The Fed - Accessible Version - Financial Stability Report

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.

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

Ratio

Date	Forward price-to-earnings ratio
1/16/1989	10.06
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.

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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.

Return to text

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.

Return to text

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.

Return to text

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.

Return to text

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

Jan. 2010 = 100

Date	Phoenix	Miami	Los Angeles	Median	90th Percentile	10th Percentile
1/16/2002	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 2019. 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 2008 from 10 to 8 percent, increases from 8 percent in 2009 to 12 percent in 2014, and has remained near 12 percent through 2019. In 2020:Q1, there is a slight dip to just under 12, followed by a slight tick up back to 12 in 2020:Q2. It ends just over 12 percent in 2020:Q4. The second line, labeled 'Large non-G-SIBs', is designated by a solid blue line and ranges from about 5 to 12 percent. This remains near 7 percent from 2001 to 2006, decreases to 6 percent in 2008, increases to just under 12 percent through the end of 2017 where it has remained through 2019. In 2020 there is a slight up-tick to 12 in 2020:Q2 through 2020:Q4. The third line, labeled ‘G-SIBs’, is designated by a solid red line and ranges from 5 to 12 percent. It remains near 7 percent from 2001 to 2006, decreases to 5 percent in 2008:Q4, increases to around 12 percent in 2017, where it has remained through 2019:Q4. In 2020:Q1, there is a slight dip to just under 12, followed by a slight tick up back to 12 in 2020:Q2. It ends slightly above 12 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 in total assets that are not G-SIBs. The shaded bars with top caps indicate periods of business recession 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.

Note*

On November 10, 2021, the data in figure 3-1 was corrected to fix a coding error.

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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	5.70	2.30
September 2016	5.40	2.30
October 2016	6.00	2.40
November 2016	6.10	2.40
December 2016	5.50	2.30
January 2017	6.00	2.40
February 2017	6.20	2.40
March 2017	6.00	2.40
April 2017	5.90	2.40
May 2017	6.30	2.40
June 2017	5.70	2.30
July 2017	6.70	2.30
August 2017	7.10	2.40
September 2017	6.90	2.30
October 2017	6.70	2.30
November 2017	7.10	2.30
December 2017	6.50	2.30
January 2018	7.80	2.40
February 2018	7.70	2.40
March 2018	7.40	2.30
April 2018	8.20	2.30
May 2018	8.30	2.40
June 2018	8.00	2.30
July 2018	8.10	2.40
August 2018	8.40	2.40
September 2018	7.70	2.30
October 2018	8.30	2.40
November 2018	8.70	2.40
December 2018	7.70	2.20
January 2019	8.10	2.20
February 2019	8.60	2.20
March 2019	8.30	2.10
April 2019	8.40	2.20
May 2019	8.40	2.30
June 2019	7.90	2.30
July 2019	8.50	2.40
August 2019	8.30	2.30
September 2019	7.50	2.20
October 2019	8.10	2.20
November 2019	8.10	2.10
December 2019	7.50	2.10
January 2020	8.80	2.50
February 2020	9.50	2.50
March 2020	7.00	2.10
April 2020	6.90	2.10
May 2020	7.10	2.20
June 2020	6.50	2.10

Note: Leverage is computed as the ratio of hedge funds’ gross notional exposure to net asset value. Gross notional exposure includes the nominal value of all long and short positions and derivative notional exposures. Options are delta adjusted, and interest rate derivatives are reported at 10-year bond equivalents. Data are reported on a three-quarter lag.

Source: Securities and Exchange Commission, Form PF, Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors.

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3-8. Change in the Use of Financial Leverage

This is a line chart titled "Change in the Use of Financial Leverage." The x axis measures time and ranges from years 2012 to 2021. The y axis ranges from -80 to 60 percent. The data are quarterly. There are four variables charted on the plot. The first line, labeled “Hedge funds” is designated by a solid black line and ranges from about -65 percent to about 30 percent. The line starts at about -60 percent and increases steadily to 20 percent in 2013:Q1 before decreasing to -20 percent in 2013:Q3. It then increases to 20 percent by 2014:Q3 and oscillates around zero in the range of -10 to 10 through 2020:Q1. Thereafter, there is a substantial decline to about -65 percent in 2020:Q2 and then snap backs to -4 percent in 2020:Q3 before falling back down to -17 percent in 2020:Q4. It levels out to -4 percent in 2021:Q1. The second line, labeled “Trading REITs,” is designated by a solid blue line and ranges from about -70 to 20 percent. This variable begins at 0 and remains in the range of 0 to 20 percent through 2013:Q2. It then decreases sharply to -33 percent and remains there through 2014:Q1. The line then oscillates around zero in the range of -10 to 10 percent, with one notable sharp decrease to -15 percent in 2017:Q4. The line increases to about 10 percent in the second quarter of 2019 and stays there until 2020:Q1 when it decreases down to 5 percent. In 2020:Q2, the line has a substantial decline to -75 percent and then it gradually increases through 2021:Q1 where it ends at 15 percent. The third line labeled “Insurance companies” is designated by a solid red line. It begins at zero and remains in a tight range of -5 to 5 percent for the duration of the chart. The series remains around zero in 2020:Q1, decreases to about -5 percent in 2020:Q2, and the increases to about 6 percent in 2020:Q3 before returning to 0 percent for the end of 2020 and the beginning of 2021. The fourth line labeled “Mutual funds” is designated by a dashed black line. The series begins at zero and remains flat in a range of 0 to 10 percent through 2020:Q1. The series decreases to -15 percent in 2020:Q2 and then increases to 0 percent at the beginning of 2021.

Note: Net percentage equals the percentage of institutions that reported increased use of financial leverage over the past three months minus the percentage of institutions that reported decreased use of financial leverage over the past three months. REIT is real estate investment trust.

Source: Federal Reserve Board, Senior Credit Officer Opinion Survey on Dealer Financing Terms.

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3-9. Issuance of Non-agency Securitized Products, by Asset Class

This is a stacked bar chart with five categories titled, "Issuance of Non-Agency Securitized Products, by Asset Class." The x axis is in years and spans from 2001 to 2021. The y axis is in billions of dollars (real) and ranges from 0 to 2,800. Data are annual. CDOs (including ABS CDOs and CLOs), represented in tan, begin at about 100 billion dollars in 2001, peak at about 500 billion dollars in 2006, decrease to about 50 billion by 2008 and then five billion dollars in 2010, and generally increase to about 143 billion dollars in 2019 before ending around 200 billion dollars in 2021. Auto loan/lease ABS, represented in dark blue, begins at about 120 billion dollars in 2001 and remains at that level until 2006. The bar then decreases to about 45 billion dollars in 2008, increases to about 100 billion dollars by 2012, and increases steadily to around 150 billion dollars by 2021. Non-agency CMBS, represented in dark pink shading, begins at about 100 billion dollars in 2001, peaks at about 290 billion dollars in 2007, and decreases to about zero billion dollars by 2009. The series then steadily increases to around 100 billion dollars by 2015 and then oscillates between 75 billion dollars and 100 billion dollars until 2019 before decreasing to 70 billion dollars in 2021. Private-label RMBS, represented in dark gray begins at about 360 billion dollars in 2001, peaks at about 1,450 billion dollars in 2007, drops to about zero in 2009 and stays near there through 2012, and increases steadily to about 110 billion dollars in 2019. The series drops to about 85 billion dollars on 2020 before rebounding to about 105 billion dollars in 2021. Other, represented in light gray, begins at about 220 billion dollars in 2001, peaks at about 280 billion dollars in 2006 and 2007 and drops to about 150 billion dollars in 2008 before falling further to about 100 billion dollars in 2011. Between 2012 and 2021, the series remains relatively steady, remaining between 125 billion dollars and 150 billion dollars, except for 2016 and 2020 when the series drop to about 110 billion dollars. All five categories together begin at about 900 billion dollars in 2001 and peak near 2400 billion dollars in 2006. The total then drops to about 300 billion dollars in 2008 and increases to about 600 billion dollars in 2019 before dropping slightly to about 500 billion dollars in 2020 then goes back up to 600 billion dollars in 2021.

