 4.51259184968182
200409 4.5774195257
200410 4.7206566224
200411 4.3630195187
200412 4.28530516053637
200501 4.4037711202
200502 4.38908917231053
200503 4.25580183483636
200504 4.61190540658571
200505 4.82339088994762
200506 4.91672370761818
200507 4.7448119167
200508 4.77045453108696
200509 4.9068993388381
200510 4.9194200861
200511 4.6847897322
200512 4.60452285023809
200601 4.7075706858
200602 4.53813451452105
200603 4.31615772679565
200604 4.09716671756316
200605 4.30855283720909
200606 4.62180473372727
200607 4.5434331795
200608 4.63647661581304
200609 4.7141859672
200610 4.52465787050476
200611 4.5921553973619
200612 4.6115312397
200701 4.18061487702857
200702 4.04869515229474
200703 4.57048102704546
200704 4.1554398798
200705 4.03293395713636
200706 3.76238264008571
200707 3.80630111938095
200708 4.81104277342174
200709 4.43432272694737
200710 4.42806255267273
200711 5.0820787472
200712 5.1702308131
200801 5.99236542527619
200802 5.8653756633
200803 6.4066248446
200804 5.85848437606573
200805 5.40148452922908
200806 5.59611223003047
200807 6.25069592780653
200808 5.96275613648711
200809 6.93194789699366
200810 8.31130028369268
200811 8.73694689022563
200812 7.98804871656921
200901 8.05084242592808
200902 7.04018505974376
200903 7.20349738969335
200904 6.64679021753963
200905 5.70125892872508
200906 5.23550785254012
200907 5.38569502671467
200908 5.1981393135808
200909 5.10547493161545
200910 4.9367586215199
200911 5.2360370910491
200912 5.19793166368101
201001 5.25092761711086
201002 5.78188350851631
201003 5.46123103667852
201004 5.20957048343204
201005 6.54449867090297
201006 6.84766606124505
201007 7.15988132056431
201008 7.77091655429029
201009 7.63562527445532
201010 7.35385754854428
201011 7.32779388986603
201012 6.48289546180822
201101 6.39736174756077
201102 5.95789238530971
201103 6.74336971908824
201104 6.57624514556917
201105 6.91050150152141
201106 7.61398458891775
201107 7.23200097733923
201108 8.8961105168292
201109 9.25279528588387
201110 8.9787419604627
201111 9.01082269488091
201112 9.25594657484572
201201 8.41948570794733
201202 8.23274699266021
201203 7.81297238914052
201204 8.31410809834019
201205 9.00794711445453
201206 9.27434276735411
201207 8.77473522152172
201208 8.40104263863512
201209 8.13473374693441
201210 8.14212148178375
201211 8.86975784029727
201212 8.37812512930164
201301 8.01870592441252
201302 7.7094125470598
201303 7.63463523581444
201304 7.92009856335572
201305 7.28380592809307
201306 7.06423492088767
201307 6.48580151508104
201308 6.27906523222149
201309 6.10425356118176
201310 6.44623375016323
201311 6.19116400955419
201312 5.93054739481541
201401 5.88706097647488
201402 6.02866244962135
201403 5.95024573188786
201404 5.96197078487209
201405 6.13970164674832
201406 5.93622989227505
201407 5.89168243048481
201408 6.17463015152176
201409 5.9182022520901
201410 6.62739123150448
201411 6.00233561147366
201412 6.16285441057464
201501 6.33899407408748
201502 5.82566185216909
201503 5.79434755000289
201504 5.93158333972074
201505 5.72115751844613
201506 5.60471874571566
201507 5.68063785116695
201508 5.91619708490709
201509 6.1480998708601
201510 6.23902229343793
201511 5.77911013343824
201512 5.84006839557105
201601 6.5192367463464
201602 6.56576231117415
201603 6.15618536653602
201604 6.21073317596073
201605 6.34834424421512
201606 6.49529255911596
201607 6.37364041717276
201608 6.27270779436429
201609 6.39686941017359
201610 6.34867955664142
201611 5.92841404892045
201612 5.43294458011085
201701 5.6133331435665
201702 5.41924850910846
201703 5.32079567197305
201704 5.66903558315205
201705 5.67298235371075
201706 5.67331478019448
201707 5.39390027719457
201708 5.54205558262142
201709 5.53039595958696
201710 5.25451160785882
201711 5.34318345197218
201712 5.14398668750061
201801 4.99733300872924
201802 5.15464457846546
201803 5.15182091416192
201804 5.34333978472825
201805 5.30707681590116
201806 5.31191534986694
201807 5.171997864582
201808 5.25004683623996
201809 5.00425187916363
201810 5.11592446455841
201811 5.44692161526154
201812 6.20368988130553
201901 5.96510666206428
201902 5.64534415351343
201903 5.64818671998041
201904 5.51566684081167
201905 5.7922087065743
201906 5.98601004568227
201907 5.87016521608618
201908 6.60857351919441
201909 6.23040326072807
201910 6.26247393216093
201911 5.97666267518493
201912 5.78984801525025
202001 5.76309665617919
202002 5.87192460984315
202003 8.33926023635579
202004 6.69405478310881
202005 6.29933990760407
202006 5.84819867148432
202007 5.73115726827897
202008 5.71130919230923
202009 5.77359955517924
202010 5.72079446388723
202011 5.74860449121579
202012 5.62534929606364
202101 5.46226318493684
202102 5.32183822668947
202103 4.98251217044348
202104 5.02723081674546
202105 5.3112020865
202106 5.35596394561818
202107 5.59175782068571
202108 5.78848814872727
202109 5.6605233405381
202110 5.7384919131
202111 5.5242733453
202112 5.65460775806364
202201 5.528336268
202202 5.50525441584211
202203 5.5428352422
202204 5.1635971869
202205 5.75145842834286
202206 5.74773600820476
202207 5.9317249162
202208 5.21512259492609
202209 5.03028964858095
202210 5.0359278599
202211 4.6373525239
202212 4.95262214457619
202301 4.5217580717
202302 3.93192863342632
202303 4.3642541305087

Note: The figure shows the difference between the aggregate forward earnings-to-price ratio of S&P 500 firms and the expected real Treasury yields, 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 4.78 percentage points.

Source: Federal Reserve Board staff calculations using Refinitiv (formerly Thomson Reuters), Institutional Brokers’ Estimate System; Department of the Treasury; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Return to text
Figure 1.6. Volatility in equity markets remained elevated

