Accessible Version - Financial Stability Report - May 2021

Figure 1-1. Yields on Nominal Treasury Securities

Percent, annual rate

Date 2-Year 10-Year
1/16/1997 6.01 6.58
2/15/1997 5.9 6.42
3/16/1997 6.22 6.69
4/16/1997 6.45 6.89
5/16/1997 6.28 6.71
6/16/1997 6.09 6.49
7/16/1997 5.89 6.22
8/16/1997 5.94 6.3
9/16/1997 5.88 6.21
10/16/1997 5.77 6.03
11/16/1997 5.71 5.88
12/16/1997 5.72 5.81
1/16/1998 5.36 5.54
2/15/1998 5.42 5.57
3/16/1998 5.56 5.65
4/16/1998 5.56 5.64
5/16/1998 5.59 5.65
6/16/1998 5.52 5.5
7/16/1998 5.46 5.46
8/16/1998 5.27 5.34
9/16/1998 4.67 4.81
10/16/1998 4.09 4.53
11/16/1998 4.54 4.83
12/16/1998 4.51 4.65
1/16/1999 4.62 4.72
2/15/1999 4.88 5
3/16/1999 5.05 5.23
4/16/1999 4.98 5.18
5/16/1999 5.25 5.54
6/16/1999 5.62 5.9
7/16/1999 5.55 5.79
8/16/1999 5.68 5.94
9/16/1999 5.66 5.92
10/16/1999 5.86 6.11
11/16/1999 5.86 6.03
12/16/1999 6.1 6.28
1/16/2000 6.44 6.66
2/15/2000 6.61 6.52
3/16/2000 6.53 6.26
4/16/2000 6.4 5.99
5/16/2000 6.81 6.44
6/16/2000 6.48 6.1
7/16/2000 6.34 6.05
8/16/2000 6.23 5.83
9/16/2000 6.08 5.8
10/16/2000 5.91 5.74
11/16/2000 5.88 5.72
12/16/2000 5.35 5.24
1/16/2001 4.76 5.16
2/15/2001 4.66 5.1
3/16/2001 4.34 4.89
4/16/2001 4.23 5.14
5/16/2001 4.26 5.39
6/16/2001 4.08 5.28
7/16/2001 4.04 5.24
8/16/2001 3.76 4.97
9/16/2001 3.12 4.73
10/16/2001 2.73 4.57
11/16/2001 2.78 4.65
12/16/2001 3.11 5.09
1/16/2002 3.03 5.04
2/15/2002 3.02 4.91
3/16/2002 3.56 5.28
4/16/2002 3.42 5.21
5/16/2002 3.26 5.16
6/16/2002 2.99 4.93
7/16/2002 2.56 4.65
8/16/2002 2.13 4.26
9/16/2002 2 3.87
10/16/2002 1.91 3.94
11/16/2002 1.92 4.05
12/16/2002 1.84 4.03
1/16/2003 1.74 4.05
2/15/2003 1.63 3.9
3/16/2003 1.57 3.81
4/16/2003 1.62 3.96
5/16/2003 1.42 3.57
6/16/2003 1.23 3.33
7/16/2003 1.47 3.98
8/16/2003 1.86 4.45
9/16/2003 1.71 4.27
10/16/2003 1.75 4.29
11/16/2003 1.93 4.3
12/16/2003 1.91 4.27
1/16/2004 1.76 4.15
2/15/2004 1.74 4.08
3/16/2004 1.58 3.83
4/16/2004 2.07 4.35
5/16/2004 2.53 4.72
6/16/2004 2.76 4.73
7/16/2004 2.64 4.5
8/16/2004 2.51 4.28
9/16/2004 2.53 4.13
10/16/2004 2.58 4.1
11/16/2004 2.85 4.19
12/16/2004 3.01 4.23
1/16/2005 3.22 4.22
2/15/2005 3.38 4.17
3/16/2005 3.73 4.5
4/16/2005 3.65 4.34
5/16/2005 3.64 4.14
6/16/2005 3.64 4
7/16/2005 3.87 4.18
8/16/2005 4.04 4.26
9/16/2005 3.95 4.2
10/16/2005 4.27 4.46
11/16/2005 4.42 4.54
12/16/2005 4.4 4.47
1/16/2006 4.4 4.42
2/15/2006 4.67 4.57
3/16/2006 4.73 4.72
4/16/2006 4.89 4.99
5/16/2006 4.97 5.11
6/16/2006 5.12 5.11
7/16/2006 5.12 5.09
8/16/2006 4.9 4.88
9/16/2006 4.77 4.72
10/16/2006 4.8 4.73
11/16/2006 4.74 4.6
12/16/2006 4.67 4.56
1/16/2007 4.88 4.76
2/15/2007 4.85 4.72
3/16/2007 4.57 4.56
4/16/2007 4.67 4.69
5/16/2007 4.77 4.75
6/16/2007 4.98 5.1
7/16/2007 4.82 5
8/16/2007 4.31 4.67
9/16/2007 4.01 4.52
10/16/2007 3.97 4.53
11/16/2007 3.34 4.15
12/16/2007 3.12 4.1
1/16/2008 2.48 3.74
2/15/2008 1.97 3.74
3/16/2008 1.62 3.51
4/16/2008 2.05 3.68
5/16/2008 2.45 3.88
6/16/2008 2.77 4.1
7/16/2008 2.57 4.01
8/16/2008 2.42 3.89
9/16/2008 2.08 3.69
10/16/2008 1.61 3.81
11/16/2008 1.21 3.53
12/16/2008 0.82 2.42
1/16/2009 0.81 2.52
2/15/2009 0.98 2.87
3/16/2009 0.93 2.82
4/16/2009 0.93 2.93
5/16/2009 0.93 3.29
6/16/2009 1.18 3.72
7/16/2009 1.02 3.56
8/16/2009 1.12 3.59
9/16/2009 0.96 3.4
10/16/2009 0.95 3.39
11/16/2009 0.8 3.4
12/16/2009 0.87 3.59
1/16/2010 0.93 3.73
2/15/2010 0.86 3.69
3/16/2010 0.96 3.73
4/16/2010 1.06 3.85
5/16/2010 0.83 3.42
6/16/2010 0.72 3.2
7/16/2010 0.62 3.01
8/16/2010 0.52 2.7
9/16/2010 0.48 2.65
10/16/2010 0.38 2.54
11/16/2010 0.45 2.76
12/16/2010 0.62 3.29
1/16/2011 0.61 3.39
2/15/2011 0.77 3.58
3/16/2011 0.7 3.41
4/16/2011 0.73 3.46
5/16/2011 0.56 3.17
6/16/2011 0.41 3
7/16/2011 0.41 3
8/16/2011 0.23 2.3
9/16/2011 0.21 1.98
10/16/2011 0.28 2.15
11/16/2011 0.25 2.01
12/16/2011 0.26 1.98
1/16/2012 0.24 1.97
2/15/2012 0.28 1.97
3/16/2012 0.34 2.17
4/16/2012 0.29 2.05
5/16/2012 0.29 1.8
6/16/2012 0.29 1.62
7/16/2012 0.25 1.53
8/16/2012 0.27 1.68
9/16/2012 0.26 1.72
10/16/2012 0.28 1.75
11/16/2012 0.27 1.65
12/16/2012 0.26 1.72
1/16/2013 0.27 1.91
2/15/2013 0.27 1.98
3/16/2013 0.26 1.96
4/16/2013 0.23 1.76
5/16/2013 0.25 1.93
6/16/2013 0.33 2.3
7/16/2013 0.34 2.58
8/16/2013 0.36 2.74
9/16/2013 0.4 2.81
10/16/2013 0.34 2.62
11/16/2013 0.3 2.72
12/16/2013 0.34 2.9
1/16/2014 0.39 2.86
2/15/2014 0.33 2.71
3/16/2014 0.4 2.72
4/16/2014 0.42 2.71
5/16/2014 0.39 2.56
6/16/2014 0.45 2.6
7/16/2014 0.51 2.54
8/16/2014 0.47 2.42
9/16/2014 0.57 2.53
10/16/2014 0.45 2.3
11/16/2014 0.53 2.33
12/16/2014 0.64 2.21
1/16/2015 0.55 1.88
2/15/2015 0.62 1.98
3/16/2015 0.64 2.04
4/16/2015 0.54 1.94
5/16/2015 0.61 2.2
6/16/2015 0.69 2.36
7/16/2015 0.67 2.32
8/16/2015 0.7 2.17
9/16/2015 0.71 2.17
10/16/2015 0.64 2.07
11/16/2015 0.88 2.26
12/16/2015 0.98 2.24
1/16/2016 0.9 2.09
2/15/2016 0.73 1.78
3/16/2016 0.88 1.89
4/16/2016 0.77 1.81
5/16/2016 0.82 1.81
6/16/2016 0.73 1.64
7/16/2016 0.67 1.5
8/16/2016 0.74 1.56
9/16/2016 0.77 1.63
10/16/2016 0.84 1.76
11/16/2016 0.98 2.14
12/16/2016 1.2 2.49
1/16/2017 1.21 2.43
2/15/2017 1.2 2.42
3/16/2017 1.31 2.48
4/16/2017 1.24 2.3
5/16/2017 1.3 2.3
6/16/2017 1.34 2.19
7/16/2017 1.37 2.32
8/16/2017 1.34 2.21
9/16/2017 1.38 2.2
10/16/2017 1.55 2.36
11/16/2017 1.7 2.35
12/16/2017 1.84 2.4
1/16/2018 2.03 2.58
2/15/2018 2.18 2.86
3/16/2018 2.28 2.84
4/16/2018 2.38 2.87
5/16/2018 2.51 2.98
6/16/2018 2.53 2.91
7/16/2018 2.61 2.89
8/16/2018 2.64 2.89
9/16/2018 2.77 3
10/16/2018 2.86 3.15
11/16/2018 2.86 3.12
12/16/2018 2.68 2.83
1/16/2019 2.54 2.71
2/15/2019 2.5 2.68
3/16/2019 2.41 2.57
4/16/2019 2.34 2.53
5/16/2019 2.21 2.4
6/16/2019 1.81 2.07
7/16/2019 1.84 2.06
8/16/2019 1.57 1.63
9/16/2019 1.65 1.7
10/16/2019 1.55 1.71
11/16/2019 1.61 1.81
12/16/2019 1.61 1.86
1/16/2020 1.52 1.76
2/15/2020 1.33 1.5
3/16/2020 0.45 0.87
4/16/2020 0.22 0.66
5/16/2020 0.17 0.67
6/16/2020 0.19 0.73
7/16/2020 0.15 0.62
8/16/2020 0.14 0.65
9/16/2020 0.13 0.68
10/16/2020 0.15 0.79
11/16/2020 0.17 0.87
12/16/2020 0.14 0.93
1/16/2021 0.13 1.08
2/15/2021 0.12 1.26
3/16/2021 0.15 1.61
4/16/2021 0.16 1.66

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

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

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

Percentage points

Date Term Premium
1/16/1997 1.49
2/15/1997 1.42
3/16/1997 1.56
4/16/1997 1.66
5/16/1997 1.56
6/16/1997 1.49
7/16/1997 1.32
8/16/1997 1.32
9/16/1997 1.33
10/16/1997 1.23
11/16/1997 1.07
12/16/1997 1.00
1/16/1998 0.89
2/15/1998 0.91
3/16/1998 0.97
4/16/1998 0.97
5/16/1998 0.98
6/16/1998 0.89
7/16/1998 0.86
8/16/1998 0.81
9/16/1998 0.59
10/16/1998 0.61
11/16/1998 0.69
12/16/1998 0.60
1/16/1999 0.70
2/15/1999 0.83
3/16/1999 0.99
4/16/1999 0.98
5/16/1999 1.14
6/16/1999 1.32
7/16/1999 1.28
8/16/1999 1.35
9/16/1999 1.35
10/16/1999 1.44
11/16/1999 1.28
12/16/1999 1.35
1/16/2000 1.51
2/15/2000 1.39
3/16/2000 1.22
4/16/2000 1.04
5/16/2000 1.24
6/16/2000 1.06
7/16/2000 0.97
8/16/2000 0.83
9/16/2000 0.83
10/16/2000 0.76
11/16/2000 0.71
12/16/2000 0.53
1/16/2001 0.68
2/15/2001 0.78
3/16/2001 0.78
4/16/2001 1.05
5/16/2001 1.29
6/16/2001 1.29
7/16/2001 1.27
8/16/2001 1.17
9/16/2001 1.19
10/16/2001 1.27
11/16/2001 1.39
12/16/2001 1.77
1/16/2002 1.76
2/15/2002 1.66
3/16/2002 1.84
4/16/2002 1.81
5/16/2002 1.75
6/16/2002 1.60
7/16/2002 1.46
8/16/2002 1.22
9/16/2002 0.96
10/16/2002 0.97
11/16/2002 1.14
12/16/2002 1.17
1/16/2003 1.15
2/15/2003 1.08
3/16/2003 0.99
4/16/2003 1.09
5/16/2003 0.83
6/16/2003 0.67
7/16/2003 1.07
8/16/2003 1.46
9/16/2003 1.36
10/16/2003 1.31
11/16/2003 1.34
12/16/2003 1.31
1/16/2004 1.23
2/15/2004 1.19
3/16/2004 1.01
4/16/2004 1.32
5/16/2004 1.56
6/16/2004 1.49
7/16/2004 1.30
8/16/2004 1.14
9/16/2004 0.97
10/16/2004 0.90
11/16/2004 0.87
12/16/2004 0.84
1/16/2005 0.79
2/15/2005 0.68
3/16/2005 0.84
4/16/2005 0.73
5/16/2005 0.58
6/16/2005 0.45
7/16/2005 0.48
8/16/2005 0.49
9/16/2005 0.42
10/16/2005 0.52
11/16/2005 0.55
12/16/2005 0.48
1/16/2006 0.37
2/15/2006 0.42
3/16/2006 0.48
4/16/2006 0.61
5/16/2006 0.66
6/16/2006 0.62
7/16/2006 0.57
8/16/2006 0.45
9/16/2006 0.39
10/16/2006 0.37
11/16/2006 0.28
12/16/2006 0.27
1/16/2007 0.37
2/15/2007 0.36
3/16/2007 0.26
4/16/2007 0.36
5/16/2007 0.40
6/16/2007 0.66
7/16/2007 0.59
8/16/2007 0.53
9/16/2007 0.51
10/16/2007 0.54
11/16/2007 0.48
12/16/2007 0.53
1/16/2008 0.39
2/15/2008 0.63
3/16/2008 0.67
4/16/2008 0.77
5/16/2008 0.83
6/16/2008 0.93
7/16/2008 0.88
8/16/2008 0.80
9/16/2008 0.77
10/16/2008 1.09
11/16/2008 1.14
12/16/2008 0.52
1/16/2009 0.52
2/15/2009 0.74
3/16/2009 0.68
4/16/2009 0.67
5/16/2009 0.92
6/16/2009 1.28
7/16/2009 1.15
8/16/2009 1.18
9/16/2009 1.06
10/16/2009 1.02
11/16/2009 1.04
12/16/2009 1.09
1/16/2010 1.22
2/15/2010 1.16
3/16/2010 1.15
4/16/2010 1.23
5/16/2010 0.97
6/16/2010 0.84
7/16/2010 0.66
8/16/2010 0.44
9/16/2010 0.39
10/16/2010 0.27
11/16/2010 0.39
12/16/2010 0.80
1/16/2011 0.87
2/15/2011 1.02
3/16/2011 0.92
4/16/2011 0.97
5/16/2011 0.77
6/16/2011 0.60
7/16/2011 0.63
8/16/2011 0.17
9/16/2011 -0.03
10/16/2011 0.06
11/16/2011 -0.03
12/16/2011 -0.06
1/16/2012 -0.09
2/15/2012 -0.12
3/16/2012 0.02
4/16/2012 -0.05
5/16/2012 -0.21
6/16/2012 -0.33
7/16/2012 -0.39
8/16/2012 -0.30
9/16/2012 -0.30
10/16/2012 -0.29
11/16/2012 -0.33
12/16/2012 -0.29
1/16/2013 -0.18
2/15/2013 -0.11
3/16/2013 -0.14
4/16/2013 -0.25
5/16/2013 -0.16
6/16/2013 0.12
7/16/2013 0.34
8/16/2013 0.46
9/16/2013 0.53
10/16/2013 0.37
11/16/2013 0.41
12/16/2013 0.55
1/16/2014 0.58
2/15/2014 0.46
3/16/2014 0.48
4/16/2014 0.50
5/16/2014 0.41
6/16/2014 0.43
7/16/2014 0.41
8/16/2014 0.35
9/16/2014 0.41
10/16/2014 0.28
11/16/2014 0.30
12/16/2014 0.22
1/16/2015 0.03
2/15/2015 0.06
3/16/2015 0.11
4/16/2015 0.01
5/16/2015 0.19
6/16/2015 0.29
7/16/2015 0.27
8/16/2015 0.14
9/16/2015 0.14
10/16/2015 0.07
11/16/2015 0.18
12/16/2015 0.12
1/16/2016 0.03
2/15/2016 -0.19
3/16/2016 -0.12
4/16/2016 -0.18
5/16/2016 -0.17
6/16/2016 -0.27
7/16/2016 -0.38
8/16/2016 -0.35
9/16/2016 -0.30
10/16/2016 -0.24
11/16/2016 -0.01
12/16/2016 0.24
1/16/2017 0.20
2/15/2017 0.19
3/16/2017 0.16
4/16/2017 0.01
5/16/2017 -0.01
6/16/2017 -0.13
7/16/2017 -0.06
8/16/2017 -0.12
9/16/2017 -0.15
10/16/2017 -0.06
11/16/2017 -0.09
12/16/2017 -0.08
1/16/2018 -0.01
2/15/2018 0.14
3/16/2018 0.10
4/16/2018 0.08
5/16/2018 0.14
6/16/2018 0.08
7/16/2018 0.04
8/16/2018 0.02
9/16/2018 0.05
10/16/2018 0.11
11/16/2018 0.07
12/16/2018 -0.12
1/16/2019 -0.21
2/15/2019 -0.24
3/16/2019 -0.29
4/16/2019 -0.32
5/16/2019 -0.38
6/16/2019 -0.54
7/16/2019 -0.53
8/16/2019 -0.73
9/16/2019 -0.70
10/16/2019 -0.63
11/16/2019 -0.52
12/16/2019 -0.49
1/16/2020 -0.53
2/15/2020 -0.70
3/16/2020 -0.75
4/16/2020 -0.83
5/16/2020 -0.85
6/16/2020 -0.84
7/16/2020 -0.89
8/16/2020 -0.89
9/16/2020 -0.87
10/16/2020 -0.81
11/16/2020 -0.75
12/16/2020 -0.72
1/16/2021 -0.64
2/15/2021 -0.53
3/16/2021 -0.25
4/16/2021 -0.21

Note: Term premiums are estimated from a three-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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1‐3. Implied Volatility of 10‐Year Swap Rate

This is a line chart titled "Implied Volatility of the 10-Year Swap Rate.” The x axis measures time and ranges from years 2003 to 2021. The y axis ranges from 0 to 300 basis points. The data are monthly. The variable plotted, the implied volatility on the 10-year swap rate, is designated by a black line. It begins in 2003 at around 125 basis points, and sharply increases to around 165. It then steadily declines from 2004 to 2007 where it reaches around 60 basis points. It quickly rises from 2007 to 2008 to a peak of around 230 basis points in 2008. It then drops steeply in 2009 before gradually tapering to around 60 basis points in 2014, apart from a spike to around 100 in 2013. It and then stays at around 60 until 2020. In 2020, there is a large jump to 130 basis points then a sharp correction back to around 60 basis points, ending in October 2020. In 2021 there is a gradual increase to around 80 basis points.

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

Source: Barclays.

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1‐4. Treasury Market Depth

This is a line chart titled “Treasury Market Depth.” The x axis measures from January 2019 to April 2021. The left y axis measures the blue line labeled “30-year” and ranges from 0 to 35. The right y axis measures the black line labeled “Five-year” and the red line labeled “Ten-year” ranging from 0 to 350. Both axes are measured in millions of dollars. The black line begins around 160. It increases to roughly 265 in January 2019. It then declines to 150 by August 2019. It then drops to around 80 before increasingly steadily until the start of 2020. By February 2020 it reaches almost 170 and then drops sharply to around 15. It then recovers to a peak of around 260 in October. It stays in a range between 190 and 260 until March 2021. In March 2021, there is a sharp decrease to around 85, followed by a rebound to 170 before it ends in April at around 120. The red line begins in January 2019 around 110 and in the same month sees an increase to around 225. In March, it reaches around 250 before steadily declining to 160 in early August. From there, it decreases sharply to around 75 by mid-August. It remains within a range of 75 to 140 until March 2020 when it abruptly declines to around 25. It then recovers to around 165 by October 2020. It remains in a range from 100 to 150 until February 2021. There is a quick decrease in March 2021 to around 60 before it ends in April 2021 with a steady increase to around 115. The blue line begins around 15 in January 2019 and quickly climbs to around 27 in February. From February to July it stays between roughly 20 and 28. It then drops to around 7 in August and hovers between 7 and 14 until March 2020. It then drops rapidly to 3 before steadily climbing to around 9 in early July. It then sees an increase to around 14 in late July before returning to around 8. It remains in a range between 8 and 12 before rising to 15 in February 2021. Following a steep decline to around 8 in March, it steadily increases to around 17 to end in April 2021.

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

Source: Interdealer broker community.

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1‐5. Corporate Bond Yields

This is a line chart titled "Corporate Bond Yields." The x axis measures time and ranges from 1997 to 2021. The y axis ranges from 0 to 24 percent. The data are monthly, and there are two variables plotted in the figure. The first line is labeled "Triple-B" and is designated by a blue line. It begins at around 7 percent in 1997 and fluctuates between around 7 and 9 percent until May 2002 when it begins to decline to around 5 percent in March 2004. It gradually rises to around 6 in March 2008 before it sharply increases to around 10 percent in October 2008. It swiftly declines in 2009, and then declines steadily until April 2013. It then remains between 3 and 5 percent from 2013 to February 2020. It has a spike in March 2020 to around 5, then decreases to around 2 percent in October 2020. It hovers at the level for the rest of 2020 and until its end in April 2021. The second line is labeled "High-yield" and is designated by a black line. It begins at around 9 percent in 1997 and rises gradually to around 14 percent in November 2000, where it remains in a range from 12 to 14 percent until October 2002. It then falls to around 7 percent in 2003 where it stays in range between 7 and 8 percent until July 2007 when it begins to increase sharply, peaking at around 19 percent in December 2008. Then, it drops precipitously to 9 percent in December 2009. It remains between 5 and 8 percent from 2010 to April 2019, with peaks around 8 percent in September 2011, January 2016, and December 2018. In December 2019, it returns to around 5 percent before increasing to 9 percent in March 2020. The line then steadily decreases to end around 4 percent in April 2021.

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

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

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1‐6. Corporate Bond Spreads to Similar‐Maturity Treasury Securities

This is a line chart titled "Corporate Bond Spreads to Similar-Maturity Treasury Securities." The x axis measures time and ranges from 1997 to 2021. The data are monthly, and there are two variables plotted in the figure. The first line is labeled "Triple B" and is designated by a blue line. This line corresponds to the values on the left y axis, which ranges from 0 to 12 percentage points. It begins at just under 1 percentage point in 1997, rises to around 3 percentage points from 2000 to 2002, then drops sharply to around 1 percentage point in 2003. It remains around 1 percentage point until 2007 when it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 2 percentage points and goes briefly up to around 3 percentage points in late 2011 and early 2012. It then falls gradually to around 1.5 percentage points from 2012 to 2014, rises gradually to around 3 percentage points in 2016, then declines to around 1.5 percentage points again from 2016 to October 2018. It then increases in November and December 2018 to around 2 percent before decreasing back to around 1 percent in December 2019. In March 2020 it jumps to almost 4 percent. Then, it declines steadily to end in April 2021 at 1 percent. The second line is labeled "High-yield" and is designated by a black line. This line corresponds to the values on the right y axis, which ranges from 0 to 24 percentage points. It begins at around 3 percentage points in 1997, rises to around 10 percentage points in September 2001. It dips briefly below 7 percentage points in early 2002 before rising above 10 in S October 2002. It then declines steadily to around 3 percentage points in late 2004 where it remains until mid-2007 when it rapidly rises to its peak in late 2008 of around 20 percentage points. It then falls steeply in 2009 to around 6 percentage points, rebounds briefly to around 8 percentage points in mid-2011 and falls gradually to below 4 percentage points in mid-2014. In late 2014, it begins rising gradually until early 2016 when it peaks at around 8 percentage points, before falling to around 3 percentage points again in October 2018. It then increases quickly in November and December 2018 to around 5 percent but decreases to around 3.5 percentage points in December 2019. In early 2020, it jumps to almost 9 percent before steadily decreasing to end in April 2021 around 3 percentage points.