Note: The data from the first quarter of 2021 are annualized to create the 2021 bar. CMBS is commercial mortgage-backed securities; CDO is collateralized debt obligation; RMBS is residential mortgage-backed securities; CLO is collateralized loan obligation. The “Other” category consists of other asset-backed securities (ABS) backed by credit card debt, student loans, equipment, floor plans, and miscellaneous receivables; resecuritized real estate mortgage investment conduit (Re-REMIC) RMBS; and Re-REMIC CMBS. The data are converted to constant 2021 dollars using the consumer price index. Key identifies bars in order from top to bottom.

Source: Green Street Advisors, LLC, Commercial Mortgage Alert (cmalert.com) and Asset-Backed Alert (abalert.com); Bureau of Labor Statistics, consumer price index via Haver Analytics.

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3-10. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

This is a stacked line chart titled "Large Bank Lending to Nonbank Financial Firms: Committed Amounts." The x axis measures time and ranges from years 2018 to 2020. The y axis measures billions of dollars and ranges from 0 to 1,750. The data are quarterly. There are 10 variables charted on the plot, which sum up to represent total committed amounts extended to nonbank financials by large banks. The overall trend has been steadily increasing from about 1300 billion dollars in 2018 to about 1600 billion dollars in 2020:Q4. The first variable, “financial transactions processing,” is designated by green shading. This variable increases from 21 billion dollars in 2018 to 40 billion dollars in 2019:Q2. After that, the series drops back down to about 36 billion dollars through 2020:Q4. The second variable, “Private equity, BDCs, and credit funds,” is designated by red shading. This variable increases from 48 billion dollars in 2018:Q1 to 60 billion in 2018:Q4. In 2019:Q1 and 2020:Q4, the series remains steady between 54 and 57 billion dollars. The third variable, “Broker-dealers,” is designated by light blue shading. This variable increases steadily from 106 billion dollars in 2018 to 140 billion dollars in 2020:Q4. The fourth variable, “Insurance,” is designated by purple shading. This variable decreases from 139 billion in 2018 to 107 billion dollars in 2019:Q1 before increasing to 115 billion dollars in 2019:Q2 where it hovers between 115 billion dollars and 112 billion dollars through 2020:Q4, ending at 112 billion dollars in 2020:Q4. The fifth variable, “REITs,” is designated by dark pink shading. It begins at 119 billion dollars in 2018:Q1 and increases to 126 billion dollars in 2018:Q3. It then falls steadily through 2020:Q4 where it ends at 77 billion dollars. The sixth variable, “Open-end investment funds,” is designated by light green shading. This variable begins at 112 billion dollars in 2018 and increases steadily to end at 158 billion dollars in 2020:Q4. The seventh variable, “Special purpose entities, CLOs, and ABS,” is designated by light gray shading. This variable starts at 126 billion dollars in 2018 and increases steadily to end at 198 billion dollars in 2020:Q4. The eighth variable, “Other financial vehicles,” is designated by dark gray shading. This variable steadily increases from 198 billion dollars in 2018 to end at 316 billion dollars in 2020:Q4. The ninth variable, “Real estate lenders and lessors,” is designated by beige shading. This variable has increases steadily from 162 billion dollars in 2013:Q1 to nearly 285 billion dollars in 2020:Q2. The tenth variable, “Consumer lenders, other lenders, and lessors,” is designated by dark blue shading. This variable starts at about 180 billion dollars in 2018:Q1 and remains near that level through 2019:Q1. The series drops to around 170 billion dollars by 2019:Q3 and increases to about 187 billion dollars in 2019:Q4 and 2020:Q1 before slowly decreasing to 182 billion dollars in 2020:Q4.

Note: Committed amounts on credit lines and term loans extended to nonbank financial firms by a balanced panel of 26 bank holding companies that have filed Form FR Y-14Q in every quarter since 2018:Q1. Nonbank financial firms are identified based on reported North American Industry Classification System (NAICS) codes. In addition to NAICS codes, a name-matching algorithm is applied to identify specific entities such as real estate investment trusts (REITs), special purpose entities, collateralized loan obligations (CLOs), and asset-backed securities (ABS). REITs incorporate both mortgage (trading) REITs and equity REITs. Broker-dealers also include commodity contracts dealers and brokerages and other securities and commodity exchanges. Other financial vehicles include closed-end investment and mutual funds. BDC is business development company.

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

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3-11. Growth of Loan Commitments and Utilization to Nonbank Financial Institutions in 2020, by Sector

This is a bar chart titled “Growth of Loan Commitments and Utilization to NBFIs Nonbank Financial Institutions in 2020, by Sector.” The x axis shows the ten different sectors of NBFIs. The y axis represents percent growth of loan commitments and utilization rates to NBFIs and ranges from -20 to 40 percent. The data are quarterly. The chart shows the 2019:Q4 over 2020:Q4 growth rate. There are two variables plotted in the figure for each sector. Committed amounts is represented as a red bar and utilized amounts is represented as a light blue bar. From left to right, the first sector is “REITs.” “REITs” have a committed amount growth rate of about -15 percent and a utilized amount growth rate of about -18 percent for 2020:Q4. The second sector is “Financial transactions processing” which has a committed amount growth rate of -5 percent and a utilized amount growth rate of -1 percent for 2020:Q4. The third sector is “Consumer, leasing, other lenders.” This sector has a committed amount growth rate of -2 percent and a utilized amount growth rate of -10 percent for 2020:Q4. The fourth sector is “Insurance” which has a committed amount of growth rate -1 percent and a utilized amount growth rate of -12 percent for 2020:Q4. The fifth sector is “PE, BDCs & credit funds.” This sector has a committed amount growth rate of about 2 percent and a utilized amount of about 0 percent as of 2020:Q4. The sixth sector is “Broker dealers” which has a committed amount growth rate of 3 percent and a utilized amount growth rate of 7 percent in as of 2020:Q4. The seventh sector is “Open-end investment funds” which have a committed amount growth rate of 9 percent and a utilized amount growth rate of 17 percent as of 2020:Q4. The eighth sector is “SPEs, CLOs, & ABS.” This sector has a committed amount growth rate of 15 percent and a utilized amount growth rate of -10 percent as of 2020:Q4. The ninth sector is “Real estate lenders & lessors.” This sector has a committed amount growth rate of 16 percent and a utilized amount growth rate of 29 percent as of 2020:Q4. The tenth sector is “Other financial vehicles” which has a committed amount growth rate of 25 percent and a utilized amount growth rate of 32 percent as of 2020:Q4. There are two bars showing the “Total” for all NBFIs. This final sector shows a committed amount growth rate of 8.7 percent and a utilized amount growth rate of 8.2 percent.