Percent

Date Option-implied volatility Realized volatility
199601 13.4736363636364 11.654654387096
199602 15.033 11.4858346987596
199603 17.762380952381 14.5664082930485
199604 16.2122222222222 12.2467942352492
199605 16.1463636363636 11.3119877565025
199606 16.5035294117647 11.1092542396686
199607 17.9786363636364 15.0331563520067
199608 15.7604545454545 13.4308646752193
199609 16.578 11.1802576528773
199610 16.2863636363636 9.85939413109233
199611 15.997 10.2611029522332
199612 19.2609523809524 13.423716423015
199701 19.6166666666667 14.5938801463345
199702 20.1394736842105 14.8234442156551
199703 20.17 14.6303799714861
199704 19.6955 17.1670901061588
199705 19.9247619047619 16.366869894327
199706 20.1942857142857 14.9957625734345
199707 20.5085714285714 16.1617415740984
199708 23.0847619047619 18.1160942577145
199709 23.7994736842105 18.7687982589057
199710 23.8708695652174 18.8179567156138
199711 31.9842105263158 24.0105681438817
199712 26.2763636363636 18.5233111121603
199801 23.8665 17.9069674989381
199802 19.9989473684211 15.3666239814318
199803 20.032380952381 12.6742831267449
199804 22.1621052631579 13.0077753715568
199805 20.874 13.9454146997346
199806 21.6627272727273 15.5972114786175
199807 20.2326315789474 14.6163978033844
199808 31.5880952380952 22.8071770636313
199809 38.132 34.2363371772038
199810 36.6081818181818 33.0397911879331
199811 26.223 23.1544968115374
199812 25.4790909090909 18.951146063223
199901 27.9688888888889 19.5167394416533
199902 28.8226315789474 21.7310479446262
199903 25.3095652173913 20.6547914674016
199904 23.4785714285714 19.8606771891501
199905 26.2045 20.9574353512418
199906 23.5457142857143 19.2625008554962
199907 21.0490476190476 16.5488683641917
199908 24.3236363636364 17.7454014218775
199909 24.5414285714286 18.9697791476146
199910 24.0214285714286 20.9104228504407
199911 21.8180952380952 19.2569642009132
199912 22.1590909090909 16.8950388819076
200001 23.202 19.2522877959905
200002 23.5955 21.8613458886678
200003 22.7340909090909 24.3909635574099
200004 27.1642105263158 32.6636875908469
200005 26.3731818181818 28.6595982569648
200006 21.54 22.8929512468821
200007 19.893 17.980698455837
200008 18.0886956521739 16.2120294147877
200009 19.6875 15.210097512096
200010 25.2 23.3598072752186
200011 26.3828571428572 24.8130668116938
200012 26.5305 25.2415227193931
200101 24.9185714285714 27.3602927142189
200102 23.4115789473684 21.5501206216313
200103 28.5355 26.8105843217018
200104 28.134 28.2492936427782
200105 22.9440909090909 21.9092129352145
200106 20.9404761904762 18.0688419334876
200107 22.3161904761905 17.406448709687
200108 21.8617391304348 16.9715954996617
200109 35.0653333333333 25.3382211209905
200110 32.6122727272727 27.4165117867325
200111 26.6309523809524 23.6806652617825
200112 23.72 18.7933239165029
200201 22.2528571428571 16.070437683007
200202 22.8757894736842 19.0062337533147
200203 18.985 18.1451144074509
200204 19.9004545454546 16.3426253004236
200205 20.0877272727273 17.4581975074258
200206 25.271 21.1297660156886
200207 34.0495454545455 33.7793436057224
200208 33.7427272727273 37.9689619975786
200209 37.6475 31.1270692682215
200210 35.4295454545455 35.0811720054367
200211 28.175 29.8084432942174
200212 28.2104761904762 23.9622713558251
200301 27.5063157894737 21.4469770986802
200302 32.2184210526316 23.2421878074318
200303 30.6342857142857 24.0040659796837
200304 23.9919047619048 22.7297184085992
200305 20.2395238095238 19.3927767398635
200306 20.362380952381 17.8736785998776
200307 19.1613636363636 17.9456251244365
200308 19.2742857142857 17.4355908104086
200309 19.532380952381 14.6240566861575
200310 18.0234782608696 14.3947297818711
200311 17.401052631579 13.1452074336775
200312 16.8263636363636 11.898187122352
200401 15.9533333333333 11.1295728431519
200402 15.9984210526316 12.4129954515346
200403 17.6873913043478 13.1050216976416
200404 15.6985714285714 13.2176376473784
200405 17.705 15.2903748948458
200406 15.3571428571429 12.4648362760251
200407 15.502380952381 11.5548195552748
200408 16.6840909090909 12.5061902836159
200409 14.0809523809524 10.5116153719172
200410 14.97 10.5381148511303
200411 13.5771428571429 11.2090269156889
200412 12.4595454545455 10.530867200208
200501 13.438 10.6794754834395
200502 11.7089473684211 9.96727979016155
200503 13.1263636363636 10.4490023874664
200504 14.4590476190476 11.9478937188177
200505 13.967619047619 13.1217580985616
200506 11.8686363636364 10.8737715332402
200507 11.049 10.2895879665238
200508 12.9513043478261 9.66274896484197
200509 12.6280952380952 10.3255272253914
200510 14.937619047619 12.9294659589076
200511 12.147619047619 11.9812454956094
200512 11.26 9.85764479290582
200601 12.036 9.74070927840563
200602 12.4710526315789 10.3861548214978
200603 11.6939130434783 9.66654813445549
200604 11.8473684210526 10.1713566525801
200605 14.4545454545455 11.8718349366883
200606 16.9186363636364 15.1757986984136
200607 15.326 13.8078862967776
200608 13.3517391304348 12.2540202959709
200609 12.1845 9.57363182582598
200610 11.3063636363636 8.86665500764492
200611 10.817619047619 9.04450419002803
200612 10.9645 9.47201978651976
200701 11.0425 9.44536945141541
200702 11.1552631578947 9.08685698016304
200703 15.1627272727273 14.3255030033515
200704 12.933 11.4023042808631
200705 13.2977272727273 9.90934356661084
200706 14.947619047619 11.4077110975207
200707 17.2733333333333 13.5121642188215
200708 25.0260869565217 23.4241339983899
200709 22.1989473684211 19.7348133045821
200710 19.115652173913 15.4888932450794
200711 25.582380952381 21.5029598907903
200712 21.651 20.9869846219637
200801 25.8161904761905 25.1342514466583
200802 25.456 27.937009713275
200803 27.1035 26.719877202649
200804 21.5627272727273 21.3689689262963
200805 18.3033333333333 16.8028233799403
200806 22.1104761904762 17.3827173198875
200807 24.3213636363636 23.0503260414801
200808 20.6957142857143 20.3662293912449
200809 30.2385714285714 30.102684176587
200810 61.1773913043478 66.3707408175557
200811 62.6394736842105 72.3187092534032
200812 52.405 61.6027363223955
200901 44.683 43.4083195158596
200902 45.5705263157895 40.477809802582
200903 44.7954545454545 42.715480862227
200904 38.0638095238095 35.1983309385203
200905 31.978 29.387605460327
200906 29.1404545454546 25.0830755581131
200907 26.1627272727273 21.5196966900661
200908 25.3371428571429 19.3235809597926
200909 24.9266666666667 17.4857833905631
200910 24.2522727272727 17.5702405784602
200911 23.7835 19.4845647025448
200912 21.2395454545455 15.2663970860801
201001 20.6431578947368 12.8398985969182
201002 22.54 17.9197082366811
201003 17.7673913043478 14.1303021968636
201004 17.4242857142857 12.4867727450024
201005 31.9295 27.5959641035495
201006 29.9163636363636 26.9833521430504
201007 25.5652380952381 23.0199006041922
201008 24.7459090909091 18.892145202711
201009 22.517619047619 16.8356259520512
201010 20.3733333333333 14.8889937243947
201011 20.0957142857143 13.9380294939093
201012 17.5695454545455 11.8416477621944
201101 17.3155 9.7366961073792
201102 17.43 10.6281043383697
201103 20.7234782608696 14.3028897723815
201104 16.244 12.4112280924203
201105 16.9114285714286 12.3593118533934
201106 19.1531818181818 13.5580037991357
201107 19.2275 13.7770826927417
201108 35.0291304347826 31.7176846070135
201109 36.53 30.9443763927647
201110 32.8290476190476 30.1570868207097
201111 31.9419047619048 25.0129420390113
201112 25.047619047619 20.6168002558854
201201 20.228 15.4695108469787
201202 18.4205 12.409164884339
201203 16.1672727272727 10.9007063852979
201204 17.823 11.4961277083449
201205 21.0018181818182 13.7201292791789
201206 21.1309523809524 15.5662009453077
201207 17.5652380952381 14.7999610603947
201208 15.6895652173913 13.1326573763986
201209 15.2847368421053 10.9759898228151
201210 16.2761904761905 11.2670177780026
201211 16.7019047619048 13.8098490976068
201212 17.307 12.878964905782
201301 13.5052380952381 11.7464530343877
201302 14.0726315789474 9.64237568335248
201303 13.0315 10.1316002935915
201304 13.9672727272727 11.4481004754934
201305 13.4936363636364 11.607839229783
201306 17.2715 14.4992536826173
201307 13.9745454545455 13.4815135063894
201308 14.21 10.3977359758941
201309 14.692 10.6911937854692
201310 15.4078260869565 11.2067997099562
201311 12.924 9.88683779960606
201312 14.192380952381 9.49681484929974
201401 14.2409523809524 9.33267308526438
201402 15.47 11.7661465862915
201403 14.8366666666667 11.6356857940038
201404 14.1980952380952 12.1990067066569
201405 12.4752380952381 10.9800649435702
201406 11.5414285714286 8.25326039581718
201407 12.2963636363636 7.97868126433434
201408 13.4919047619048 9.81793272643045
201409 13.4666666666667 8.80966876644924
201410 18.0586956521739 15.8048439638351
201411 13.4131578947368 13.3833816965613
201412 16.2922727272727 12.6647325092357
201501 19.1195 15.74339160653
201502 15.9042105263158 15.0451409935075
201503 14.8127272727273 11.8959266159298
201504 13.4947619047619 11.3532788612687
201505 13.3385 10.8610519971705
201506 14.3395454545455 10.1748803809507
201507 14.3527272727273 11.1894258274911
201508 19.4280952380952 17.1403464013827
201509 24.3771428571429 26.9025526899885
201510 16.7895454545455 19.538906320308
201511 16.21 14.1102321894075
201512 18.0254545454546 14.7495634335739
201601 23.7178947368421 20.9580550540468
201602 22.517 23.7676810507906
201603 15.8490909090909 17.4250067356967
201604 14.3004761904762 12.5562080583178
201605 14.8528571428571 11.4455994472265
201606 17.7745454545455 11.1116942020749
201607 13.1585 11.5271373000587
201608 12.3995652173913 8.41722040462609
201609 14.2195238095238 9.49250239117131
201610 14.5852380952381 9.85540487217842
201611 15.2361904761905 10.7365938489012
201612 12.472380952381 9.00140644831142
201701 11.6085 8.06071262990714
201702 11.5305263157895 7.16150102034602
201703 11.8978260869565 7.19892859194787
201704 13.1363157894737 8.48491921898109
201705 10.8622727272727 7.2401832949786
201706 10.5136363636364 7.00616891814337
201707 10.2645 7.11306394301058
201708 11.975652173913 6.90089283580559
201709 10.438 6.5345648615788
201710 10.1254545454545 5.26850692679341
201711 10.5404761904762 5.83881629369222
201712 10.2645 7.22759461099741
201801 11.062380952381 6.76848783641607
201802 22.4647368421053 20.5514692198572
201803 19.0238095238095 19.2422003919921
201804 18.267619047619 19.560864078734
201805 14.1245454545455 14.7954857540914
201806 13.6780952380952 11.034179781775
201807 13.147619047619 10.0184346370113
201808 12.5469565217391 8.26251417519857
201809 12.9105263157895 8.19025136681163
201810 19.3521739130435 14.6627527182782
201811 19.3890476190476 20.3202002691373
201812 24.9531578947368 24.2073852945459
201901 19.572380952381 24.7880516507319
201902 15.2347368421053 16.1440896223839
201903 14.4852380952381 12.5278612935021
201904 12.9490476190476 10.4103332413685
201905 16.7218181818182 11.9487788424912
201906 15.836 12.2900192578276
201907 13.3059090909091 9.33346875226231
201908 18.9790909090909 15.4920753234381
201909 15.559 13.7079072446148
201910 15.4665217391304 12.9255078916844
201911 12.5235 9.14484575510055
201912 13.7566666666667 8.39083092133427
202001 13.9409523809524 7.97552795564194
202002 19.6289473684211 12.2240511858791
202003 57.7368181818182 56.5007914639915
202004 41.4538095238095 53.355660702957
202005 30.897 32.7227739490475
202006 31.1195454545455 25.5985313451324
202007 26.8404545454546 21.4811688053595
202008 22.8895238095238 15.353382679701
202009 27.6476190476191 20.5208551967977
202010 29.4386363636364 19.5677279433296
202011 24.9955 20.0171659250012
202012 22.3740909090909 14.5344105612038
202101 24.91 13.9419336673716
202102 23.1405263157895 15.0439803534066
202103 21.8430434782609 18.3581360693046
202104 17.4161904761905 13.2178264282996
202105 19.7605 12.8121116475647
202106 16.9568181818182 10.5923841734159
202107 17.6033333333333 9.51671057313398
202108 17.4727272727273 8.98614614984583
202109 19.8247619047619 9.89582025520166
202110 17.8714285714286 13.1321790167752
202111 18.5004761904762 10.7460804667178
202112 21.3545454545455 15.7794437857976
202201 23.181 17.9098987944294
202202 25.7484210526316 24.0386449376156
202203 26.9686956521739 24.390096093764
202204 24.3735 19.5613028881102
202205 29.4457142857143 27.6387195845322
202206 28.1 26.5478085095568
202207 24.8685 24.1533869356391
202208 22.1695652173913 18.5662804118801
202209 27.4061904761905 21.3498291330466
202210 30.0057142857143 24.7569099879849
202211 23.4361904761905 23.4424935444618
202212 21.7842857142857 20.055125966124
202301 20.203 18.8539944768648
202302 20.0621052631579 18.0005914321293
202303 21.644347826087 18.3861275671257
202304 18.0361538461538 15.6944810931873

Note: Realized volatility is computed from an exponentially weighted moving average of 5-minute daily realized variances with 75 percent of weight distributed over the past 20 business days.