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

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

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Figure 1-7. Excess Bond Premium

Percentage points

Date Excess Bond Premium
1/16/1997 -0.33
2/15/1997 -0.48
3/16/1997 -0.51
4/16/1997 -0.46
5/16/1997 -0.46
6/16/1997 -0.57
7/16/1997 -0.54
8/16/1997 -0.50
9/16/1997 -0.59
10/16/1997 -0.44
11/16/1997 -0.36
12/16/1997 -0.40
1/16/1998 -0.36
2/15/1998 -0.35
3/16/1998 -0.41
4/16/1998 -0.44
5/16/1998 -0.39
6/16/1998 -0.36
7/16/1998 -0.32
8/16/1998 0.08
9/16/1998 0.06
10/16/1998 0.19
11/16/1998 0.17
12/16/1998 0.04
1/16/1999 0.05
2/15/1999 -0.21
3/16/1999 -0.19
4/16/1999 -0.23
5/16/1999 -0.23
6/16/1999 -0.17
7/16/1999 -0.13
8/16/1999 -0.06
9/16/1999 0.06
10/16/1999 0.08
11/16/1999 0.04
12/16/1999 -0.19
1/16/2000 0.00
2/15/2000 0.07
3/16/2000 0.33
4/16/2000 0.49
5/16/2000 0.67
6/16/2000 0.73
7/16/2000 0.81
8/16/2000 1.00
9/16/2000 1.09
10/16/2000 1.51
11/16/2000 1.57
12/16/2000 1.57
1/16/2001 1.15
2/15/2001 1.14
3/16/2001 1.07
4/16/2001 0.87
5/16/2001 0.73
6/16/2001 0.97
7/16/2001 0.73
8/16/2001 0.74
9/16/2001 1.18
10/16/2001 1.00
11/16/2001 -0.20
12/16/2001 0.34
1/16/2002 0.53
2/15/2002 0.72
3/16/2002 0.20
4/16/2002 0.34
5/16/2002 0.45
6/16/2002 0.89
7/16/2002 1.50
8/16/2002 1.42
9/16/2002 1.59
10/16/2002 1.40
11/16/2002 0.98
12/16/2002 0.86
1/16/2003 0.84
2/15/2003 0.62
3/16/2003 0.10
4/16/2003 0.03
5/16/2003 -0.54
6/16/2003 -0.42
7/16/2003 -1.14
8/16/2003 -0.23
9/16/2003 -0.59
10/16/2003 -0.55
11/16/2003 -0.59
12/16/2003 -0.55
1/16/2004 -0.74
2/15/2004 -0.36
3/16/2004 -0.55
4/16/2004 -0.80
5/16/2004 -0.41
6/16/2004 -0.41
7/16/2004 -0.35
8/16/2004 -0.43
9/16/2004 -0.58
10/16/2004 -0.54
11/16/2004 -0.70
12/16/2004 -0.75
1/16/2005 -0.73
2/15/2005 -1.00
3/16/2005 -0.71
4/16/2005 -0.45
5/16/2005 -0.37
6/16/2005 -0.52
7/16/2005 -0.62
8/16/2005 -0.59
9/16/2005 -0.52
10/16/2005 -0.37
11/16/2005 -0.37
12/16/2005 -0.34
1/16/2006 -0.39
2/15/2006 -0.37
3/16/2006 -0.45
4/16/2006 -0.49
5/16/2006 -0.39
6/16/2006 -0.41
7/16/2006 -0.31
8/16/2006 -0.31
9/16/2006 -0.39
10/16/2006 -0.40
11/16/2006 -0.39
12/16/2006 -0.52
1/16/2007 -0.57
2/15/2007 -0.58
3/16/2007 -0.39
4/16/2007 -0.39
5/16/2007 -0.64
6/16/2007 -0.42
7/16/2007 0.00
8/16/2007 0.12
9/16/2007 0.04
10/16/2007 -0.03
11/16/2007 0.30
12/16/2007 0.47
1/16/2008 0.69
2/15/2008 0.91
3/16/2008 1.10
4/16/2008 0.60
5/16/2008 0.62
6/16/2008 0.75
7/16/2008 1.01
8/16/2008 1.20
9/16/2008 1.69
10/16/2008 3.28
11/16/2008 2.92
12/16/2008 3.11
1/16/2009 2.67
2/15/2009 3.09
3/16/2009 2.63
4/16/2009 2.16
5/16/2009 1.28
6/16/2009 0.85
7/16/2009 0.25
8/16/2009 0.01
9/16/2009 -0.02
10/16/2009 -0.19
11/16/2009 -0.06
12/16/2009 -0.55
1/16/2010 -0.23
2/15/2010 -0.03
3/16/2010 -0.20
4/16/2010 -0.32
5/16/2010 -0.19
6/16/2010 -0.01
7/16/2010 0.15
8/16/2010 -0.34
9/16/2010 -0.04
10/16/2010 0.00
11/16/2010 -0.15
12/16/2010 -0.45
1/16/2011 -0.01
2/15/2011 -0.29
3/16/2011 -0.34
4/16/2011 -0.28
5/16/2011 -0.15
6/16/2011 -0.02
7/16/2011 -0.07
8/16/2011 -0.12
9/16/2011 0.38
10/16/2011 -0.15
11/16/2011 0.46
12/16/2011 0.22
1/16/2012 0.14
2/15/2012 0.02
3/16/2012 -0.40
4/16/2012 -0.21
5/16/2012 -0.15
6/16/2012 0.11
7/16/2012 -0.06
8/16/2012 -0.25
9/16/2012 -0.19
10/16/2012 -0.21
11/16/2012 -0.08
12/16/2012 -0.20
1/16/2013 -0.12
2/15/2013 -0.06
3/16/2013 -0.13
4/16/2013 -0.16
5/16/2013 -0.54
6/16/2013 -0.41
7/16/2013 -0.03
8/16/2013 -0.14
9/16/2013 -0.16
10/16/2013 -0.04
11/16/2013 -0.01
12/16/2013 -0.17
1/16/2014 -0.34
2/15/2014 -0.23
3/16/2014 -0.31
4/16/2014 -0.39
5/16/2014 -0.41
6/16/2014 -0.34
7/16/2014 -0.36
8/16/2014 -0.35
9/16/2014 -0.26
10/16/2014 -0.26
11/16/2014 0.01
12/16/2014 0.02
1/16/2015 -0.12
2/15/2015 -0.37
3/16/2015 -0.20
4/16/2015 -0.05
5/16/2015 0.01
6/16/2015 0.11
7/16/2015 0.17
8/16/2015 0.37
9/16/2015 0.50
10/16/2015 0.39
11/16/2015 0.47
12/16/2015 0.65
1/16/2016 0.88
2/15/2016 0.91
3/16/2016 0.54
4/16/2016 0.19
5/16/2016 0.20
6/16/2016 -0.01
7/16/2016 -0.06
8/16/2016 -0.06
9/16/2016 -0.13
10/16/2016 -0.11
11/16/2016 -0.82
12/16/2016 -0.29
1/16/2017 -0.23
2/15/2017 -0.22
3/16/2017 -0.21
4/16/2017 -0.16
5/16/2017 -0.21
6/16/2017 -0.17
7/16/2017 -0.19
8/16/2017 -0.10
9/16/2017 -0.31
10/16/2017 -0.25
11/16/2017 -0.18
12/16/2017 -0.25
1/16/2018 -0.46
2/15/2018 -0.29
3/16/2018 -0.16
4/16/2018 -0.35
5/16/2018 -0.26
6/16/2018 -0.03
7/16/2018 -0.19
8/16/2018 -0.14
9/16/2018 -0.23
10/16/2018 -0.04
11/16/2018 0.10
12/16/2018 0.30
1/16/2019 0.14
2/15/2019 0.03
3/16/2019 -0.17
4/16/2019 -0.04
5/16/2019 -0.06
6/16/2019 -0.03
7/16/2019 -0.08
8/16/2019 -0.21
9/16/2019 -0.31
10/16/2019 -0.29
11/16/2019 -0.24
12/16/2019 -0.34
1/16/2020 -0.31
2/15/2020 -0.23
3/16/2020 1.12
4/16/2020 0.59
5/16/2020 0.35
6/16/2020 -0.01
7/16/2020 -0.23
8/16/2020 -0.33
9/16/2020 -0.04
10/16/2020 -0.25
11/16/2020 -0.52
12/16/2020 -0.54
1/16/2021 -0.69
2/15/2021 -1.00
3/16/2021 -0.79

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

Source: Federal Reserve Board staff calculations based on Lehman Brothers Fixed Income Database (Warga); Intercontinental Exchange, Inc., ICE Data Services; Center for Research in Security Prices, CRSP/Compustat Merged Database, Wharton Research Data Services; S&P Global Market Intelligence, Compustat.

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Figure 1-8. Secondary Market Spreads of Leveraged Loans

Basis points

Date B BB
1/31/1997 n.a. 209.19
2/28/1997 n.a. 208.18
3/31/1997 n.a. 208.21
4/30/1997 n.a. 213.13
5/31/1997 n.a. 215.66
6/30/1997 n.a. 216.72
7/31/1997 227.87 191.21
8/31/1997 225.52 184.80
9/30/1997 228.23 189.03
10/31/1997 254.87 195.24
11/30/1997 255.23 191.12
12/31/1997 257.77 188.53
1/31/1998 258.33 203.96
2/28/1998 257.72 207.69
3/31/1998 261.43 201.42
4/30/1998 260.47 201.96
5/31/1998 264.73 217.43
6/30/1998 263.84 228.04
7/31/1998 265.30 225.46
8/31/1998 275.11 233.04
9/30/1998 294.18 250.37
10/31/1998 306.32 263.02
11/30/1998 334.67 268.69
12/31/1998 323.17 255.74
1/31/1999 320.05 262.22
2/28/1999 321.25 254.97
3/31/1999 357.07 248.43
4/30/1999 393.34 265.16
5/31/1999 379.73 284.29
6/30/1999 385.66 284.38
7/31/1999 409.64 294.89
8/31/1999 445.69 299.40
9/30/1999 474.57 396.25
10/31/1999 496.16 408.54
11/30/1999 474.19 390.89
12/31/1999 607.59 401.51
1/31/2000 624.21 407.33
2/29/2000 607.43 411.41
3/31/2000 605.48 343.48
4/30/2000 543.93 351.12
5/31/2000 524.56 325.90
6/30/2000 567.16 311.63
7/31/2000 603.34 300.19
8/31/2000 572.92 302.04
9/30/2000 665.22 319.17
10/31/2000 690.97 325.57
11/30/2000 731.00 307.10
12/31/2000 668.88 304.62
1/31/2001 626.22 295.06
2/28/2001 595.04 291.03
3/31/2001 683.49 294.68
4/30/2001 670.87 295.51
5/31/2001 649.52 294.74
6/30/2001 662.32 298.93
7/31/2001 671.08 303.05
8/31/2001 651.00 299.78
9/30/2001 741.86 334.54
10/31/2001 870.62 350.81
11/30/2001 681.77 311.43
12/31/2001 621.01 308.92
1/31/2002 589.29 305.19
2/28/2002 550.24 309.14
3/31/2002 522.31 306.57
4/30/2002 491.98 293.95
5/31/2002 562.22 295.23
6/30/2002 590.37 299.33
7/31/2002 663.15 337.91
8/31/2002 652.68 371.53
9/30/2002 663.81 375.02
10/31/2002 737.50 463.93
11/30/2002 671.85 413.74
12/31/2002 658.14 351.50
1/31/2003 610.43 360.08
2/28/2003 629.66 355.66
3/31/2003 603.17 356.69
4/30/2003 510.70 358.07
5/31/2003 465.93 335.16
6/30/2003 447.57 324.25
7/31/2003 451.26 303.23
8/31/2003 472.50 300.63
9/30/2003 497.97 298.08
10/31/2003 482.32 293.76
11/30/2003 477.61 285.31
12/31/2003 451.47 260.97
1/31/2004 403.03 250.58
2/29/2004 420.27 245.05
3/31/2004 391.74 238.20
4/30/2004 391.96 233.39
5/28/2004 406.26 240.13
6/25/2004 377.00 234.41
7/30/2004 384.36 225.51
8/31/2004 369.00 220.17
9/30/2004 361.32 213.63
10/29/2004 342.31 210.18
11/30/2004 325.82 207.28
12/31/2004 320.60 201.42
1/31/2005 325.26 198.01
2/25/2005 314.24 193.75
3/31/2005 304.70 185.07
4/29/2005 329.52 182.63
5/31/2005 312.46 186.08
6/30/2005 309.89 184.08
7/29/2005 303.89 176.52
8/30/2005 297.70 168.45
9/30/2005 295.97 172.58
10/28/2005 300.46 177.18
11/30/2005 289.33 178.39
12/30/2005 281.26 180.84
1/31/2006 282.38 174.51
2/28/2006 278.18 168.15
3/31/2006 273.98 168.01
4/28/2006 273.74 166.05
5/31/2006 267.31 172.79
6/30/2006 267.44 183.53
7/28/2006 269.88 187.55
8/31/2006 274.01 186.82
9/29/2006 273.86 186.03
10/31/2006 269.79 182.78
11/30/2006 270.28 196.65
12/29/2006 272.60 194.13
1/31/2007 260.09 191.40
2/28/2007 252.72 174.09
3/30/2007 249.28 177.07
4/27/2007 246.45 179.79
5/31/2007 241.10 178.55
6/29/2007 269.80 201.03
7/31/2007 347.86 282.41
8/31/2007 359.37 299.74
9/28/2007 334.11 271.17
10/26/2007 328.50 263.79
11/30/2007 385.69 306.27
12/28/2007 415.88 292.91
1/31/2008 497.58 374.35
2/29/2008 607.32 437.61
3/28/2008 720.86 432.48
4/30/2008 634.80 368.22
5/30/2008 637.95 358.77
6/27/2008 639.48 386.29
7/31/2008 717.32 417.92
8/29/2008 765.47 423.33
9/30/2008 1060.80 594.14
10/31/2008 1704.97 927.45
11/28/2008 2089.10 1103.34
12/31/2008 2476.12 1147.03
1/30/2009 2069.85 874.46
2/27/2009 2075.49 785.36
3/31/2009 2031.94 779.17
4/30/2009 1578.60 576.80
5/29/2009 1239.97 556.07
6/30/2009 1023.36 485.61
7/31/2009 849.78 418.60
8/31/2009 780.80 413.37
9/30/2009 696.20 400.69
10/30/2009 637.00 419.52
11/30/2009 670.41 452.67
12/31/2009 602.04 388.21
1/29/2010 567.38 369.98
2/26/2010 578.23 381.35
3/31/2010 527.42 349.93
4/30/2010 504.61 342.85
5/28/2010 610.54 398.87
6/30/2010 642.71 416.66
7/30/2010 598.09 401.40
8/31/2010 598.12 400.70
9/30/2010 561.97 388.04
10/29/2010 522.02 365.82
11/30/2010 561.48 370.95
12/31/2010 529.00 368.69
1/31/2011 480.10 350.60
2/28/2011 481.99 352.19
3/31/2011 485.44 343.64
4/29/2011 489.48 341.06
5/31/2011 504.12 357.18
6/30/2011 535.03 381.21
7/29/2011 542.50 382.02
8/31/2011 675.12 511.10
9/30/2011 684.63 468.83
10/31/2011 605.52 401.88
11/30/2011 654.00 424.43
12/30/2011 633.43 415.56
1/31/2012 570.93 385.46
2/29/2012 533.49 380.11
3/30/2012 537.40 375.74
4/30/2012 538.12 391.41
5/31/2012 586.11 426.26
6/29/2012 579.27 424.86
7/31/2012 587.79 410.03
8/31/2012 569.42 416.76
9/28/2012 554.77 396.24
10/31/2012 549.09 383.31
11/30/2012 560.41 383.60
12/31/2012 549.23 384.05
1/31/2013 528.41 371.94
2/28/2013 532.04 386.18
3/28/2013 513.60 372.61
4/30/2013 503.84 378.66
5/31/2013 486.94 362.15
6/28/2013 497.69 358.70
7/31/2013 482.14 333.34
8/30/2013 492.17 340.97
9/30/2013 499.33 345.62
10/31/2013 490.19 343.04
11/22/2013 491.64 350.00
11/29/2013 491.49 351.82
12/6/2013 489.82 352.46
12/13/2013 487.63 351.93
12/20/2013 486.25 346.05
12/27/2013 483.98 339.84
12/31/2013 486.10 339.11
1/3/2014 483.93 336.96
1/10/2014 477.49 334.14
1/17/2014 473.98 335.25
1/24/2014 473.65 333.81
1/31/2014 477.02 337.33
2/7/2014 476.44 336.65
2/14/2014 473.87 342.32
2/21/2014 471.53 343.70
2/28/2014 470.98 332.35
3/7/2014 470.45 331.89
3/14/2014 468.13 332.05
3/21/2014 464.86 330.61
3/28/2014 465.23 331.88
3/31/2014 465.73 332.10
4/4/2014 471.83 337.56
4/11/2014 469.70 340.92
4/17/2014 471.84 340.26
4/25/2014 475.60 345.35
4/30/2014 473.74 342.59
5/2/2014 473.88 340.74
5/9/2014 473.30 337.25
5/16/2014 469.85 338.04
5/23/2014 470.63 338.95
5/30/2014 471.77 339.00
6/6/2014 469.96 340.02
6/13/2014 468.58 340.25
6/20/2014 469.01 338.91
6/27/2014 468.08 337.14
6/30/2014 468.11 337.32
7/3/2014 466.63 338.31
7/11/2014 465.86 341.78
7/18/2014 466.59 341.57
7/25/2014 467.11 342.56
7/31/2014 472.13 347.14
8/1/2014 474.81 349.88
8/8/2014 476.26 355.83
8/15/2014 480.26 363.19
8/22/2014 479.45 360.88
8/29/2014 475.84 357.57
9/5/2014 476.73 357.52
9/12/2014 481.95 362.90
9/19/2014 482.18 363.26
9/26/2014 490.20 371.28
9/30/2014 495.38 376.15
10/3/2014 497.32 375.53
10/10/2014 498.61 378.24
10/17/2014 514.01 392.15
10/24/2014 508.51 383.71
10/31/2014 499.93 373.78
11/7/2014 501.10 370.67
11/14/2014 499.53 369.45
11/21/2014 500.53 367.70
11/28/2014 503.23 367.00
12/5/2014 513.97 369.05
12/12/2014 540.53 391.43
12/19/2014 551.98 394.95
12/26/2014 544.83 389.88
12/31/2014 543.75 387.95
1/2/2015 544.31 388.99
1/9/2015 544.09 391.56
1/16/2015 545.13 389.34
1/23/2015 544.32 387.96
1/30/2015 547.17 392.50
2/6/2015 541.38 385.64
2/13/2015 533.50 379.45
2/20/2015 527.35 374.82
2/27/2015 522.46 372.84
3/6/2015 518.88 367.78
3/13/2015 516.10 368.60
3/20/2015 521.21 370.39
3/27/2015 521.04 366.91
3/31/2015 518.83 365.48
4/2/2015 517.69 366.19
4/10/2015 512.26 358.18
4/17/2015 513.62 356.33
4/24/2015 511.37 356.04
4/30/2015 511.31 356.11
5/1/2015 511.80 354.90
5/8/2015 509.50 356.70
5/15/2015 511.17 359.52
5/22/2015 512.97 356.73
5/29/2015 513.85 356.77
6/5/2015 522.30 358.18
6/12/2015 527.69 360.79
6/19/2015 530.87 364.07
6/26/2015 530.95 362.50
6/30/2015 535.95 365.43
7/2/2015 535.43 362.71
7/10/2015 534.09 359.36
7/17/2015 529.60 354.83
7/24/2015 531.25 355.29
7/31/2015 536.28 358.22
8/7/2015 538.39 362.47
8/14/2015 541.22 368.23
8/21/2015 548.30 370.90
8/28/2015 556.03 373.55
8/31/2015 556.13 373.17
9/4/2015 541.20 371.97
9/11/2015 542.39 369.41
9/18/2015 544.56 367.58
9/25/2015 552.18 370.20
9/30/2015 566.64 376.57
10/2/2015 574.74 378.15
10/9/2015 575.41 377.08
10/16/2015 578.56 378.07
10/23/2015 576.31 378.13
10/30/2015 576.81 384.87
11/6/2015 577.13 381.11
11/13/2015 589.96 389.99
11/20/2015 607.56 394.78
11/27/2015 611.45 391.67
11/30/2015 613.91 391.90
12/4/2015 620.79 387.45
12/11/2015 666.08 395.86
12/18/2015 700.45 402.30
12/24/2015 707.63 405.00
12/31/2015 707.81 403.28
1/8/2016 711.68 400.64
1/15/2016 722.11 403.36
1/22/2016 746.34 414.09
1/29/2016 742.68 414.37
2/5/2016 746.00 411.21
2/12/2016 771.02 426.28
2/19/2016 752.41 426.71
2/26/2016 750.77 424.01
2/29/2016 750.31 423.72
3/4/2016 724.52 411.30
3/11/2016 695.08 397.37
3/18/2016 656.34 376.34
3/24/2016 650.42 378.11
3/31/2016 649.57 375.24
4/1/2016 628.09 380.52
4/8/2016 620.22 373.09
4/15/2016 580.79 369.05
4/22/2016 559.91 361.69
4/29/2016 552.14 360.33
5/6/2016 549.95 364.28
5/13/2016 546.32 365.02
5/20/2016 541.68 362.11
5/27/2016 533.20 357.97
5/31/2016 532.44 357.67
6/3/2016 533.63 357.05
6/10/2016 528.94 360.90
6/17/2016 529.49 364.51
6/24/2016 534.50 364.10
6/30/2016 539.58 367.94
7/1/2016 537.96 365.17
7/8/2016 533.86 362.22
7/15/2016 523.47 354.09
7/22/2016 514.70 348.38
7/29/2016 512.16 344.88
8/5/2016 509.83 346.96
8/12/2016 507.21 343.93
8/19/2016 513.23 344.40
8/26/2016 509.76 345.44
8/31/2016 508.03 344.37
9/2/2016 504.27 342.61
9/9/2016 500.16 338.57
9/16/2016 500.06 336.70
9/23/2016 488.50 334.91
9/30/2016 488.31 334.11
10/7/2016 484.03 327.49
10/14/2016 486.10 327.36
10/21/2016 480.53 320.25
10/28/2016 477.98 319.31
10/31/2016 478.70 319.57
11/4/2016 479.70 324.85
11/10/2016 479.99 327.21
11/18/2016 476.78 321.85
11/25/2016 474.92 320.98
11/30/2016 473.09 320.14
12/2/2016 468.17 320.03
12/9/2016 459.32 309.44
12/16/2016 454.33 306.59
12/23/2016 459.50 307.16
12/30/2016 464.34 303.58
1/6/2017 456.76 301.99
1/13/2017 453.66 303.01
1/20/2017 455.61 305.64
1/27/2017 453.50 308.67
1/31/2017 454.14 310.40
2/3/2017 450.39 306.06
2/10/2017 450.86 300.74
2/17/2017 444.82 295.16
2/24/2017 438.86 293.22
2/28/2017 437.88 291.71
3/3/2017 434.23 288.41
3/10/2017 434.44 286.96
3/17/2017 432.18 285.24
3/24/2017 431.64 293.70
3/31/2017 425.07 290.97
4/7/2017 415.48 287.89
4/13/2017 411.56 285.05
4/21/2017 412.90 283.28
4/28/2017 412.66 281.80
5/5/2017 415.79 288.12
5/12/2017 413.03 288.24
5/19/2017 411.12 288.88
5/26/2017 403.86 288.59
5/31/2017 404.74 288.45
6/2/2017 405.46 286.60
6/9/2017 403.42 286.92
6/16/2017 403.67 288.01
6/23/2017 407.05 286.40
6/30/2017 407.84 283.92
7/7/2017 406.93 283.32
7/14/2017 409.48 283.29
7/21/2017 409.01 280.43
7/28/2017 403.02 278.10
7/31/2017 402.81 278.46
8/4/2017 403.24 275.20
8/11/2017 405.64 279.94
8/18/2017 406.61 277.89
8/25/2017 407.18 282.07
8/31/2017 407.58 285.22
9/1/2017 405.93 285.22
9/8/2017 402.20 287.26
9/15/2017 401.71 289.07
9/22/2017 402.24 282.48
9/29/2017 401.26 271.58
10/6/2017 398.01 266.83
10/13/2017 394.52 266.62
10/20/2017 392.50 265.05
10/27/2017 394.47 265.18
10/31/2017 395.01 265.03
11/3/2017 396.59 262.68
11/10/2017 398.25 262.23
11/17/2017 396.10 264.63
11/24/2017 395.49 263.72
11/30/2017 394.35 263.10
12/1/2017 394.82 262.86
12/8/2017 394.40 260.78
12/15/2017 399.90 262.23
12/22/2017 391.15 262.74
12/29/2017 388.62 259.50
1/5/2018 387.33 255.29
1/12/2018 380.79 254.36
1/19/2018 377.16 252.41
1/26/2018 373.39 249.59
1/31/2018 371.68 248.57
2/2/2018 370.23 243.82
2/9/2018 374.16 248.12
2/16/2018 373.07 248.64
2/23/2018 372.78 250.24
2/28/2018 372.01 250.52
3/2/2018 372.26 251.31
3/9/2018 372.17 250.96
3/16/2018 370.46 249.43
3/23/2018 372.23 249.02
3/30/2018 372.30 249.29
4/6/2018 371.61 249.50
4/13/2018 368.34 248.87
4/20/2018 366.09 245.65
4/27/2018 366.89 243.89
4/30/2018 367.33 244.37
5/4/2018 368.43 243.98
5/11/2018 367.93 244.48
5/18/2018 367.53 246.97
5/25/2018 369.18 249.20
5/31/2018 371.28 250.53
6/1/2018 372.33 248.45
6/8/2018 371.38 248.61
6/15/2018 372.55 249.08
6/22/2018 374.57 251.66
6/29/2018 376.36 255.21
7/6/2018 375.00 253.11
7/13/2018 375.64 254.12
7/20/2018 374.81 253.20
7/27/2018 375.74 251.41
7/31/2018 375.47 251.21
8/3/2018 375.28 249.82
8/10/2018 376.72 251.62
8/17/2018 377.44 253.30
8/24/2018 380.71 248.29
8/31/2018 382.74 249.27
9/7/2018 381.91 249.46
9/14/2018 380.64 249.93
9/21/2018 377.81 248.12
9/28/2018 373.48 248.07
10/5/2018 372.66 247.63
10/12/2018 374.73 248.66
10/19/2018 374.86 248.92
10/26/2018 378.97 253.71
10/31/2018 384.63 256.22
11/2/2018 384.27 258.09
11/9/2018 385.50 261.47
11/16/2018 395.10 268.14
11/23/2018 407.37 275.96
11/30/2018 417.99 288.44
12/7/2018 433.43 300.91
12/14/2018 450.95 315.06
12/21/2018 483.26 337.32
12/28/2018 494.12 346.29
12/31/2018 494.16 345.96
1/4/2019 473.38 318.09
1/11/2019 448.67 291.12
1/18/2019 447.57 283.84
1/25/2019 452.73 288.15
1/31/2019 454.72 288.80
2/1/2019 454.29 288.77
2/8/2019 449.25 286.28
2/15/2019 444.07 283.08
2/22/2019 433.19 276.03
2/28/2019 423.82 270.29
3/1/2019 423.65 268.54
3/8/2019 432.28 274.66
3/15/2019 431.45 273.49
3/22/2019 439.74 278.66
3/29/2019 445.58 287.71
4/5/2019 431.59 279.29
4/12/2019 425.75 274.19
4/18/2019 421.40 272.79
4/26/2019 418.07 269.83
4/30/2019 416.65 269.22
5/3/2019 412.75 268.32
5/10/2019 420.08 268.09
5/17/2019 416.36 268.20
5/24/2019 421.90 268.17
5/31/2019 429.96 267.59
6/7/2019 430.49 266.53
6/14/2019 431.33 265.37
6/21/2019 431.39 266.34
6/28/2019 436.42 269.93
7/5/2019 435.51 269.13
7/12/2019 431.91 267.28
7/19/2019 430.25 265.40
7/26/2019 430.30 264.71
7/31/2019 428.21 262.65
8/2/2019 430.45 272.99
8/9/2019 440.93 277.00
8/16/2019 450.30 280.15
8/23/2019 451.00 278.08
8/30/2019 446.48 280.24
9/6/2019 441.97 274.16
9/13/2019 434.68 266.96
9/20/2019 434.02 268.03
9/27/2019 432.56 267.49
9/30/2019 432.73 267.63
10/4/2019 443.29 270.44
10/11/2019 458.65 274.50
10/18/2019 461.88 272.14
10/25/2019 463.46 271.36
10/31/2019 468.40 273.48
11/1/2019 468.32 274.60
11/8/2019 467.72 275.19
11/15/2019 461.50 274.51
11/22/2019 466.98 275.40
11/29/2019 465.82 274.26
12/6/2019 454.77 271.08
12/13/2019 436.38 265.64
12/20/2019 424.24 264.07
12/27/2019 424.13 263.80
12/31/2019 423.84 263.67
1/3/2020 423.05 262.17
1/10/2020 414.03 257.93
1/17/2020 410.71 257.21
1/24/2020 411.28 260.14
1/31/2020 419.19 262.79
2/7/2020 421.81 267.87
2/14/2020 421.05 269.45
2/21/2020 418.98 271.09
2/28/2020 458.14 303.88
3/6/2020 485.48 324.31
3/13/2020 639.32 475.03
3/20/2020 968.74 788.06
3/27/2020 903.07 614.61
3/31/2020 824.64 513.08
4/3/2020 815.26 504.83
4/9/2020 730.66 426.44
4/17/2020 673.61 394.07
4/24/2020 691.37 412.10
4/30/2020 696.45 424.52
5/1/2020 688.25 413.92
5/8/2020 655.86 405.18
5/15/2020 651.19 403.39
5/22/2020 615.93 370.51
5/29/2020 577.00 343.45
6/5/2020 541.99 321.13
6/12/2020 537.10 326.42
6/19/2020 521.61 313.87
6/26/2020 550.97 338.15
6/30/2020 560.14 344.07
7/3/2020 539.81 335.79
7/10/2020 537.44 330.09
7/17/2020 520.02 319.19
7/24/2020 506.95 309.48
7/31/2020 509.28 312.99
8/7/2020 496.01 304.93
8/14/2020 486.11 301.75
8/21/2020 488.13 308.83
8/28/2020 483.10 307.06
8/31/2020 482.34 305.16
9/4/2020 465.40 290.01
9/11/2020 457.86 286.68
9/18/2020 455.62 288.18
9/25/2020 474.11 305.84
9/30/2020 475.02 305.11
10/2/2020 474.97 309.76
10/9/2020 463.22 300.54
10/16/2020 466.63 303.63
10/23/2020 482.56 306.61
10/30/2020 500.41 321.76
11/6/2020 480.85 305.71
11/13/2020 467.38 298.70
11/20/2020 466.94 302.08
11/27/2020 460.73 298.49
11/30/2020 460.19 298.69
12/4/2020 449.99 290.00
12/11/2020 446.13 286.49
12/18/2020 439.36 280.64
12/24/2020 440.94 281.27
12/31/2020 438.96 279.51
1/8/2021 423.33 263.40
1/15/2021 415.51 264.63
1/22/2021 416.04 263.27
1/29/2021 422.32 269.32
2/5/2021 420.29 268.30
2/12/2021 413.00 270.45
2/19/2021 411.65 270.89
2/26/2021 413.35 269.28
3/5/2021 414.09 275.38
3/12/2021 415.03 277.05
3/19/2021 420.77 281.49
3/26/2021 423.38 284.06
3/31/2021 423.72 285.82
4/2/2021 424.22 284.23
4/9/2021 416.67 279.13
4/16/2021 415.95 280.93
4/23/2021 418.82 277.14