Note: 2020:Q4 over 2019:Q4 growth rates as of year-end 2020. REIT is real estate investment trust; PE is private equity; BDC is business development company; SPE is special purpose entity; CLO is collateralized loan obligation; ABS is asset-backed securities. Key identifies bars in order from left to right.

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

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4-1. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution *

Percent of GDP

Date	Other	Securities lending	Commercial paper	Domestic money market funds	Repurchase agreements	Uninsured deposits
2002 Q1	5.338454921	3.671869	13.04725785	21.52147324	19.02449887	11.2213538
2002 Q2	5.247557356	3.961098369	12.34103271	20.66229404	20.56732944	11.4801712
2002 Q3	5.455437546	2.751137147	12.16260089	20.22530788	20.95398631	12.38150759
2002 Q4	5.759543375	2.665088665	12.38802395	21.11222898	20.69224342	12.88164942
2003 Q1	5.931386586	3.243796482	12.11812545	20.33831903	21.00437455	13.19553592
2003 Q2	5.959235584	3.694074535	11.70071007	19.60676122	22.35262746	14.02211935
2003 Q3	5.652335567	4.512898263	11.16436349	18.71829312	21.63139606	13.50692573
2003 Q4	5.52646609	4.639374481	10.94584974	17.68713585	21.67938515	13.53385069
2004 Q1	5.625240267	4.502791856	11.1122481	16.96957291	23.19950894	14.03742657
2004 Q2	5.628632478	5.404714139	10.73235239	16.20367362	23.48794857	14.41923144
2004 Q3	5.84038459	4.790575279	10.61307083	15.61799345	25.32889938	14.66919895
2004 Q4	5.70725447	5.431470934	11.13602799	15.58378415	24.21782177	15.14410661
2005 Q1	5.735068367	6.015867337	11.24394034	14.8429203	25.3896776	15.04202804
2005 Q2	5.705392256	6.640554282	11.567792	14.67697483	26.75692271	15.15643072
2005 Q3	5.668798089	6.121539204	11.84608041	14.80197053	27.65551836	15.2811488
2005 Q4	5.720781677	5.605400518	12.30917058	15.43908371	26.57885895	15.77717409
2006 Q1	5.672952186	5.609383076	12.48319738	15.14636927	28.21433887	15.49262021
2006 Q2	5.792273148	6.256856347	12.82754789	15.44611058	28.48357291	15.76425978
2006 Q3	6.260066327	7.032810148	13.44353043	16.01712234	30.68660669	15.46617993
2006 Q4	6.591825614	7.598828176	13.94285159	17.01581804	29.68380481	16.26198807
2007 Q1	6.907947504	8.563617828	14.09271353	17.03020129	32.28164435	15.39487663
2007 Q2	7.144532861	8.724578822	14.64643855	17.58018033	32.42716243	15.24456781
2007 Q3	7.415937375	7.53329542	12.7525204	19.6019845	32.20021343	15.21393567
2007 Q4	7.881703123	7.738684775	12.15144406	21.37876026	30.48881809	16.05890309
2008 Q1	8.399677151	6.335236544	12.13195071	23.92063875	32.82501524	16.0681219
2008 Q2	8.879437846	12.04175264	11.75891432	23.3519432	29.87558959	15.50576409
2008 Q3	8.462601857	6.795510307	10.43579491	23.17297218	29.96246541	16.37606903
2008 Q4	8.374945971	6.528987028	10.94794755	26.28017747	21.75718917	12.19275287
2009 Q1	8.169126232	5.396391991	9.867138526	26.75176013	22.06374073	12.12707469
2009 Q2	8.04853469	6.13221963	8.892135211	25.83533877	21.92090492	12.12732653
2009 Q3	7.639384	5.986490983	8.092591111	23.78316107	22.45296651	8.176508483
2009 Q4	6.750977778	5.802754997	7.7629839	22.55087081	20.31820335	8.666236433
2010 Q1	6.577262923	5.667992165	7.321412175	20.24244996	22.61661267	12.21509811
2010 Q2	6.225724782	5.607811422	6.862702106	18.82050493	22.83174687	12.2369495
2010 Q3	6.352930454	5.223349749	6.938307035	18.56772756	22.71233602	13.66544192
2010 Q4	6.21294082	5.100097669	6.907175476	18.4015239	22.33364778	9.532294565
2011 Q1	5.888152461	5.049772599	7.368785411	17.84419746	23.16307479	9.612799234
2011 Q2	5.475576953	5.19918477	6.952245471	17.27356553	23.26761397	10.09778261
2011 Q3	5.191573337	4.597403436	6.419072412	16.83771567	23.89675404	10.37504756
2011 Q4	5.216754129	4.161588604	6.118013253	17.02980338	23.5874966	10.46071626
2012 Q1	5.216815416	4.170740969	6.188250169	16.22398769	23.62756829	10.53835685
2012 Q2	5.204015107	4.190970412	5.935807184	15.66507425	23.95031352	10.59932157
2012 Q3	5.138391106	4.042344433	5.865563436	15.7936318	23.97194308	10.4764862
2012 Q4	5.082099938	3.600305261	5.799784395	16.24939907	24.07631333	11.90151175
2013 Q1	5.023286937	3.711661155	6.020638508	15.81207004	22.88838124	20.08509916
2013 Q2	4.76890954	3.9098418	5.931608592	15.5539928	21.91025559	20.08931375
2013 Q3	4.552701196	4.096346978	5.776666477	15.93464739	21.07261353	20.85771117
2013 Q4	5.878079422	3.809867975	5.554349289	15.73153567	19.05673686	21.46555505
2014 Q1	6.003073542	4.285300859	5.787311776	15.41556628	19.27677659	21.52733632
2014 Q2	5.991144752	4.26423117	5.758094734	14.64193746	18.53158821	21.96372581
2014 Q3	5.88203039	4.21698928	5.613984366	14.60418068	17.99120565	22.16040629
2014 Q4	5.59312789	3.949130037	5.211510653	15.2715359	17.4460045	22.69963778
2015 Q1	5.516637899	3.945896566	5.295295313	14.90355273	17.66570431	22.79279439
2015 Q2	5.279300836	3.751297083	5.379739197	14.29930709	16.95069866	22.6033577
2015 Q3	5.233453202	3.623103067	5.414678355	14.57540719	17.24478077	22.54249588
2015 Q4	5.380996718	3.542315113	5.13576764	15.04747539	16.1981719	22.96688829
2016 Q1	5.174446199	3.593047677	5.542030001	15.00923809	16.42932454	23.09123317
2016 Q2	5.258470992	3.510065941	5.458402527	14.60424979	17.14291263	23.26322377
2016 Q3	5.248689818	3.331742717	4.853777315	14.27614073	17.07301335	23.83718043
2016 Q4	5.35105821	3.069267895	4.665057373	14.38861795	16.11990467	24.04019273
2017 Q1	5.321580191	3.19793695	4.892755024	13.85462159	16.29792104	23.82661315
2017 Q2	5.197281552	3.404557827	4.79043023	13.56923778	16.74116204	23.65147335
2017 Q3	5.284991718	3.423848276	5.022625926	14.01160599	16.20616527	23.70179954
2017 Q4	5.289248809	3.297999017	4.858093264	14.32107324	16.25151337	23.85306115
2018 Q1	5.147837299	3.309071709	5.204977831	14.04513435	15.78912066	23.44020837
2018 Q2	5.19031163	3.337173415	5.131259533	13.78576125	15.7469186	22.78330852
2018 Q3	5.222351924	3.177437203	5.060965616	13.95731554	15.67589918	22.9106723
2018 Q4	5.224631789	2.885459183	4.7852566	14.6008676	17.43371561	23.307637
2019 Q1	5.114648572	3.838185484	5.100713356	14.76777649	18.21181197	22.60644391
2019 Q2	5.059574881	3.047497819	5.121866844	14.99487418	18.54563406	22.67712743
2019 Q3	5.103953106	2.895836561	4.998402151	16.00876639	19.67942403	23.18875539
2019 Q4	5.178993901	2.666256943	4.818041764	16.61434496	18.68533489	23.73779127
2020 Q1	5.411326755	2.743214756	5.068415872	19.65263165	19.42989763	27.16044588
2020 Q2	6.409125939	3.332778236	5.168188297	24.043355	19.68137081	31.79241889
2020 Q3	5.898588833	2.851091056	4.526984661	20.8336142	18.34496275	30.59762619
2020 Q4	5.680567019	2.966393239	4.595011305	19.99744696	18.63726387	31.86759011