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

Return to text
Figure 1.7. Treasury market depth remained below historical norms

Millions of dollars

Date 5-year (right scale) 10-year (right scale) 30-year (left scale)
20190102 163.75984 111.40664 15.54064
20190103 177.55076 124.30864 16.47146
20190104 181.33914 135.17844 16.36022
20190107 188.19386 149.59546 17.40608
20190108 207.78492 173.335 19.48318
20190109 199.9001 178.45656 19.77884
20190110 202.48588 188.26352 21.01854
20190111 209.47938 194.1466 22.20958
20190114 216.66364 192.83502 23.21604
20190115 231.12102 192.96156 23.6482
20190116 244.7372 197.76664 24.2794
20190117 252.08274 202.45752 24.40672
20190118 256.80476 208.21614 24.44446
20190122 265.9938 214.51542 24.21188
20190123 255.33238 219.21884 24.56338
20190124 261.82014 221.18918 24.08264
20190125 263.59756 224.34146 23.95696
20190128 260.36306 226.24202 23.898
20190129 261.4199 228.63594 23.66518
20190130 255.82188 223.47396 22.60758
20190131 251.26904 225.07368 22.2118
20190201 247.30232 220.58382 22.44858
20190204 254.66282 223.44268 23.01132
20190205 252.25096 224.585 23.70958
20190206 261.89972 226.51934 24.10508
20190207 256.82084 220.6974 24.71226
20190208 264.64722 219.54322 24.91172
20190211 265.74196 214.8135 24.7164
20190212 276.2135 212.27272 24.92244
20190213 281.33004 219.49424 25.93818
20190214 285.92156 224.26492 26.30802
20190215 279.40712 227.12332 26.66648
20190219 281.55486 228.86816 27.6053
20190220 271.57028 227.7178 27.9262
20190221 265.8629 223.21716 27.75934
20190222 263.9616 217.89734 27.39608
20190225 266.1104 218.00726 27.2746
20190226 263.92186 221.1539 26.49144
20190227 260.19308 226.91188 26.6188
20190228 255.46166 226.7543 26.63022
20190301 249.3595 227.6906 26.73014
20190304 245.82424 229.88656 26.40988
20190305 244.04748 233.2514 26.56272
20190306 246.2592 231.4305 26.33944
20190307 250.385 234.73824 26.00302
20190308 251.44418 238.97348 26.44536
20190311 252.27696 240.47218 26.52162
20190312 247.34172 242.24638 25.6849
20190313 242.33956 245.2535 26.07882
20190314 237.97246 245.71716 26.21804
20190315 238.43618 247.77758 26.07074
20190318 240.44394 244.88656 26.0704
20190319 246.38312 237.77246 26.57554
20190320 240.73298 228.88074 24.60666
20190321 245.58278 225.1447 24.86938
20190322 240.9546 212.39206 23.98168
20190325 234.93366 207.23006 23.24222
20190326 226.31214 203.29354 22.8788
20190327 214.3429 196.03862 23.0461
20190328 196.04714 187.97842 22.25276
20190329 192.85542 192.79334 22.2726
20190401 191.47522 194.94226 22.76078
20190402 190.57006 201.33546 22.89892
20190403 204.49398 214.2189 23.16114
20190404 215.96136 225.20144 22.98578
20190405 217.09588 231.68226 23.07214
20190408 215.81482 236.80662 23.1369
20190409 215.98746 236.39344 23.39834
20190410 208.90976 238.52872 23.82518
20190411 203.63364 236.0174 24.86446
20190412 204.26822 233.80548 25.25716
20190415 206.98604 231.68708 25.284
20190416 204.50764 232.36472 25.71666
20190417 212.65928 233.44984 25.80858
20190418 211.03788 228.88962 24.71618
20190422 209.3071 227.58854 24.56456
20190423 205.73732 229.989 24.72326
20190424 205.74852 225.74206 24.5589
20190425 205.09626 218.24236 24.73178
20190426 206.00582 219.24834 25.54566
20190429 208.56754 221.42304 25.75182
20190430 212.85478 225.94012 26.38464
20190501 204.65112 217.38056 25.35166
20190502 200.49466 216.59354 24.84018
20190503 201.722 216.3898 24.42738
20190506 195.2645 211.47178 24.45586
20190507 189.3821 203.72134 23.42436
20190508 191.09894 205.58538 23.45758
20190509 184.95494 198.48934 22.86626
20190510 174.97354 188.10226 21.52226
20190513 173.33782 185.5585 20.36212
20190514 173.50446 185.74882 20.15706
20190515 171.86 191.10488 21.01094
20190516 175.17318 199.27986 21.76218
20190517 176.82832 206.58034 23.12602
20190520 177.51122 211.71148 23.76684
20190521 172.9324 212.14726 24.31638
20190522 172.28098 210.34976 24.29894
20190523 167.95868 207.47768 23.98544
20190524 160.72302 199.70188 22.74918
20190528 159.76988 195.68918 22.86846
20190529 163.03014 194.80104 22.93426
20190530 167.16774 196.46638 22.59732
20190531 166.15666 196.55124 22.92906
20190603 172.09754 202.13864 23.64178
20190604 170.04524 202.6644 23.1558
20190605 160.67674 193.02528 22.6874
20190606 154.52972 186.717 22.511
20190607 149.7351 179.58896 22.09262
20190610 151.95952 183.1065 23.27112
20190611 155.62332 189.38812 24.5797
20190612 158.93302 199.36936 25.35554
20190613 159.19948 206.9073 26.21654
20190614 161.11538 212.81014 27.03052
20190617 161.32298 216.83296 26.73402
20190618 153.41318 207.4199 25.33476
20190619 149.16462 195.38934 24.41284
20190620 147.19736 185.50468 23.97186
20190621 145.80774 181.98674 23.48684
20190624 148.21524 177.25042 24.11672
20190625 150.43182 179.45322 25.48772
20190626 153.55864 186.5673 26.5989
20190627 154.51864 188.19148 27.3508
20190628 161.79442 194.02514 28.2209
20190701 158.06978 191.30796 27.73716
20190702 162.34564 193.13686 27.67158
20190703 161.45396 192.58242 26.7263
20190705 156.97154 191.46258 25.51868
20190708 154.60194 187.51436 25.42024
20190709 160.01196 188.9519 25.35972
20190710 153.4359 180.80558 24.76656
20190711 154.79448 175.64992 25.03862
20190712 162.73492 176.43086 25.31174
20190715 163.72544 174.47236 24.85204
20190716 159.47922 173.78482 24.21232
20190717 168.49652 181.97198 24.11936
20190718 169.15122 184.63546 23.57276
20190719 166.12268 182.99898 22.75598
20190722 167.3728 185.94622 21.9688
20190723 166.55788 188.27706 21.91416
20190724 167.04902 187.63748 21.64368
20190725 163.23174 184.83846 21.00694
20190726 165.63306 185.9083 21.31696
20190729 166.89696 185.92898 21.70978
20190730 167.58754 181.80962 21.49862
20190731 155.78566 169.40446 20.88862
20190801 150.0312 159.97688 20.84696
20190802 132.3202 140.4204 18.6955
20190805 115.73666 121.08526 16.2097
20190806 107.57184 107.86012 14.87992
20190807 96.6475 92.85372 12.75938
20190808 92.04132 84.93258 11.13886
20190809 93.74576 84.82208 10.60868
20190812 94.57242 83.273 10.87842
20190813 85.76596 77.22566 9.60078
20190814 87.5748 81.6175 9.6998
20190815 82.2852 78.6528 8.97726
20190816 81.71232 80.09994 8.99514
20190819 81.35712 81.48532 8.37476
20190820 88.48452 85.44656 8.716
20190821 94.87182 89.5007 8.6908
20190822 103.73172 99.36956 9.14508
20190823 101.26946 95.83044 8.51954
20190826 102.0645 93.18488 8.08458
20190827 104.1737 95.603 7.5057
20190828 113.25962 98.77294 7.42812
20190829 116.31066 100.59158 7.20312
20190830 128.50852 113.32228 8.0344
20190903 127.83636 117.08248 8.04582
20190904 127.3227 118.12568 8.40672
20190905 121.28454 121.57372 8.50948
20190906 112.57884 116.74572 8.6211
20190909 107.0502 116.27868 8.3028
20190910 109.5427 125.86064 8.64188
20190911 107.23276 133.51378 8.55944
20190912 97.59676 124.6652 8.32474
20190913 100.6719 131.75906 8.56094
20190916 101.62042 128.52268 9.04618
20190917 100.95006 119.38014 8.70464
20190918 97.64084 106.97786 8.36712
20190919 101.99762 107.84796 8.31326
20190920 102.18694 100.31926 7.87604
20190923 99.50824 98.4089 7.3642
20190924 96.61718 98.48378 7.30742
20190925 96.64504 97.76834 7.32142
20190926 94.27032 99.53742 7.55406
20190927 91.68938 97.44436 7.64412
20190930 94.13412 98.10464 7.65188
20191001 93.64292 96.9566 7.67882
20191002 95.6347 100.37584 8.04898
20191003 91.59386 95.56318 7.66106
20191004 90.32464 95.7302 7.38468
20191007 87.00182 94.8041 7.73614
20191008 84.7796 93.4804 7.96806
20191009 80.1995 90.52628 7.7483
20191010 81.48204 89.73866 8.09138
20191011 76.43364 82.8155 8.10528
20191015 75.52784 78.85044 7.64012
20191016 76.05128 77.45104 7.93744
20191017 76.05066 72.00874 8.1787
20191018 77.76402 72.60452 8.44242
20191021 87.08016 81.23654 9.1573
20191022 86.22418 81.47024 9.58028
20191023 92.88636 86.40764 9.70486
20191024 95.14936 90.65188 9.74918
20191025 96.65134 94.43596 10.02442
20191028 96.47394 97.71202 10.03628
20191029 99.48912 103.72974 10.5409
20191030 93.28842 100.2882 10.53856
20191031 94.22842 105.07524 11.08308
20191101 95.19416 107.2991 11.19332
20191104 100.6833 110.3258 11.3519
20191105 103.74626 112.90422 11.32916
20191106 107.89144 118.03982 11.7692
20191107 107.7464 116.23574 11.79608
20191108 105.7636 113.1586 11.78022
20191112 98.94336 105.1156 11.79938
20191113 95.48954 101.07528 11.6955
20191114 94.668 99.68788 11.72814
20191115 95.55294 101.75276 11.67732
20191118 98.9884 106.22594 11.80476
20191119 105.56578 115.72564 12.24032
20191120 108.35852 117.20396 12.35462
20191121 111.62598 118.056 12.14006
20191122 116.2778 119.86124 12.31826
20191125 123.48618 122.59986 12.80964
20191126 126.7312 120.83856 13.02134
20191127 128.21608 122.5244 13.27054
20191129 122.38318 119.30022 13.55096
20191202 120.08276 116.70016 13.6464
20191203 114.87836 112.23154 13.03976
20191204 112.04068 110.90498 12.85212
20191205 111.28632 107.18338 13.05568
20191206 116.25624 110.35272 13.03274
20191209 117.96552 110.28372 12.8238
20191210 117.85778 112.14162 13.1939
20191211 112.01772 107.76972 13.37788
20191212 106.92194 103.47922 12.80416
20191213 99.07578 93.9436 12.19712
20191216 96.2983 92.51998 11.92386
20191217 96.39308 90.82298 11.79366
20191218 100.36584 94.77236 11.3196
20191219 105.80566 98.13402 11.32302
20191220 115.88094 107.47998 11.70592
20191223 115.993 104.42998 10.98072
20191224 110.83782 93.72512 9.3675
20191226 105.91482 84.40828 8.4209
20191227 108.31098 87.79008 8.35106
20191230 105.99766 84.70142 7.9824
20191231 104.42604 85.55272 8.56112
20200102 112.61696 97.3299 9.94138
20200103 115.28352 103.57724 10.59198
20200106 115.76376 105.61426 10.83762
20200107 121.56904 110.82558 11.63038
20200108 125.56398 115.87048 11.97994
20200109 124.6785 118.40156 12.56432
20200110 129.48246 122.58628 12.98408
20200113 128.698 121.7917 13.32084
20200114 128.99154 122.78284 13.27432
20200115 132.52302 123.51858 13.32978
20200116 139.10122 127.86162 13.15922
20200121 141.42416 130.29684 13.41626
20200122 152.63776 136.20456 13.87268
20200123 155.68696 137.3518 13.81016
20200127 155.36376 138.91418 14.27792
20200128 153.72196 133.334 14.20282
20200129 153.69518 130.12124 14.27214
20200130 145.22698 124.14488 13.46614
20200203 144.22082 122.72482 13.61184
20200204 148.57286 123.93242 13.32236
20200205 149.01952 127.0765 13.4515
20200206 154.47908 132.08458 13.32876