Note: Data show secondary-market discounted spreads to maturity. Spreads are the constant spread used to equate discounted loan cash flows to the current market price. B-rated spreads beging in July 1997.

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

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

Ratio

Date Forward price-to-earnings ratio
1/16/1989 10.06
2/15/1989 10.15
3/16/1989 10.12
4/16/1989 10.43
5/16/1989 10.73
6/16/1989 10.85
7/16/1989 11.24
8/16/1989 11.56
9/16/1989 11.51
10/16/1989 11.47
11/16/1989 11.51
12/16/1989 11.88
1/16/1990 11.53
2/15/1990 11.32
3/16/1990 11.49
4/16/1990 11.65
5/16/1990 12.07
6/16/1990 12.38
7/16/1990 12.39
8/16/1990 11.51
9/16/1990 10.79
10/16/1990 10.30
11/16/1990 11.18
12/16/1990 11.66
1/16/1991 11.26
2/15/1991 13.43
3/16/1991 13.77
4/16/1991 14.45
5/16/1991 13.64
6/16/1991 13.90
7/16/1991 14.16
8/16/1991 14.40
9/16/1991 14.21
10/16/1991 14.31
11/16/1991 14.46
12/16/1991 14.01
1/16/1992 15.37
2/15/1992 15.01
3/16/1992 14.87
4/16/1992 14.81
5/16/1992 14.70
6/16/1992 14.01
7/16/1992 14.43
8/16/1992 14.45
9/16/1992 14.41
10/16/1992 14.00
11/16/1992 14.52
12/16/1992 14.70
1/16/1993 14.61
2/15/1993 14.66
3/16/1993 15.01
4/16/1993 15.03
5/16/1993 14.72
6/16/1993 14.63
7/16/1993 14.63
8/16/1993 14.76
9/16/1993 14.81
10/16/1993 14.64
11/16/1993 14.67
12/16/1993 14.48
1/16/1994 14.75
2/15/1994 14.60
3/16/1994 14.34
4/16/1994 13.46
5/16/1994 13.42
6/16/1994 13.47
7/16/1994 13.00
8/16/1994 13.21
9/16/1994 13.11
10/16/1994 12.92
11/16/1994 12.56
12/16/1994 12.09
1/16/1995 12.32
2/15/1995 12.48
3/16/1995 12.50
4/16/1995 12.66
5/16/1995 12.91
6/16/1995 13.06
7/16/1995 13.30
8/16/1995 13.35
9/16/1995 13.67
10/16/1995 13.77
11/16/1995 13.80
12/16/1995 14.32
1/16/1996 14.01
2/15/1996 15.23
3/16/1996 14.81
4/16/1996 14.79
5/16/1996 15.19
6/16/1996 14.72
7/16/1996 14.40
8/16/1996 14.92
9/16/1996 15.24
10/16/1996 15.61
11/16/1996 16.07
12/16/1996 15.85
1/16/1997 16.46
2/15/1997 17.36
3/16/1997 16.65
4/16/1997 16.03
5/16/1997 17.38
6/16/1997 18.39
7/16/1997 19.23
8/16/1997 18.68
9/16/1997 18.92
10/16/1997 19.20
11/16/1997 18.60
12/16/1997 18.87
1/16/1998 18.66
2/15/1998 20.36
3/16/1998 21.42
4/16/1998 21.90
5/16/1998 21.69
6/16/1998 21.42
7/16/1998 22.77
8/16/1998 21.17
9/16/1998 20.01
10/16/1998 19.28
11/16/1998 22.02
12/16/1998 22.30
1/16/1999 23.71
2/15/1999 23.53
3/16/1999 24.73
4/16/1999 24.95
5/16/1999 24.74
6/16/1999 24.30
7/16/1999 25.44
8/16/1999 23.90
9/16/1999 23.47
10/16/1999 22.55
11/16/1999 24.50
12/16/1999 24.42
1/16/2000 24.85
2/15/2000 24.03
3/16/2000 23.73
4/16/2000 23.91
5/16/2000 23.88
6/16/2000 24.10
7/16/2000 24.10
8/16/2000 23.86
9/16/2000 23.86
10/16/2000 21.44
11/16/2000 22.25
12/16/2000 22.10
1/16/2001 21.98
2/15/2001 22.10
3/16/2001 19.72
4/16/2001 21.41
5/16/2001 22.23
6/16/2001 21.67
7/16/2001 21.61
8/16/2001 21.17
9/16/2001 18.42
10/16/2001 20.38
11/16/2001 21.50
12/16/2001 21.57
1/16/2002 21.00
2/15/2002 20.47
3/16/2002 20.75
4/16/2002 20.17
5/16/2002 19.40
6/16/2002 18.11
7/16/2002 16.14
8/16/2002 16.60
9/16/2002 15.72
10/16/2002 15.78
11/16/2002 16.02
12/16/2002 16.12
1/16/2003 16.48
2/15/2003 15.34
3/16/2003 15.71
4/16/2003 15.68
5/16/2003 16.56
6/16/2003 17.69
7/16/2003 17.27
8/16/2003 16.94
9/16/2003 17.41
10/16/2003 17.50
11/16/2003 17.10
12/16/2003 17.43
1/16/2004 18.10
2/15/2004 18.09
3/16/2004 17.40
4/16/2004 17.11
5/16/2004 15.98
6/16/2004 16.41
7/16/2004 15.92
8/16/2004 15.51
9/16/2004 15.77
10/16/2004 15.49
11/16/2004 16.17
12/16/2004 16.32
1/16/2005 15.95
2/15/2005 16.17
3/16/2005 15.64
4/16/2005 15.30
5/16/2005 15.28
6/16/2005 15.42
7/16/2005 15.41
8/16/2005 15.14
9/16/2005 14.95
10/16/2005 14.33
11/16/2005 14.61
12/16/2005 14.98
1/16/2006 14.90
2/15/2006 14.93
3/16/2006 15.06
4/16/2006 14.99
5/16/2006 14.30
6/16/2006 13.69
7/16/2006 13.90
8/16/2006 14.13
9/16/2006 14.26
10/16/2006 14.65
11/16/2006 14.81
12/16/2006 14.82
1/16/2007 15.01
2/15/2007 15.39
3/16/2007 14.56
4/16/2007 15.31
5/16/2007 15.51
6/16/2007 15.30
7/16/2007 15.41
8/16/2007 13.87
9/16/2007 15.01
10/16/2007 15.01
11/16/2007 14.32
12/16/2007 14.20
1/16/2008 13.49
2/15/2008 13.68
3/16/2008 13.09
4/16/2008 13.80
5/16/2008 14.30
6/16/2008 13.51
7/16/2008 12.60
8/16/2008 13.29
9/16/2008 12.01
10/16/2008 9.93
11/16/2008 9.74
12/16/2008 11.87
1/16/2009 11.48
2/15/2009 12.46
3/16/2009 12.42
4/16/2009 13.51
5/16/2009 14.66
6/16/2009 14.73
7/16/2009 14.80
8/16/2009 15.20
9/16/2009 15.91
10/16/2009 15.85
11/16/2009 15.12
12/16/2009 14.89
1/16/2010 14.80
2/15/2010 13.81
3/16/2010 14.44
4/16/2010 14.82
5/16/2010 12.99
6/16/2010 12.82
7/16/2010 12.49
8/16/2010 12.10
9/16/2010 12.35
10/16/2010 12.84
11/16/2010 12.57
12/16/2010 13.03
1/16/2011 13.21
2/15/2011 13.70
3/16/2011 12.61
4/16/2011 12.97
5/16/2011 12.90
6/16/2011 12.07
7/16/2011 12.64
8/16/2011 11.28
9/16/2011 11.24
10/16/2011 11.50
11/16/2011 11.67
12/16/2011 11.40
1/16/2012 12.33
2/15/2012 12.63
3/16/2012 12.96
4/16/2012 12.66
5/16/2012 12.01
6/16/2012 11.89
7/16/2012 12.59
8/16/2012 12.92
9/16/2012 13.34
10/16/2012 13.21
11/16/2012 12.19
12/16/2012 12.86
1/16/2013 13.12
2/15/2013 13.53
3/16/2013 13.72
4/16/2013 13.59
5/16/2013 14.48
6/16/2013 14.10
7/16/2013 14.51
8/16/2013 14.58
9/16/2013 14.84
10/16/2013 14.71
11/16/2013 15.03
12/16/2013 15.20
1/16/2014 15.43
2/15/2014 15.44
3/16/2014 15.60
4/16/2014 15.50
5/16/2014 15.45
6/16/2014 15.83
7/16/2014 15.97
8/16/2014 15.55
9/16/2014 15.89
10/16/2014 14.76
11/16/2014 16.19
12/16/2014 16.11
1/16/2015 16.23
2/15/2015 17.35
3/16/2015 17.27
4/16/2015 17.29
5/16/2015 17.09
6/16/2015 16.96
7/16/2015 16.98
8/16/2015 16.75
9/16/2015 16.09
10/16/2015 16.14
11/16/2015 16.80
12/16/2015 16.69
1/16/2016 15.30
2/15/2016 15.91
3/16/2016 16.71
4/16/2016 17.09
5/16/2016 16.67
6/16/2016 16.74
7/16/2016 17.40
8/16/2016 17.52
9/16/2016 16.92
10/16/2016 16.89
11/16/2016 16.95
12/16/2016 17.33
1/16/2017 17.28
2/15/2017 17.91
3/16/2017 18.04
4/16/2017 17.54
5/16/2017 17.49
6/16/2017 17.91
7/16/2017 18.23
8/16/2017 18.09
9/16/2017 18.18
10/16/2017 18.44
11/16/2017 18.15
12/16/2017 18.64
1/16/2018 18.73
2/15/2018 17.28
3/16/2018 17.37
4/16/2018 16.92
5/16/2018 16.68
6/16/2018 16.84
7/16/2018 17.03
8/16/2018 16.82
9/16/2018 17.21
10/16/2018 16.49
11/16/2018 15.72
12/16/2018 14.65
1/16/2019 15.46
2/15/2019 16.34
3/16/2019 16.60
4/16/2019 17.08
5/16/2019 16.66
6/16/2019 17.03
7/16/2019 17.45
8/16/2019 16.54
9/16/2019 17.40
10/16/2019 17.31
11/16/2019 17.83
12/16/2019 18.25
1/16/2020 18.73
2/15/2020 19.27
3/16/2020 14.13
4/16/2020 18.93
5/16/2020 20.52
6/16/2020 22.40
7/16/2020 23.10
8/16/2020 23.10
9/16/2020 22.64
10/16/2020 22.81
11/16/2020 22.24
12/16/2020 22.56
1/16/2021 23.05
2/15/2021 22.75
3/16/2021 22.44
4/16/2021 22.64

Note: Aggregate forward price-to-earnings ratio of S&P 500 firms. Based on expected earnings for 12 months ahead.

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

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

Percentage points

Date Spread of forward price-to-earnings ratio
10/16/1991 3.32
11/16/1991 3.30
12/16/1991 3.81
1/16/1992 2.88
2/15/1992 2.80
3/16/1992 2.73
4/16/1992 3.00
5/16/1992 3.14
6/16/1992 3.59
7/16/1992 3.57
8/16/1992 3.78
9/16/1992 3.93
10/16/1992 3.84
11/16/1992 3.38
12/16/1992 3.39
1/16/1993 3.49
2/15/1993 3.81
3/16/1993 3.87
4/16/1993 4.09
5/16/1993 4.23
6/16/1993 4.41
7/16/1993 4.33
8/16/1993 4.35
9/16/1993 4.65
10/16/1993 4.77
11/16/1993 4.38
12/16/1993 4.44
1/16/1994 4.36
2/15/1994 4.18
3/16/1994 3.79
4/16/1994 3.83
5/16/1994 3.68
6/16/1994 3.74
7/16/1994 3.80
8/16/1994 3.75
9/16/1994 3.58
10/16/1994 3.44
11/16/1994 3.47
12/16/1994 3.89
1/16/1995 3.54
2/15/1995 3.76
3/16/1995 3.99
4/16/1995 4.09
5/16/1995 4.38
6/16/1995 4.72
7/16/1995 4.32
8/16/1995 4.08
9/16/1995 4.18
10/16/1995 4.12
11/16/1995 4.22
12/16/1995 4.16
1/16/1996 4.37
2/15/1996 3.65
3/16/1996 3.34
4/16/1996 3.10
5/16/1996 2.74
6/16/1996 2.81
7/16/1996 3.03
8/16/1996 3.03
9/16/1996 2.66
10/16/1996 2.80
11/16/1996 2.94
12/16/1996 2.95
1/16/1997 2.45
2/15/1997 2.28
3/16/1997 2.22
4/16/1997 2.11
5/16/1997 1.82
6/16/1997 1.69
7/16/1997 1.88
8/16/1997 1.93
9/16/1997 1.94
10/16/1997 1.68
11/16/1997 2.03
12/16/1997 2.04
1/16/1998 2.29
2/15/1998 1.78
3/16/1998 1.46
4/16/1998 1.27
5/16/1998 1.29
6/16/1998 1.50
7/16/1998 1.28
8/16/1998 1.76
9/16/1998 2.48
10/16/1998 2.86
11/16/1998 1.96
12/16/1998 2.04
1/16/1999 1.44
2/15/1999 1.20
3/16/1999 0.76
4/16/1999 1.01
5/16/1999 0.72
6/16/1999 0.43
7/16/1999 0.33
8/16/1999 0.40
9/16/1999 0.46
10/16/1999 0.43
11/16/1999 0.24
12/16/1999 0.03
1/16/2000 -0.30
2/15/2000 -0.04
3/16/2000 0.21
4/16/2000 0.42
5/16/2000 0.02
6/16/2000 0.32
7/16/2000 0.41
8/16/2000 0.63
9/16/2000 0.63
10/16/2000 1.21
11/16/2000 1.10
12/16/2000 1.57
1/16/2001 1.67
2/15/2001 1.67
3/16/2001 2.39
4/16/2001 1.78
5/16/2001 1.40
6/16/2001 1.61
7/16/2001 1.68
8/16/2001 1.98
9/16/2001 2.88
10/16/2001 2.60
11/16/2001 2.26
12/16/2001 1.78
1/16/2002 1.94
2/15/2002 2.15
3/16/2002 1.72
4/16/2002 1.97
5/16/2002 2.26
6/16/2002 2.86
7/16/2002 3.79
8/16/2002 3.99
9/16/2002 4.70
10/16/2002 4.54
11/16/2002 4.37
12/16/2002 4.34
1/16/2003 4.27
2/15/2003 4.88
3/16/2003 4.83
4/16/2003 4.71
5/16/2003 4.79
6/16/2003 4.65
7/16/2003 4.15
8/16/2003 3.76
9/16/2003 3.80
10/16/2003 3.77
11/16/2003 3.90
12/16/2003 3.83
1/16/2004 3.75
2/15/2004 3.81
3/16/2004 4.29
4/16/2004 3.85
5/16/2004 3.88
6/16/2004 3.71
7/16/2004 4.14
8/16/2004 4.51
9/16/2004 4.58
10/16/2004 4.72
11/16/2004 4.36
12/16/2004 4.29
1/16/2005 4.40
2/15/2005 4.39
3/16/2005 4.26
4/16/2005 4.61
5/16/2005 4.82
6/16/2005 4.92
7/16/2005 4.74
8/16/2005 4.77
9/16/2005 4.91
10/16/2005 4.92
11/16/2005 4.68
12/16/2005 4.60
1/16/2006 4.71
2/15/2006 4.54
3/16/2006 4.32
4/16/2006 4.10
5/16/2006 4.31
6/16/2006 4.62
7/16/2006 4.54
8/16/2006 4.64
9/16/2006 4.71
10/16/2006 4.52
11/16/2006 4.59
12/16/2006 4.61
1/16/2007 4.18
2/15/2007 4.05
3/16/2007 4.57
4/16/2007 4.16
5/16/2007 4.03
6/16/2007 3.76
7/16/2007 3.81
8/16/2007 4.81
9/16/2007 4.43
10/16/2007 4.43
11/16/2007 5.08
12/16/2007 5.17
1/16/2008 5.99
2/15/2008 5.87
3/16/2008 6.41
4/16/2008 5.86
5/16/2008 5.40
6/16/2008 5.60
7/16/2008 6.25
8/16/2008 5.96
9/16/2008 6.93
10/16/2008 8.31
11/16/2008 8.74
12/16/2008 7.99
1/16/2009 8.05
2/15/2009 7.04
3/16/2009 7.20
4/16/2009 6.65
5/16/2009 5.70
6/16/2009 5.24
7/16/2009 5.39
8/16/2009 5.20
9/16/2009 5.11
10/16/2009 4.94
11/16/2009 5.24
12/16/2009 5.20
1/16/2010 5.25
2/15/2010 5.78
3/16/2010 5.46
4/16/2010 5.21
5/16/2010 6.54
6/16/2010 6.85
7/16/2010 7.16
8/16/2010 7.77
9/16/2010 7.64
10/16/2010 7.35
11/16/2010 7.33
12/16/2010 6.48
1/16/2011 6.40
2/15/2011 5.96
3/16/2011 6.74
4/16/2011 6.58
5/16/2011 6.91
6/16/2011 7.61
7/16/2011 7.23
8/16/2011 8.90
9/16/2011 9.25
10/16/2011 8.98
11/16/2011 9.01
12/16/2011 9.26
1/16/2012 8.42
2/15/2012 8.23
3/16/2012 7.81
4/16/2012 8.31
5/16/2012 9.01
6/16/2012 9.27
7/16/2012 8.77
8/16/2012 8.40
9/16/2012 8.13
10/16/2012 8.14
11/16/2012 8.87
12/16/2012 8.38
1/16/2013 8.02
2/15/2013 7.71
3/16/2013 7.63
4/16/2013 7.92
5/16/2013 7.28
6/16/2013 7.06
7/16/2013 6.49
8/16/2013 6.28
9/16/2013 6.10
10/16/2013 6.45
11/16/2013 6.19
12/16/2013 5.93
1/16/2014 5.89
2/15/2014 6.03
3/16/2014 5.95
4/16/2014 5.96
5/16/2014 6.14
6/16/2014 5.94
7/16/2014 5.89
8/16/2014 6.17
9/16/2014 5.92
10/16/2014 6.63
11/16/2014 6.00
12/16/2014 6.16
1/16/2015 6.34
2/15/2015 5.83
3/16/2015 5.79
4/16/2015 5.94
5/16/2015 5.73
6/16/2015 5.61
7/16/2015 5.68
8/16/2015 5.92
9/16/2015 6.15
10/16/2015 6.24
11/16/2015 5.78
12/16/2015 5.84
1/16/2016 6.52
2/15/2016 6.57
3/16/2016 6.16
4/16/2016 6.21
5/16/2016 6.35
6/16/2016 6.50
7/16/2016 6.37
8/16/2016 6.27
9/16/2016 6.40
10/16/2016 6.35
11/16/2016 5.93
12/16/2016 5.43
1/16/2017 5.61
2/15/2017 5.42
3/16/2017 5.32
4/16/2017 5.67
5/16/2017 5.67
6/16/2017 5.67
7/16/2017 5.39
8/16/2017 5.54
9/16/2017 5.53
10/16/2017 5.25
11/16/2017 5.34
12/16/2017 5.14
1/16/2018 5.00
2/15/2018 5.15
3/16/2018 5.15
4/16/2018 5.34
5/16/2018 5.31
6/16/2018 5.31
7/16/2018 5.17
8/16/2018 5.25
9/16/2018 5.00
10/16/2018 5.12
11/16/2018 5.45
12/16/2018 6.20
1/16/2019 5.96
2/15/2019 5.65
3/16/2019 5.65
4/16/2019 5.52
5/16/2019 5.79
6/16/2019 5.99
7/16/2019 5.87
8/16/2019 6.61
9/16/2019 6.23
10/16/2019 6.26
11/16/2019 5.98
12/16/2019 5.79
1/16/2020 5.76
2/15/2020 5.87
3/16/2020 8.34
4/16/2020 6.70
5/16/2020 6.31
6/16/2020 5.86
7/16/2020 5.73
8/16/2020 5.71
9/16/2020 5.77
10/16/2020 5.72
11/16/2020 5.75
12/16/2020 5.63
1/16/2021 5.46
2/15/2021 5.32
3/16/2021 4.98
4/16/2021 4.93

Note: Aggregate forward earnings-to-price ratio of S&P 500 firms. Based on expected earnings for 12 months ahead. Expected real Treasury yields are calculated from the 10-year consumer price index inflation forecast and the smoothed nominal yield curve estimated from off-the-run securities.