*On September 7, 2022, the data in Chart 4-1 were updated on the accessible version to fix a coding error.

Note: The black striped area denotes the period from 2008:Q4 to 2012:Q4 when insured deposits increased because of the Transaction Account Guarantee program. “Other” consists of variable-rate demand obligations (VRDOs), federal funds, funding-agreement-backed securities, private liquidity funds, offshore money market funds, and local government investment pools. Securities lending includes only lending collateralized by cash. GDP is gross domestic product. Values for VRDOs come from Bloomberg beginning in 2019:Q1. See Jack Bao, Josh David, and Song Han (2015), “The Runnables,” FEDS Notes (Washington: Board of Governors of the Federal Reserve System, September 3), https://www.federalreserve.gov/econresdata/notes/feds-notes/2015/the-runnables-20150903.html.

Source: Securities and Exchange Commission, Private Funds Statistics; iMoneyNet, Inc., Offshore Money Fund Analyzer; Bloomberg Finance L.P.; Securities Industry and Financial Markets Association: U.S. Municipal Variable-Rate Demand Obligation Update; Risk Management Association, Securities Lending Report; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation: commercial paper data; Federal Reserve Board staff calculations based on Investment Company Institute data; Federal Reserve Board, Statistical Release H.6, “Money Stock and Debt Measures” (M3 monetary aggregate); Federal Reserve Board, Statistical Release Z.1, “Financial Accounts of the United States”; Federal Financial Institutions Examination Council, Consolidated Reports of Condition and Income (Call Report); Moody's Analytics, Inc., CreditView, ABCP Asset-Backed Commercial Paper Program Index; Bureau of Economic Analysis, gross domestic product via Haver Analytics.

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4-2. Liquid Assets Held by Banks

This is a line chart titled "Liquid Assets Held by Banks." The x axis measures time and ranges from the year 2001 to 2020. The y axis represents liquid assets as a percent of total assets, and ranges from 0 to 32 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 about 5 percent to about 14 percent. The series falls from about 10 percent in 2001 to about 5 percent in 2008:Q4 and then rises steadily to about 12 percent in 2012:Q4. The line then declines steadily to around 9 percent at the end of 2019 before sharply increasing to about 14 percent in the second half of 2020. It ends in 2020:Q4 at around 14.3 percent. The second line, labeled “Large non-G-SIBs,” is designated by a solid blue line and ranges from 6 to about 22 percent. This variable falls from about 9 percent in 2001 to about 7 percent in 2008:Q3 before jumping sharply to 13 percent and rising steadily to between 15 and 16 percent where the series remains until 2019:Q4. The series jumps sharply in early 2020 to 22 percent before falling to 21.5 percent at the end 2020:Q4. The third line, labeled “G-SIBs,” is designated by a solid red line and ranges from about 6 to 28 percent. It begins around 9 percent in 2001 and steadily decreases through the first half of 2008 to 6 percent before jumping sharply in the second half of 2008 to 12 percent. It then steadily increases to 22 percent through 2014. The series levels off and remains around 22 percent through 2018:Q4. The series drops to around 20 in 2019:Q1 and rises to 28 over the following seven quarters.

Note: Liquid assets are cash plus estimates of securities that qualify as high-quality liquid assets as defined by the Liquidity Coverage Ratio requirement. Accordingly, Level 1 assets and discounts and restrictions on Level 2 assets are incorporated into the estimate. 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 in total assets that are not G-SIBs.

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

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4-3. Short-Term Wholesale Funding of Banks

This is a line chart titled "Short-Term Wholesale Funding of Banks." The x axis measures time and ranges from the year 2000 to 2020. The y axis represents short-term wholesale funding as a percent of assets, and ranges from 5 to 40 percent. The data are quarterly. There is one variable charted on the plot. The variable is designated by a solid black line and ranges from about 12 to 35 percent. The variable begins near 28 percent in 2000:Q1, declines steadily to about 23 percent in 2003:Q4, increases to about 33 percent in 2007:Q1 and remains there until 2008:Q1. It then steadily declines to about 16 percent in 2015:Q1 and remains near that level through 2019:Q3 before steadily declining to about 11 percent in 2020:Q4.

Note: Short-term wholesale funding is defined as the sum of large time deposits with maturity less than one year, federal funds purchased and securities sold under agreements to repurchase, deposits in foreign offices with maturity less than one year, trading liabilities (excluding revaluation losses on derivatives), and other borrowed money with maturity less than one year. 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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4-4. Domestic Money Market Fund Assets