20200210 158.98814 136.6024 14.15216
20200211 155.638 138.48798 14.1262
20200212 156.456 139.4929 14.19544
20200213 158.79328 138.4905 14.09528
20200218 160.1159 139.67684 14.28398
20200219 161.1251 138.8443 14.29254
20200220 166.76388 140.51742 14.68826
20200224 163.80632 137.99058 14.68362
20200225 160.78824 138.54498 14.66404
20200226 150.84564 131.22506 13.8954
20200227 132.75048 117.09818 12.19422
20200302 110.28746 98.24668 10.10748
20200303 90.68132 81.0664 8.30898
20200304 74.51126 66.0099 7.0563
20200305 64.1902 57.48652 6.55198
20200309 53.21086 47.25604 5.66878
20200310 47.3197 40.95186 5.21868
20200311 42.22556 36.48258 4.92302
20200312 31.56576 26.50428 4.10394
20200316 20.81585 15.6596 3.099925
20200317 20.6144333333333 15.6733 3.08403333333333
20200318 18.0277333333333 13.0484 3.05816666666667
20200319 15.656 10.3363333333333 2.98106666666667
20200323 15.7076 11.3024666666667 3.04286666666667
20200324 17.671725 12.09025 3.05895
20200325 20.39682 13.26872 3.12442
20200326 23.21116 15.4451 3.20986
20200327 26.74034 18.73466 3.35176
20200330 30.71838 21.24312 3.4178
20200331 34.3321 24.25096 3.49306
20200401 37.11824 26.9545 3.54626
20200402 40.68334 29.38782 3.57576
20200403 44.9109 31.9171 3.58202
20200406 51.47308 35.82262 3.6963
20200407 55.70178 40.3551 3.84896
20200408 59.69 43.78588 4.24544
20200409 59.79988 45.12424 4.33132
20200413 59.9762 46.47748 4.44532
20200414 62.0509 49.21806 4.57052
20200415 65.08244 49.96346 4.61072
20200416 69.28482 52.84012 4.48446
20200420 74.33984 55.54892 4.56674
20200421 80.16728 57.6009 4.59682
20200422 83.907 58.19762 4.52258
20200423 86.2565 58.82276 4.6281
20200427 90.6736 60.50888 4.606
20200428 95.45148 63.3787 4.69152
20200429 95.08796 64.06614 4.78274
20200430 95.44344 65.93478 4.95364
20200504 97.40564 67.4272 4.97194
20200505 98.75888 69.5844 4.96224
20200506 100.0717 71.04228 5.05394
20200507 103.98136 73.43434 5.02492
20200511 105.82066 74.3668 5.11884
20200512 110.5816 75.54386 5.25902
20200513 110.26544 72.89422 5.56788
20200514 113.8573 74.443 5.66282
20200515 117.13278 76.48742 5.78346
20200518 119.33396 79.47432 5.90792
20200519 119.41876 82.87848 6.51734
20200520 121.30134 88.05362 6.76642
20200521 121.78256 90.56566 6.95578
20200522 116.80984 87.98306 7.02632
20200526 119.23348 92.26946 7.36442
20200527 117.69618 96.97304 7.22544
20200528 118.2139 97.9801 7.33472
20200601 118.8996 99.47646 7.48274
20200602 129.5256 106.717 7.91858
20200603 133.48678 105.60402 7.91108
20200604 137.63242 102.83606 7.8254
20200605 135.74274 98.6993 7.52356
20200608 138.03122 98.34748 7.70138
20200609 138.5241 98.37678 7.85306
20200610 135.47702 93.54918 7.79892
20200611 134.52358 89.86952 7.90166
20200615 137.02196 89.95218 8.1116
20200616 131.99596 84.56548 8.26872
20200617 126.40116 79.56578 8.50228
20200618 124.5263 78.46056 8.55638
20200622 126.55674 82.82502 8.63334
20200623 131.90698 86.90458 8.91662
20200624 140.66978 93.67194 8.61414
20200625 148.9807 99.47266 8.3249
20200626 156.93976 107.90936 8.41848
20200629 162.32754 111.35412 8.46436
20200630 165.93254 116.6135 8.4139
20200701 163.25824 116.83438 8.52878
20200702 152.65036 110.69538 8.2295
20200706 152.43362 109.19 8.32348
20200707 153.46432 110.76512 8.3727
20200708 156.29676 112.63866 8.22928
20200709 161.9484 115.29002 8.52548
20200710 172.2762 121.9677 8.71482
20200713 172.56904 123.6061 9.1683
20200714 171.7831 123.9423 9.7196
20200715 167.39546 124.65002 10.68278
20200716 166.62246 122.23788 11.33108
20200720 169.48176 126.32804 12.50886
20200721 179.60684 127.64578 13.1887
20200722 182.08332 126.2548 13.48482
20200723 186.52668 125.46608 13.66106
20200727 187.6995 127.72174 14.08848
20200728 188.63498 124.99264 14.1469
20200729 178.50358 118.67514 13.53858
20200730 181.36836 120.02506 13.9688
20200803 174.18064 113.35396 13.62652
20200804 171.57208 111.18076 13.1291
20200805 176.17994 110.35356 13.02188
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20220729 43.90744 61.96852 9.28172
20220801 43.47132 60.85566 9.39722
20220802 40.86864 55.33612 8.92834
20220803 40.85984 52.98604 8.95134
20220804 39.9587 50.71384 8.87784
20220805 38.15586 47.31904 8.60506
20220808 38.46328 45.96912 8.90624
20220809 39.91134 47.19346 9.31388
20220810 40.54232 46.56058 9.33602
20220811 40.8625 46.68022 9.35956
20220812 41.573 47.35978 9.77
20220815 42.99426 48.86996 9.76946
20220816 44.81586 48.92526 9.8881
20220817 45.44948 49.94964 10.07856
20220818 46.23684 51.27112 10.07828
20220819 47.14562 53.0224 10.20222
20220822 46.44226 52.18446 10.12888
20220823 45.53688 53.24572 9.92422
20220824 46.17274 57.19836 10.18626
20220825 47.38094 59.31968 10.38064
20220826 45.27596 57.86016 10.14516
20220829 46.22708 59.00414 9.98848
20220830 46.59748 60.64976 10.02078
20220831 48.8074 61.91416 10.09068
20220901 49.41216 61.57106 9.98248
20220902 51.17802 63.37362 9.89182
20220906 48.7418 64.8213 9.73148
20220907 48.67494 66.74572 10.13734
20220908 45.93536 64.303 9.99898
20220909 45.19908 65.88122 10.23652
20220912 46.3189 68.94404 10.536
20220913 46.67774 66.94756 10.87056
20220914 46.17268 68.55862 10.49838
20220915 47.27746 70.657 10.3349
20220916 46.59098 70.57262 10.17782
20220919 47.2466 72.51234 10.62798
20220920 48.40342 75.1414 11.09994
20220921 46.58668 70.57114 11.30514
20220922 44.91006 66.50992 11.53792
20220923 43.1096 64.08598 11.61574
20220926 39.32666 57.54706 10.97498
20220927 36.3678 54.0528 10.41376
20220928 34.90512 50.68964 9.89482
20220929 32.2783 47.45064 9.60836
20220930 30.84014 44.02202 9.55458
20221003 29.77584 42.96326 9.46672
20221004 30.96358 42.10054 9.1554
20221005 33.27848 45.47824 9.22628
20221006 35.95354 49.32636 9.33946
20221007 38.59802 52.46834 9.22548
20221011 41.20982 54.11314 9.42096
20221012 39.54952 54.63338 9.59434
20221013 38.10998 52.40174 9.85142
20221014 38.296 51.09928 9.80702
20221017 40.33962 52.79134 10.08022
20221018 41.08466 54.46078 10.26618
20221019 42.30502 55.34494 10.95476
20221020 44.38574 58.22654 11.69204
20221021 40.87136 56.93408 11.53964
20221024 36.1871 53.35486 11.26402
20221025 33.65318 51.53452 11.16188
20221026 31.86362 49.71454 10.91054
20221027 27.62266 46.52364 9.99468
20221028 28.05776 46.02984 10.05492
20221031 28.76256 45.84812 10.138
20221101 28.95344 45.40478 9.97248
20221102 29.1921 43.2938 9.52148
20221103 31.49338 43.02044 9.94032
20221104 32.09942 43.71606 10.43072
20221107 33.78078 48.20324 10.98998
20221108 35.17444 49.68538 11.47148
20221109 36.3129 52.40816 11.90904
20221110 35.1111 52.66454 10.99428
20221114 38.43218 54.49002 10.0583
20221115 38.03864 49.87128 8.75858
20221116 36.83656 48.47042 7.79114
20221117 35.37726 46.18746 6.46526
20221118 35.26598 45.47666 6.22534
20221121 32.3127 43.38264 5.72426
20221122 29.8006 42.64098 5.43396
20221123 28.27486 41.53156 5.3354
20221125 27.84312 41.95478 5.5923
20221128 29.33964 43.41226 6.05632
20221129 30.50488 44.21624 6.27536
20221130 32.04144 44.3818 6.55552
20221201 34.48566 45.25944 6.55912
20221202 35.8376 46.6138 6.43394
20221205 36.34234 46.55508 6.0361
20221206 37.73234 47.78052 6.27734
20221207 37.7146 48.38126 6.09612
20221208 38.72754 48.75202 6.1233
20221209 40.1797 50.135 6.3375
20221212 41.98568 53.47086 6.54976
20221213 40.50472 52.88946 6.4172
20221214 40.84324 52.68994 6.56356
20221215 40.67864 53.00714 6.28556
20221216 41.90852 53.80502 6.18252
20221219 42.52206 52.74118 6.21952
20221220 44.80672 55.55428 6.23862
20221221 47.2189 58.72382 6.28292
20221222 48.94236 59.31892 6.37122
20221223 46.87722 57.97662 6.32772
20221227 43.46462 56.67656 6.64988
20221228 41.34172 54.65848 6.95248
20221229 38.9552 53.96476 7.57528
20221230 34.96248 53.31662 8.01614
20230103 34.913 54.25518 8.21952
20230104 35.182225 54.94615 8.153425
20230105 38.549175 54.167125 8.602825
20230106 40.412775 51.0893 8.19855
20230109 42.68895 50.280025 8.217725
20230110 42.87035 48.136275 8.776725
20230111 42.04876 50.0454 8.76212
20230112 37.68414 48.87474 8.51052
20230113 36.47114 50.59214 8.63454
20230117 35.55236 54.76558 8.81084
20230118 34.97672 57.75696 8.3813
20230119 34.76308 59.76092 8.24946
20230120 36.67174 64.21188 8.26924
20230123 37.06572 67.4486 8.23308
20230124 37.72118 65.69318 8.1797
20230125 39.57704 66.07766 8.46008
20230126 38.73048 65.15902 8.58082
20230127 39.4457 67.87438 8.87478
20230130 40.40166 71.03002 9.1331
20230131 41.12066 74.39126 9.24176
20230201 38.61528 73.8754 9.0353
20230202 39.58278 75.00758 9.04306
20230203 38.48104 73.66604 8.7084
20230206 37.97706 73.70444 8.69548
20230207 36.14646 70.58174 8.45098
20230208 38.28766 70.1038 8.97988
20230209 40.17418 71.09954 9.1214
20230210 41.61714 69.27958 9.08546
20230213 43.00342 65.73126 9.23604
20230214 44.70334 63.91344 9.29936
20230215 44.0952 62.88484 9.21706
20230216 42.70352 61.0736 9.28402
20230217 42.81226 61.14736 9.66032
20230221 42.14294 61.4472 9.60856
20230222 43.36112 65.1108 9.916
20230223 44.52536 68.31232 10.04902
20230224 46.50476 70.5394 10.11734
20230227 48.11368 70.45644 9.90338
20230228 50.34368 72.36768 9.8879
20230301 50.4291 73.59186 9.81074
20230302 52.39418 74.03148 9.8656
20230306 53.95566 75.2933 9.8091
20230307 52.52814 76.70066 9.71648
20230308 50.30232 78.09796 9.53196
20230309 49.32294 78.32052 9.56564
20230310 44.83338 75.23356 8.73942
20230313 36.0699 63.23772 7.74868
20230314 33.6093 60.979625 7.51615
20230315 26.7489 45.9619 6.38125
20230316 18.85775 31.701675 4.8863
20230317 16.136875 24.244 4.7372
20230320 16.843975 25.52875 4.848775
20230321 17.93928 27.26864 4.90748
20230322 18.1636 28.3325 4.99766
20230323 20.50184 30.60182 5.18412
20230324 20.08816 30.3501 5.064
20230327 22.50428 31.75462 5.10218
20230328 25.07394 31.9749 5.17916
20230329 27.51066 35.65512 5.35434
20230330 30.6377 40.14302 5.931
20230331 36.42232 46.82402 6.50784
20230403 38.08452 49.45632 6.85702
20230404 38.46472 52.69548 7.19638
20230405 40.15102 53.2249 7.66846
20230406 42.82512 55.39596 7.55094
20230407 37.85028 48.80042 6.82934
20230410 38.69426 49.64114 6.73252
20230411 40.81486 52.33458 7.10724
20230412 40.1564 53.97312 6.99498
20230413 39.36464 54.7812 7.4322
20230414 43.50976 61.76278 8.20608
20230417 46.10148 66.48572 8.98356
20230418 46.0705 68.84264 9.06888
20230419 48.92286 73.07814 9.47608
20230420 48.70648 74.4837 9.62782