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

Return to text
1‐11. S&P 500 Return Volatility

This is a line chart titled "S&P 500 Return Volatility." The x axis measures time and ranges from 1997 to 2021. The y axis ranges from 0 to 70 percent. The data are monthly. The first line is labeled "Option-implied volatility" and is designated by a black line. The line is jagged throughout the plot. It starts around 20 percent in 1997, rises to around 32 percent at the end of 1997 and falls back to around 20 percent in mid-1998 before jumping to around 38 percent in September 1998. From there, it reverts to around 25 percent by the end of 1998, where it remains in a range from around 18 to 28 until September 2001 when it briefly jumps to around 35 percent. After falling to around 19 in March 2002, it spikes again to around 37 percent in mid-2002. It gradually falls from there through 2006 to around 11 percent, before it rapidly increases to its peak of around 63 percent in late 2008. It quickly declines to around 17 percent by early 2010 but rises to 32 percent in mid-2010 before falling again to around 17 percent by early 2011. From there, it rises to around 36 percent in mid-2011 before falling back down to around 17 percent in early 2012 where it remains in a range between 13 and 19 percent until mid-2015. In mid-2015, it spikes to around 24 percent and then drops to around 16 percent before spiking again back to around 24 percent in early 2016. It decreases steadily from 2016 to February 2018, when it rises from around 11 percent to around 22 percent. It steadily declines to around 12 percent by mid-2018 before rising sharply to around 25 percent in December 2018. It then declines throughout early 2019, spikes to around 19 percent in August 2019, and ends 2019 around 14 percent. In March 2020, there is a large spike to around 58 percent which quickly falls to around 30 percent by mid-2020. It then continues to decrease, ending around 23 percent in April 2021. The second line is labeled "Realized volatility," and is designated by a blue line. It follows mainly the same trends as the black line, but at a slightly lower level. It starts around 11 percent in 1997, rises to around 19 percent at the end of 1997 and falls back to around 10 percent in mid-1998 before jumping to around 26 percent in September 1998. From there, it reverts to around 15 percent by the end of 1998, where it remains in a range around 15 percent before spiking to around 25 percent in early 2000. Between early 2000 and mid- 2002, it spikes several times above 20 percent, reaching around 30 percent in mid-2002. It gradually falls from there through 2006 to around 8 percent, before it rapidly increases to its peak of around 60 percent in late 2008. It quickly declines to around 11 percent by early 2010 but rises to 23 percent in mid-2010 before falling again to around 9 percent by early 2011. From there, it rises to around 28 percent in mid-2011 before falling back down to around 10 percent in early 2012 where it remains in a range between 10 and 14 percent until mid-2015. In mid-2015, it spikes to around 24 percent and then drops to around 12 percent before spiking again back to around 20 percent in early 2016. It decreases steadily from 2016 to February 2018, when it rises from around 6 percent to around 17 percent. It steadily declines to around 7 percent by mid-2018 before rising sharply to around 21 percent in December 2018. It then declines throughout early 2019, spikes to around 14 percent in August 2019, and ends 2019 around 8 percent. In March 2020, there is a large spike to around 52 percent which quickly falls to around 25 percent by mid-2020. It then continues to decrease, ending around 13 percent in April 2021.

Note: Realized volatility estimated from 5-minute returns using an exponentially weighted moving average with 75 percent of the weight distributed over the past 20 days.

Source: Bloomberg Finance L.P.

Return to text
Figure A. Measures of Risk Appetite

Count

Date Equity Risk Premium Excess Bond Premium
1/1/1995 3.54 -0.24
2/1/1995 3.76 -0.29
3/1/1995 3.99 -0.30
4/1/1995 4.09 -0.24
5/1/1995 4.38 -0.34
6/1/1995 4.72 -0.15
7/1/1995 4.32 -0.32
8/1/1995 4.08 -0.19
9/1/1995 4.18 -0.17
10/1/1995 4.12 -0.12
11/1/1995 4.22 -0.04
12/1/1995 4.16 -0.05
1/1/1996 4.37 -0.10
2/1/1996 3.65 -0.32
3/1/1996 3.34 -0.35
4/1/1996 3.10 -0.30
5/1/1996 2.74 -0.33
6/1/1996 2.81 -0.28
7/1/1996 3.03 -0.34
8/1/1996 3.03 -0.37
9/1/1996 2.66 -0.39
10/1/1996 2.80 -0.32
11/1/1996 2.94 -0.29
12/1/1996 2.95 -0.40
1/1/1997 2.45 -0.32
2/1/1997 2.28 -0.47
3/1/1997 2.22 -0.51
4/1/1997 2.11 -0.46
5/1/1997 1.82 -0.46
6/1/1997 1.69 -0.56
7/1/1997 1.88 -0.53
8/1/1997 1.93 -0.49
9/1/1997 1.94 -0.58
10/1/1997 1.68 -0.43
11/1/1997 2.03 -0.35
12/1/1997 2.04 -0.40
1/1/1998 2.29 -0.35
2/1/1998 1.78 -0.35
3/1/1998 1.46 -0.41
4/1/1998 1.27 -0.43
5/1/1998 1.29 -0.39
6/1/1998 1.50 -0.36
7/1/1998 1.28 -0.32
8/1/1998 1.76 0.09
9/1/1998 2.48 0.06
10/1/1998 2.86 0.20
11/1/1998 1.96 0.17
12/1/1998 2.04 0.04
1/1/1999 1.44 0.05
2/1/1999 1.20 -0.21
3/1/1999 0.76 -0.19
4/1/1999 1.01 -0.23
5/1/1999 0.72 -0.23
6/1/1999 0.43 -0.17
7/1/1999 0.33 -0.13
8/1/1999 0.40 -0.06
9/1/1999 0.46 0.06
10/1/1999 0.43 0.09
11/1/1999 0.24 0.04
12/1/1999 0.03 -0.19
1/1/2000 -0.30 0.00
2/1/2000 -0.04 0.07
3/1/2000 0.21 0.34
4/1/2000 0.42 0.49
5/1/2000 0.02 0.68
6/1/2000 0.32 0.73
7/1/2000 0.41 0.81
8/1/2000 0.63 1.00
9/1/2000 0.63 1.09
10/1/2000 1.21 1.51
11/1/2000 1.10 1.57
12/1/2000 1.57 1.57
1/1/2001 1.67 1.15
2/1/2001 1.67 1.14
3/1/2001 2.39 1.07
4/1/2001 1.78 0.87
5/1/2001 1.40 0.73
6/1/2001 1.61 0.97
7/1/2001 1.68 0.73
8/1/2001 1.98 0.74
9/1/2001 2.88 1.18
10/1/2001 2.60 1.00
11/1/2001 2.26 -0.20
12/1/2001 1.78 0.34
1/1/2002 1.94 0.53
2/1/2002 2.15 0.71
3/1/2002 1.72 0.20
4/1/2002 1.97 0.34
5/1/2002 2.26 0.44
6/1/2002 2.86 0.89
7/1/2002 3.79 1.50
8/1/2002 3.99 1.41
9/1/2002 4.70 1.58
10/1/2002 4.54 1.40
11/1/2002 4.37 0.98
12/1/2002 4.34 0.86
1/1/2003 4.27 0.83
2/1/2003 4.88 0.61
3/1/2003 4.83 0.09
4/1/2003 4.71 0.02
5/1/2003 4.79 -0.55
6/1/2003 4.65 -0.43
7/1/2003 4.15 -1.14
8/1/2003 3.76 -0.24
9/1/2003 3.80 -0.59
10/1/2003 3.77 -0.56
11/1/2003 3.90 -0.60
12/1/2003 3.83 -0.56
1/1/2004 3.75 -0.74
2/1/2004 3.81 -0.36
3/1/2004 4.29 -0.55
4/1/2004 3.85 -0.80
5/1/2004 3.88 -0.41
6/1/2004 3.71 -0.42
7/1/2004 4.14 -0.35
8/1/2004 4.51 -0.43
9/1/2004 4.58 -0.58
10/1/2004 4.72 -0.54
11/1/2004 4.36 -0.70
12/1/2004 4.29 -0.75
1/1/2005 4.40 -0.73
2/1/2005 4.39 -0.99
3/1/2005 4.26 -0.71
4/1/2005 4.61 -0.45
5/1/2005 4.82 -0.36
6/1/2005 4.92 -0.52
7/1/2005 4.74 -0.62
8/1/2005 4.77 -0.59
9/1/2005 4.91 -0.51
10/1/2005 4.92 -0.36
11/1/2005 4.68 -0.37
12/1/2005 4.60 -0.33
1/1/2006 4.71 -0.38
2/1/2006 4.54 -0.37
3/1/2006 4.32 -0.45
4/1/2006 4.10 -0.49
5/1/2006 4.31 -0.39
6/1/2006 4.62 -0.41
7/1/2006 4.54 -0.31
8/1/2006 4.64 -0.31
9/1/2006 4.71 -0.39
10/1/2006 4.52 -0.40
11/1/2006 4.59 -0.39
12/1/2006 4.61 -0.52
1/1/2007 4.18 -0.57
2/1/2007 4.05 -0.58
3/1/2007 4.57 -0.38
4/1/2007 4.16 -0.39
5/1/2007 4.03 -0.63
6/1/2007 3.76 -0.42
7/1/2007 3.81 0.00
8/1/2007 4.81 0.12
9/1/2007 4.43 0.04
10/1/2007 4.43 -0.03
11/1/2007 5.08 0.30
12/1/2007 5.17 0.46
1/1/2008 5.99 0.68
2/1/2008 5.87 0.90
3/1/2008 6.41 1.09
4/1/2008 5.86 0.60
5/1/2008 5.40 0.62
6/1/2008 5.60 0.75
7/1/2008 6.25 1.00
8/1/2008 5.96 1.19
9/1/2008 6.93 1.68
10/1/2008 8.31 3.28
11/1/2008 8.74 2.92
12/1/2008 7.99 3.11
1/1/2009 8.05 2.66
2/1/2009 7.04 3.07
3/1/2009 7.20 2.61
4/1/2009 6.65 2.14
5/1/2009 5.70 1.26
6/1/2009 5.24 0.84
7/1/2009 5.39 0.23
8/1/2009 5.20 -0.01
9/1/2009 5.11 -0.03
10/1/2009 4.94 -0.21
11/1/2009 5.24 -0.07
12/1/2009 5.20 -0.56
1/1/2010 5.25 -0.24
2/1/2010 5.78 -0.04
3/1/2010 5.46 -0.20
4/1/2010 5.21 -0.32
5/1/2010 6.54 -0.19
6/1/2010 6.85 -0.02
7/1/2010 7.16 0.14
8/1/2010 7.77 -0.34
9/1/2010 7.64 -0.05
10/1/2010 7.35 -0.01
11/1/2010 7.33 -0.16
12/1/2010 6.48 -0.45
1/1/2011 6.40 -0.02
2/1/2011 5.96 -0.30
3/1/2011 6.74 -0.35
4/1/2011 6.58 -0.29
5/1/2011 6.91 -0.16
6/1/2011 7.61 -0.03
7/1/2011 7.23 -0.08
8/1/2011 8.90 -0.13
9/1/2011 9.25 0.37
10/1/2011 8.98 -0.16
11/1/2011 9.01 0.45
12/1/2011 9.26 0.21
1/1/2012 8.42 0.13
2/1/2012 8.23 0.00
3/1/2012 7.81 -0.41
4/1/2012 8.31 -0.22
5/1/2012 9.01 -0.16
6/1/2012 9.27 0.10
7/1/2012 8.77 -0.08
8/1/2012 8.40 -0.26
9/1/2012 8.13 -0.20
10/1/2012 8.14 -0.22
11/1/2012 8.87 -0.09
12/1/2012 8.38 -0.21
1/1/2013 8.02 -0.12
2/1/2013 7.71 -0.07
3/1/2013 7.63 -0.14
4/1/2013 7.92 -0.17
5/1/2013 7.28 -0.54
6/1/2013 7.06 -0.41
7/1/2013 6.49 -0.04
8/1/2013 6.28 -0.15
9/1/2013 6.10 -0.17
10/1/2013 6.45 -0.05
11/1/2013 6.19 -0.02
12/1/2013 5.93 -0.17
1/1/2014 5.89 -0.34
2/1/2014 6.03 -0.24
3/1/2014 5.95 -0.31
4/1/2014 5.96 -0.40
5/1/2014 6.14 -0.41
6/1/2014 5.94 -0.35
7/1/2014 5.89 -0.36
8/1/2014 6.17 -0.35
9/1/2014 5.92 -0.27
10/1/2014 6.63 -0.26
11/1/2014 6.00 0.00
12/1/2014 6.16 0.02
1/1/2015 6.34 -0.12
2/1/2015 5.83 -0.37
3/1/2015 5.79 -0.21
4/1/2015 5.94 -0.05
5/1/2015 5.73 0.00
6/1/2015 5.61 0.10
7/1/2015 5.68 0.16
8/1/2015 5.92 0.36
9/1/2015 6.15 0.49
10/1/2015 6.24 0.38
11/1/2015 5.78 0.46
12/1/2015 5.84 0.63
1/1/2016 6.52 0.87
2/1/2016 6.57 0.90
3/1/2016 6.16 0.52
4/1/2016 6.21 0.18
5/1/2016 6.35 0.19
6/1/2016 6.50 -0.02
7/1/2016 6.37 -0.07
8/1/2016 6.27 -0.07
9/1/2016 6.40 -0.14
10/1/2016 6.35 -0.12
11/1/2016 5.93 -0.83
12/1/2016 5.43 -0.30
1/1/2017 5.61 -0.24
2/1/2017 5.42 -0.23
3/1/2017 5.32 -0.22
4/1/2017 5.67 -0.16
5/1/2017 5.67 -0.21
6/1/2017 5.67 -0.17
7/1/2017 5.39 -0.19
8/1/2017 5.54 -0.11
9/1/2017 5.53 -0.31
10/1/2017 5.25 -0.26
11/1/2017 5.34 -0.19
12/1/2017 5.14 -0.25
1/1/2018 5.00 -0.46
2/1/2018 5.15 -0.30
3/1/2018 5.15 -0.16
4/1/2018 5.34 -0.35
5/1/2018 5.31 -0.26
6/1/2018 5.31 -0.04
7/1/2018 5.17 -0.19
8/1/2018 5.25 -0.15
9/1/2018 5.00 -0.24
10/1/2018 5.12 -0.05
11/1/2018 5.45 0.09
12/1/2018 6.20 0.29
1/1/2019 5.96 0.13
2/1/2019 5.65 0.02
3/1/2019 5.65 -0.18
4/1/2019 5.52 -0.05
5/1/2019 5.79 -0.07
6/1/2019 5.99 -0.04
7/1/2019 5.87 -0.09
8/1/2019 6.61 -0.23
9/1/2019 6.23 -0.32
10/1/2019 6.26 -0.30
11/1/2019 5.98 -0.25
12/1/2019 5.79 -0.35
1/1/2020 5.76 -0.32
2/1/2020 5.87 -0.24
3/1/2020 8.34 1.10
4/1/2020 6.70 0.57
5/1/2020 6.31 0.33
6/1/2020 5.86 -0.03
7/1/2020 5.73 -0.25
8/1/2020 5.71 -0.35
9/1/2020 5.77 -0.07
10/1/2020 5.72 -0.27
11/1/2020 5.75 -0.54
12/1/2020 5.63 -0.56
1/1/2021 5.46 -0.72
2/1/2021 5.32 -1.02
3/1/2021 4.98 -0.79

Note: The left panel shows a histogram of a staff estimate of the equity risk premium and the effective federal funds rate for January 1995 through February 2021. The equity risk premium estimate shown is the forward earnings-to-price ratio for the S&P 500 less the 10-year real Treasury yield. Expected real Treasury yields are calculated from a 10-year consumer price index inflation forecast. The right panel shows a histogram of the excess bond premium measure of Gilchrist and Zakrajsek (2012) and the effective federal funds rate for January 1995 through February 2021.

Source: (Left-hand panel) Federal reserve Board staff calculations using refinitiv (formerly Thomson reuters), Institutional Brokers estimate System estimates; Department of the Treasury; Federal reserve Bank of Philadelphia, Survey of Professional Forecasters. (right-hand panel) Federal reserve Board staff calculations based on Lehman Brothers Fixed Income Database (warga); Intercontinental exchange, Inc., ICe Data Services; Center for research in Security Prices, CrSP/Compustat merged Database, wharton research Data Services; Bank of america merrill Lynch Bond Indices; moody’s; S&P Global market Intelligence, Compustat.

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Figure B. Annual Domestic IPOs Scaled by the Market Capitalization of the S&P 500

Percent

Date Nonfinancials SPACs
1991 0.50 0.00
1992 0.66 0.00
1993 0.66 0.00
1994 0.44 0.00
1995 0.56 0.00
1996 0.62 0.00
1997 0.28 0.00
1998 0.26 0.00
1999 0.51 0.00
2000 0.43 0.00
2001 0.19 0.00
2002 0.09 0.00
2003 0.06 0.00
2004 0.18 0.00
2005 0.18 0.01
2006 0.19 0.02
2007 0.16 0.08
2008 0.04 0.03
2009 0.10 0.00
2010 0.14 0.00
2011 0.15 0.01
2012 0.17 0.00
2013 0.26 0.01
2014 0.19 0.01
2015 0.13 0.02
2016 0.05 0.02
2017 0.09 0.04
2018 0.10 0.04
2019 0.15 0.05
2020:H1 0.05 0.04
2020:H2 0.14 0.23
2021:Q1 0.05 0.25

Note: Includes all domestic initial public offerings (IPOs). Special purpose acquisition companies are defined using Security Data Company’s (SDC) “blank flag” check. Key identifies bars in order from bottom to top.

Source: SDC Platinum.

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Figure 1-12. Commercial Real Estate Prices (Real)

Jan. 2001 = 100

Date Equal-weighted Value-weighted
1/16/1998 83.43 90.80
2/15/1998 84.05 90.82
3/16/1998 84.22 91.10
4/16/1998 85.00 90.67
5/16/1998 85.75 93.28
6/16/1998 86.31 94.92
7/16/1998 86.06 94.25
8/16/1998 85.95 94.19
9/16/1998 85.97 93.91
10/16/1998 86.69 93.91
11/16/1998 87.30 94.08
12/16/1998 88.63 93.43
1/16/1999 88.67 91.78
2/15/1999 89.03 92.07
3/16/1999 89.41 91.61
4/16/1999 89.97 91.17
5/16/1999 91.25 91.28
6/16/1999 91.97 91.56
7/16/1999 92.31 91.92
8/16/1999 92.68 93.31
9/16/1999 93.06 93.56
10/16/1999 93.24 93.56
11/16/1999 93.56 93.81
12/16/1999 94.19 93.97
1/16/2000 95.09 93.77
2/15/2000 95.49 91.53
3/16/2000 95.71 89.43
4/16/2000 96.54 88.57
5/16/2000 97.86 92.06
6/16/2000 98.71 94.67
7/16/2000 98.85 96.92
8/16/2000 98.67 98.50
9/16/2000 98.12 99.43
10/16/2000 98.74 100.35
11/16/2000 99.25 101.18
12/16/2000 100.24 101.15
1/16/2001 100.00 100.00
2/15/2001 100.17 99.69
3/16/2001 100.13 99.82
4/16/2001 99.83 100.26
5/16/2001 99.34 99.90
6/16/2001 99.76 98.77
7/16/2001 101.43 98.83
8/16/2001 103.36 98.74
9/16/2001 104.55 98.24
10/16/2001 104.55 97.08
11/16/2001 103.54 96.14
12/16/2001 103.28 95.41
1/16/2002 103.80 95.38
2/15/2002 104.71 96.34
3/16/2002 105.60 96.91
4/16/2002 105.68 96.83
5/16/2002 106.08 96.44
6/16/2002 106.20 95.72
7/16/2002 106.85 95.29
8/16/2002 107.42 95.33
9/16/2002 108.94 95.56
10/16/2002 110.62 96.28
11/16/2002 112.61 98.14
12/16/2002 114.52 100.78
1/16/2003 114.15 102.56
2/15/2003 112.99 102.65
3/16/2003 112.61 102.11
4/16/2003 114.13 101.86
5/16/2003 115.64 102.25
6/16/2003 116.22 101.53
7/16/2003 116.87 100.95
8/16/2003 117.28 98.48
9/16/2003 118.50 97.14
10/16/2003 120.02 97.24
11/16/2003 121.53 98.39
12/16/2003 122.88 99.71
1/16/2004 123.56 99.52
2/15/2004 124.74 102.05
3/16/2004 125.68 103.27
4/16/2004 127.21 106.21
5/16/2004 127.77 105.90
6/16/2004 129.20 107.80
7/16/2004 130.95 109.93
8/16/2004 132.77 112.57
9/16/2004 133.62 114.36
10/16/2004 133.45 115.43
11/16/2004 134.23 115.18
12/16/2004 136.04 115.03
1/16/2005 138.21 113.73
2/15/2005 139.94 115.39
3/16/2005 141.44 115.98
4/16/2005 142.11 117.29
5/16/2005 143.78 117.00
6/16/2005 144.80 117.44
7/16/2005 145.39 117.93
8/16/2005 146.38 118.67
9/16/2005 146.80 119.15
10/16/2005 148.71 120.97
11/16/2005 151.58 123.86
12/16/2005 153.48 125.59
1/16/2006 153.04 125.44
2/15/2006 153.80 126.29
3/16/2006 153.10 127.64
4/16/2006 152.51 128.62
5/16/2006 152.35 129.74
6/16/2006 153.22 130.47
7/16/2006 152.27 131.74
8/16/2006 151.20 132.60
9/16/2006 151.24 133.43
10/16/2006 152.07 134.35
11/16/2006 154.36 135.26
12/16/2006 155.06 137.53
1/16/2007 156.12 138.59
2/15/2007 155.97 139.87
3/16/2007 155.99 139.58
4/16/2007 156.22 140.96
5/16/2007 155.61 142.60
6/16/2007 155.51 143.81
7/16/2007 154.93 145.06
8/16/2007 155.52 145.85
9/16/2007 154.70 145.56
10/16/2007 152.97 145.35
11/16/2007 151.17 144.65
12/16/2007 150.01 144.06
1/16/2008 149.65 141.84
2/15/2008 148.36 136.12
3/16/2008 145.94 130.49
4/16/2008 142.93 125.16
5/16/2008 140.52 127.86
6/16/2008 137.83 129.23
7/16/2008 136.15 132.00
8/16/2008 135.35 128.95
9/16/2008 133.77 125.68
10/16/2008 133.20 124.53
11/16/2008 132.27 126.86
12/16/2008 130.12 127.37
1/16/2009 125.39 126.42
2/15/2009 121.99 122.98
3/16/2009 118.63 118.58
4/16/2009 116.31 111.62
5/16/2009 114.80 104.01
6/16/2009 113.34 95.75
7/16/2009 113.37 91.34
8/16/2009 111.25 92.21
9/16/2009 108.62 93.07
10/16/2009 105.69 92.71
11/16/2009 105.39 89.79
12/16/2009 105.29 87.13
1/16/2010 106.01 85.90
2/15/2010 106.47 86.68
3/16/2010 106.14 88.73
4/16/2010 104.22 91.74
5/16/2010 101.75 95.22
6/16/2010 99.65 95.44
7/16/2010 99.31 95.07
8/16/2010 99.02 94.61
9/16/2010 98.77 94.59
10/16/2010 98.14 94.94
11/16/2010 98.45 94.08
12/16/2010 98.03 94.33
1/16/2011 96.99 94.54
2/15/2011 95.80 96.39
3/16/2011 94.23 95.86
4/16/2011 93.99 95.06
5/16/2011 93.99 94.51
6/16/2011 93.73 93.80
7/16/2011 93.39 92.57
8/16/2011 93.16 91.86
9/16/2011 94.12 91.74
10/16/2011 95.35 93.76
11/16/2011 96.45 95.74
12/16/2011 95.54 97.88
1/16/2012 94.03 98.36
2/15/2012 92.92 98.47
3/16/2012 92.58 96.28
4/16/2012 92.99 95.39
5/16/2012 93.92 95.16
6/16/2012 94.20 96.36
7/16/2012 95.04 97.65
8/16/2012 94.86 98.25
9/16/2012 95.07 97.17
10/16/2012 96.26 97.05
11/16/2012 98.48 97.91
12/16/2012 99.15 99.42
1/16/2013 98.18 99.81
2/15/2013 97.29 99.76
3/16/2013 97.03 100.65
4/16/2013 98.95 102.16
5/16/2013 99.87 104.38
6/16/2013 100.88 105.30
7/16/2013 101.27 108.07
8/16/2013 101.60 108.89
9/16/2013 101.96 110.68
10/16/2013 102.67 110.84
11/16/2013 104.06 111.80
12/16/2013 104.90 110.52
1/16/2014 106.01 109.97
2/15/2014 107.11 109.37
3/16/2014 107.24 109.54
4/16/2014 107.58 110.10
5/16/2014 107.79 110.81
6/16/2014 108.40 111.31
7/16/2014 109.65 111.62
8/16/2014 111.02 112.70
9/16/2014 112.35 113.03
10/16/2014 113.85 114.93
11/16/2014 115.71 116.47
12/16/2014 116.98 120.52
1/16/2015 117.98 123.94
2/15/2015 118.00 128.14
3/16/2015 118.58 126.47
4/16/2015 119.77 126.46
5/16/2015 120.48 124.42
6/16/2015 120.82 125.49
7/16/2015 121.53 125.04
8/16/2015 122.29 125.26
9/16/2015 122.83 126.06
10/16/2015 123.31 126.21
11/16/2015 124.34 126.67
12/16/2015 126.24 126.36
1/16/2016 127.62 125.71
2/15/2016 128.70 124.63
3/16/2016 128.75 122.41
4/16/2016 128.09 121.68
5/16/2016 127.78 122.89
6/16/2016 127.78 125.38
7/16/2016 129.57 128.08
8/16/2016 131.16 128.73
9/16/2016 133.04 128.05
10/16/2016 133.85 128.83
11/16/2016 134.80 130.01
12/16/2016 135.46 131.40
1/16/2017 136.27 129.86
2/15/2017 138.49 129.26
3/16/2017 140.94 129.71
4/16/2017 142.90 130.46
5/16/2017 144.48 131.10
6/16/2017 146.44 130.97
7/16/2017 147.93 131.14
8/16/2017 147.94 132.48
9/16/2017 146.93 133.83
10/16/2017 146.76 137.37
11/16/2017 148.19 137.47
12/16/2017 150.01 136.42
1/16/2018 151.17 133.36
2/15/2018 150.07 134.65
3/16/2018 148.90 137.28
4/16/2018 148.34 140.69
5/16/2018 149.63 138.49
6/16/2018 151.77 135.22
7/16/2018 152.82 132.77
8/16/2018 153.23 133.54
9/16/2018 153.24 134.80
10/16/2018 154.78 134.80
11/16/2018 157.61 134.98
12/16/2018 159.44 136.48
1/16/2019 158.59 139.17
2/15/2019 157.30 141.25
3/16/2019 157.72 140.38
4/16/2019 158.14 140.57
5/16/2019 159.66 141.80
6/16/2019 159.98 145.87
7/16/2019 160.63 147.20
8/16/2019 162.48 146.89
9/16/2019 163.87 144.89
10/16/2019 163.22 143.95
11/16/2019 162.24 143.44
12/16/2019 162.20 144.15
1/16/2020 162.81 144.09
2/16/2020 165.11 144.92
3/16/2020 167.30 145.34
4/16/2020 167.58 146.11
5/16/2020 165.35 143.40
6/16/2020 162.61 140.64
7/16/2020 161.46 140.09
8/16/2020 163.10 140.90
9/16/2020 165.90 142.61
10/16/2020 169.74 144.51
11/16/2020 172.67 148.05
12/16/2020 174.47 149.84
1/16/2021 172.29 149.10
2/15/2021 168.75 148.44