This is a filled line chart titled “Domestic Money Market Fund Assets.” The x axis ranges from 2000 to 2021. The y axis ranges from 0 to 6,000, in billions of dollars (real). The data are monthly. There are four variables charted on the plot. The first portion is labeled “Government only;” it is designated by the tan filled portion of the chart and ranges from about 321 billion dollars to about 3,900 billion dollars. This variable remains relatively steady from 2001 to 2005 and begins increasing in late 2006, hitting a local peak of almost 1,500 billion dollars in late 2008. The variable decreases relatively quickly to about 775 billion dollars in mid-2011 and then increases, remaining between 850 billion dollars and 950 billion dollars from 2012 until mid-2014. In mid-2015 the variable begins to increase significantly from about 1,000 billion dollars to where it peaks at 2,220 in late 2016. The variable remains around this level until the end of 2018, increases slowly to about 2,700 billion dollars by early 2020 and then spikes to the maximum value of around 3,900 dollars in April 2020. The variable declines steadily after and ends at 3681 dollars in January 2021. The second portion, labeled “Tax exempt,” is designated by the orange filled portion of the chart and ranges from about 100 billion dollars to about 510 billion dollars. This variable starts at 208 billion dollars and increases continuously to the peak value of 509 billion dollars in August 2008. Thereafter, the variable declines gradually through early 2015 and then drops sharply in September 2016 to about 130 billion dollars. The variable remains around this level through July 2020 when it begins to fall again. The variable sharply decreases until it ends at the minimum value of 105 billion dollars in January 2021. The third portion is labeled “Retail prime;” it is designated by the light blue filled portion of the chart and ranges from about 250 to about 825 billion dollars. This variable starts at 700 billion dollars and increases to 800 billion dollars in early 2001. The variable declines gradually from 2001 until 2005 where it hits a low of around 530 billion dollars before it begins to gradually increase to the peak value of 822 in March 2008. The variable begins to decline again in early 2010, reaching about 500 billion dollars by the end of 2015. The series experiences a sharp decline to 250 billion dollars in the second half 2016. The variable begins to rise again in mid-2018 and increases to almost 500 billion dollars in early 2020. The variable ends in January 2021 at 271 billion dollars after a sharp decrease in the second half of 2020. The fourth portion is labeled “Institutional prime;” it is designated by the dark blue filled portion of the chart and ranges from about 123 to about 1,284 billion dollars. This variable starts at 423 billion dollars and increases to about 800 billion by the end of 2001. The series then declines slowly to 650 billion in mid-2005 and then increases steadily to almost 1,300 billion in August 2008. The variable has a sharp decline in late 2009 and then another sharp increase shortly after. The variable ranges from 800 to 900 billion dollars through late 2015 and experiences a sharp decline in December 2016 to the minimum value of 123 billion dollars. The variable begins to increase through early 2020 and drops sharply in March 2020 from 312 to 221 billion dollars. The variable starts increasing through August 2020 before gradually declining in the second half of 2020. It ends in January 2021 at 269 billion dollars.

Note: The data are converted to constant 2021 dollars using the consumer price index.

Source: Federal Reserve Board staff calculations based on Investment Company Institute data; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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4-5. U.S. Corporate Bonds Held by Mutual Funds

Billions of dollars (real)

Date	Corporate bond amount
2000:Q1	425.41
2000:Q2	414.77
2000:Q3	406.27
2000:Q4	380.00
2001:Q1	388.29
2001:Q2	394.34
2001:Q3	394.22
2001:Q4	390.93
2002:Q1	409.43
2002:Q2	413.68
2002:Q3	400.04
2002:Q4	408.82
2003:Q1	412.14
2003:Q2	454.64
2003:Q3	456.23
2003:Q4	464.20
2004:Q1	494.36
2004:Q2	433.98
2004:Q3	436.94
2004:Q4	447.19
2005:Q1	428.64
2005:Q2	432.65
2005:Q3	414.45
2005:Q4	405.96
2006:Q1	420.71
2006:Q2	411.53
2006:Q3	425.24
2006:Q4	450.25
2007:Q1	456.14
2007:Q2	449.01
2007:Q3	463.73
2007:Q4	459.95
2008:Q1	452.43
2008:Q2	484.44
2008:Q3	433.56
2008:Q4	404.68
2009:Q1	429.56
2009:Q2	510.88
2009:Q3	589.66
2009:Q4	682.66
2010:Q1	761.95
2010:Q2	770.06
2010:Q3	868.97
2010:Q4	905.99
2011:Q1	949.09
2011:Q2	955.23
2011:Q3	919.99
2011:Q4	927.87
2012:Q1	995.07
2012:Q2	1008.95
2012:Q3	1090.18
2012:Q4	1128.36
2013:Q1	1177.89
2013:Q2	1151.93
2013:Q3	1197.72
2013:Q4	1248.33
2014:Q1	1284.30
2014:Q2	1328.19
2014:Q3	1314.57
2014:Q4	1318.79
2015:Q1	1366.61
2015:Q2	1378.69
2015:Q3	1356.15
2015:Q4	1320.69
2016:Q1	1353.53
2016:Q2	1395.54
2016:Q3	1442.47
2016:Q4	1412.19
2017:Q1	1455.32
2017:Q2	1472.02
2017:Q3	1487.89
2017:Q4	1481.84
2018:Q1	1497.73
2018:Q2	1493.44
2018:Q3	1508.85
2018:Q4	1442.08
2019:Q1	1520.14
2019:Q2	1558.76
2019:Q3	1581.27
2019:Q4	1577.72
2020:Q1	1493.26
2020:Q2	1723.66
2020:Q3	1773.88
2020:Q4	1829.88

Note: The data are converted to constant 2020 dollars using the consumer price index.

Source: Federal Reserve Board staff estimates based on Federal Reserve Board, Statistical Release Z.1, "Financial Accounts of the United States"; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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4-6. Bank Loan and High-Yield Bond Mutual Fund Assets

This is a stacked line chart titled “Bank Loan and High-Yield Bond Mutual Fund Assets.” The x axis measures time and ranges from 2000 to 2021. The y axis is in billions of dollars (real) and ranges from 0 to 525. The data are monthly. “Bank loan mutual funds” are represented in maroon. The series begins around 26 billion dollars and decreases until hitting its minimum of 14.8 billion dollars in June 2003. It then steadily increases, reaching 48 billion dollars in June 2007 before decreasing to 19 billion dollars in December 2008. The series then increases steadily to 161 billion dollars in January 2014. The series decreases to 96 billion dollars in February of 2016 and rises to 143 billion dollars in October 2018. It then decreases sharply to 86 billion dollars in February 2020 and drops sharply to 64 billion dollars by March of 2020 where it remained steadily until a slight increase to 70 billion dollars in February 2021. “High-yield bond mutual funds” are represented in tan. The series begins around 171 billion dollars and steadily declines until November 2002. After November 2002 it begins to increase and hovers around 200 billion dollars until it sharply declines to around 114 in November 2008. The series steadily increases again and reaches its peak of 325 billion dollars in June 2014, decreases to about 250 billion dollars at the end of 2015, and increases to close to 300 billion dollars by the end of 2016, before the series falls to about 225 billion dollars in late-2018. The series hovers around 250 billion dollars until February 2020 when it drops suddenly to about 210 billion dollars. The series then increases steadily and ends at 292 billion dollars in February 2021.

Note: The data are converted to constant 2021 dollars using the consumer price index. Key identifies series in order from top to bottom.

Source: Investment Company Institute; Bureau of Labor Statistics, consumer price index via Haver Analytics.