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.

Return to text
Figure 1.8. On-the-run market depth worsened in March then recovered

Millions of dollars

Date 2-year OTR market depth (right scale) 10-year OTR market depth (left scale)
20190903 47.6304070431444 36.7445210384914
20190904 46.8097407741249 37.2923437145399
20190905 45.1699980680815 38.5475109667845
20190906 43.935715863709 36.8578779204795
20190909 41.7479338510074 36.5457038949731
20190910 44.9034150255706 39.485116553768
20190911 46.5183567929142 42.1318560898067
20190912 42.4315334672866 38.8808906255879
20190913 43.0762911803859 40.6287316352957
20190916 42.4971914756087 39.7662174596623
20190917 40.7911277924325 37.1170826136474
20190918 36.7176626273351 32.4369103543784
20190919 40.3363731608614 32.9668335495051
20190920 40.6021206473066 30.9387257514698
20190923 39.5752395972396 30.4881737290651
20190924 39.3785745186842 30.4726289428609
20190925 38.4503625288789 30.7118484701069
20190926 36.5963779871361 31.0689429201875
20190927 34.8623573717632 30.6444236714512
20190930 37.0749538396857 31.1779638548096
20191001 34.710324225242 30.8664983844243
20191002 36.862745552213 31.8316073041562
20191003 35.6187776564396 30.7212270800714
20191004 35.9937275085669 30.7467599059838
20191007 34.7650497435187 30.4059603540621
20191008 35.2747543935698 30.0792614021866
20191009 33.2866706737966 29.588028070903
20191010 33.4451962912987 29.6925203777793
20191011 31.8197769979912 27.9626547962468
20191015 30.5970960179674 26.7928683449497
20191016 30.9684225435048 26.7687022356769
20191017 30.0892666035467 25.2867261854907
20191018 31.9429296030011 25.9200136832407
20191021 35.5409797934834 28.9109015912023
20191022 38.4230185303549 29.4282809887856
20191023 39.7473815029442 31.2575436364908
20191024 41.1525942924803 32.6299006631878
20191025 41.3935038506788 33.7674660755377
20191028 41.6834288399487 35.2392088127018
20191029 41.2054517094236 37.0473947480052
20191030 39.8044142756451 35.3517963460547
20191031 40.9303655259373 36.8136963208975
20191101 41.2839876214221 36.6900665098691
20191104 41.7002024129641 36.8735713030653
20191105 41.7890833848024 37.9302322114224
20191106 45.402006304253 40.9423820118527
20191107 47.514276022437 40.0067907257239
20191108 47.5072935177986 38.6853784585178
20191112 46.6070009468415 36.1436629143259
20191113 47.0789941652513 33.7450159032147
20191114 46.7712441183382 31.9325673109039
20191115 47.5071998775234 32.4307202136857
20191118 53.5443226368935 34.1262344529797
20191119 60.3070391043914 36.9819781977025
20191120 62.0457836527278 38.1257873921131
20191121 63.875693782017 38.9153242210603
20191122 65.1809358861115 40.2869508926078
20191125 71.3903558682882 42.0111900431595
20191126 68.5074524577238 42.1296667114971
20191127 67.3086073201595 42.9149044953346
20191202 64.3541206450135 42.4075945633666
20191203 61.0698288116323 41.4831290333272
20191204 50.4954121042808 40.0259905826595
20191205 48.6243607334588 38.7676373499023
20191206 46.8802972912459 37.758087322169
20191209 50.5375307824462 38.5829383575193
20191210 54.2991479536311 38.6845876969475
20191211 54.630450938406 38.2140121433163
20191212 52.2708914204973 36.2641170416162
20191213 49.9772803817171 33.3086152612128
20191216 48.5411855993933 32.1858759713627
20191217 47.3318671602771 31.9266220808234
20191218 47.7316955589905 32.7219954971005
20191219 51.7065011517175 33.7924933698242
20191220 57.7601795102331 36.5401203908388
20191223 61.8795598252213 35.4984192630633
20191226 59.4869729601108 33.1389457025681
20191227 62.9618529025877 33.2762804835368
20191230 61.989249572437 33.0973228826198
20200102 61.94799965984 33.4554703720156
20200103 57.1377242348872 34.0859715314619
20200106 61.3960801307809 36.7873809276663
20200107 59.9872019690435 36.3697911443744
20200108 59.6859467564062 37.6548404010928
20200109 58.6939479068233 39.4320422996484
20200110 60.6938265839873 40.9131930918499
20200113 61.2445678062768 41.2122766014253
20200114 63.3529805568706 42.4682976751017
20200115 66.3988541032733 43.4351460947868
20200116 67.9668946424827 44.3431971794457
20200117 71.824286935011 44.6874559440582
20200121 73.1762626189556 45.9950030647585
20200122 75.2984908702795 47.633128905251
20200123 76.0100265461814 48.1290064239242
20200124 77.7723929457435 47.1207192372535
20200127 74.3351075943592 47.5535779518507
20200128 74.1122091190221 46.0397218268811
20200129 70.1907102719681 43.4618113122136
20200130 70.4745549726533 41.6373349925295
20200131 69.8594753327337 40.7896980497396
20200203 71.2495109926937 40.4586574450356
20200204 73.1860939955842 41.5461301144715
20200205 75.898125609484 42.5273091237504
20200206 76.4992979308088 44.2905836144695
20200207 74.1663831552019 43.7625251240524
20200210 76.1313286531756 44.4269018790259
20200211 76.093647383663 44.4841510374047
20200212 79.4754044267766 46.1450441661669
20200213 79.0643077535299 45.0829820182331
20200214 82.0847625339272 45.5710847172943
20200218 79.7717934454331 46.4535917373401
20200219 76.9123844033643 46.4785447556788
20200220 72.7141263741719 45.2431812812786
20200221 72.6832947736026 45.5980879447289
20200224 70.2740173536696 45.3784477583756
20200225 70.5307106440696 43.6198854853297
20200226 68.0546359022564 41.2787372813479
20200227 59.8946361452232 36.6467037678827
20200228 49.9981865221399 31.9351939791372
20200302 41.7720852912235 27.3702580145943
20200303 30.8606604512866 21.9770894324711
20200304 25.2097561031267 19.032871352099
20200305 24.5825546790771 18.7314392854051
20200306 23.1521639682112 16.7486108327276
20200309 20.3709295942499 14.3536832390721
20200310 18.7008318949799 12.8246439552089
20200311 15.1216989860132 10.4072756012402
20200312 10.3527876647308 6.86824157087993
20200313 8.71906006203557 5.9799835724489
20200316 9.04505342370363 5.77226337917628
20200317 9.19899053828382 5.57377162217119
20200318 9.16242077888984 5.09613412047981
20200319 9.47284913284857 5.15356887443682
20200320 10.1055035291039 5.25959062779353
20200323 10.5763137012115 5.41333686489845
20200324 12.2035667801436 5.50640717038998
20200325 13.0059317321782 6.02989559348248
20200326 14.3401525170559 6.79233042982678
20200327 15.1969532947263 7.84346054625587
20200330 17.1350666029542 8.82386349759904
20200331 18.395042437916 9.81012822689856
20200401 20.5736909665151 10.8017209115859
20200402 22.220370788012 11.5270353542594
20200403 23.6387553746418 12.268131203028
20200406 25.8333264375438 13.6011887477463
20200407 27.8659230165302 15.0300458586308
20200408 29.8526444806141 16.0696736848491
20200413 31.6162023060457 17.1532630164394
20200414 34.4961425596719 18.5020059654835
20200415 38.0208140671593 19.1287980539066
20200416 40.648069015913 19.7850115398367
20200417 42.2558016586154 19.9971984546984
20200420 46.6783219567054 19.9524634025217
20200421 47.505758230027 19.6401730871281
20200422 48.3199771431378 20.0743166440214
20200423 48.3592853091042 20.1828333447626
20200424 53.1458712717769 21.0809424257768
20200427 57.735963305262 22.8059287974763
20200428 62.526708233027 24.0992137696658
20200429 63.2816561990206 23.7314871455459
20200430 66.7219493317183 24.2339765932282
20200501 66.3185709057481 24.1288236223006
20200504 61.3263612421569 23.2777205033441
20200505 61.3432329918871 23.5915449972293
20200506 62.7381358513136 24.5491981879244
20200507 62.6016432576978 24.447322772157
20200508 60.1620106693076 23.6900332730457
20200511 62.9349282967619 24.4655552570716
20200512 63.7061511539712 23.9914245987224
20200513 61.6993265966949 23.2808406442515
20200514 61.8903868835894 23.6302245917559
20200515 65.7572824521601 24.9724708544838
20200518 65.5161132113513 26.1004778084471
20200519 65.9935899337987 27.1038591763064
20200520 67.3491636192843 29.078912787135
20200521 69.4312375182781 30.0578929356091
20200526 75.8709899597605 32.4312180676833
20200527 82.7725390035768 33.5547601913006
20200528 85.5827133480274 34.4199336579497
20200529 91.4198931569191 35.0553217276993
20200601 94.2966419843711 36.5176591185601
20200602 89.9097261852158 36.3278300279163
20200603 86.1154273462539 36.3694786945822
20200604 84.3891342594713 36.3427944650282
20200605 79.7158076166703 34.5715361290709
20200608 83.3361478625135 33.9725508516451
20200609 84.8096565392793 34.1416768962761
20200610 85.1142821981035 32.5877269107015
20200611 84.7931519357199 31.4964373463094
20200612 89.3014145665092 31.6704421310973
20200615 85.3379413502096 30.231983961935
20200616 85.0089449731558 27.8222147948922
20200617 87.1399451634219 27.8072888652445
20200618 92.0567586470079 27.3526094315294
20200619 97.6510624193918 28.0686710972047
20200622 104.571385121525 29.8971945092287
20200623 145.429541236504 31.8227988271912
20200624 151.269827680404 33.2110274912408
20200625 155.629649081475 35.2879897391058
20200626 152.59800528937 37.4539974922182
20200629 159.419413604749 38.3532593702412
20200630 125.270462125124 40.655256155738
20200701 117.336341749864 40.8452545078217
20200706 117.930636445193 41.3547605322277
20200707 121.369517517806 42.1477536157299
20200708 114.301247371204 43.3076013839913
20200709 110.359740423596 42.8118232722886
20200710 110.467518495326 43.1282464880684
20200713 107.967066212067 43.1581375242543
20200714 109.521485980802 42.8294707083469
20200715 105.644563907817 43.0956290932015
20200716 107.061097022222 42.5927128638998
20200717 114.323188610144 44.5209810442544
20200720 114.479669995994 46.4962512237542
20200721 114.86609575177 47.0806926040582
20200722 119.277076692212 46.9443769587725
20200723 122.735256418388 49.206391421634
20200724 128.346761503277 48.6792962998313
20200727 138.388303657072 48.7080797229707
20200728 141.793414174489 48.2502678808289
20200729 138.511258295177 45.5749122845928
20200730 140.5315126459 44.1505345587206
20200731 136.651342841911 45.136542419652
20200803 130.422612848832 42.9676003161359
20200804 125.040809736845 42.465891872042
20200805 127.610314483037 43.7000886617756
20200806 128.686329601795 44.4372568870889
20200807 126.11724631584 42.8585592348599
20200810 125.437262207998 45.5396641311477
20200811 131.520209848775 47.5341629565252
20200812 133.679984116306 48.1775605284005
20200813 131.008033629423 45.7242879582223
20200814 135.382991218926 44.812202918095
20200817 137.745788445303 43.6172499180985
20200818 137.263979375604 41.7161315633253
20200819 139.569020813717 41.9506297293193
20200820 145.44433681676 44.4538708648275