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

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

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Figure 1-13. Capitalization Rate at Property Purchase

Percent

Date Capitalization rate
1/16/2001 8.42
2/15/2001 8.42
3/16/2001 8.45
4/16/2001 8.40
5/16/2001 8.45
6/16/2001 8.44
7/16/2001 8.47
8/16/2001 8.49
9/16/2001 8.53
10/16/2001 8.52
11/16/2001 8.55
12/16/2001 8.60
1/16/2002 8.63
2/15/2002 8.65
3/16/2002 8.67
4/16/2002 8.73
5/16/2002 8.67
6/16/2002 8.68
7/16/2002 8.64
8/16/2002 8.59
9/16/2002 8.49
10/16/2002 8.44
11/16/2002 8.41
12/16/2002 8.35
1/16/2003 8.31
2/15/2003 8.28
3/16/2003 8.27
4/16/2003 8.24
5/16/2003 8.24
6/16/2003 8.18
7/16/2003 8.15
8/16/2003 8.12
9/16/2003 8.11
10/16/2003 8.09
11/16/2003 8.06
12/16/2003 8.02
1/16/2004 7.98
2/15/2004 7.94
3/16/2004 7.89
4/16/2004 7.84
5/16/2004 7.81
6/16/2004 7.79
7/16/2004 7.75
8/16/2004 7.72
9/16/2004 7.64
10/16/2004 7.59
11/16/2004 7.54
12/16/2004 7.44
1/16/2005 7.41
2/15/2005 7.36
3/16/2005 7.31
4/16/2005 7.25
5/16/2005 7.20
6/16/2005 7.13
7/16/2005 7.08
8/16/2005 7.04
9/16/2005 7.00
10/16/2005 6.93
11/16/2005 6.90
12/16/2005 6.87
1/16/2006 6.81
2/15/2006 6.78
3/16/2006 6.73
4/16/2006 6.71
5/16/2006 6.68
6/16/2006 6.65
7/16/2006 6.62
8/16/2006 6.59
9/16/2006 6.56
10/16/2006 6.56
11/16/2006 6.56
12/16/2006 6.55
1/16/2007 6.53
2/15/2007 6.52
3/16/2007 6.52
4/16/2007 6.49
5/16/2007 6.46
6/16/2007 6.45
7/16/2007 6.44
8/16/2007 6.44
9/16/2007 6.44
10/16/2007 6.45
11/16/2007 6.43
12/16/2007 6.42
1/16/2008 6.43
2/15/2008 6.45
3/16/2008 6.46
4/16/2008 6.50
5/16/2008 6.55
6/16/2008 6.60
7/16/2008 6.63
8/16/2008 6.69
9/16/2008 6.74
10/16/2008 6.73
11/16/2008 6.78
12/16/2008 6.82
1/16/2009 6.88
2/15/2009 6.88
3/16/2009 6.93
4/16/2009 6.94
5/16/2009 6.99
6/16/2009 7.08
7/16/2009 7.19
8/16/2009 7.25
9/16/2009 7.35
10/16/2009 7.43
11/16/2009 7.47
12/16/2009 7.54
1/16/2010 7.54
2/15/2010 7.58
3/16/2010 7.62
4/16/2010 7.69
5/16/2010 7.69
6/16/2010 7.68
7/16/2010 7.63
8/16/2010 7.66
9/16/2010 7.63
10/16/2010 7.60
11/16/2010 7.57
12/16/2010 7.50
1/16/2011 7.51
2/15/2011 7.47
3/16/2011 7.42
4/16/2011 7.39
5/16/2011 7.36
6/16/2011 7.31
7/16/2011 7.28
8/16/2011 7.23
9/16/2011 7.20
10/16/2011 7.19
11/16/2011 7.17
12/16/2011 7.16
1/16/2012 7.10
2/15/2012 7.10
3/16/2012 7.08
4/16/2012 7.05
5/16/2012 7.02
6/16/2012 6.98
7/16/2012 6.96
8/16/2012 6.95
9/16/2012 6.94
10/16/2012 6.92
11/16/2012 6.90
12/16/2012 6.85
1/16/2013 6.86
2/15/2013 6.84
3/16/2013 6.84
4/16/2013 6.83
5/16/2013 6.83
6/16/2013 6.81
7/16/2013 6.79
8/16/2013 6.75
9/16/2013 6.72
10/16/2013 6.71
11/16/2013 6.70
12/16/2013 6.67
1/16/2014 6.63
2/15/2014 6.61
3/16/2014 6.57
4/16/2014 6.57
5/16/2014 6.56
6/16/2014 6.54
7/16/2014 6.51
8/16/2014 6.51
9/16/2014 6.47
10/16/2014 6.44
11/16/2014 6.44
12/16/2014 6.41
1/16/2015 6.39
2/15/2015 6.39
3/16/2015 6.38
4/16/2015 6.33
5/16/2015 6.30
6/16/2015 6.30
7/16/2015 6.29
8/16/2015 6.27
9/16/2015 6.27
10/16/2015 6.25
11/16/2015 6.23
12/16/2015 6.21
1/16/2016 6.21
2/15/2016 6.19
3/16/2016 6.18
4/16/2016 6.17
5/16/2016 6.16
6/16/2016 6.15
7/16/2016 6.13
8/16/2016 6.12
9/16/2016 6.10
10/16/2016 6.08
11/16/2016 6.09
12/16/2016 6.10
1/16/2017 6.08
2/15/2017 6.09
3/16/2017 6.11
4/16/2017 6.13
5/16/2017 6.11
6/16/2017 6.10
7/16/2017 6.10
8/16/2017 6.10
9/16/2017 6.09
10/16/2017 6.10
11/16/2017 6.09
12/16/2017 6.08
1/16/2018 6.07
2/15/2018 6.07
3/16/2018 6.05
4/16/2018 6.03
5/16/2018 6.03
6/16/2018 6.04
7/16/2018 6.04
8/16/2018 6.03
9/16/2018 6.04
10/16/2018 6.04
11/16/2018 6.04
12/16/2018 6.02
1/16/2019 6.03
2/15/2019 6.02
3/16/2019 6.03
4/16/2019 6.03
5/16/2019 6.06
6/16/2019 6.05
7/16/2019 6.05
8/16/2019 6.04
9/16/2019 6.02
10/16/2019 6.00
11/16/2019 5.98
12/16/2019 5.98
1/16/2020 5.98
2/15/2020 5.98
3/16/2020 5.96
4/16/2020 5.96
5/16/2020 5.92
6/16/2020 5.91
7/16/2020 5.88
8/16/2020 5.87
9/16/2020 5.88
10/16/2020 5.86
11/16/2020 5.86
12/16/2020 5.86
1/16/2021 5.83
2/15/2021 5.81

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

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

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1‐14. Change in Bank Standards for Commercial Real Estate Loans

This is a line chart titled “Change in Bank Standards for Commercial Real Estate Loans.” The x axis measures time and ranges from the year 1996 to 2020. The y axis ranges from -100 to 100, which measures the net percentage of banks reporting on the right. On the left y axis, from -100 to 0, is labeled “Easing” and from 0 to 100 is labeled “Tightening.” Increasing percentages indicate that banks on net are reporting tightening lending standards for commercial real estate loans over the quarter, and decreasing percentages indicate that banks on net are reporting easing standards for commercial real estate loans over the quarter. There is one variable charted on the plot and it is the net percentage of banks reporting in the Senior Loan Officer Opinion Survey on Bank Lending Practices. It is represented by a solid black line. It begins at 0 and dips briefly negative in 1997 and through the first half of 1998 before spiking to 45 in the second half of 1998. It declines to around 2 percent during 1999 before increasing again over 2000, reaching around 52 percent in 2000:Q4. It then steadily declines, passing into negatives in the second half of 2003. It reaches around negative 25 percent in late 2004 before rising steadily and passing 0 in early 2006. It then increases rapidly to around 90 in late 2008. In 2009, it decreases rapidly and passes zero in mid-2010 before reaching around -16 in 2011. It remains in a range from around negative 5 to around negative 20 until mid-2015, when it begins to rise again, passing zero in late 2015. It increases quickly and hits around 27 in mid-2016, before falling again. It dips negative again in early 2018 but becomes positive by the end of 2018 and reaches around 14 percent in late 2019 before falling close to zero at the end of 2019. In 2020:Q1, it spikes to around 75 percent before falling rapidly for the rest of 2020 to end around 20 in 2020:Q4.

Note: Banks’ responses are weighted by their commercial real estate loan market shares. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001–November 2001, December 2007–June 2009 and February 2020–present. As of the publication of this report, the NBER has not declared an end to the current recession. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter.

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

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Figure 1-15. Farmland Prices

2019 dollars per acre

Date Midwest index United States
7/2/1967 2538.36 n.a.
7/2/1968 2662.47 n.a.
7/2/1969 2610.89 n.a.
7/2/1970 2497.36 n.a.
7/2/1971 2334.25 n.a.
7/2/1972 2337.93 n.a.
7/2/1973 2514.38 n.a.
7/2/1974 3035.71 n.a.
7/2/1975 3381.89 n.a.
7/2/1976 3973.00 n.a.
7/2/1977 4768.00 n.a.
7/2/1978 4979.11 n.a.
7/2/1979 5052.55 n.a.
7/2/1980 5056.45 n.a.
7/2/1981 4810.21 n.a.
7/2/1982 4383.49 n.a.
7/2/1983 3721.47 n.a.
7/2/1984 3270.99 n.a.
7/2/1985 2332.55 n.a.
7/2/1986 1852.58 n.a.
7/2/1987 1576.09 n.a.
7/2/1988 1726.44 n.a.
7/2/1989 1889.02 n.a.
7/2/1990 1896.45 n.a.
7/2/1991 1855.21 n.a.
7/2/1992 1860.81 n.a.
7/2/1993 1862.78 n.a.
7/2/1994 2258.93 n.a.
7/2/1995 2179.78 n.a.
7/2/1996 2327.78 n.a.
7/2/1997 2142.17 2022.59
7/2/1998 2264.08 2101.56
7/2/1999 2285.87 2148.54
7/2/2000 2255.57 2167.64
7/2/2001 2239.50 2180.46
7/2/2002 2273.27 2259.92
7/2/2003 2303.14 2306.41
7/2/2004 2407.04 2368.29
7/2/2005 2781.21 2697.03
7/2/2006 2999.65 3031.41
7/2/2007 3324.02 3119.43
7/2/2008 3709.13 3277.97
7/2/2009 3525.00 3181.27
7/2/2010 3712.79 3165.21
7/2/2011 4309.02 3387.11
7/2/2012 5046.13 3730.32
7/2/2013 5777.91 4181.25
7/2/2014 6215.96 4417.17
7/2/2015 5968.82 4422.62
7/2/2016 5688.56 4303.65
7/2/2017 5512.78 4203.11
7/2/2018 5379.57 4123.38
7/2/2019 5279.36 4100.00
7/2/2020 5144.82 4032.69

Note: The data for the United States start in 1997. Midwest index is a weighted average of Corn Belt and Great Plains states that comes from staff calculations. Values are given in real terms. The data extend through July 2020.

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

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

Ratio

Date Midwest index United States
7/2/1967 14.13 n.a.
7/2/1968 14.20 n.a.
7/2/1969 14.20 n.a.
7/2/1970 13.99 n.a.
7/2/1971 13.51 n.a.
7/2/1972 13.40 n.a.
7/2/1973 14.17 n.a.
7/2/1974 14.53 n.a.
7/2/1975 14.60 n.a.
7/2/1976 16.16 n.a.
7/2/1977 18.02 n.a.
7/2/1978 19.56 n.a.
7/2/1979 20.58 n.a.
7/2/1980 21.55 n.a.
7/2/1981 21.25 n.a.
7/2/1982 19.56 n.a.
7/2/1983 17.42 n.a.
7/2/1984 15.95 n.a.
7/2/1985 13.00 n.a.
7/2/1986 11.90 n.a.
7/2/1987 11.72 n.a.
7/2/1988 12.52 n.a.
7/2/1989 13.30 n.a.
7/2/1990 13.41 n.a.
7/2/1991 13.51 n.a.
7/2/1992 13.74 n.a.
7/2/1993 13.89 n.a.
7/2/1994 17.97 n.a.
7/2/1995 17.35 n.a.
7/2/1996 18.36 n.a.
7/2/1997 16.67 n.a.
7/2/1998 17.47 20.15
7/2/1999 18.20 20.74
7/2/2000 17.84 20.86
7/2/2001 17.95 21.27
7/2/2002 18.18 22.21
7/2/2003 18.63 22.74
7/2/2004 19.45 22.88
7/2/2005 22.50 26.41
7/2/2006 24.61 30.06
7/2/2007 25.78 32.65
7/2/2008 26.32 32.28
7/2/2009 24.43 26.97
7/2/2010 25.44 26.47
7/2/2011 27.84 26.85
7/2/2012 28.48 26.80
7/2/2013 30.45 28.01
7/2/2014 32.19 29.01
7/2/2015 31.64 28.47
7/2/2016 32.10 29.71
7/2/2017 32.28 29.63
7/2/2018 31.89 29.35
7/2/2019 32.05 29.29
7/2/2020 31.90 29.50

Note: The data for the United States start in 1998. Midwest index is the weighted average of Corn Belt and Great Plains states. The data are through July 2020.

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

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Figure 1-17. Growth of Nominal Prices of Existing Homes

Twelve-month percent change

Date Zillow Core Logic
1/16/2011 -4.03 -3.56
2/15/2011 -4.44 -3.51
3/16/2011 -4.91 -4.32
4/16/2011 -5.48 -4.52
5/16/2011 -6.02 -4.40
6/16/2011 -6.38 -3.89
7/16/2011 -6.36 -3.04
8/16/2011 -6.18 -2.29
9/16/2011 -5.86 -1.60
10/16/2011 -5.56 -1.34
11/16/2011 -5.18 -1.32
12/16/2011 -4.82 -0.94
1/16/2012 -4.40 -0.33
2/15/2012 -3.95 0.60
3/16/2012 -3.36 1.93
4/16/2012 -2.62 2.71
5/16/2012 -1.77 3.38
6/16/2012 -0.99 3.78
7/16/2012 -0.33 4.12
8/16/2012 0.26 4.67
9/16/2012 0.83 5.30
10/16/2012 1.48 6.00
11/16/2012 2.17 6.96
12/16/2012 2.91 7.78
1/16/2013 3.65 8.66
2/15/2013 4.36 9.34
3/16/2013 5.02 9.91
4/16/2013 5.59 9.93
5/16/2013 6.10 9.72
6/16/2013 6.63 9.34
7/16/2013 7.14 9.40
8/16/2013 7.62 9.56
9/16/2013 8.01 9.86
10/16/2013 8.30 10.07
11/16/2013 8.45 10.02
12/16/2013 8.49 9.85
1/16/2014 8.43 9.78
2/15/2014 8.32 9.72
3/16/2014 8.03 8.89
4/16/2014 7.63 7.93
5/16/2014 7.17 7.01
6/16/2014 6.72 6.30
7/16/2014 6.24 5.71
8/16/2014 5.73 5.31
9/16/2014 5.24 5.07
10/16/2014 4.85 5.09
11/16/2014 4.60 5.05
12/16/2014 4.43 4.99
1/16/2015 4.27 5.00
2/15/2015 4.15 5.08
3/16/2015 4.21 5.18
4/16/2015 4.36 5.20
5/16/2015 4.54 5.18
6/16/2015 4.64 5.17
7/16/2015 4.74 5.05
8/16/2015 4.91 5.05
9/16/2015 5.10 5.23
10/16/2015 5.23 5.31
11/16/2015 5.24 5.38
12/16/2015 5.28 5.51
1/16/2016 5.38 5.62
2/15/2016 5.47 5.62
3/16/2016 5.44 5.57
4/16/2016 5.41 5.54
5/16/2016 5.39 5.37
6/16/2016 5.45 5.15
7/16/2016 5.53 5.14
8/16/2016 5.59 5.14
9/16/2016 5.64 5.19
10/16/2016 5.69 5.32
11/16/2016 5.83 5.44
12/16/2016 5.92 5.45
1/16/2017 5.95 5.50
2/15/2017 5.95 5.66
3/16/2017 6.06 5.71
4/16/2017 6.17 5.64
5/16/2017 6.26 5.63
6/16/2017 6.32 5.73
7/16/2017 6.34 5.76
8/16/2017 6.36 5.83
9/16/2017 6.41 5.90
10/16/2017 6.47 5.97
11/16/2017 6.51 6.05
12/16/2017 6.55 6.05
1/16/2018 6.59 6.00
2/15/2018 6.65 6.21
3/16/2018 6.68 6.42
4/16/2018 6.70 6.37
5/16/2018 6.73 6.25
6/16/2018 6.73 5.97
7/16/2018 6.73 5.74
8/16/2018 6.63 5.48
9/16/2018 6.46 5.30
10/16/2018 6.23 5.21
11/16/2018 5.97 4.92
12/16/2018 5.74 4.58
1/16/2019 5.56 4.35
2/15/2019 5.33 4.13
3/16/2019 5.05 3.86
4/16/2019 4.75 3.76
5/16/2019 4.55 3.74
6/16/2019 4.42 3.62
7/16/2019 4.29 3.55
8/16/2019 4.14 3.61
9/16/2019 3.99 3.64
10/16/2019 3.86 3.66
11/16/2019 3.75 3.82
12/16/2019 3.68 4.01
1/16/2020 3.69 4.13
2/15/2020 3.79 4.25
3/16/2020 3.99 4.60
4/16/2020 4.21 4.57
5/16/2020 4.32 4.15
6/16/2020 4.40 4.43
7/16/2020 4.63 5.16
8/16/2020 5.14 5.76
9/16/2020 5.84 6.53
10/16/2020 6.63 7.35
11/16/2020 7.51 8.11
12/16/2020 8.37 9.02
1/16/2021 9.12 9.69
2/15/2021 9.87 10.43

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data.

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Figure 1-18. House Price Valuation Measure
Date Percent
1979:Q1 -0.97
1979:Q2 0.94
1979:Q3 -0.27
1979:Q4 0.97
1980:Q1 1.09
1980:Q2 1.38
1980:Q3 1.96
1980:Q4 4.34
1981:Q1 4.67
1981:Q2 3.54
1981:Q3 1.76
1981:Q4 1.30
1982:Q1 -1.62
1982:Q2 -0.91
1982:Q3 -0.53
1982:Q4 -0.71
1983:Q1 -0.11
1983:Q2 -0.54
1983:Q3 0.99
1983:Q4 -2.05
1984:Q1 -2.50
1984:Q2 -2.22
1984:Q3 -2.03
1984:Q4 -1.13
1985:Q1 -0.55
1985:Q2 0.70
1985:Q3 1.14
1985:Q4 0.45
1986:Q1 0.99
1986:Q2 0.00
1986:Q3 1.47
1986:Q4 1.38
1987:Q1 1.51
1987:Q2 -1.01
1987:Q3 0.45
1987:Q4 0.28
1988:Q1 -0.11
1988:Q2 1.82
1988:Q3 1.18
1988:Q4 1.98
1989:Q1 1.43
1989:Q2 3.28
1989:Q3 2.31
1989:Q4 1.98
1990:Q1 1.74
1990:Q2 0.09
1990:Q3 -0.75
1990:Q4 -0.80
1991:Q1 -1.22
1991:Q2 -1.00
1991:Q3 -2.04
1991:Q4 -3.57
1992:Q1 -4.17
1992:Q2 -4.86
1992:Q3 -4.87
1992:Q4 -6.22
1993:Q1 -5.95
1993:Q2 -5.58
1993:Q3 -5.00
1993:Q4 -4.63
1994:Q1 -4.50
1994:Q2 -5.36
1994:Q3 -6.67
1994:Q4 -5.89
1995:Q1 -6.00
1995:Q2 -4.22
1995:Q3 -2.90
1995:Q4 -3.06
1996:Q1 -3.45
1996:Q2 -4.73
1996:Q3 -4.61
1996:Q4 -5.41
1997:Q1 -5.23
1997:Q2 -4.64
1997:Q3 -3.94
1997:Q4 -5.08
1998:Q1 -4.76
1998:Q2 -3.14
1998:Q3 -3.61
1998:Q4 -2.37
1999:Q1 -2.38
1999:Q2 -1.21
1999:Q3 -0.99
1999:Q4 -0.91
2000:Q1 0.56
2000:Q2 1.58
2000:Q3 3.79
2000:Q4 4.55
2001:Q1 5.39
2001:Q2 5.97
2001:Q3 5.62
2001:Q4 4.50
2002:Q1 4.20
2002:Q2 5.00
2002:Q3 5.56
2002:Q4 7.32
2003:Q1 8.51
2003:Q2 9.74
2003:Q3 10.44
2003:Q4 10.69
2004:Q1 12.63
2004:Q2 13.91
2004:Q3 16.68
2004:Q4 19.55
2005:Q1 21.28
2005:Q2 24.59
2005:Q3 27.19
2005:Q4 28.13
2006:Q1 29.16
2006:Q2 29.37
2006:Q3 29.41
2006:Q4 29.14
2007:Q1 27.77
2007:Q2 26.70
2007:Q3 25.55
2007:Q4 22.92
2008:Q1 20.11
2008:Q2 16.32
2008:Q3 13.27
2008:Q4 9.65
2009:Q1 5.26
2009:Q2 3.08
2009:Q3 0.88
2009:Q4 -0.57
2010:Q1 -0.78
2010:Q2 -0.02
2010:Q3 -1.65
2010:Q4 -4.94
2011:Q1 -7.24
2011:Q2 -9.54
2011:Q3 -12.12
2011:Q4 -13.37
2012:Q1 -13.46
2012:Q2 -13.53
2012:Q3 -14.50
2012:Q4 -13.05
2013:Q1 -12.26
2013:Q2 -10.86
2013:Q3 -9.78
2013:Q4 -8.41
2014:Q1 -6.97
2014:Q2 -6.91
2014:Q3 -4.98
2014:Q4 -4.65
2015:Q1 -4.01
2015:Q2 -4.52
2015:Q3 -4.43
2015:Q4 -4.35
2016:Q1 -3.13
2016:Q2 -2.35
2016:Q3 -2.19
2016:Q4 -1.48
2017:Q1 -1.15
2017:Q2 0.37
2017:Q3 0.81
2017:Q4 2.41
2018:Q1 3.76
2018:Q2 3.75
2018:Q3 4.34
2018:Q4 3.95
2019:Q1 5.08
2019:Q2 4.86
2019:Q3 4.24
2019:Q4 4.30
2020:Q1 4.24
2020:Q2 5.24
2020:Q3 6.15
2020:Q4 8.47
2021:Q1 9.63