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4-7. Mutual Fund Net Flows

This is a stacked bar chart titled “Mutual Fund Net Flows.” The x axis ranges from January 2017 to February 2021, with labels for February, May, August, and November of each year. The y-axis is in billions of dollars and ranges from -140 billion to 100 billion. The data are monthly. “Investment-grade bond mutual funds” are shown in blue. “Investment grade mutual funds” saw inflows of between 0 and 20 billion dollars from early 2017 until 2018:Q3. From October through December of 2018, the series experienced outflows of between 5 and 20 billion dollars. The series leveled out to around 0 billion dollars in January 2019 and saw inflows between 0 and 30 billion dollars until 2020:Q1. In March 2020, the series experienced sharp outflows of around 90 billion dollars. The series had outflows for one more quarter before it switched back to inflows of between 20 and 40 billion dollars through February 2021. “Bank loan mutual funds” are represented in orange. “Bank loan mutual funds” saw inflows between 0 and 5 billion dollars from early 2017 to mid-2017. From mid-2017 to end of 2017, the series saw monthly outflows of between 0 and 3 billion dollars. The series again experienced monthly inflows of 0 to 3 billion for most of 2018. In November and December 2018, the series experienced outflows of around 4 and 13 billion dollars, respectively. From January 2019 through February 2020, the series experience outflows of between 0 and 5 billion dollars before seeing large outflows of around 11 billion dollars in March 2020. From April 2020 through November 2020, the series saw monthly outflows of less than 2 billion dollars. For the remainder of the series, bank loan mutual funds saw positive inflows of around 3 billion dollars. “High-yield bond mutual funds” are represented in tan. “High-yield bond mutual funds” generally saw monthly outflows of less than 5 billion dollars between early-2017 and January 2018. Outflows increased abruptly to around 10 billion dollars in February 2018. From March 2018 through December 2018, the series generally saw monthly outflows of less than 6 billion dollars. For most of 2019, the series generally experienced inflows of less than 3 billion dollars, except for May and August 2019 when outflows were around 3 billion dollars. In March 2020, the series experience large outflows of 10 billion dollars before seeing large inflows of around 10 and 12 billion dollars in April and May 2020, respectively. For the remainder of the timeframe, the series generally experienced inflows of 5 billion dollars or less, with outflows of around 1 billion dollars in September 2020 and February 2021.

Note: Mutual fund assets under management as of February 2021 included $2,541 billion in investment-grade bond funds, $292 billion in high-yield bond funds, and $71 billion in bank loan funds.

Source: Investment Company Institute.

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4-8. Less Liquid General Account Assets Held by U.S. Insurers

Percent Share (Left scale)
Billions of dollars (Right scale)

Date	Other asset-backed securities	Commercial real estate	Commercial real estate, securitized	Alternative investment	Illiquid corporate debt	Illiquid corporate debt, securitized	Share of life insurer assets (left scale)	Share of P&C insurer assets (left scale)
2006	249.03	273.65	187.41	137.23	315.65	8.66	32.95	10.06
2007	270.20	292.62	216.82	183.64	326.14	12.66	35.05	12.34
2008	265.12	304.07	221.54	167.91	344.19	13.86	34.98	11.92
2009	236.11	294.42	222.54	171.22	348.22	15.50	33.70	10.96
2010	209.85	286.60	189.54	224.58	365.18	19.88	31.50	12.88
2011	215.26	301.75	183.07	237.33	377.41	24.91	30.74	13.44
2012	200.97	314.09	168.49	254.11	392.09	31.82	30.60	13.43
2013	198.71	331.62	163.89	275.47	419.18	43.55	30.59	14.99
2014	202.31	349.12	165.76	300.22	424.25	64.52	31.08	14.90
2015	191.49	375.68	160.12	292.14	441.21	75.85	31.15	15.02
2016	197.48	407.46	154.32	306.37	467.58	81.66	31.16	15.11
2017	189.20	442.80	152.30	334.04	479.19	90.37	31.29	14.69
2018	188.44	483.61	164.39	342.81	479.53	116.89	32.62	14.90
2019	185.60	534.21	178.64	381.33	546.63	140.45	34.41	15.11
2020	179.27	555.75	185.26	433.00	635.75	173.48	35.08	16.21

Note: Securitized products include collateralized loan obligations for corporate debt, private-label commercial mortgage-backed securities for commercial real estate, and private-label residential mortgage-backed securities and asset-backed securities backed by autos, credit cards, consumer loans, and student loans for other asset-backed securities. Illiquid corporate debt includes private placements, bank/syndicated loans, and high-yield bonds. Alternative investments include assets filed under Schedule BA. P&C is property and casualty. Key identifies bars in order from top to bottom.

Source: Staff estimates based on data from Bloomberg Finance L.P. and National Association of Insurance Commissioners Annual Statutory Filings.

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4-9. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

Left Panel
Billions of dollars (real)

Date	FHLB advances	Funding-agreement backed securities
2006:Q1	10.66	198.52
2006:Q2	10.86	206.00
2006:Q3	11.58	205.79
2006:Q4	12.91	213.02
2007:Q1	14.04	213.58
2007:Q2	17.50	213.76
2007:Q3	24.26	216.69
2007:Q4	27.95	215.37
2008:Q1	31.30	211.10
2008:Q2	32.34	210.41
2008:Q3	41.41	192.99
2008:Q4	58.91	181.63
2009:Q1	59.22	164.61
2009:Q2	55.75	150.45
2009:Q3	52.33	136.99
2009:Q4	53.00	126.02
2010:Q1	52.21	121.95
2010:Q2	50.60	112.73
2010:Q3	50.52	109.75
2010:Q4	50.00	104.67
2011:Q1	50.67	99.68
2011:Q2	49.77	94.29
2011:Q3	49.78	87.81
2011:Q4	50.22	87.59
2012:Q1	51.17	84.48
2012:Q2	54.60	85.88
2012:Q3	54.22	86.94
2012:Q4	52.74	83.42
2013:Q1	53.44	82.58
2013:Q2	54.44	73.94
2013:Q3	53.29	69.94
2013:Q4	54.17	67.98
2014:Q1	53.98	63.48
2014:Q2	54.20	66.72
2014:Q3	54.57	69.76
2014:Q4	54.85	74.54
2015:Q1	57.48	77.24
2015:Q2	58.57	75.39
2015:Q3	59.88	70.88
2015:Q4	60.85	76.00
2016:Q1	63.96	74.43
2016:Q2	67.29	75.33
2016:Q3	69.98	75.48
2016:Q4	70.57	80.23
2017:Q1	72.93	81.36
2017:Q2	72.70	84.94
2017:Q3	72.61	92.44
2017:Q4	74.42	90.22
2018:Q1	79.24	92.22
2018:Q2	78.66	84.80
2018:Q3	77.14	93.02
2018:Q4	79.64	90.75
2019:Q1	81.53	93.86
2019:Q2	80.64	92.39
2019:Q3	83.53	93.20
2019:Q4	86.21	95.03
2020:Q1	101.62	100.53
2020:Q2	104.39	105.56
2020:Q3	100.22	109.78
2020:Q4	100.80	112.48

Right Panel
Billions of dollars (real)

Date	Repurchase agreements	Securities lending
2011:Q1	7.08	53.90
2011:Q2	7.80	53.11
2011:Q3	7.85	50.69
2011:Q4	8.14	48.37
2012:Q1	9.28	47.55
2012:Q2	11.96	54.67
2012:Q3	12.72	61.80
2012:Q4	12.67	60.10
2013:Q1	14.94	60.19
2013:Q2	14.89	61.09
2013:Q3	14.34	56.46
2013:Q4	12.81	61.97
2014:Q1	15.08	63.11
2014:Q2	15.11	65.17
2014:Q3	16.65	68.47
2014:Q4	12.72	59.31
2015:Q1	12.21	59.36
2015:Q2	11.82	53.70
2015:Q3	11.84	53.78
2015:Q4	9.40	53.67
2016:Q1	11.46	55.29
2016:Q2	12.91	57.17
2016:Q3	13.75	59.13
2016:Q4	10.42	50.89
2017:Q1	13.74	52.58
2017:Q2	13.93	53.42
2017:Q3	15.24	54.21
2017:Q4	17.53	51.54
2018:Q1	17.27	54.06
2018:Q2	19.20	47.30
2018:Q3	18.70	48.05
2018:Q4	18.57	42.93
2019:Q1	17.91	46.49
2019:Q2	16.86	45.99
2019:Q3	16.04	45.51
2019:Q4	17.24	45.38
2020:Q1	18.80	42.80
2020:Q2	20.99	48.36
2020:Q3	20.72	47.26
2020:Q4	20.68	47.92

Note: The data are converted to constant 2020 dollars using the consumer price index. FHLB is Federal Home Loan Bank. Key identifies series in order from top to bottom.