20200821 144.798945905341 45.7212607419841
20200824 147.552928398467 47.869521040503
20200825 156.989838462594 49.1828419641601
20200826 153.942132313577 49.4293364931139
20200827 141.345018795301 46.1187599048721
20200828 143.320160088201 45.4182476722826
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20220509 10.3838373596947 16.0907520400504
20220510 10.6018323304811 16.41253224838
20220511 10.9663903817576 17.0194460238875
20220512 11.2270487859288 16.5236849957145
20220513 11.9732865275443 17.2980183111616
20220516 12.8669173573672 17.6852208435469
20220517 13.0144918713044 18.1447339713895
20220518 13.6563045975801 18.8538570612155
20220519 13.9856931861127 19.7812735689453
20220520 14.2372969417789 20.1697870803669
20220523 13.9682779672431 20.7131367840723
20220524 14.7714734934454 20.8768230433352
20220525 14.6468382682294 21.4758571513573
20220526 14.6392919155956 22.2799832448075
20220527 13.7848666080012 23.0272599075891
20220531 14.3864891070676 23.588243649053
20220601 13.6218463493967 24.6811684602205
20220602 14.0372487585291 24.7410654726675
20220603 13.877647398842 24.3106190861961
20220606 15.5051388700837 25.4908043002447
20220607 15.3101981853332 26.8540943776347
20220608 16.1295703335108 27.842547194383
20220609 16.1041351634127 27.9081467832865
20220610 16.1332996033039 27.1584700581572
20220613 14.4407613724996 24.2120661932808
20220614 13.4715960576834 20.5901327912884
20220615 11.516180268614 16.2951780123045
20220616 10.0906928527439 14.3269061206153
20220617 9.21334532991669 13.7296482964843
20220621 9.05274964416556 14.1393157927735
20220622 8.92934096970132 14.8542623073969
20220623 9.02183191969924 15.8031573057935
20220624 9.27198961483016 15.6470477585421
20220627 10.1330843958943 16.0074410359094
20220628 10.0625776110017 15.6722033495371
20220629 9.72650306309596 15.5567824451722
20220630 10.0456304358887 16.2539632786221
20220701 9.7416400334533 16.0947783816452
20220705 8.87916166973409 15.734203000121
20220706 8.63031130482637 15.3620584133939
20220707 8.7615365610459 15.5339982675153
20220708 8.48796168251369 14.9909977735385
20220711 8.83380349020168 16.4282470463127
20220712 9.03385279562513 17.6985372211962
20220713 8.93905294630851 18.239713047826
20220714 8.54832852618195 18.0555233745708
20220715 8.21027361467867 18.0268984025063
20220718 8.56275854626463 18.2990189995247
20220719 9.21105882041801 18.1116242342521
20220720 9.74388028885524 19.1551886953999
20220721 9.8689382454836 19.2904469493799
20220722 10.1371436340927 19.1327470638284
20220725 10.6657774733245 18.6544327372684
20220726 10.3994874676854 18.5592272490787
20220727 10.0190448161481 17.2604086384832
20220728 9.82101545464046 17.0503298661083
20220729 10.7050869637755 17.6988168913792
20220801 9.72878971498652 17.5192825606708
20220802 9.63648602318954 16.1819984477114
20220803 9.93476826964976 16.0451821194033
20220804 10.1538750741623 15.5261567368699
20220805 9.37979260808215 14.4568951736396
20220808 9.87088278406861 14.2044479694289
20220809 10.3259139837436 14.5822233504501
20220810 10.1783487512879 14.4023619897031
20220811 10.5147222873876 14.4994979930584
20220812 11.0396610950301 14.592905763748
20220815 11.1088273806951 14.9535666996885
20220816 10.9593765362024 14.8779204947655
20220817 11.359028310207 15.2622694320332
20220818 11.6063285732713 15.6644411491681
20220819 11.682866761429 16.2792723577685
20220822 12.022788102123 16.0658098823361
20220823 12.4454318790584 16.2317828540606
20220824 12.604110350495 17.0887722376798
20220825 12.8840760647496 17.7368592148339
20220826 12.2220874500567 16.9910928848838
20220829 11.6567055111932 17.101863889998
20220830 10.982819446962 17.4790104010717
20220831 11.3466556184846 17.829395677893
20220901 10.9903420184697 17.6108220242847
20220902 11.4798762872957 18.3283941452133
20220906 11.8893550366217 18.6839972970952
20220907 12.2420978134721 19.3905918577366
20220908 11.7229654525396 18.2408191232879
20220909 11.7044860988758 18.6930169823291
20220912 12.4662991455786 19.7742193143751
20220913 11.8992350401297 19.1226284063527
20220914 12.2291926829424 19.4273413230052
20220915 12.2804764557908 20.4956916765787
20220916 12.510716138437 20.3823628693496
20220919 12.1144078208663 20.794162623234
20220920 12.8987353423854 21.9303859251226
20220921 12.0056232386058 20.6467063383856
20220922 11.889057795875 19.546367957838
20220923 11.3406033661365 18.9402894087956
20220926 11.0613297409255 17.3094443113988
20220927 10.0119493709969 16.3660156872041
20220928 9.95884594187608 15.6272770957706
20220929 9.87303770109125 14.6552169166677
20220930 9.96883780438079 14.045765498712
20221003 9.57280709029366 13.6301527371021
20221004 9.7204917039941 13.247422950979
20221005 9.60626826712303 14.2218841184994
20221006 9.60728434074987 15.2668348446451
20221007 9.63021609074008 15.8619396414748
20221011 10.8586589985211 16.4173731441689
20221012 11.6713102582971 16.84528994558
20221013 11.8818869424334 16.1646090700657
20221014 12.4050049914795 15.6776921770915
20221017 14.0330791626867 16.2545336451404
20221018 14.0437478022041 16.7444038491845
20221019 14.2925595442393 16.8226051205798
20221020 15.3528319536788 17.8074139580303
20221021 14.9246318098456 17.8791400914005
20221024 13.3694683389391 16.7750853407209
20221025 13.4805948359958 16.1163872440307
20221026 13.1439654906135 15.439949259411
20221027 12.1332938273849 14.2575453021748
20221028 12.1033776066608 13.9179683292382
20221031 12.9155731034731 14.1665894030383
20221101 12.2544630802535 13.9796067858041
20221102 11.9257273904134 13.300405768543
20221103 12.2387239804088 13.257847331384
20221104 12.459789063677 13.093316446687
20221107 12.7910011633082 13.8456410358659
20221108 13.5286149772473 14.2397520840986
20221109 14.2982528481447 15.1584751137479
20221110 13.8250802118203 15.0606812471424
20221114 14.50350307225 15.8508393799411
20221115 13.8800822574743 14.5167933909292
20221116 13.2138695449148 13.9121746750907
20221117 12.5930261142653 13.0313265488294
20221118 13.3261295566065 12.926872467414
20221121 14.1784642634742 12.2639958927918
20221122 14.4101544266667 12.1885857152437
20221123 13.8916218280638 11.6644869931519
20221125 13.6308881185887 12.122655681296
20221128 14.1986044245204 12.4793807651507
20221129 12.8454041667598 12.6543337565908
20221130 12.2101067645824 12.6933477918022
20221201 12.5185925513121 13.1261894153808
20221202 12.5173142037483 12.9421048172603
20221205 11.9707310549891 13.043620048529
20221206 12.1693348053931 13.5452211884586
20221207 12.237086984216 13.7653320672323
20221208 12.0707073459403 14.0162995388139
20221209 12.441402354844 14.6601581379839
20221212 13.1094214622223 15.8242757680822
20221213 12.4924458516027 15.6354579294452
20221214 12.5968094472027 15.4484110478943
20221215 12.9507164513442 15.0499744179206
20221216 13.4128321684928 15.2325305208215
20221219 13.5806069111502 14.8808051952846
20221220 14.4682635839244 15.6026510544283
20221221 14.4125256445748 16.5792039507098
20221222 14.3482190708333 17.0775432364707
20221223 12.9756628044719 16.6192248203288
20221227 12.3685723753689 16.0324777457832
20221228 11.5251460465926 15.5059165297009
20221229 11.2089442736269 15.2698357334558
20221230 10.5008004435015 15.4837998473422
20230103 10.9370537776526 15.9032348447763
20230104 10.753815897222 15.7266268374809
20230105 10.6001645829902 15.3212056865914
20230106 10.238835807674 14.6980508003362
20230109 10.5444671325091 14.4440348603875
20230110 10.6328055503527 14.1194765091494
20230111 10.1356149646763 14.7987360357666
20230112 9.95688316829274 14.5720979148074
20230113 10.5104916218826 14.9649620635784
20230117 10.7162403344821 15.8739717154642
20230118 10.7973413043319 16.4365285098713
20230119 10.7679441706551 16.5739992790696
20230120 11.6030470774104 17.7326689502082
20230123 11.8887151005299 18.6643362259454
20230124 12.4807727236361 18.0734697487623
20230125 12.7342734846143 18.3081226610129
20230126 12.9327226847727 18.0784365242003
20230127 13.3389177883114 18.6331042239171
20230130 14.1536685731276 19.1279227648363
20230131 14.4219263661143 19.9409506435674
20230201 13.8379908110849 19.371943284281
20230202 13.6924619448088 19.2184894632496
20230203 12.9877577940504 18.2824816914854
20230206 13.5775513623614 18.3746421645816
20230207 12.912701623907 17.6037767532508
20230208 14.031222445223 18.3952978723524
20230209 14.9269994890349 19.2493078108589
20230210 15.566953409721 19.4935287918668
20230213 14.6500195388016 18.7898956766314
20230214 14.4514261475663 18.0748265750403
20230215 14.3809845480804 17.1922800303532
20230216 13.8106464532316 16.8037380927005
20230217 13.3797749716079 16.7967556103575
20230221 13.1718067250207 16.8070738797203
20230222 13.5710465642354 18.5119921607142
20230223 13.4704271671145 19.5578617686092
20230224 13.4633226218725 19.8613423193581
20230227 13.7185268627422 19.9641089508433
20230228 14.1373326448296 20.7188133439175
20230301 14.358790874825 20.5160219651474
20230302 13.5994433218154 20.1991174567061
20230303 13.5299777606916 20.6514128499583
20230306 13.2404368585557 21.5852720688319
20230307 12.350888564154 20.857694891861
20230308 11.4169890326451 21.3925160819911
20230309 11.3679627705701 21.9795772983381
20230310 10.8089408944744 20.3955818148578
20230313 9.37946468496203 17.2817185686586
20230314 8.15079223835665 15.2173589625449
20230315 6.97457614107345 12.1669686775439
20230316 5.80471850003379 9.3089340186322
20230317 4.93422305784444 8.34965915258436
20230320 4.81005329845553 8.64464857924591
20230321 4.92468021436364 9.13542628975861
20230322 5.01407448962367 9.37412933481549
20230323 5.31542803757835 10.2086394206574
20230324 5.34761872540694 10.1607964729053
20230327 6.10994380991578 10.9604201097455
20230328 6.22332076101763 11.1438987696343
20230329 6.65949364105061 12.2435564964954
20230330 7.57650506157848 12.9452901689366
20230331 8.12318827679716 14.73476567643
20230403 7.73591129286086 15.0266151087104
20230404 7.89688063132032 15.6132743402685
20230405 8.1223423424686 15.4203487281293
20230406 7.58345919025548 16.0079212246423
20230410 7.68877897453386 15.443871396082
20230411 8.73661244700378 16.5386530014757
20230412 8.66547464602417 16.7381718758878
20230413 8.88644696193664 17.7634550398221
20230414 8.91010852837132 17.3278153819808
20230417 9.74926517730438 18.7036609183832
20230418 10.2038978697785 19.2199664895105
20230419 11.8860846992358 21.1307306352274