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

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

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

Jan. 2010 = 100

Date Phoenix Miami Los Angeles Median 90th Percentile 10th Percentile
1/16/2002 108.94 118.67 91.02 99.24 118.67 84.37
2/15/2002 109.34 119.47 91.64 99.52 119.47 84.80
3/16/2002 109.84 119.99 92.33 99.75 119.99 85.42
4/16/2002 110.39 120.69 93.26 100.04 120.69 85.89
5/16/2002 110.77 121.04 94.09 100.36 121.04 86.29
6/16/2002 111.36 121.97 94.97 100.68 121.97 86.87
7/16/2002 111.86 122.44 96.01 100.96 122.44 87.36
8/16/2002 112.23 123.56 97.27 101.11 123.56 87.95
9/16/2002 112.49 124.03 98.24 101.34 124.03 87.87
10/16/2002 112.82 124.90 99.18 101.76 124.90 88.62
11/16/2002 113.28 125.79 100.26 102.22 125.79 88.55
12/16/2002 113.72 127.27 101.40 102.66 127.27 89.43
1/16/2003 114.23 128.67 102.41 103.08 128.67 90.12
2/15/2003 114.69 130.01 103.45 103.53 130.01 90.93
3/16/2003 115.12 131.58 104.60 104.36 131.58 91.52
4/16/2003 115.63 133.29 105.72 104.45 133.29 92.18
5/16/2003 115.92 134.80 106.98 105.06 134.80 93.18
6/16/2003 116.33 135.85 107.95 106.09 135.85 93.88
7/16/2003 116.50 137.27 109.14 106.73 137.27 94.76
8/16/2003 116.68 138.19 110.21 107.37 138.19 95.32
9/16/2003 117.13 139.75 111.74 107.74 139.75 95.89
10/16/2003 117.67 140.99 113.25 108.69 140.99 96.90
11/16/2003 118.38 142.52 114.97 109.96 142.52 98.11
12/16/2003 118.90 143.32 116.79 111.29 143.32 99.18
1/16/2004 119.61 145.10 118.83 112.40 145.10 100.08
2/15/2004 120.45 147.02 121.03 113.57 147.02 101.23
3/16/2004 121.52 148.63 123.13 114.72 148.63 102.39
4/16/2004 122.68 149.87 125.31 116.01 149.87 103.67
5/16/2004 123.72 151.41 127.59 117.54 151.41 105.71
6/16/2004 124.70 153.12 130.07 118.43 153.12 106.45
7/16/2004 126.03 155.19 132.42 120.17 155.19 106.77
8/16/2004 127.49 157.40 133.89 120.79 157.40 106.93
9/16/2004 128.84 159.57 135.83 121.56 159.57 106.85
10/16/2004 130.42 162.10 137.58 122.63 162.10 107.03
11/16/2004 132.33 163.01 138.84 123.87 163.01 107.05
12/16/2004 135.15 165.13 140.27 124.83 165.13 106.88
1/16/2005 138.52 166.56 141.36 124.96 166.56 107.50
2/15/2005 142.23 168.88 142.73 125.57 168.88 107.63
3/16/2005 145.76 171.06 143.99 126.00 171.06 107.72
4/16/2005 149.69 173.20 144.90 126.72 173.20 107.72
5/16/2005 153.46 176.39 145.93 127.47 176.39 107.95
6/16/2005 158.84 179.85 147.23 127.73 177.08 108.81
7/16/2005 164.55 182.60 148.73 128.15 177.06 108.39
8/16/2005 170.25 184.97 150.27 128.84 176.70 108.83
9/16/2005 176.34 188.29 152.01 129.69 175.93 109.09
10/16/2005 181.10 190.89 153.81 130.31 176.50 108.84
11/16/2005 186.26 193.15 155.05 130.63 176.35 109.38
12/16/2005 188.86 195.03 156.60 131.36 176.91 109.35
1/16/2006 190.24 197.42 157.76 131.91 177.20 109.90
2/15/2006 188.80 198.89 158.44 132.60 177.05 110.12
3/16/2006 187.85 200.98 158.74 133.04 176.54 110.02
4/16/2006 186.98 203.39 158.40 133.61 177.19 110.05
5/16/2006 186.19 206.14 159.28 133.35 177.79 110.09
6/16/2006 184.72 206.52 159.56 133.60 177.89 110.49
7/16/2006 182.17 206.39 158.82 134.20 177.48 110.70
8/16/2006 179.70 206.91 158.54 134.33 177.11 110.95
9/16/2006 176.73 205.97 157.33 133.56 175.79 110.60
10/16/2006 174.69 204.73 156.43 133.31 174.35 110.28
11/16/2006 172.56 204.26 155.36 133.25 172.22 110.51
12/16/2006 170.79 202.72 153.85 133.58 169.89 110.68
1/16/2007 169.16 201.57 152.99 133.59 167.86 110.83
2/15/2007 168.39 199.49 151.85 133.77 167.12 109.85
3/16/2007 167.88 196.94 150.52 133.54 166.10 109.79
4/16/2007 167.67 193.40 149.76 132.93 164.67 109.64
5/16/2007 166.54 189.89 148.62 132.41 163.07 109.40
6/16/2007 165.05 186.34 147.44 131.49 161.98 109.46
7/16/2007 163.09 183.00 145.92 130.48 161.06 109.52
8/16/2007 161.43 179.04 143.82 129.79 160.45 109.47
9/16/2007 159.56 175.96 141.56 129.14 158.68 109.93
10/16/2007 157.37 173.46 139.25 128.52 157.07 109.90
11/16/2007 154.53 169.93 137.24 127.72 155.28 110.24
12/16/2007 151.53 167.03 135.24 126.60 153.52 109.74
1/16/2008 148.58 163.61 132.87 125.86 151.99 108.99
2/15/2008 145.21 159.83 129.98 124.43 150.52 108.29
3/16/2008 141.71 155.12 126.99 123.79 148.70 106.78
4/16/2008 137.61 151.62 123.32 122.12 145.69 105.86
5/16/2008 134.52 147.49 119.87 119.87 142.66 104.98
6/16/2008 131.39 143.46 116.45 118.18 139.55 104.01
7/16/2008 128.14 139.82 113.74 116.21 136.32 103.82
8/16/2008 124.45 136.28 111.51 114.25 133.31 103.28
9/16/2008 121.02 132.24 109.43 112.15 129.96 102.23
10/16/2008 118.19 128.27 107.35 110.80 127.85 101.17
11/16/2008 115.82 124.23 104.88 109.28 124.23 100.79
12/16/2008 113.06 120.80 102.43 108.01 120.80 100.35
1/16/2009 110.76 117.11 100.42 106.36 117.11 99.75
2/15/2009 109.26 114.43 99.23 105.66 114.43 99.23
3/16/2009 107.56 111.91 98.45 104.27 111.91 99.13
4/16/2009 106.12 109.45 97.97 103.15 109.45 98.34
5/16/2009 104.10 107.46 97.45 102.46 107.46 97.63
6/16/2009 102.76 105.86 96.94 101.18 105.86 96.94
7/16/2009 102.01 104.51 96.69 100.72 104.51 96.69
8/16/2009 101.33 103.20 97.19 99.90 103.20 97.13
9/16/2009 100.82 102.11 97.43 100.03 102.11 96.98
10/16/2009 99.44 101.47 97.99 100.00 101.47 97.57
11/16/2009 99.55 101.43 98.63 100.20 101.00 98.63
12/16/2009 99.49 100.46 99.83 99.98 100.46 99.40
1/16/2010 100.00 100.00 100.00 100.00 100.00 100.00
2/15/2010 99.46 99.51 99.53 99.98 100.46 99.51
3/16/2010 98.69 99.57 99.85 100.05 100.74 99.30
4/16/2010 98.70 98.88 100.20 100.16 101.19 98.88
5/16/2010 98.44 98.59 101.06 99.86 101.18 98.50
6/16/2010 98.22 97.26 100.78 99.67 101.20 98.36
7/16/2010 96.69 96.59 100.35 99.29 100.61 97.35
8/16/2010 95.40 95.82 99.27 98.60 100.44 96.57
9/16/2010 93.67 95.03 98.40 97.68 99.92 95.55
10/16/2010 92.80 94.14 97.77 97.01 99.33 94.36
11/16/2010 91.63 93.10 96.77 96.33 98.85 93.31
12/16/2010 90.15 91.74 96.35 95.70 98.39 92.59
1/16/2011 88.58 91.29 95.70 94.90 97.90 91.73
2/15/2011 87.20 90.59 95.86 94.36 97.52 90.59
3/16/2011 86.33 89.96 95.25 93.74 97.26 89.85
4/16/2011 85.01 89.33 94.47 93.46 96.59 88.69
5/16/2011 83.65 88.73 93.30 92.47 96.02 87.79
6/16/2011 82.08 88.51 92.79 91.09 95.33 86.21
7/16/2011 81.43 88.07 92.51 90.56 94.51 85.32
8/16/2011 81.26 87.57 92.35 89.91 94.00 84.81
9/16/2011 81.26 87.33 91.64 89.62 93.98 84.25
10/16/2011 81.31 87.24 90.95 88.93 93.55 83.82
11/16/2011 81.54 87.20 90.85 88.73 93.15 83.37
12/16/2011 82.28 87.05 90.39 88.45 93.00 82.50
1/16/2012 82.87 87.11 89.95 87.82 92.83 81.94
2/15/2012 83.74 86.98 89.37 87.23 92.72 81.03
3/16/2012 84.08 86.73 88.79 86.99 92.79 80.63
4/16/2012 85.82 86.85 88.59 87.29 92.89 80.41
5/16/2012 88.17 87.19 88.78 87.97 92.88 80.32
6/16/2012 90.50 87.48 89.02 89.02 92.78 80.96
7/16/2012 92.29 87.78 89.50 89.50 93.26 81.54
8/16/2012 93.83 88.32 90.06 89.82 93.69 81.99
9/16/2012 95.72 89.05 90.75 89.64 94.08 82.67
10/16/2012 97.43 89.57 91.77 89.57 94.54 83.45
11/16/2012 99.45 90.45 92.63 90.45 95.08 83.65
12/16/2012 100.23 91.16 93.75 91.16 96.12 83.77
1/16/2013 101.55 92.15 94.90 91.25 96.88 84.25
2/15/2013 102.19 93.37 96.63 91.63 97.94 84.41
3/16/2013 103.44 94.75 98.50 91.81 99.17 84.56
4/16/2013 104.28 95.99 100.50 92.08 100.92 84.44
5/16/2013 105.17 97.16 102.09 92.94 102.72 84.34
6/16/2013 106.27 98.42 103.81 93.60 104.48 84.26
7/16/2013 107.77 99.71 105.38 94.36 106.42 84.18
8/16/2013 109.17 101.23 107.17 94.88 108.50 84.26
9/16/2013 110.18 101.89 108.63 95.33 109.62 84.26
10/16/2013 110.89 103.40 109.78 96.62 110.27 84.43
11/16/2013 111.17 104.77 110.67 97.04 110.67 84.47
12/16/2013 111.80 106.36 111.35 97.81 111.44 84.70
1/16/2014 112.68 107.58 111.97 98.63 112.80 84.87
2/15/2014 114.09 108.24 111.88 99.17 113.97 85.60
3/16/2014 114.05 109.01 112.04 99.49 114.96 85.91
4/16/2014 113.75 109.61 111.77 99.81 115.30 85.93
5/16/2014 113.42 110.14 111.73 100.00 115.90 85.96
6/16/2014 113.19 110.50 111.52 99.96 115.53 86.06
7/16/2014 112.64 111.14 111.41 100.35 115.45 86.00
8/16/2014 112.26 111.90 111.14 100.27 115.84 85.92
9/16/2014 111.67 112.28 111.00 100.57 116.22 85.67
10/16/2014 111.63 113.01 110.83 100.80 116.55 85.32
11/16/2014 112.19 112.65 111.00 101.31 117.12 85.19
12/16/2014 112.74 112.97 111.40 101.59 117.61 85.44
1/16/2015 112.76 113.10 111.85 101.82 117.87 85.22
2/15/2015 112.59 113.43 112.37 101.96 118.46 85.09
3/16/2015 112.97 113.57 112.75 102.01 119.48 85.03
4/16/2015 113.89 114.17 113.10 102.10 120.37 85.04
5/16/2015 114.68 114.84 113.28 102.07 121.26 85.05
6/16/2015 114.78 115.10 113.40 102.28 122.10 84.90
7/16/2015 115.26 115.28 113.63 102.43 122.99 84.80
8/16/2015 115.78 115.44 114.01 102.75 123.85 84.93
9/16/2015 116.50 115.77 114.58 102.94 123.74 84.76
10/16/2015 116.71 116.19 114.93 103.15 124.09 85.34
11/16/2015 116.88 116.76 115.16 103.31 124.21 85.19
12/16/2015 117.01 117.03 115.51 103.50 124.80 85.16
1/16/2016 117.66 117.60 115.58 104.01 125.33 84.98
2/15/2016 118.10 117.96 115.89 104.41 125.61 85.05
3/16/2016 117.97 118.21 115.61 105.10 125.92 85.07
4/16/2016 118.12 118.22 116.25 105.58 126.62 85.20
5/16/2016 118.34 119.00 116.40 105.82 126.68 85.14
6/16/2016 118.55 119.83 116.55 105.92 126.51 85.38
7/16/2016 118.31 120.49 116.50 105.68 125.63 85.66
8/16/2016 118.39 120.76 116.80 105.50 124.42 85.75
9/16/2016 118.56 121.06 117.13 104.99 123.31 86.09
10/16/2016 119.09 121.25 117.54 105.32 123.66 86.46
11/16/2016 119.61 121.16 117.47 105.46 123.52 86.72
12/16/2016 119.93 121.43 117.35 105.95 123.42 86.88
1/16/2017 119.90 121.89 117.37 106.40 123.13 87.11
2/15/2017 120.06 122.13 117.42 106.86 123.55 86.56
3/16/2017 120.10 122.11 118.01 107.27 123.84 86.44
4/16/2017 120.36 122.35 118.23 107.90 123.82 86.54
5/16/2017 120.50 122.51 118.88 108.63 124.20 86.69
6/16/2017 120.67 122.73 119.27 109.45 124.65 87.04
7/16/2017 121.16 122.74 119.23 109.86 125.55 87.16
8/16/2017 121.34 122.83 119.28 110.20 126.31 87.31
9/16/2017 121.66 123.31 119.37 110.64 127.53 87.65
10/16/2017 121.89 123.68 119.43 110.59 128.17 88.02
11/16/2017 122.25 123.94 119.78 110.70 129.78 88.28
12/16/2017 122.65 124.09 120.20 110.58 131.07 88.61
1/16/2018 122.09 124.23 120.44 110.69 132.49 88.75
2/15/2018 122.45 124.61 120.82 110.87 133.54 89.01
3/16/2018 122.49 125.32 121.00 111.47 134.53 89.35
4/16/2018 122.36 125.72 121.00 111.79 136.08 89.54
5/16/2018 122.86 126.11 121.26 112.00 137.52 89.84
6/16/2018 122.93 125.56 121.37 112.86 137.96 89.86
7/16/2018 123.09 126.12 121.46 113.28 138.54 90.01
8/16/2018 123.21 126.35 121.16 113.76 138.85 90.23
9/16/2018 123.35 126.49 120.37 114.05 138.87 90.31
10/16/2018 123.25 125.78 120.06 114.26 138.88 90.39
11/16/2018 123.25 125.85 119.67 114.24 137.76 90.54
12/16/2018 123.22 125.97 119.10 113.95 136.21 90.37
1/16/2019 123.34 126.10 118.46 113.98 134.61 90.48
2/15/2019 123.23 125.09 117.19 112.91 134.00 90.45
3/16/2019 123.27 124.67 116.34 111.94 132.97 90.52
4/16/2019 123.08 124.46 115.75 110.72 132.29 90.47
5/16/2019 123.55 124.21 116.11 110.90 132.48 90.70
6/16/2019 124.15 124.00 116.13 111.08 132.86 90.90
7/16/2019 124.05 124.08 116.20 110.78 132.79 90.86
8/16/2019 123.67 124.28 115.93 110.64 132.00 90.71
9/16/2019 123.49 124.29 115.71 110.32 131.31 90.39
10/16/2019 123.68 124.51 115.72 110.04 130.91 90.08
11/16/2019 123.52 125.05 115.40 110.30 130.69 89.82
12/16/2019 123.93 125.24 115.45 111.05 131.09 89.50
1/16/2020 124.60 125.15 115.88 111.72 131.70 89.44
2/16/2020 125.47 125.77 116.45 112.22 131.83 89.28
3/16/2020 126.11 126.06 117.21 112.92 132.28 89.28
4/16/2020 127.08 126.23 117.46 113.49 132.97 89.31
5/16/2020 127.79 126.04 117.45 114.09 132.06 89.14
6/16/2020 128.94 126.77 117.33 114.89 131.69 89.19
7/16/2020 130.20 127.27 117.96 115.87 131.59 89.46
8/16/2020 131.94 127.05 119.27 117.23 132.76 89.63
9/16/2020 133.38 127.68 120.62 118.66 133.56 90.36
10/16/2020 135.17 128.34 121.70 119.47 134.24 91.12
11/16/2020 137.24 128.93 123.04 120.47 135.34 91.93
12/16/2020 138.81 129.48 124.14 121.67 136.34 92.64
1/16/2021 140.91 130.42 125.06 122.62 137.04 93.16
2/15/2021 142.97 131.26 125.87 123.56 137.70 93.94

Note: The data are seasonally adjusted. The data for Phoenix start in 2002. Monthly rent values for Phoenix are interpolated from semiannual numbers. Percentiles are based on 19 metropolitan statistical areas.

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

Return to text
Figure 2-1. Private Nonfinancial-Sector Credit-to-GDP Ratio

Ratio

Period Private Nonfinancial-Sector Credit-to-GDP Ratio
1980:Q1 0.98
1980:Q2 0.99
1980:Q3 0.98
1980:Q4 0.97
1981:Q1 0.94
1981:Q2 0.96
1981:Q3 0.96
1981:Q4 0.97
1982:Q1 0.99
1982:Q2 0.99
1982:Q3 1.00
1982:Q4 1.00
1983:Q1 1.00
1983:Q2 0.99
1983:Q3 0.99
1983:Q4 0.99
1984:Q1 0.99
1984:Q2 1.00
1984:Q3 1.02
1984:Q4 1.04
1985:Q1 1.05
1985:Q2 1.07
1985:Q3 1.08
1985:Q4 1.10
1986:Q1 1.11
1986:Q2 1.13
1986:Q3 1.15
1986:Q4 1.17
1987:Q1 1.18
1987:Q2 1.18
1987:Q3 1.19
1987:Q4 1.18
1988:Q1 1.19
1988:Q2 1.20
1988:Q3 1.20
1988:Q4 1.20
1989:Q1 1.20
1989:Q2 1.21
1989:Q3 1.21
1989:Q4 1.22
1990:Q1 1.22
1990:Q2 1.22
1990:Q3 1.22
1990:Q4 1.23
1991:Q1 1.23
1991:Q2 1.22
1991:Q3 1.21
1991:Q4 1.20
1992:Q1 1.19
1992:Q2 1.18
1992:Q3 1.17
1992:Q4 1.15
1993:Q1 1.15
1993:Q2 1.16
1993:Q3 1.16
1993:Q4 1.15
1994:Q1 1.15
1994:Q2 1.15
1994:Q3 1.15
1994:Q4 1.16
1995:Q1 1.16
1995:Q2 1.18
1995:Q3 1.18
1995:Q4 1.18
1996:Q1 1.19
1996:Q2 1.18
1996:Q3 1.19
1996:Q4 1.18
1997:Q1 1.19
1997:Q2 1.19
1997:Q3 1.19
1997:Q4 1.20
1998:Q1 1.21
1998:Q2 1.23
1998:Q3 1.23
1998:Q4 1.24
1999:Q1 1.25
1999:Q2 1.27
1999:Q3 1.28
1999:Q4 1.28
2000:Q1 1.30
2000:Q2 1.30
2000:Q3 1.32
2000:Q4 1.32
2001:Q1 1.33
2001:Q2 1.35
2001:Q3 1.38
2001:Q4 1.38
2002:Q1 1.39
2002:Q2 1.39
2002:Q3 1.40
2002:Q4 1.41
2003:Q1 1.42
2003:Q2 1.44
2003:Q3 1.43
2003:Q4 1.43
2004:Q1 1.44
2004:Q2 1.45
2004:Q3 1.46
2004:Q4 1.47
2005:Q1 1.47
2005:Q2 1.49
2005:Q3 1.50
2005:Q4 1.51
2006:Q1 1.53
2006:Q2 1.55
2006:Q3 1.57
2006:Q4 1.59
2007:Q1 1.60
2007:Q2 1.62
2007:Q3 1.64
2007:Q4 1.66
2008:Q1 1.69
2008:Q2 1.68
2008:Q3 1.69
2008:Q4 1.70
2009:Q1 1.71
2009:Q2 1.71
2009:Q3 1.69
2009:Q4 1.65
2010:Q1 1.63
2010:Q2 1.60
2010:Q3 1.58
2010:Q4 1.56
2011:Q1 1.56
2011:Q2 1.54
2011:Q3 1.53
2011:Q4 1.51
2012:Q1 1.50
2012:Q2 1.49
2012:Q3 1.49
2012:Q4 1.49
2013:Q1 1.48
2013:Q2 1.48
2013:Q3 1.47
2013:Q4 1.47
2014:Q1 1.48
2014:Q2 1.47
2014:Q3 1.45
2014:Q4 1.45
2015:Q1 1.46
2015:Q2 1.46
2015:Q3 1.46
2015:Q4 1.47
2016:Q1 1.48
2016:Q2 1.48
2016:Q3 1.48
2016:Q4 1.47
2017:Q1 1.48
2017:Q2 1.49
2017:Q3 1.48
2017:Q4 1.48
2018:Q1 1.47
2018:Q2 1.48
2018:Q3 1.48
2018:Q4 1.48
2019:Q1 1.48
2019:Q2 1.48
2019:Q3 1.49
2019:Q4 1.48
2020:Q1 1.54
2020:Q2 1.73
2020:Q3 1.61
2020:Q4 1.60

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990- March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-present. As of the publication of this report, the NBER has not declared an end to the current recession. GDP is gross domestic product.

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

Return to text
Figure 2-2. Nonfinancial Business- and Household-Sector Credit-to-GDP Ratios

Ratio

Period Household (left scale) Nonfinancial Business (right scale)
1980:Q1 0.48 0.50
1980:Q2 0.48 0.50
1980:Q3 0.48 0.50
1980:Q4 0.48 0.49
1981:Q1 0.46 0.48
1981:Q2 0.47 0.50
1981:Q3 0.46 0.50
1981:Q4 0.47 0.51
1982:Q1 0.47 0.52
1982:Q2 0.47 0.52
1982:Q3 0.47 0.53
1982:Q4 0.47 0.53
1983:Q1 0.46 0.53
1983:Q2 0.46 0.53
1983:Q3 0.46 0.53
1983:Q4 0.46 0.53
1984:Q1 0.46 0.53
1984:Q2 0.47 0.54
1984:Q3 0.47 0.55
1984:Q4 0.48 0.56
1985:Q1 0.49 0.56
1985:Q2 0.50 0.57
1985:Q3 0.51 0.57
1985:Q4 0.52 0.58
1986:Q1 0.53 0.58
1986:Q2 0.54 0.60
1986:Q3 0.55 0.60
1986:Q4 0.56 0.62
1987:Q1 0.56 0.62
1987:Q2 0.56 0.62
1987:Q3 0.57 0.62
1987:Q4 0.56 0.62
1988:Q1 0.57 0.63
1988:Q2 0.57 0.63
1988:Q3 0.57 0.63
1988:Q4 0.57 0.63
1989:Q1 0.57 0.63
1989:Q2 0.57 0.63
1989:Q3 0.58 0.63
1989:Q4 0.59 0.63
1990:Q1 0.59 0.63
1990:Q2 0.59 0.63
1990:Q3 0.59 0.63
1990:Q4 0.60 0.63
1991:Q1 0.61 0.62
1991:Q2 0.61 0.61
1991:Q3 0.61 0.60
1991:Q4 0.61 0.59
1992:Q1 0.61 0.58
1992:Q2 0.61 0.57
1992:Q3 0.60 0.56
1992:Q4 0.60 0.55
1993:Q1 0.61 0.55
1993:Q2 0.61 0.55
1993:Q3 0.61 0.55
1993:Q4 0.61 0.54
1994:Q1 0.61 0.54
1994:Q2 0.61 0.54
1994:Q3 0.61 0.54
1994:Q4 0.62 0.54
1995:Q1 0.62 0.54
1995:Q2 0.63 0.55
1995:Q3 0.63 0.55
1995:Q4 0.63 0.55
1996:Q1 0.64 0.55
1996:Q2 0.64 0.55
1996:Q3 0.64 0.55
1996:Q4 0.64 0.54
1997:Q1 0.64 0.55
1997:Q2 0.64 0.55
1997:Q3 0.64 0.55
1997:Q4 0.64 0.56
1998:Q1 0.65 0.57
1998:Q2 0.65 0.58
1998:Q3 0.65 0.58
1998:Q4 0.65 0.58
1999:Q1 0.66 0.59
1999:Q2 0.67 0.60
1999:Q3 0.67 0.61
1999:Q4 0.67 0.61
2000:Q1 0.68 0.62
2000:Q2 0.68 0.62
2000:Q3 0.69 0.63
2000:Q4 0.69 0.63
2001:Q1 0.70 0.63
2001:Q2 0.71 0.64
2001:Q3 0.73 0.64
2001:Q4 0.74 0.64
2002:Q1 0.75 0.64
2002:Q2 0.75 0.64
2002:Q3 0.76 0.63
2002:Q4 0.78 0.63
2003:Q1 0.79 0.63
2003:Q2 0.81 0.62
2003:Q3 0.82 0.61
2003:Q4 0.82 0.60
2004:Q1 0.84 0.61
2004:Q2 0.85 0.60
2004:Q3 0.85 0.60
2004:Q4 0.87 0.60
2005:Q1 0.87 0.60
2005:Q2 0.88 0.61
2005:Q3 0.89 0.61
2005:Q4 0.90 0.61
2006:Q1 0.91 0.61
2006:Q2 0.93 0.62
2006:Q3 0.94 0.63
2006:Q4 0.95 0.64
2007:Q1 0.95 0.65
2007:Q2 0.96 0.66
2007:Q3 0.97 0.68
2007:Q4 0.97 0.69
2008:Q1 0.98 0.70
2008:Q2 0.97 0.71
2008:Q3 0.97 0.72
2008:Q4 0.97 0.73
2009:Q1 0.98 0.74
2009:Q2 0.98 0.73
2009:Q3 0.97 0.72
2009:Q4 0.95 0.69
2010:Q1 0.94 0.69
2010:Q2 0.93 0.67
2010:Q3 0.91 0.67
2010:Q4 0.90 0.66
2011:Q1 0.90 0.66
2011:Q2 0.89 0.65
2011:Q3 0.88 0.65
2011:Q4 0.86 0.65
2012:Q1 0.85 0.65
2012:Q2 0.84 0.65
2012:Q3 0.84 0.65
2012:Q4 0.83 0.66
2013:Q1 0.82 0.66
2013:Q2 0.82 0.66
2013:Q3 0.81 0.67
2013:Q4 0.81 0.66
2014:Q1 0.81 0.67
2014:Q2 0.80 0.67
2014:Q3 0.78 0.67
2014:Q4 0.78 0.68
2015:Q1 0.77 0.68
2015:Q2 0.77 0.69
2015:Q3 0.77 0.69
2015:Q4 0.77 0.70
2016:Q1 0.77 0.71
2016:Q2 0.76 0.71
2016:Q3 0.76 0.72
2016:Q4 0.76 0.71
2017:Q1 0.76 0.72
2017:Q2 0.76 0.73
2017:Q3 0.76 0.73
2017:Q4 0.75 0.73
2018:Q1 0.75 0.73
2018:Q2 0.74 0.74
2018:Q3 0.74 0.74
2018:Q4 0.74 0.74
2019:Q1 0.74 0.75
2019:Q2 0.74 0.75
2019:Q3 0.74 0.75
2019:Q4 0.74 0.75
2020:Q1 0.75 0.79
2020:Q2 0.83 0.90
2020:Q3 0.77 0.84
2020:Q4 0.77 0.82

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990- March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-present. As of the publication of this report, the NBER has not declared an end to the current recession. GDP is gross domestic product.