Source: Bureau of Labor Statistics, consumer price index via Haver Analytics; Moody's Analytics, Inc., CreditView, Asset-Backed Commercial Paper Program Index; Securities and Exchange Commission, Forms 10-Q and 10-K; National Association of Insurance Commissioners, quarterly and annual statutory filings accessed via S&P Global Market Intelligence; Bloomberg Finance L.P.

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A. SOFR Swaps Notional Volumes

This is a stacked bar chart titled “SOFR Swaps Notional Volumes.” The x axis measures time and ranges from January 2019 to February 2021. The y axis measures billions of dollars and ranges from 0 to 300. The data are monthly and each month is a stacked bar. Each bar includes 5 variables. The first variable is “0-90 days” and is represented in light gray. This data ranges from 0 to 55 billion. It starts off at zero and increases to about 30 billion dollars in May 2019 before falling back to zero in September 2019. The series then increases to about 40 billion dollars by December 2019 before falling to zero again in April 2020. From there, the series generally increases, reachinghiting its peak in December 2020 at about 55 billion dollars. It ends in February 2021 at 33 billion dollars. The second variable is “91-180 days” and is represented in dark gray. This series ranges from 0 to 62 billion dollars. From January 2019 through January 2020, the series generally remains below 15 billion dollars, with a brief spike to around 20 billion dollars in May 2019. For the remainder of the series, the volumes stay between 15 and 30 billion dollars, except for spikes in May 2020 and February 2021, when the series hit around 50 and 60 billion dollars, respectively. The third variable is “181-365 days” and is represented in light pink. This series ranges from 0 to 35 billion dollars. The series starts out at 0 and remains below 10 billion dollars until December 2019. It then rises to around 35 billion dollars in March 2020 before decreasing to around 5 billion dollars in August 2020. The series then rises to about 35 billion dollars before decreasing to 22 billion dollars in February 2021. The fourth variable is “1-3 years” and is represented in dark blue. This series ranges from 0 to 75 billion dollars. It starts near 0.5 billion dollars and slowly rises to 25 billion dollars by October 2019. The series remains near this level through March 2020 before decreasing to around 2 billion dollars by July 2020. The series then increases to its peak of 75 billion dollars in February 2021. The fifth variable is “4-5 years” and is represented in tan. This series ranges from 0 to 32 billion. It starts at about 1 billion dollars and generally remains around the level until December 2019. The series briefly hits about 10 billion dollars in February 2020 before falling back to below 5 billion dollars until August 2020. The series then increases to hit its peak of 32 billion dollars in November 2020. It decreases slightly to end in February 2021 at about 20 billion dollars. The sixth variable is “More than 5 years” and is represented in red. This series ranges from 0 to 86 billion dollars. The series starts at 0 and remains under 5 billion dollars through May 2020, except for a brief spike in February 2020 when the series hits around 15 billion dollars. The series starts to increase in June 2020, hitting its peak in October 2020 at 86 billion dollars. It falls for two months before climbing again in 2021 to end at 63 billion dollars in February 2021.

Note: Key identifies bars in order from bottom to top. SOFR is Secured Overnight Financing Rate.

Source: Bloomberg Finance L.P.

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B. SOFR Futures Open Interest as a Proportion of Fed Funds and Eurodollars

This is a line chart titled “SOFR Futures Open Interest as a Proportion of Fed Funds and Eurodollars.” The x axis measures time and ranges from March 2020 to February 2021. The y axis measures percent as a proportion of the Fed Funds rate or proportion of Eurodollars and ranges from 0 to 30. The data are daily. There are two variables plotted in the figure. The first variable is represented by a solid blue line and represents “1-month SOFR as a proportion of the fed funds rate.” This series ranges from 9 to 23 percent. It starts at 17 percent and rises to about 22 percent in April 2020. The series slowly decreases to its minimum of 9 percent in September 2020 before steadily rising to its maximum of 23 percent in February 2021. The second series is “3-month SOFR as a proportion of Eurodollars” and is represented by a solid black line. This series ranges from 1 percent to 5 percent. It begins at 2 percent and remains near that level until September 2020. The series then slowly rises to around 5 percent in December 2020 and remains around that level until the series ends in February 2021.

Note: SOFR is Secured Overnight Financing Rate.

Source: Bloomberg Finance L.P.

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C. Trading Volumes in CME’s Front-Month SOFR Futures Contract

Billions of dollars

Date	Average Daily Volume	Median Daily Volume
May 2018	0.68	0.57
June 2018	1.33	0.25
July 2018	1.05	0.67
August 2018	3.29	2.98
September 2018	1.05	0.52
October 2018	0.49	0.32
November 2018	3.53	1.71
December 2018	7.73	2.77
January 2019	1.91	1.61
February 2019	4.15	2.89
March 2019	17.99	15.04
April 2019	8.65	7.75
May 2019	7.80	5.83
June 2019	10.94	9.11
July 2019	14.73	8.31
August 2019	19.30	14.26
September 2019	55.87	33.75
October 2019	24.69	18.00
November 2019	35.59	30.72
December 2019	44.14	37.13
January 2020	19.73	13.61
February 2020	14.80	14.96
March 2020	42.65	38.42
April 2020	12.94	9.91
May 2020	12.65	12.59
June 2020	17.53	11.84
July 2020	16.65	9.59
August 2020	12.49	5.91
September 2020	16.53	14.31
October 2020	13.84	10.85
November 2020	19.48	12.89
December 2020	17.21	14.14
January 2021	31.40	25.71
February 2021	36.32	31.83

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

Source: CME Group.

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A. Dollar‐Denominated Bank Credit, by Bank Nationality and Location of Counterparty

Trillions of U.S. Dollars

Claim type	Non-U.S. residents	U.S. residents
Foreign bank credit	8.3	7.0
U.S. bank credit	1.4	12.0

Note: Excludes intragroup credit and local credit in China. Data as of 2020:Q2. Key identifies bars in order from left to right.

Source: Bank for International Settlements (BIS) locational statistics by residence and by nationality; BIS consolidated banking statistics; Federal Reserve Board staff calculations.