Note: The data show the time-weighted average market depth at the best quoted prices to buy and sell, for 2-year and 10-year Treasury notes. OTR is on-the-run.

Source: BrokerTec; Federal Reserve Board staff calculations.

Return to text
Figure 1.9. A measure of liquidity in equity markets fell sharply in March

Market depth (number of contracts)

Date Close Depth
20190903 90.2703703703704
20190904 101.676543209877
20190905 109.595061728395
20190906 112.127160493827
20190909 123.924691358025
20190910 132.402469135803
20190911 141.145679012346
20190912 134.882716049383
20190913 129.561728395062
20190916 115.028395061728
20190917 112.63950617284
20190918 102.158024691358
20190919 110.883950617284
20190920 117.546913580247
20190923 124.944444444444
20190924 120.30987654321
20190925 115.179012345679
20190926 107.79012345679
20190927 100.898765432099
20190930 101.441975308642
20191001 102.645679012346
20191002 100.859259259259
20191003 94.4888888888889
20191004 99.4592592592593
20191007 91.3654320987654
20191008 87.6123456790123
20191009 86.0987654320988
20191010 86.3172839506173
20191011 76.0172839506173
20191014 76.3950617283951
20191015 88.4641975308642
20191016 96.7604938271605
20191017 105.075308641975
20191018 115.972839506173
20191021 129.074074074074
20191022 129.427160493827
20191023 133.48024691358
20191024 135.892592592593
20191025 145.453086419753
20191028 148.365432098765
20191029 153.345679012346
20191030 149.092592592593
20191031 150.186419753086
20191101 150.543209876543
20191104 155.696296296296
20191105 157.051851851852
20191106 159.553086419753
20191107 165.686419753086
20191108 165.948148148148
20191111 166.386419753086
20191112 166.351851851852
20191113 172.292592592593
20191114 175.846913580247
20191115 191.12962962963
20191118 192.03950617284
20191119 192.807407407407
20191120 187.666666666667
20191121 182.460493827161
20191122 165.228395061728
20191125 174.98024691358
20191126 181.564197530864
20191127 195.092592592593
20191129 201.571926999463
20191202 199.460815888352
20191203 178.416371443908
20191204 174.55834675255
20191205 164.964519592056
20191206 177.88024691358
20191209 193.592592592593
20191210 202.901234567901
20191211 202.986419753086
20191212 194.093827160494
20191213 161.122222222222
20191216 161.424691358025
20191217 166.140740740741
20191218 169.72962962963
20191219 195.393827160494
20191220 222.816049382716
20191223 219.769135802469
20191224 208.280032206119
20191226 207.813365539453
20191227 193.417069243156
20191230 181.334353193774
20191231 171.05040257649
20200102 178.895061728395
20200103 165.234567901235
20200106 163.427160493827
20200107 160.998765432099
20200108 156.916049382716
20200109 151.543209876543
20200110 159.755555555556
20200113 160.416049382716
20200114 162.771604938272
20200115 166.533333333333
20200116 177.144444444444
20200117 183.661728395062
20200121 188.002469135802
20200122 196.26049382716
20200123 199.667901234568
20200124 183.407407407407
20200127 165.316049382716
20200128 158.837037037037
20200129 147.274074074074
20200130 131.897530864198
20200131 128.911111111111
20200203 130.41975308642
20200204 130.497530864198
20200205 126.514814814815
20200206 134.933333333333
20200207 134.6
20200210 141.924691358025
20200211 142.548148148148
20200212 152.156790123457
20200213 152.767901234568
20200214 160.204938271605
20200218 162.344444444444
20200219 170.186419753086
20200220 161.275308641975
20200221 153
20200224 135.258024691358
20200225 108.738271604938
20200226 75.7037037037037
20200227 54.2061728395062
20200228 35.2814814814815
20200302 24.8111111111111
20200303 19.4037037037037
20200304 18.3691358024691
20200305 18.4074074074074
20200306 18.7259259259259
20200309 22.0038461538462
20200310 21.6840930674264
20200311 18.9273029439696
20200312 16.2573124406458
20200313 14.7659544159544
20200316 9.21851851851852
20200317 8.31358024691358
20200318 7.48307548054383
20200319 7.26541166288002
20200320 7.1147943789294
20200323 7.49542115955618
20200324 8.60529770276606
20200325 11.3135802469136
20200326 11.5641975308642
20200327 12.3246913580247
20200330 12.9938271604938
20200331 13.9037037037037
20200401 13.5271604938272
20200402 14.6469135802469
20200403 16.5864197530864
20200406 20.1345679012346
20200407 20.2234567901235
20200408 20.8296296296296
20200409 22.3641975308642
20200413 22.7197530864198
20200414 23.2382716049383
20200415 26.0913580246914
20200416 27.1975308641975
20200417 30.2555555555556
20200420 32.4185185185185
20200421 31.2
20200422 32.1061728395062
20200423 32.8086419753087
20200424 33.0012345679012
20200427 37.2061728395062
20200428 39.8641975308642
20200429 41.4987654320988
20200430 42.4333333333333
20200501 43.7851851851852
20200504 42.1888888888889
20200505 46.5358024691358
20200506 46.4913580246914
20200507 50.2728395061729
20200508 55.8777777777778
20200511 60.7888888888889
20200512 60.9
20200513 60.7407407407407
20200514 57.7456790123457
20200515 50.3604938271605
20200518 50.5024691358025
20200519 47.7716049382716
20200520 52.1753086419753
20200521 55.4345679012346
20200522 60.958024691358
20200526 62.4901234567901
20200527 63.7641975308642
20200528 63.0617283950617
20200529 59.5283950617284
20200601 61.5901234567901
20200602 62.4851851851852
20200603 71.1049382716049
20200604 74.237037037037
20200605 82.0395061728395
20200608 84.0567901234568
20200609 82.1197530864198
20200610 71.6530864197531
20200611 63.0851851851852
20200612 51.0222222222222
20200615 39.1864197530864
20200616 28.3123456790123
20200617 26.9506172839506
20200618 28.0382716049383
20200619 32.6765432098766
20200622 39.0333333333333
20200623 46.5395061728395
20200624 46.537037037037
20200625 46.3197530864198
20200626 44.9320987654321
20200629 42.5962962962963
20200630 41.8617283950617
20200701 43.9641975308642
20200702 47.562962962963
20200706 53.058024691358
20200707 57.7925925925926
20200708 59.420987654321
20200709 59.4358024691358
20200710 57.9345679012346
20200713 59.0592592592593
20200714 51.3530864197531
20200715 47.6592592592593
20200716 48.4382716049383
20200717 54.6469135802469
20200720 59.9037037037037
20200721 67.2641975308642
20200722 74.4666666666667
20200723 74.1703703703704
20200724 70.9654320987654
20200727 73.3432098765432
20200728 75.9901234567901
20200729 81.3172839506173
20200730 84.2740740740741
20200731 87.7740740740741
20200803 83.0864197530864
20200804 82.9876543209877
20200805 82.1222222222222
20200806 89.7012345679013
20200807 89.3037037037037
20200810 89.5604938271605
20200811 91.6765432098765
20200812 89.4765432098766
20200813 86.5876543209877
20200814 85.6938271604938
20200817 90.7432098765432
20200818 93.6160493827161
20200819 99.820987654321
20200820 102.037037037037
20200821 104.198765432099
20200824 102.464197530864
20200825 98.7148148148148
20200826 102.730864197531
20200827 96.0123456790124
20200828 98.3876543209876
20200831 96.5493827160494
20200901 98.4407407407407
20200902 86.7481481481481
20200903 79.7271604938272
20200904 65.2456790123457
20200908 51.504938271605
20200909 41.9604938271605
20200910 31.4925925925926
20200911 28.8444444444444
20200914 34.8518518518519
20200915 46.9567901234568
20200916 49.5518518518519
20200917 54.2592592592593
20200918 63.6901234567901
20200921 65.4518518518519
20200922 59.0777777777778
20200923 58.7567901234568
20200924 55.4777777777778
20200925 51.3320987654321
20200928 53.6037037037037
20200929 57.4765432098766
20200930 57.2185185185185
20201001 57.7938271604938
20201002 56.0617283950617
20201005 55.8407407407407
20201006 52.0555555555556
20201007 53.9876543209877
20201008 58.3444444444445
20201009 64.3679012345679
20201012 63.9234567901235
20201013 64.583950617284
20201014 62.758024691358
20201015 60.0691358024691
20201016 59.2037037037037
20201019 55.9061728395062
20201020 56.462962962963
20201021 55.1950617283951
20201022 56.783950617284
20201023 56.8246913580247
20201026 55.9827160493827
20201027 55.7259259259259
20201028 56.162962962963
20201029 53.4098765432099
20201030 45.9037037037037
20201102 42.620987654321
20201103 41.7123456790123
20201104 36.3827160493827
20201105 33.9802469135802
20201106 36.741975308642
20201109 35.1049382716049
20201110 32.6777777777778
20201111 39.1358024691358
20201112 41.6358024691358
20201113 48.3753086419753
20201116 56.8234567901235
20201117 64.2777777777778
20201118 68.6913580246914
20201119 72.3888888888889
20201120 69.3086419753087
20201123 65.7432098765432
20201124 66.0740740740741
20201125 63.2777777777778
20201127 65.9863929146538
20201130 68.3542941492217
20201201 70.6530595813205
20201202 69.79256575416
20201203 71.8407139023081
20201204 76.1111111111111
20201207 80.0123456790124
20201208 87.0654320987654
20201209 86.9518518518519
20201210 84.7518518518519
20201211 77.1395061728395
20201214 74.1160493827161
20201215 74.2938271604938
20201216 77.9753086419753
20201217 87.9691358024691
20201218 90.758024691358
20201221 84.8444444444444
20201222 76.2703703703704
20201223 76.0222222222222
20201224 66.3659688674182
20201228 75.1511540526033
20201229 80.3276972624799
20201230 86.1042404723564
20201231 86.0536231884058
20210104 82.4962962962963
20210105 71.0493827160494
20210106 66.6876543209877
20210107 62.7913580246914
20210108 55.9851851851852
20210111 56.0283950617284
20210112 54.0098765432099
20210113 57.2481481481482
20210114 61.6481481481482
20210115 62.8604938271605
20210119 69.0950617283951
20210120 78.5123456790123
20210121 85.2024691358025
20210122 85.8777777777778
20210125 82.783950617284
20210126 79.5345679012346
20210127 66.8802469135803
20210128 54.1901234567901
20210129 41.3098765432099
20210201 40.837037037037
20210202 43.6827160493827
20210203 49.5592592592593
20210204 62.858024691358
20210205 76.2395061728395
20210208 87.4592592592593
20210209 93.1123456790124
20210210 92.562962962963
20210211 86.8617283950617
20210212 86.5950617283951
20210216 80.0370370370371
20210217 70.479012345679
20210218 71.8703703703704
20210219 71.7012345679012
20210222 66.8876543209877
20210223 61.862962962963
20210224 61.7987654320988
20210225 55.8814814814815
20210226 47.4703703703704
20210301 48.2987654320988
20210302 49.2061728395062
20210303 43.6234567901235
20210304 41.6913580246914
20210305 40.6555555555556
20210308 32.6395061728395
20210309 34.8395061728395
20210310 35.5938271604938
20210311 41.8481481481482
20210312 44.241975308642
20210315 53.1864197530864
20210316 57.858024691358
20210317 62.0987654320988
20210318 63.7962962962963
20210319 67.3740740740741
20210322 70.320987654321
20210323 69.8666666666667
20210324 73.7987654320988
20210325 72.2283950617284
20210326 78.9592592592593
20210329 75.2592592592593
20210330 73.1358024691358
20210331 80.3444444444444
20210401 89.0024691358025
20210405 93.1962962962963
20210406 102.225925925926
20210407 108.083950617284
20210408 107.511111111111
20210409 111.102469135802
20210412 111.48024691358
20210413 109
20210414 109.369135802469
20210415 112.59012345679
20210416 111.706172839506
20210419 108.558024691358
20210420 103.320987654321
20210421 106.113580246914
20210422 99.0530864197531
20210423 99.7320987654321
20210426 102.211111111111
20210427 102.312345679012
20210428 100.244444444444
20210429 98.3
20210430 91.6530864197531
20210503 87.7111111111111
20210504 85.3358024691358
20210505 81.5518518518519
20210506 81.9666666666667
20210507 85.5382716049383
20210510 87.7444444444445
20210511 84.5222222222222
20210512 76.958024691358
20210513 74.083950617284
20210514 68.3864197530864
20210517 62.2271604938272
20210518 67.583950617284
20210519 68.4
20210520 72.341975308642
20210521 73.8740740740741
20210524 83.2271604938272
20210525 85.7283950617284
20210526 98.9555555555556
20210527 100.58024691358
20210528 106.930864197531
20210601 102.381481481482
20210602 104.266666666667
20210603 97.5962962962963
20210604 99.8691358024691
20210607 98.9753086419753
20210608 103.620987654321
20210609 103.661728395062
20210610 104.098765432099
20210611 100.811111111111
20210614 102.735802469136
20210615 101.454320987654
20210616 100.467901234568
20210617 99.0913580246914
20210618 94.2851851851852
20210621 88.2469135802469
20210622 88.0765432098765
20210623 91.6555555555556
20210624 96.1604938271605