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

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

Percent change, annual rate

Date Growth of Aggregate Debt
1997:Q1 5.08
1997:Q2 5.83
1997:Q3 9.65
1997:Q4 6.56
1998:Q1 10.56
1998:Q2 11.80
1998:Q3 8.51
1998:Q4 8.74
1999:Q1 10.53
1999:Q2 6.45
1999:Q3 10.58
1999:Q4 6.43
2000:Q1 8.66
2000:Q2 9.51
2000:Q3 4.45
2000:Q4 4.77
2001:Q1 1.39
2001:Q2 6.11
2001:Q3 3.22
2001:Q4 1.34
2002:Q1 1.79
2002:Q2 -0.72
2002:Q3 -0.39
2002:Q4 0.98
2003:Q1 0.08
2003:Q2 -0.28
2003:Q3 1.33
2003:Q4 -2.00
2004:Q1 3.69
2004:Q2 1.10
2004:Q3 5.23
2004:Q4 3.91
2005:Q1 4.58
2005:Q2 5.99
2005:Q3 5.10
2005:Q4 6.95
2006:Q1 7.93
2006:Q2 7.15
2006:Q3 4.61
2006:Q4 10.06
2007:Q1 7.90
2007:Q2 11.65
2007:Q3 11.48
2007:Q4 8.09
2008:Q1 5.83
2008:Q2 6.12
2008:Q3 3.62
2008:Q4 0.98
2009:Q1 -3.85
2009:Q2 -5.06
2009:Q3 -6.38
2009:Q4 -6.80
2010:Q1 -3.84
2010:Q2 -3.51
2010:Q3 1.03
2010:Q4 -0.34
2011:Q1 -1.95
2011:Q2 0.80
2011:Q3 1.05
2011:Q4 2.42
2012:Q1 0.75
2012:Q2 2.61
2012:Q3 5.38
2012:Q4 6.25
2013:Q1 0.19
2013:Q2 3.70
2013:Q3 5.56
2013:Q4 1.74
2014:Q1 5.12
2014:Q2 3.94
2014:Q3 5.09
2014:Q4 6.04
2015:Q1 6.58
2015:Q2 6.77
2015:Q3 4.21
2015:Q4 5.17
2016:Q1 6.89
2016:Q2 2.03
2016:Q3 4.37
2016:Q4 0.78
2017:Q1 4.30
2017:Q2 5.70
2017:Q3 4.74
2017:Q4 3.19
2018:Q1 1.40
2018:Q2 0.96
2018:Q3 3.26
2018:Q4 2.70
2019:Q1 5.43
2019:Q2 2.21
2019:Q3 3.87
2019:Q4 0.93
2020:Q1 17.40
2020:Q2 15.90
2020:Q3 -2.86
2020:Q4 -0.49

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

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

Return to text
Figure 2-4. Net Issuance of Risky Business Debt

Billions of dollars

Period Institutional leveraged loans High-yield and unrated bonds
2004:Q2 15.57 -12.79
2004:Q3 6.33 -4.74
2004:Q4 20.88 -14.74
2005:Q1 10.50 2.97
2005:Q2 16.90 -6.40
2005:Q3 7.28 -12.99
2005:Q4 20.61 2.73
2006:Q1 27.16 -13.66
2006:Q2 40.14 12.57
2006:Q3 17.86 -5.60
2006:Q4 66.30 30.51
2007:Q1 40.68 1.69
2007:Q2 54.31 23.35
2007:Q3 25.72 -7.04
2007:Q4 36.06 -10.42
2008:Q1 2.21 -20.14
2008:Q2 26.22 3.04
2008:Q3 6.60 -0.41
2008:Q4 4.80 -23.88
2009:Q1 -11.82 -26.27
2009:Q2 -15.53 1.71
2009:Q3 -13.26 -9.79
2009:Q4 -24.98 -9.41
2010:Q1 -17.85 2.28
2010:Q2 -9.71 13.18
2010:Q3 11.76 14.21
2010:Q4 -15.34 24.80
2011:Q1 -4.49 -0.93
2011:Q2 25.49 16.40
2011:Q3 -5.51 -7.89
2011:Q4 3.91 3.69
2012:Q1 -6.47 23.12
2012:Q2 18.45 -13.61
2012:Q3 -4.38 38.55
2012:Q4 25.96 22.80
2013:Q1 11.30 23.31
2013:Q2 31.31 18.30
2013:Q3 45.16 26.33
2013:Q4 43.54 22.54
2014:Q1 29.44 14.77
2014:Q2 45.62 14.94
2014:Q3 48.42 33.50
2014:Q4 26.18 4.02
2015:Q1 6.46 32.37
2015:Q2 -3.11 3.91
2015:Q3 8.58 -1.20
2015:Q4 28.80 -15.41
2016:Q1 9.09 0.99
2016:Q2 4.99 2.35
2016:Q3 -12.88 -3.04
2016:Q4 7.19 -44.18
2017:Q1 -4.24 9.06
2017:Q2 49.01 -10.84
2017:Q3 13.03 -3.63
2017:Q4 16.81 -2.56
2018:Q1 24.23 0.76
2018:Q2 62.21 -8.16
2018:Q3 46.68 10.02
2018:Q4 48.55 -20.48
2019:Q1 45.53 13.01
2019:Q2 9.20 15.34
2019:Q3 -11.33 11.04
2019:Q4 13.09 7.35
2020:Q1 3.09 3.90
2020:Q2 -11.42 78.64
2020:Q3 14.32 22.30
2020:Q4 -6.17 -2.54
2021:Q1 13.65 15.46

Note: Institutional leveraged loans generally exclude loan commitments held by banks. Key identifies bars in order from top to bottom.

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

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

Percent

Period 75th percentile firms All Firms
2000:Q1 48.23 30.36
2000:Q2 47.96 29.61
2000:Q3 47.49 29.02
2000:Q4 47.01 29.19
2001:Q1 47.51 29.20
2001:Q2 47.46 29.38
2001:Q3 47.33 29.37
2001:Q4 47.14 30.00
2002:Q1 46.12 30.62
2002:Q2 44.45 29.68
2002:Q3 44.03 29.46
2002:Q4 44.40 29.19
2003:Q1 42.83 28.98
2003:Q2 42.18 28.16
2003:Q3 41.72 27.80
2003:Q4 41.51 26.74
2004:Q1 39.46 26.33
2004:Q2 38.93 25.72
2004:Q3 38.73 25.41
2004:Q4 39.17 25.16
2005:Q1 37.81 24.95
2005:Q2 37.84 24.83
2005:Q3 37.48 24.15
2005:Q4 38.32 24.20
2006:Q1 37.42 24.48
2006:Q2 37.77 24.37
2006:Q3 37.71 24.39
2006:Q4 38.57 24.72
2007:Q1 38.03 24.96
2007:Q2 38.65 25.19
2007:Q3 38.67 25.59
2007:Q4 38.93 25.85
2008:Q1 39.08 26.08
2008:Q2 38.81 26.20
2008:Q3 39.99 27.20
2008:Q4 42.59 28.79
2009:Q1 41.56 28.72
2009:Q2 39.94 27.97
2009:Q3 38.48 26.99
2009:Q4 38.74 26.79
2010:Q1 37.01 26.38
2010:Q2 36.69 26.26
2010:Q3 36.29 26.26
2010:Q4 36.97 26.05
2011:Q1 36.14 25.81
2011:Q2 35.62 25.87
2011:Q3 36.37 26.20
2011:Q4 37.74 26.12
2012:Q1 36.97 26.04
2012:Q2 37.22 26.61
2012:Q3 37.47 26.73
2012:Q4 38.79 27.11
2013:Q1 38.04 26.96
2013:Q2 38.24 27.39
2013:Q3 38.50 27.69
2013:Q4 40.09 27.95
2014:Q1 39.21 28.55
2014:Q2 40.28 28.48
2014:Q3 40.79 28.65
2014:Q4 42.15 29.23
2015:Q1 42.27 30.09
2015:Q2 42.02 30.61
2015:Q3 42.51 31.12
2015:Q4 43.82 32.06
2016:Q1 43.78 32.67
2016:Q2 43.67 32.92
2016:Q3 42.96 33.00
2016:Q4 43.10 32.86
2017:Q1 42.70 33.14
2017:Q2 42.19 33.51
2017:Q3 42.07 33.33
2017:Q4 41.94 32.99
2018:Q1 41.94 33.29
2018:Q2 42.13 33.08
2018:Q3 41.58 32.81
2018:Q4 42.45 33.20
2019:Q1 46.27 35.28
2019:Q2 46.50 35.45
2019:Q3 47.27 35.51
2019:Q4 47.20 35.45
2020:Q1 49.87 37.49
2020:Q2 49.10 37.71
2020:Q3 47.10 36.80
2020:Q4 45.82 36.15

Note: Gross leverage is an asset-weighted average of the ratio of firms' book value of total debt to book value of total assets. The 75th percentile is calculated from a sample of the 2,500 largest firms by assets. The dashed sections of the lines in the first quarter of 2019 reflect the structural break in the series due to the 2019 compliance deadline for Financial Accounting Standards Board rule Accounting Standards Update 2016-02. The new accounting standard requires operating leases, previously considered off-balance-sheet activities, to be included in measures of debt and assets.

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

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

Ratio

Period Median 25th percentile
2000:Q1 2.36 0.88
2000:Q2 2.32 0.86
2000:Q3 2.26 0.84
2000:Q4 2.20 0.79
2001:Q1 2.11 0.67
2001:Q2 2.06 0.58
2001:Q3 1.87 0.38
2001:Q4 1.78 0.28
2002:Q1 1.78 0.29
2002:Q2 1.74 0.24
2002:Q3 1.84 0.37
2002:Q4 2.00 0.54
2003:Q1 2.11 0.60
2003:Q2 2.12 0.56
2003:Q3 2.19 0.58
2003:Q4 2.30 0.65
2004:Q1 2.54 0.74
2004:Q2 2.85 0.88
2004:Q3 3.02 1.00
2004:Q4 2.98 0.93
2005:Q1 3.01 0.98
2005:Q2 3.01 0.92
2005:Q3 3.07 0.90
2005:Q4 3.04 0.93
2006:Q1 3.07 0.93
2006:Q2 3.01 0.95
2006:Q3 2.97 0.89
2006:Q4 2.93 0.90
2007:Q1 2.93 0.89
2007:Q2 2.84 0.79
2007:Q3 2.71 0.78
2007:Q4 2.73 0.73
2008:Q1 2.79 0.77
2008:Q2 3.00 0.80
2008:Q3 2.95 0.81
2008:Q4 2.60 0.49
2009:Q1 2.67 0.39
2009:Q2 2.47 0.34
2009:Q3 2.33 0.21
2009:Q4 2.27 0.41
2010:Q1 2.59 0.70
2010:Q2 2.74 0.77
2010:Q3 2.93 0.95
2010:Q4 3.03 1.02
2011:Q1 3.19 1.09
2011:Q2 3.36 1.16
2011:Q3 3.49 1.23
2011:Q4 3.43 1.26
2012:Q1 3.39 1.24
2012:Q2 3.41 1.23
2012:Q3 3.28 1.03
2012:Q4 3.10 0.88
2013:Q1 3.18 0.93
2013:Q2 3.25 0.95
2013:Q3 3.27 0.95
2013:Q4 3.16 0.79
2014:Q1 3.21 0.74
2014:Q2 3.41 0.85
2014:Q3 3.46 0.84
2014:Q4 3.36 0.74
2015:Q1 3.35 0.67
2015:Q2 3.29 0.52
2015:Q3 3.29 0.51
2015:Q4 3.11 0.39
2016:Q1 2.93 0.26
2016:Q2 2.91 0.18
2016:Q3 2.94 0.23
2016:Q4 2.99 0.17
2017:Q1 3.03 0.34
2017:Q2 3.10 0.53
2017:Q3 3.05 0.53
2017:Q4 3.08 0.52
2018:Q1 3.05 0.51
2018:Q2 3.08 0.43
2018:Q3 3.16 0.45
2018:Q4 3.06 0.47
2019:Q1 2.96 0.46
2019:Q2 2.89 0.40
2019:Q3 2.81 0.33
2019:Q4 2.74 0.15
2020:Q1 2.61 -0.25
2020:Q2 2.17 -0.82
2020:Q3 2.24 -0.87
2020:Q4 2.45 -0.95

Note: The interest coverage ratio is earnings before interest and taxes over interest payments. Firms with leverage less than 5 percent and interest payments less than $500,000 are excluded.

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

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Figure 2-7. Default Rates of Leveraged Loans

Percent

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

Note: The data begin in December 1998. The default rate is calculated as the amount in default over the past 12 months divided by the total outstanding volume at the beginning of the 12-month period. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001-November 2001, December 2007-June 2009, and February 2020-present. As of the publication of this report, the NBER has not declared an end to the current recession.

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

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

Percent

Period Debt multiples greater than or equal to 6x Debt multiples 5x-5.99x Debt multiples 4x-4.99x Debt multiples less than or equal to 4x
2001 2.70 10.10 26.20 61.10
2002 5.90 12.20 27.30 54.60
2003 6.70 11.50 29.30 52.60
2004 8.80 17.60 28.60 45.00
2005 8.00 25.10 25.10 41.80
2006 16.30 21.10 26.30 36.40
2007 27.70 17.50 23.70 31.20
2008 10.70 12.10 14.20 63.10
2009 17.70 11.50 17.70 53.10
2010 5.80 17.90 22.60 53.70
2011 14.40 19.20 22.60 43.80
2012 15.80 21.80 26.60 35.90
2013 16.40 23.10 29.00 31.50
2014 27.20 21.50 22.60 28.70
2015 18.90 26.50 24.80 29.90
2016 21.00 24.40 32.60 21.90
2017 22.00 27.60 27.60 22.70
2018 29.70 26.80 24.10 19.50
2019 33.30 23.40 24.00 19.30
2020 28.20 23.70 25.50 22.60
2020:Q1 28.50 20.70 29.30 21.40

Note: Volumes are for large corporations with earnings before interest, taxes, depreciation, and amortization (EBITDA) greater than $50 million and exclude existing tranches of add-ons and amendments as well as restatements with no new money. Key identifies bars in order from top to bottom.

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

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A. PPPLF Advances Outstanding

This figure is titled “PPPLF Advances Outstanding.” It is measured in billions of dollars on the y axis and show business daily data. The x axis ranges from April 2020 to April 2021. The y axis ranges from 0 to 80. The first line is solid and black. It is labeled “To all institutions.” It begins with an upward rise from 0 to about 70 billion dollars from April to July 2020. It then flattens out staying steady around 70 billion dollars until October 2020. The series slowly decreases to about 45 billion dollars by early 2021. It then ticks up to around 60 billion dollars to end on March 31, 2021. The second line is dashed and black. It is labeled “To banks.” It begins with an upward rise from 0 to 60 billion dollars from April to July 2020. It then flattens out staying relatively steady around 60 billion dollars for until August 2020. The series then makes a gradual decrease to right around 40 billion dollars for the rest of the time to end on March 31, 2021. The third line is black and dotted. It is labeled “To nonbanks.” It begins at zero and then gradually begins to increase to 10 billion dollars by September 2020. From September 2020 to February 2021 it stays steady at around 10 billion dollars . It then has a slight uptick to end right above 20 billion dollars on March 31st.

Source: Federal Reserve Bank of Minneapolis, Paycheck Protection Program Liquidity Facility data.

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B. Liquid Deposits at Banks

This figure is titled “Liquid Deposits at Banks.” It is measured in trillions of dollars on the y axis, which ranges from 10 to 18. The x axis measures from March 2019 to March 2021. There is only one solid black line to measure liquid deposits at banks. It begins around 11.5 trillion dollars in March 2019 and slowly rises to 12 trillion dollars by March 2020. Then, it increases sharply to around 15 trillion dollars by September 2020. It then increases more gradually to end around 16.5 trillion dollars on March 1, 2021.

Note: The data are not seasonally adjusted. Liquid deposits are the sum of demand deposits and other liquid deposits (other checkable deposits and savings deposits).

Source: Federal Reserve Board, Statistical Release H.6, "Money Stock Measures."

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C. Bank Term Funding Alternatives

This figure is titled “Bank Term Funding Alternatives.” It is measured in percentages and plots weekly averaged data. The y axis ranges from 0.0 to 1.6. The x axis ranges from March 2020 to March 2021. There is a solid black, vertical line that represents the COVID-19 onset in March 2020. The first line plotted is labeled “1 year.” It is solid black. It begins around 1 percent in March 2020 and is quickly followed by a decrease to about 0.8 percent and then an increase back up to 1 percent. It then slowly decreases and levels off to around 0.4 percent to end 2020. It slowly falls to around 0.3 percent by March 2021. The second line plotted is labeled “2-years.” It is a solid blue line. It begins around 1.1 percent in March 2020. After the Covid-19 onset, the series slowly declines to around 0.5 percent by August 2020. It remains at this level until year-end 2020. The series then slowly decreases to around 0.4 percent by March 29, 2021. The third line is labeled “PPPLF rate.” It is a gray, dashed line that is horizontal at 0.35 percent for the entirety of the time frame plotted. The fourth line plotted is labeled “Fed funds target range (lower bound).” It is a red dashed line. It begins around 1.1 in March 2020. Then, when the Covid-19 onset hits, it has a drastic decrease to 0.0 almost immediately. It stays at 0.0 to end in March 2021.

Note: Averages of Bloomberg deposit indexes and Federal Home Loan Bank of Des Moines advance rates. PPPLF is the Paycheck Protection Program Liquidity Facility.

Source: Bloomberg Finance L.P.; Federal Home Loan Bank of Des Moines.

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2-9. Total Household Loan Balances

This is a line chart titled “Total Household Loan Balances.” The x axis measures time and ranges from the year 1999 to 2020. The y axis measures billions of dollars (real) and ranges from 0 to 11,000. The data are quarterly. There are 3 variables plotted in the figure. The first line is labeled “Prime,” is designated by a black line, and ranges from about 3,700 to 10,000 billion dollars. This variable rises steadily from around 3,700 to 9,000 from 1999 to 2008 and then declines to 7,500 billion dollars by mid-2013. The variable then rises slowly until it ends around 10,000 billion dollars in 2020:Q4. The second variable is labeled “Near prime” and is designated by a blue line. It ranges from around 2,400 to around 3,900 billion dollars. The variable begins around 2,400 in 1999 and slightly increase to around 3,900 billion dollars in 2007. It then dips to around 3,000 billion dollars by 2010. For the rest of the period, it slowly declines before ending at around 2,900 billion dollars in 2020:Q4. The third variable, labeled “Subprime,” is designated by the red line and ranges from 1,250 to around 3,000 billion dollars. It begins around 1,300 in 1999 and dips slightly to around 1,250 later that year before steadily increasing to around 1,900 billion dollars in 2006. From 2006, there is a steeper increase to around 3,000 billion dollars in mid-2009. The variable then decreases to around 1,700 billion dollars by 2015 where it remains until 2020:Q1. It then sees a slight drop to end in 2020:Q4 at around 1500 billion dollars.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. Student loan balances before 2004 are estimated using average growth from 2004 to 2007, by risk score. The data are converted to constant 2020 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-10. Estimates of New Mortgage Volumes to Households

This is a bar graph titled "Estimates of New Mortgage Volumes to Households.” The x axis measures time and ranges from the year 2000 to 2020. The y axis ranges from 0 to 1,400, in billions of dollars (real). There are 3 variables charted on the plot. The first variable is labeled “Subprime” and is designated by the orange bar. It ranges from around 85 to around 400 billion dollars. It starts at around 250 billion dollars in 2000 and slowly increases to around 400 billion dollars in late 2006. Then it decreases more quickly to around 90 billion dollars in 2013 and remains relatively unchanged until 2020. The second variable, labeled “Near prime,” is designated by the blue bars and ranges from around 240 to around 930 billion dollars. The variable starts at around 525 in 2000 and increases quickly, peaking at around 925 in late 2006 before steeply falling to around 265 billion dollars by late 2009. It then steadily increases to around 400 billion dollars in 2006 where it stabilizes and remains for the rest of the period, ending in late 2020. The third variable, labeled “Prime,” is designated by the black bars and ranges from around 600 to 1,400 billion dollars. The variable starts at around 685 in 2000 and steeply increases to a peak of around 1,400 billion dollars in 2003. It then declines to around 1,100 in 2004 before rising to around 1,220 in 2006, then falling sharply to around 615 billion dollars in 2009. The variable then steadily increases to around 800 in 2013 before dropping back to around 675 billion dollars in 2014. From there, it climbs to around 930 in 2019 before spiking to end around 1,100 billion dollars in 2020.

Note: Year-over-year change in balances for the second quarter of each year among those households whose balance increased over this window. Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores were measured one year ago. The data are converted to constant 2020 dollars using the consumer price index. Key identifies bars in order from left to right.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-11. Mortgage Loss Mitigation and Delinquency

This is a line chart titled “Mortgage Loss Mitigation and Delinquency.” The x axis measures time and ranges from the year 2001 to 2020. The data are quarterly through 2019 then transition to monthly. The y axis ranges from 0 to 14 percent. There are two variables plotted. The first is “Delinquent,” which is measured as a solid black line. It begins around 3 percent in 2001 and stays there until mid-2007, when it begins to rise to around 7.5 percent by late 2009. It then decreases steadily to right around 2.5 percent to end the quarterly data in 2019. The monthly data show the variable decreasing more rapidly to end the line in February 2021 just below 1.5 percent. The second variable is “Delinquent/loss mitigation,” which is measured as a solid blue line. It begins around 5 percent in 2001 and remains around that level until it begins rising in 2007 to a peak of around 9 percent in mid-2010. It then gradually fluctuates while decreasing to around 6 percent in 2017:Q3, before spiking to around 8 percent in 2017:Q4. In 2018:Q1, it returns to around 6 percent and gradually declines to around 5 percent to end the quarterly data. The monthly data starts in 2020 and continues to decline to around 4 percent in March 2020 before spiking to around 9 percent in May. It then declines for the rest of the period to end in February 2021 below 6 percent.

Note: Loss mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), or loans with no scheduled payment and a non-zero balance. Delinquent includes loans reported to the credit bureau at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning January 2020.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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Figure 2-12. Estimate of Mortgages with Negative Equity

Percent

Date Zillow (quarterly) Corelogic (monthly)
1/31/2011   25.28
2/28/2011   25.14
3/31/2011 0.31 24.99
4/30/2011   24.93
5/31/2011   24.87
6/30/2011 0.30 24.81
7/31/2011   24.65
8/31/2011   24.50
9/30/2011 0.31 24.36
10/31/2011   24.65
11/30/2011   24.93
12/31/2011 0.31 25.23
1/31/2012   24.69
2/29/2012   24.20
3/31/2012 0.31 23.67
4/30/2012   23.21
5/31/2012   22.74
6/30/2012 0.31 22.28
7/31/2012   22.17
8/31/2012   22.06
9/30/2012 0.28 21.96
10/31/2012   21.84
11/30/2012   21.72
12/31/2012 0.27 21.60
1/31/2013   21.11
2/28/2013   20.67
3/31/2013 0.25 20.18
4/30/2013   18.43
5/31/2013   16.62
6/30/2013 0.24 14.87
7/31/2013   14.35
8/31/2013   13.83
9/30/2013 0.21 13.33
10/31/2013   13.37
11/30/2013   13.41
12/31/2013 0.19 13.45
1/31/2014   13.25
2/28/2014   13.07
3/31/2014 0.19 12.88
4/30/2014   12.23
5/31/2014   11.56
6/30/2014 0.18 10.92
7/31/2014   10.74
8/31/2014   10.56
9/30/2014 0.17 10.39
10/31/2014   10.49
11/30/2014   10.59
12/31/2014 0.17 10.69
1/31/2015   10.54
2/28/2015   10.41
3/31/2015 0.15 10.27
4/30/2015   9.81
5/31/2015   9.34
6/30/2015 0.14 8.88
7/31/2015   8.70
8/31/2015   8.53
9/30/2015 0.13 8.36
10/31/2015   8.36
11/30/2015   8.36
12/31/2015 0.13 8.36
1/31/2016   8.28
2/29/2016   8.20
3/31/2016 0.13 8.12
4/30/2016   7.77
5/31/2016   7.41
6/30/2016 0.12 7.06
7/31/2016   6.82
8/31/2016   6.58
9/30/2016 0.11 6.34
10/31/2016   6.32
11/30/2016   6.29
12/31/2016 0.11 6.26
1/31/2017   6.19
2/28/2017   6.12
3/31/2017 0.10 6.05
4/30/2017   5.85
5/31/2017   5.65
6/30/2017   5.45
7/31/2017   5.28
8/31/2017   5.12
9/30/2017   4.96
10/31/2017   4.94
11/30/2017   4.92
12/31/2017 0.09 4.91
1/31/2018   4.84
2/28/2018   4.78
3/31/2018   4.71
4/30/2018   4.57
5/31/2018   4.43
6/30/2018   4.29
7/31/2018   4.24
8/31/2018   4.19
9/30/2018   4.14
10/31/2018   4.15
11/30/2018   4.15
12/31/2018   4.16
1/31/2019   4.15
2/28/2019   4.13
3/31/2019   4.12
4/30/2019   4.03
5/31/2019   3.93
6/30/2019   3.84
7/31/2019   3.80
8/31/2019   3.76
9/30/2019   3.72
10/31/2019   3.67
11/30/2019   3.61
12/31/2019   3.56
1/31/2020   3.52
2/29/2020   3.48
3/31/2020   3.43
4/30/2020   3.37
5/31/2020   3.31
6/30/2020   3.25
7/31/2020   3.16
8/31/2020   3.08
9/30/2020   3.00
10/31/2020   2.92
11/30/2020   2.84
12/31/2020   2.76

Note: Estimated share of mortgages with negative equity according to CoreLogic and Zillow. For CoreLogic, the data are monthly. For Zillow, the data are quarterly and, for 2017, are available only for the first and fourth quarters.

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data.

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2-13. Estimates of Housing Leverage

This is a line chart titled "Estimates of Housing Leverage.” The x axis ranges from the year 1999 to 2020. The y axis ranges from 60 to 180, and measures indexed ratios of outstanding mortgage debt to home values (with 100 being the ratio in 1991:Q1). The data are quarterly, ending in 2020:Q4. There are two variables plotted in the figure. The first line is labeled “Relative to model-implied values” and is designated by the black line. It ranges from 95 to 130. The variable has a hill shape, starting at 100 in 1999 and increasing to a little less than 130 in 2007:Q4 before decreasing to a bit less than 100 in 2020:Q4. The second line is labeled “Relative to market value” and is designated by the blue line. The variable also starts at 100 in 1999 but declines to around 80 by 2005:Q4. It then rises sharply to around 126 in 2009:Q2 and pauses at that level for several years before rising to around 130 in 2011:Q2. It then decreases steadily to end at around 90 in 2020:Q4.

Note: Housing leverage is estimated as the ratio of the average outstanding mortgage loan balance for owner-occupied homes with a mortgage to (1) current home values using the CoreLogic national house price index and (2) model-implied house prices estimated by a staff model based on rents, interest rates, and a time trend.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; CoreLogic; Bureau of Labor Statistics via Haver Analytics.

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2-14. Consumer Credit Balances

This is a line chart titled "Consumer Credit Balances.” The x axis ranges from the year 1999 to 2020. The y axis ranges from 200 to 1,800, in billions of dollars (real). The data are quarterly. There are 3 variables plotted in the figure. The first line, labeled “Auto loans,” is designated by a black line and ranges from around 550 to 1350 billion dollars. It starts around at around 550 in 1999 and increases to around 1,050 billion dollars in late 2006. it then falls gradually to around 800 in mid-2011 before increasing again for the rest of the period to end at around 1,350 billion dollars in 2020:Q4. The second variable is labeled “Credit cards” and is represented by a blue line. It ranges from around 730 to 1,070 billion dollars. Starting at around 750 in 1999, it increases to around 1,000 billion dollars in late 2003. After declining slightly to around 950 in early 2006, it rises to a peak of around 1,070 billion dollars in late 2008. It then gradually decreases to around 730 in early 2014 before gradually rising again to around 930 in late 2019. It then declines sharply in to end at around 810 billion dollars in late 2020. The third variable is labeled “Student loans” and is represented by a red line. The variable starts at around 470 billion dollars in 2005. There are two small, brief dips in 2007 (from 650 to 560 billion dollars) and 2013 (from 1,000 to 990 billion dollars) but otherwise balances steadily increase to end around 1,600 billion dollars in late 2020.

Note: The data are converted to constant 2020 dollars using the consumer price index. Student loan data begin in 2005.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-15. Auto Loan Balances

This is a line chart labeled "Auto Loan Balances." The x axis measures time and ranges from the year 1999 to 2020, and the y axis ranges from 150 to 750, in billions of dollars (real). The data are quarterly, ending in 2020:Q4. There are 3 variables plotted in the figure. The first variable is labeled “Prime” and is designated by a black line. It ranges from around 180 to 670 billion dollars. Auto loans to borrowers with prime credit scores started at around 180 in 1999 and continued to increase to around 450 billion in 2005:Q3. It then declines slightly to around 365 billion in 2010:Q1, before rising gradually for the rest of the period to end around 670 billion dollars in 2020:Q4. The second variable, labeled “Near prime,” is represented by a blue line and ranges from around 200 to 400 billion dollars. Starting at 200 billion in 1999, balances to those with near prime credit increased to around 360 in 2005:Q3 before falling gradually to around 240 billion dollars in2011:Q1. It then increased to around 370 billion dollars by 2016:Q3 where it remained until 2020:Q2. It then increased slightly to end at around 390 billion dollars in 2020:Q4. The third variable, labeled “Subprime,” is designated by a red line and ranges from around 170 to 290 billion dollars. It starts at around 170 billion dollars in 1999 and increases with fluctuations until reaching a peak at around 300 billion dollars in 2007:Q4. It then decreases to around 200 billion in 2011:Q2 before increasing again to around 320 billion in 2019:Q4. It decreases slightly to end around 290 billion dollars in 2020:Q4.

Note: Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2020 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-16. Auto Loss Mitigation and Delinquency

This chart is titled “Auto Loss Mitigation and Delinquency.” The x axis measures time and ranges from the year 2000 to 2021. The data are measured quarterly until 2019 then measured as monthly. The y axis ranges from 0 to 12 percent. There are two variables plotted. The first is “Delinquent,” which is represented by a solid black line. It begins around 3 percent and fluctuates around that level until increasing gradually to around 5 percent in 2008:Q4. It then slowly decreases to around 3 percent by 2011:Q1 and around that level until the end of the quarterly data. The monthly data begins with a decrease from around 3.5 in January 2020 to around 2 percent in July 2020 before increasing to end at around 2.5 percent in February 2021. The second variable is “Delinquent/loss mitigation,” which is measured by a solid blue line. It begins around 5.5 percent in 2002 and declines gradually to around 4 percent in 2006:Q2 before rising to above 5 percent in 2008:Q4. It then gradually declines to around 3 percent by 2014:Q2 where it remains for several quarters. In 2017:Q4, it spikes to around 5 percent before returning to around 4 percent in 2018:Q1 where it remains until the end of the quarterly data. The monthly data begin in 2020 around 4 percent, spike to around 9 percent in June 2020, and fall to end around 4.5 percent in February 2021.

Note: Loss Mitigation includes tradelines that have a narrative code of forbearance, natural disaster, payment deferral (including partial), loan modification (including federal government plans), or loans with no scheduled payment and a nonzero balance. Delinquent includes loans reported to the credit bureau as at least 30 days past due. The line break represents the data transitioning from quarterly to monthly beginning January 2020.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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2-17. Credit Card Balances

This is a line chart labeled "Credit Card Balances." The x axis ranges from the year 1999 to 2020, and the y axis ranges from 50 to 500, in billions of dollars (real). The data are quarterly, ending in Q4 of 2020. There are 3 variables plotted in the figure. The first variable is labeled “Prime” and is designated by a black line. It ranges from around 200 to 450 billion dollars. Auto loans to borrowers with prime credit scores started at around 200 billion dollars in 1999 and continued to increase to around 450 billion dollars at the end of 2008. From 2009 to 2013, the series decreases to around 360 billion dollars. From 2012 until the end of 2019, the series steadily increases, with slight drops around each year-end, to its peak of around 475 billion dollars. In early 2020, the series decreases sharply to just above 400 billion dollars. It then sees a slight uptick to end around 425 billion dollars in 2020 Q4. The second variable, labeled “Near prime,” is represented by a blue line and ranges from around 250 to 400 billion dollars. From 1999 to 200 the series stays around 350 billion dollars before rising to 400 billion dollars at the end of 2003. Near prime balances decrease back to around 350 billion dollars in 2006 and remains mostly flat until 2008. Starting in early 2009, the series drops sharply, reaching 250 billion dollars by 2011. The series remains around this level until 2014 and then slowly rises, hitting around 300 billion dollars in late 2019. It then decreases to end at 250 billion in 2020 Q4. The third variable, labeled “Subprime,” is designated by a red line and ranges from around 100 to 275 billion dollars. It starts at around 200 billion dollars in 1999 and remains there until the end of 2000. It then increases until it reaches its peak at around 275 billion dollars in 2002. The series decreases to around 200 billion dollars in 2006 before increasing again to reach around 250 billion dollars in early 2009. From there, the series steadily decreases to around 100 billion dollars in mid-2014. The series rises from mid-2014 to late 2019, reaching just above 150 billion dollars. It then ends at around 125 billion dollars after a decreasing throughout 2020.

Note:Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Scores are measured contemporaneously. The data are converted to constant 2020 dollars using the consumer price index.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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2-18. Credit Card Delinquency Rates

This is a line chart titled "Credit Card Delinquency Rates.” The x axis ranges from the year 2000 to 2020. The y axis ranges from 0 to 30 percent, measuring delinquency rates on credit cards. The data are quarterly, ending in Q4 of 2020. There are 3 variables charted on the plot. The first variable is labeled “Prime” and is denoted by the black line. It ranges from around 1 to 3 percent. The variable is mostly flat at 1 percent except for a small two percentage point increase between 2009 and 2011. The second variable, labeled “Near prime,” is represented by a blue line and ranges from around 4 to 8 percent. The variable starts around 3 percent before rising to 4 percent in 2002. The variable remains around 4 percent until late 2006 and then starts rising, peaking at around 8 percent in late 2009. The series then decreases to 5 percent by 2011 and 3 percent by 2015. The variable starts rising slowly in 2017, hitting 4 percent in mid-2020, before falling to close to 3 percent at the end of 2020. The third variable is labeled “Subprime” and is designated by a red line. It ranges from around 11 to 23 percent. This line starts around 15 percent in 2001 and increases to around 20 percent by the end of 2003. It decreases to around 17 percent in 2005 before increasing from 2006 to 2009 where it hits its peak of around 23 percent in 2010. The series then falls to 10 percent by 2016 before increasing to reach around 14 percent in late 2017. The series remains at this level until the end of 2019 and then decreases to end around 11 percent in 2020 Q4.

Note: Delinquency is at least 30 days past due, excluding severe derogatory loans. The data are four-quarter moving averages. Subprime are those with an Equifax Risk Score below 620; near prime are from 620 to 719; prime are greater than 719. Credit scores are lagged four quarters.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

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3-1. Common Equity Tier 1 Ratio of Banks

This is a line chart titled "Common Equity Tier 1 Ratio of Banks." The x axis measures time and ranges from years 2001 to 2020. The y axis ranges from 0 to 14 percent. The data are quarterly. There are three variables charted on the plot. The first line, labeled “Other BHCs,” is designated by a solid black line and ranges from 8 to just over 12 percent. This variable decreases slightly over 2001 to 2009 from 9 to 8 percent, increases from 8 percent in 2009 to 12 percent in 2012, and has remained near 12 percent through the end of 2020, with a slight drop to 11.8 percent in 2020:Q1. The second line, labeled “Large non-G-SIBs,” is designated by a solid blue line and ranges from about 6 to 11 percent. This variable remains near 7.5 percent from 2001 to 2006, decreases sharply to 6 percent in 2008, increases to around 11 percent by 2014, decreases slowly to 10 percent 2021:Q1, before rising to around 11 percent in the second half of 2020. The third line, labeled “G-SIBs,” is designated by a solid red line and ranges from just under 5 percent to slightly over 12 percent. It remains near 7 percent from 2001 to 2006, decreases to 4.8 percent in 2008:Q4, increases to around 12 percent by 2014, where it has remained until 2019:Q4. In 2020:Q1, it decreased roughly a half percentage point to about 11.5 percent and then recovers to about 12 percent in 2020:Q2. It continued to rise slightly through the second half of 2020 to end 2020:Q4 at around 12.5 percent.

Note: The data are seasonally adjusted by Federal Reserve Board staff. Sample consists of banks as of 2020:Q4. Before 2014:Q1, the numerator of the common equity Tier 1 ratio is Tier 1 common capital for advanced-approaches bank holding companies (BHCs) and intermediate holding companies (IHCs) (before 2015:Q1 for non-advanced-approaches BHCs). Afterward, the numerator is common equity Tier 1 capital. G-SIBs are global systemically important U.S. banks. Large non–G-SIBs are BHCs and IHCs with greater than 100 billion dollars in total assets that are not G-SIBs. The denominator is risk-weighted assets. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001–November 2001, December 2007–June 2009, and February 2020–present. As of the publication of this report, the NBER has not declared an end to the current recession.

Source: Federal Reserve Board, Form FR Y-9C, Consolidated Financial Statements for Holding Companies.

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3-2. Ratio of Tangible Bank Equity to Assets

This is a line chart titled "Ratio of Tangible Bank Equity to Assets." The x axis measures time and ranges from years 1985 to 2020. The y axis ranges from 0 to 12 percent. The data are quarterly. There are three variables charted on the plot. The first line, labeled “Other BHCs,” is designated by a solid black line and ranges from 6 to 10 percent. This variable rises slowly over the period from about 6.5 percent in 1985 to 10 percent in 2012:Q3. It remained near 10 percent through 2019:Q4 and then decreased to 9.4 percent in 2020:Q2. It has remained around 9.5 percent through the end of 2020. The second line, labeled “Large non-G-SIBs,” is designated by a solid blue line and ranges from just over 4 percent to 9 percent. This variable started at about 5 percent in 1985, rose sharply to 6 percent in the beginning of 1987, decreased back to around 5 percent in late 1987, and increased to 6 percent in 1993. The series remained near 6 percent until 2001 before increasing again through 2002:Q3 to about 7 percent. It decreased slowly until 2008 when it reached about 5 percent. It steadily increased after that until 2019:Q4 and then fell sharply in the first of half 2020 to about 8 percent. It has stayed around 8 percent through the end of 2020. The third line, labeled “G-SIBs,” is designated by a solid red line and ranges from about 4 to 9 percent. This variable starts at about 5 percent and remains around that level until the end of 1991. The series then increases percent to 6 percent in 1993 before falling sharply to 5 percent in 1995. It remains between 5.5 and 6 percent until 2001 before slowly decreasing to about 4.5 percent in 2008:Q3. It then increases sharply and then more slowly between 2008 and 2019 when it reaches 8.5 percent. Thereafter, it fell sharply in the first half of 2020 to about 7.6 percent. It rose to 7.7 percent in 2020:Q3 before falling back to 7.6 percent in 2020:Q4.

Note: Bank equity is total equity capital net of preferred equity and intangible assets, and assets are total assets. The data are seasonally adjusted by Federal Reserve Board staff. G-SIBs are U.S. global systemically important banks. Large non–G-SIBs are bank holding companies (BHCs) and intermediate holding companies with greater than 100 billion dollars in total assets that are not G-SIBs. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): July 1990–March 1991, March 2001–November 2001, December 2007–June 2009, and February 2020–present. As of the publication of this report, the NBER has not declared an end to the current recession.

Source: Federal Financial Institutions Examination Council, Call Report Form FFIEC 031, Consolidated Reports of Condition and Income (Call Report).

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3-3. Borrower Leverage for Bank Commercial and Industrial Loans

This is a line chart titled "Borrower Leverage for Bank Commercial and Industrial Loans." The x axis measures time and ranges from years 2013 to 2020. The y axis ranges from 24 to 36 percent. The data are quarterly. There are two variables charted on the plot. The first line, labeled “Non-publicly traded firms,” is designated by a solid blue line and ranges from about 30 to 34 percent. This variable begins at 31 percent, quickly decreases to about 30 percent towards the end of 2013, rises slowly to 34 percent in 2019 before decreasing back down to 33 percent where it hovered through 2020. It ended at around 33.3 percent in 2020:Q4. The second line, labeled “Publicly-traded firms,” is designated by a solid black line and ranges from about 25 to 31 percent. This variable begins at about 25, increases steadily to 31 percent where it stays through 2019:Q4. In 2020:Q1, it dropped back down to about 30.5 percent before increasing again to 31 percent in the second half of 2020. It ended at 31.1 percent in 2020:Q4.

Note: Weighted median leverage of nonfinancial firms that borrow using commercial and industrial loans from the 26 banks that have filed in every quarter since 2013:Q1. Leverage is measured as the ratio of the book value of total debt to the book value of total assets of the borrower, as reported by the lender, and the median is weighted by committed amounts.

Source: Federal Reserve Board, Form FR Y-14Q (Schedule H.1), Capital Assessments and Stress Testing.

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3-4. Change in Bank Lending Standards for Commercial and Industrial Loans

This is a line chart titled "Change in Bank Lending Standards for Commercial and Industrial Loans," with one variable plotted. The x axis measures time and ranges from 1996 to 2020. The y axis ranges from -100 to 100, and measures net percentage of banks reporting. Negative y-axis values are labeled “Easing” and positive y-axis values are labeled “Tightening.” The data are quarterly and end in Q4 of 2020. The variable begins around -14 percent in 1996, and increases to around 57 percent in 1998, before dropping to around 5 percent in 1999. It increases sharply to around 80 percent by the end of 2000, and gradually falls from 2001 to 2005, reaching around -55 percent by the end of 2004. It gradually increases from 2005 to 2008, reaching its peak of around 87 percent near the end of 2008. It drops sharply in 2009, reaching around 0 percent by the end of the year. It gradually declines to around -20 percent in 2011 before increasing back to 0 percent in 2012. It decreases back to around -20 in 2011, remains between zero and 20 percent until 2014, before slowly increasing to around 10 in 2016. It then decreases back towards around -20 percent in the beginning of 2018. It then increases through 2018 to end at around -5 percent before dropping back to around -15 percent in Q2 of 2019. The line then increases sharply to around 40 percent in the Q1 of 2020 and continues to increase to about 70 percent in 2020:Q2. In the second half of 2020 the data falls again back down to around -20 by the end of 2020:Q4.

Note: Banks’ responses are weighted by their commercial and industrial loan market shares. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter. Results are shown for loans to large and medium-sized firms. The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001–November 2001, December 2007–June 2009, and February 2020–present. As of the publication of this report, the NBER has not declared an end to the current recession.

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

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Figure 3-5. Leverage at Broker-Dealers

Ratio of assets to equity

Period Leverage at Broker-Dealers
1995:Q1 30.60
1995:Q2 30.72
1995:Q3 31.31
1995:Q4 31.84
1996:Q1 33.12
1996:Q2 33.10
1996:Q3 33.34
1996:Q4 33.88
1997:Q1 35.28
1997:Q2 35.29
1997:Q3 35.50
1997:Q4 32.97
1998:Q1 35.51
1998:Q2 35.01
1998:Q3 35.07
1998:Q4 30.43
1999:Q1 30.91
1999:Q2 29.37
1999:Q3 28.43
1999:Q4 28.56
2000:Q1 29.86
2000:Q2 28.89
2000:Q3 28.51
2000:Q4 28.26
2001:Q1 28.56
2001:Q2 30.03
2001:Q3 31.47
2001:Q4 31.34
2002:Q1 31.66
2002:Q2 31.26
2002:Q3 31.79
2002:Q4 30.63
2003:Q1 32.03
2003:Q2 34.79
2003:Q3 32.97
2003:Q4 33.67
2004:Q1 35.58
2004:Q2 37.77
2004:Q3 38.59
2004:Q4 39.28
2005:Q1 41.07
2005:Q2 41.44
2005:Q3 41.97
2005:Q4 39.88
2006:Q1 40.50
2006:Q2 40.65
2006:Q3 42.29
2006:Q4 43.01
2007:Q1 45.28
2007:Q2 46.90
2007:Q3 46.02
2007:Q4 46.30
2008:Q1 47.89
2008:Q2 41.87
2008:Q3 43.21
2008:Q4 30.71
2009:Q1 28.32
2009:Q2 24.90
2009:Q3 24.96
2009:Q4 23.51
2010:Q1 24.51
2010:Q2 24.04
2010:Q3 24.31
2010:Q4 23.52
2011:Q1 24.29
2011:Q2 24.44
2011:Q3 24.57
2011:Q4 24.64
2012:Q1 24.53
2012:Q2 24.43
2012:Q3 23.85
2012:Q4 23.46
2013:Q1 22.84
2013:Q2 22.15
2013:Q3 21.84
2013:Q4 21.10
2014:Q1 21.13
2014:Q2 21.35
2014:Q3 20.72
2014:Q4 19.82
2015:Q1 19.73
2015:Q2 19.33
2015:Q3 18.83
2015:Q4 18.15
2016:Q1 18.12
2016:Q2 18.30
2016:Q3 18.04
2016:Q4 17.61
2017:Q1 17.77
2017:Q2 18.31
2017:Q3 17.41
2017:Q4 17.15
2018:Q1 17.21
2018:Q2 18.06
2018:Q3 17.90
2018:Q4 18.10
2019:Q1 17.92
2019:Q2 17.86
2019:Q3 17.77
2019:Q4 16.85
2020:Q1 17.26
2020:Q2 16.26
2020:Q3 16.54
2020:Q4 16.62

Note: Leverage is calculated by dividing total assets by equity.

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

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Figure 3-6. Leverage at Insurance Companies

Ratio of assets to equity

Period Life Property and casualty
2000:Q1 8.63 5.49
2000:Q2 8.45 5.40
2000:Q3 8.39 5.33
2000:Q4 8.96 5.78
2001:Q1 8.36 5.40
2001:Q2 8.83 5.50
2001:Q3 9.45 6.22
2001:Q4 10.03 6.37
2002:Q1 9.63 6.24
2002:Q2 9.83 6.32
2002:Q3 10.14 6.41
2002:Q4 10.79 6.69
2003:Q1 11.04 6.79
2003:Q2 11.16 6.71
2003:Q3 11.00 6.72
2003:Q4 10.93 6.71
2004:Q1 11.29 7.07
2004:Q2 11.37 6.77
2004:Q3 11.48 6.82
2004:Q4 11.68 6.83
2005:Q1 11.30 6.82
2005:Q2 10.67 6.61
2005:Q3 10.78 6.67
2005:Q4 10.87 6.50
2006:Q1 10.11 6.51
2006:Q2 10.00 6.41
2006:Q3 9.94 6.38
2006:Q4 9.87 6.32
2007:Q1 9.97 6.36
2007:Q2 9.83 6.35
2007:Q3 9.96 6.35
2007:Q4 9.74 6.10
2008:Q1 10.84 6.53
2008:Q2 10.72 6.44
2008:Q3 10.64 6.46
2008:Q4 10.77 5.97
2009:Q1 10.79 5.95
2009:Q2 9.97 5.61
2009:Q3 9.97 5.58
2009:Q4 8.92 5.20
2010:Q1 9.24 5.17
2010:Q2 9.45 5.10
2010:Q3 9.73 5.18
2010:Q4 8.63 4.47
2011:Q1 9.55 4.35
2011:Q2 9.36 4.30
2011:Q3 9.47 4.14
2011:Q4 8.83 4.15
2012:Q1 8.78 4.14
2012:Q2 8.81 4.11
2012:Q3 9.17 4.15
2012:Q4 9.43 4.17
2013:Q1 9.25 4.09
2013:Q2 8.89 3.96
2013:Q3 8.67 3.91
2013:Q4 8.53 3.89
2014:Q1 8.57 3.86
2014:Q2 8.44 3.68
2014:Q3 8.40 3.63
2014:Q4 8.38 3.58
2015:Q1 8.53 3.54
2015:Q2 8.24 3.51
2015:Q3 8.48 3.46
2015:Q4 9.70 3.71
2016:Q1 9.30 3.55
2016:Q2 9.73 3.57
2016:Q3 9.83 3.55
2016:Q4 10.24 4.02
2017:Q1 9.21 3.59
2017:Q2 9.69 3.59
2017:Q3 9.35 3.64
2017:Q4 10.13 4.02
2018:Q1 9.42 3.29
2018:Q2 10.28 2.96
2018:Q3 9.49 2.92
2018:Q4 10.27 3.30
2019:Q1 9.85 3.01
2019:Q2 10.84 3.00
2019:Q3 10.19 2.97
2019:Q4 10.92 3.11
2020:Q1 10.06 3.03
2020:Q2 11.88 3.13
2020:Q3 11.24 3.11
2020:Q4 11.84 3.26

Note: Ratio is calculated as (total assets – separate account assets)/(total capital – accumulated other comprehensive income) using generally accepted accounting principles. The top 10 publicly traded life and property and casualty insurers are represented.

Source: National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via the S&P Global Market Intelligence, S&P Capital IQ.

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3-7. Gross Leverage at Hedge Funds

Ratio

Period Mean Median
October 2013 5.40 2.30
November 2013 5.60 2.30
December 2013 5.30 2.30
January 2014 5.10 2.30
February 2014 5.20 2.30
March 2014 5.10 2.30
April 2014 5.10 2.20
May 2014 5.20 2.30
June 2014 5.10 2.30
July 2014 5.60 2.30
August 2014 5.80 2.30
September 2014 5.70 2.30
October 2014 5.20 2.20
November 2014 5.10 2.30
December 2014 4.80 2.30
January 2015 5.10 2.20
February 2015 5.30 2.30
March 2015 5.10 2.30
April 2015 5.40 2.40
May 2015 5.50 2.40
June 2015 4.90 2.30
July 2015 5.70 2.40
August 2015 5.80 2.40
September 2015 5.70 2.20
October 2015 5.70 2.50
November 2015 6.00 2.40
December 2015 4.90 2.30
January 2016 5.40 2.40
February 2016 5.80 2.30
March 2016 5.80 2.30
April 2016 5.80 2.30
May 2016 5.90 2.40
June 2016 5.60 2.30
July 2016 5.40 2.30
August 2016 5.7