20210625 109.777777777778
20210628 116.366666666667
20210629 119.746913580247
20210630 120.945679012346
20210701 128.088888888889
20210702 129.291358024691
20210706 132.491358024691
20210707 126.935802469136
20210708 116.243209876543
20210709 119.667901234568
20210712 123.193827160494
20210713 114.743209876543
20210714 117.072839506173
20210715 122.93950617284
20210716 111.172839506173
20210719 90.5802469135802
20210720 91.2320987654321
20210721 90.3802469135802
20210722 92.4246913580247
20210723 101.38024691358
20210726 111.867901234568
20210727 107.753086419753
20210728 102.134567901235
20210729 104.344444444444
20210730 94.9320987654321
20210802 89.3938271604938
20210803 91.8098765432099
20210804 95.5320987654321
20210805 100.249382716049
20210806 107.953086419753
20210809 116.472839506173
20210810 123.148148148148
20210811 131.737037037037
20210812 137.57037037037
20210813 144.620987654321
20210816 147.264197530864
20210817 140.113580246914
20210818 130.169135802469
20210819 107.724691358025
20210820 92.579012345679
20210823 94.5518518518519
20210824 106.554320987654
20210825 118.47037037037
20210826 127.40987654321
20210827 137.235802469136
20210830 140.312345679012
20210831 136.128395061728
20210901 132.420987654321
20210902 140.071604938272
20210903 136.465432098765
20210907 131.413580246914
20210908 124.586419753086
20210909 120.501234567901
20210910 107.182716049383
20210913 93.4567901234568
20210914 83.0506172839506
20210915 83.0703703703704
20210916 76.4320987654321
20210917 76.4888888888889
20210920 76.5246913580247
20210921 68.6382716049383
20210922 61.7950617283951
20210923 61.2074074074074
20210924 63.1432098765432
20210927 68.362962962963
20210928 67.7864197530864
20210929 66.7864197530864
20210930 60.1913580246914
20211001 53.1950617283951
20211004 44.6506172839506
20211005 48.2753086419753
20211006 45.1061728395062
20211007 52.7382716049383
20211008 55.4925925925926
20211011 59.2086419753086
20211012 54.0271604938272
20211013 56.1
20211014 57.1333333333334
20211015 64.3049382716049
20211018 70.2160493827161
20211019 84.7765432098765
20211020 91.8037037037037
20211021 98.1666666666667
20211022 90.9395061728395
20211025 92.9148148148148
20211026 86.7148148148148
20211027 84.5888888888889
20211028 76.0851851851852
20211029 80.3024691358025
20211101 76.004938271605
20211102 81.2
20211103 83.6888888888889
20211104 88.7123456790124
20211105 89.6592592592593
20211108 88.7395061728395
20211109 78.8049382716049
20211110 75.4469135802469
20211111 73.5641975308642
20211112 78.5123456790123
20211115 77.4691358024692
20211116 85.2716049382716
20211117 89.7407407407407
20211118 87.0913580246914
20211119 79.9506172839506
20211122 81.0703703703704
20211123 70.858024691358
20211124 64.0962962962963
20211126 55.191975308642
20211129 51.3166666666667
20211130 43.5030864197531
20211201 42.8956790123457
20211202 36.4314814814815
20211203 35.4530864197531
20211206 31.2592592592593
20211207 39.3679012345679
20211208 41.4962962962963
20211209 45.8962962962963
20211210 49.4160493827161
20211213 51.0703703703704
20211214 45.062962962963
20211215 43.0148148148148
20211216 41.4481481481482
20211217 39.2283950617284
20211220 36.7456790123457
20211221 39.2617283950617
20211222 41.8876543209877
20211223 49.7444444444445
20211227 59.4
20211228 63.3827160493827
20211229 63.962962962963
20211230 65.0061728395062
20211231 57.7888888888889
20220103 52.6654320987654
20220104 53.2753086419753
20220105 50.9938271604938
20220106 45.2012345679012
20220107 44.0012345679012
20220110 39.5456790123457
20220111 35.7641975308642
20220112 33.0530864197531
20220113 34.2864197530864
20220114 31.6086419753086
20220118 30.1864197530864
20220119 28.3641975308642
20220120 27.0851851851852
20220121 23.2098765432099
20220124 20.820987654321
20220125 18.1876543209877
20220126 15.3123456790123
20220127 12.4888888888889
20220128 12.6950617283951
20220131 15.1382716049383
20220201 16.8283950617284
20220202 18.1666666666667
20220203 19.9962962962963
20220204 21.1395061728395
20220207 20.9666666666667
20220208 23.1481481481481
20220209 26.8950617283951
20220210 27.2666666666667
20220211 27.0086419753086
20220214 26.1024691358025
20220215 26.6259259259259
20220216 24.8679012345679
20220217 26.3024691358025
20220218 26.841975308642
20220222 27.1358024691358
20220223 25.1061728395062
20220224 21.8802469135803
20220225 19.6876543209877
20220228 18.3777777777778
20220301 17.4234567901235
20220302 16.2432098765432
20220303 17.0753086419753
20220304 16.5382716049383
20220307 16.283950617284
20220308 15.8148148148148
20220309 15.7481481481482
20220310 16.2308641975309
20220311 15.520987654321
20220314 15.2543209876543
20220315 16.5962962962963
20220316 16.7654320987654
20220317 17.0555555555556
20220318 19.6407407407407
20220321 21.3123456790123
20220322 23.8654320987654
20220323 25.9074074074074
20220324 28.1938271604938
20220325 28.9148148148148
20220328 31.4246913580247
20220329 30.5037037037037
20220330 31.9802469135803
20220331 31.8049382716049
20220401 32.4950617283951
20220404 34.2753086419753
20220405 35.4271604938272
20220406 34.2802469135803
20220407 33.1654320987654
20220408 32.8098765432099
20220411 30.5469135802469
20220412 29.6012345679012
20220413 31.283950617284
20220414 32.7716049382716
20220418 33.1876543209877
20220419 34.7765432098765
20220420 34.6950617283951
20220421 33.4888888888889
20220422 32.3333333333333
20220425 30.0679012345679
20220426 26.7876543209877
20220427 24.0320987654321
20220428 22.7259259259259
20220429 21.2814814814815
20220502 20.058024691358
20220503 18.4543209876543
20220504 19.1382716049383
20220505 17
20220506 15.0604938271605
20220509 14.662962962963
20220510 13.9333333333333
20220511 12.379012345679
20220512 11.979012345679
20220513 15.2728395061728
20220516 16.1641975308642
20220517 18.1271604938272
20220518 20.8913580246914
20220519 21.3765432098765
20220520 19.6592592592593
20220523 20.158024691358
20220524 19.9753086419753
20220525 18.6172839506173
20220526 21.6493827160494
20220527 26.1
20220531 26.5123456790124
20220601 27.1012345679012
20220602 29.0530864197531
20220603 27.4913580246914
20220606 24.3197530864198
20220607 28.2012345679012
20220608 30.6382716049383
20220609 31.7395061728395
20220610 30.6617283950617
20220613 29.0481481481482
20220614 25.5074074074074
20220615 22.7864197530864
20220616 20.4271604938272
20220617 21.0493827160494
20220621 24.0296296296296
20220622 24.2703703703704
20220623 23.9777777777778
20220624 27.9395061728395
20220627 29.1086419753086
20220628 28.8395061728395
20220629 29.0827160493827
20220630 29.9407407407407
20220701 26.1987654320988
20220705 26.1086419753086
20220706 24.0925925925926
20220707 26.820987654321
20220708 27.2703703703704
20220711 29.9493827160494
20220712 32.2037037037037
20220713 34.3654320987654
20220714 32.0456790123457
20220715 34.1086419753086
20220718 35.4543209876543
20220719 37.9753086419753
20220720 39.1135802469136
20220721 40.9061728395062
20220722 40.8777777777778
20220725 40.3123456790124
20220726 40.8222222222222
20220727 42.2024691358025
20220728 43.4679012345679
20220729 46.1925925925926
20220801 46.2716049382716
20220802 43.3308641975309
20220803 46.0975308641975
20220804 45.3037037037037
20220805 45.2296296296296
20220808 45.0469135802469
20220809 46.6172839506173
20220810 45.6382716049383
20220811 48.5320987654321
20220812 51.2024691358025
20220815 57.6876543209877
20220816 60.958024691358
20220817 59.8296296296296
20220818 60.9493827160494
20220819 60.8395061728395
20220822 61.0358024691358
20220823 58.8234567901235
20220824 62.4296296296296
20220825 63.6703703703704
20220826 59.0234567901235
20220829 52.441975308642
20220830 51.2296296296296
20220831 46.1444444444445
20220901 40.7641975308642
20220902 39.1197530864198
20220906 37.2555555555556
20220907 36.6111111111111
20220908 35.0975308641975
20220909 33.9518518518519
20220912 35.762962962963
20220913 38.5592592592593
20220914 38.1358024691358
20220915 39.8111111111111
20220916 42.0333333333333
20220919 43.0913580246914
20220920 45.4679012345679
20220921 44.9493827160494
20220922 43.7358024691358
20220923 42.6308641975309
20220926 40.0037037037037
20220927 36.0728395061728
20220928 36.0765432098766
20220929 36.6987654320988
20220930 35.6543209876543
20221003 36.8543209876543
20221004 36.9382716049383
20221005 37.0037037037037
20221006 35.5827160493827
20221007 35.7024691358025
20221010 34.2703703703704
20221011 32.8716049382716
20221012 31.7123456790124
20221013 30.2641975308642
20221014 28.3358024691358
20221017 29.8333333333333
20221018 30.8975308641975
20221019 31.3740740740741
20221020 34.2987654320988
20221021 35.2703703703704
20221024 33.279012345679
20221025 35.6604938271605
20221026 35.4913580246914
20221027 34.2814814814815
20221028 38.5148148148148
20221031 39.7135802469136
20221101 37.1827160493827
20221102 37.5098765432099
20221103 36.8901234567901
20221104 31.4703703703704
20221107 31.8049382716049
20221108 32.9283950617284
20221109 32.7246913580247
20221110 34.1777777777778
20221111 36.3901234567901
20221114 36.5160493827161
20221115 33.5456790123457
20221116 32.9296296296296
20221117 33.041975308642
20221118 32.6617283950617
20221121 33.5901234567901
20221122 38.2456790123457
20221123 41.1654320987654
20221125 42.6273483628556
20221128 47.4680891035964
20221129 49.6051261406334
20221130 49.2075952764359
20221201 46.8693236714976
20221202 47.7123456790123
20221205 45.7358024691358
20221206 44.5864197530864
20221207 42.2691358024691
20221208 46.4938271604938
20221209 42.6679012345679
20221212 43.6740740740741
20221213 38.2740740740741
20221214 36.6432098765432
20221215 33.0172839506173
20221216 34.8567901234568
20221219 33.8037037037037
20221220 38.1851851851852
20221221 44.0308641975309
20221222 46.2827160493827
20221223 45.0765432098765
20221227 42.3913580246914
20221228 41.3691358024691
20221229 40.8679012345679
20221230 38.7777777777778
20230103 37.9654320987654
20230104 38.8851851851852
20230105 38.9802469135802
20230106 38.5691358024691
20230109 42.7469135802469
20230110 45.3024691358025
20230111 50.9283950617284
20230112 50.7950617283951
20230113 51.7481481481482
20230117 50.5246913580247
20230118 53.358024691358
20230119 50.9901234567901
20230120 55.7938271604938
20230123 56.204938271605
20230124 55.5728395061728
20230125 53.1432098765432
20230126 52.0506172839506
20230127 52.5111111111111
20230130 51.9691358024691
20230131 55.758024691358
20230201 55.0530864197531
20230202 54.7592592592593
20230203 49.0506172839506
20230206 46.9814814814815
20230207 41.4358024691358
20230208 43.0851851851852
20230209 44.2691358024691
20230210 46.6975308641975
20230213 50.2950617283951
20230214 49.5827160493827
20230215 49.9518518518519
20230216 49.9074074074074
20230217 53.3592592592593
20230221 54.7456790123457
20230222 58.3234567901235
20230223 61.2234567901235
20230224 63.3950617283951
20230227 63.8086419753086
20230228 64.1913580246914
20230301 67.1679012345679
20230302 69.0283950617284
20230303 72.0827160493827
20230306 73.0049382716049
20230307 70.8925925925926
20230308 69.3049382716049
20230309 67.7925925925926
20230310 56.9814814814815
20230313 45.1012345679012
20230314 40.4543209876543
20230315 32.0518518518519
20230316 25.6148148148148
20230317 27.3432098765432
20230320 31.1481481481481
20230321 34.5962962962963
20230322 39.141975308642
20230323 41.3506172839506
20230324 42.2518518518519
20230327 43.662962962963
20230328 44.7481481481482
20230329 49.5296296296296
20230330 53.3197530864198
20230331 64.3753086419753
20230403 72.0728395061729
20230404 73.3938271604938
20230405 76.0185185185185
20230406 78.7617283950617
20230410 74.6234567901235
20230411 76.4160493827161
20230412 74.2592592592593
20230413 74.8617283950617
20230414 73.0493827160494
20230417 71.4962962962963
20230418 67.9938271604938

Note: The data show the depth at the best quoted prices to buy and sell, defined as the ask size plus the bid size divided by 2, for E-mini S&P 500 futures

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

Return to text
Figure 1.10. Corporate bond yields fell to near their historical averages

This is a line chart titled "Corporate bond yields fel