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B. Outstanding U.S. Short‐Term Funding Instruments, by Borrower Origin

Trillions of U.S. Dollars

Type	Repurchase agreements	Commercial Paper	Negotiable CDs
U.S. borrowers	2.32	0.32	0.04
Foreign borrowers	2.41	0.67	0.47
Total	4.73	1.00	0.50

Percent

Type	Repurchase agreements	Commercial Paper	Negotiable CDs
U.S. borrowers	49.00	33.00	12.00
Foreign borrowers	51.00	67.00	88.00

Note: Data as of December 2020. Repurchase agreements include those reported by banks and primary dealers on the Statistical Release Z.1 and Form FR 2004, respectively. Neither DTCC Solutions LLC nor any of its affiliates shall be responsible for any errors or omissions in any DTCC data included in this publication, regardless of the cause and, in no event, shall DTCC or any of its affiliates be liable for any direct, indirect, special, or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit, trading losses and opportunity costs) in connection with this publication. CD is certificate of deposit. Key identifies shaded areas in order from top to bottom.

Source: Federal Reserve Bank of New York; DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation; Federal Reserve Board (FRB), Statistical Release Z.1, “Financial Accounts of the United States”; FRB, Form FR 2004, Government Securities Dealers Reports; FRB staff calculations.

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C. Dollar‐Denominated Liabilities of Foreign Banks, by Country of Counterparty

This is a stacked bar chart titled “Dollar-Denominated Liabilities of Foreign Banks, by Country of Counterparty.” The x axis shows two time periods with a stacked bar for each: 2014:Q2 and 2020:Q2. The y axis measures trillions of U.S. dollars and ranges from 0 to 25. There are 4 variables represented in the stacked bars. The first variable is “Unassigned,” which is represented in orange shading. This variable is near half a trillion million for 2014:Q2 and about 1 trillion for 2020:Q2. The second variable is “Non-U.S. residents, home country.” For 2014:Q2 this variable is about 2 trillion and for 2020:Q2 this variable is around 3 trillion. The third variable is “Non-U.S. residents, other” which is represented by a light blue shading. The value for 2014:Q2 is also about 4 trillion and the value for 2020:Q2 is around 6 trillion. The fourth variable is “U.S. residents” which is represented in dark blue shading. For 2014:Q2 the value is about 4 trillion and for 2020:Q2 the value about 4 trillion.

Note: Excludes intra group liabilities and liabilities reported by China and Russia. Key identifies bars in order from top to bottom.

Source: Bank for International Settlements (BIS) locational statistics by residence and by nationality; BIS consolidated banking statistics; Federal Reserve Board staff calculations.

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D. Central Bank Dollar Swaps Outstanding during COVID‐19

Billions of U.S. dollars

Date	Bank of Japan	European Central Bank	Bank of England	Swiss National Bank	Other
2020-03-03	0.00	0.05	0.00	0.00	0.00
2020-03-10	0.00	0.06	0.00	0.00	0.00
2020-03-17	0.00	0.05	0.00	0.00	0.00
2020-03-24	32.33	112.11	15.46	3.33	0.00
2020-03-31	174.71	137.03	31.60	6.09	8.24
2020-04-07	175.02	133.26	31.29	8.93	21.43
2020-04-14	188.16	138.66	21.93	10.14	30.62
2020-04-21	195.91	141.26	27.28	10.95	35.06
2020-04-28	214.42	142.39	27.54	10.17	40.49
2020-05-05	220.33	142.43	27.58	10.01	44.45
2020-05-12	220.43	141.57	23.13	9.85	44.66
2020-05-19	223.59	143.14	23.13	10.00	46.07
2020-05-26	225.79	143.47	23.13	10.20	46.22
2020-06-02	223.30	144.41	23.13	10.30	46.26
2020-06-09	222.16	144.98	20.63	10.90	45.81
2020-06-16	212.96	69.58	13.38	10.83	45.86
2020-06-23	171.38	44.92	7.70	9.76	42.07
2020-06-30	156.24	30.27	0.70	10.11	29.57
2020-07-07	132.69	18.96	0.40	6.32	23.30
2020-07-14	111.99	18.40	0.40	5.56	18.50
2020-07-21	90.27	15.43	0.40	4.39	12.84
2020-07-28	90.27	13.78	0.00	3.44	10.22
2020-08-04	83.11	12.15	0.00	3.19	8.65
2020-08-11	80.22	9.31	0.00	3.05	7.21
2020-08-18	77.11	8.71	0.00	2.80	7.21
2020-08-25	74.79	7.45	0.00	2.74	7.16
2020-09-01	72.76	6.96	0.00	2.15	7.16
2020-09-08	56.56	6.51	0.00	1.90	7.11
2020-09-15	40.73	3.32	0.00	1.70	6.81
2020-09-22	24.98	1.97	0.00	1.47	3.86
2020-09-29	18.54	1.76	0.00	0.75	3.53
2020-10-06	10.76	1.74	0.00	0.50	2.85
2020-10-13	3.32	1.73	0.00	0.35	2.85
2020-10-20	3.07	1.28	0.00	0.95	2.09
2020-10-27	2.25	1.11	0.00	1.10	2.35
2020-11-03	1.85	0.91	0.00	2.09	2.35
2020-11-10	1.68	0.96	0.00	2.99	2.40
2020-11-17	1.28	0.69	0.00	3.19	2.35
2020-11-24	1.11	0.85	0.12	3.59	1.99
2020-12-01	0.75	0.90	0.00	4.60	2.19
2020-12-08	0.17	0.90	0.00	5.87	2.40
2020-12-15	0.00	0.91	0.00	7.18	2.26
2020-12-22	0.00	4.19	0.00	10.04	2.10
2020-12-29	0.00	4.19	0.00	10.04	2.61
2021-01-05	0.00	4.19	0.00	10.04	3.65
2021-01-12	0.00	1.21	0.00	7.25	2.68
2021-01-19	0.00	1.22	0.00	7.01	2.68
2021-01-26	0.00	1.13	0.00	6.01	2.68
2021-02-02	0.00	1.14	0.00	5.11	2.43
2021-02-09	0.00	1.12	0.00	4.91	2.43
2021-02-16	0.00	1.02	0.00	4.71	2.43
2021-02-23	0.00	1.02	0.00	3.51	2.23

Note: BOJ is Bank of Japan, ECB is European Central Bank, BOE is Bank of England, SNB is Swiss National Bank, and “Other” includes Reserve Bank of Australia, Monetary Authority of Singapore, Norges Bank, Danmarks Nationalbank, Bank of Korea, and Bank of Mexico. Key identifies bars in order from bottom to top.”

Source : Federal Reserve Bank of New York, “U.S. Dollar Liquidity Swap – Amounts Outstanding.”

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E. Changes in March 2020 to Central Bank Liquidity Swaps Auctioned and Balance Sheets of Foreign Banking Organizations’ U.S. Offices

This is a bar chart titled “Changes in March 2020 to Central Bank Liquidity Swaps and Balance Sheets of FBO's U.S. offices.” The x axis is split into two parts with three bars on each side. The left-hand side is titled “European Banks” and the x axis has three bars labeled “Central bank swaps auctioned,” “Change in net borrowing from abroad by U.S. offices,” and “Changes in select assets of U.S. branches.” The right-hand side is labelled “Asian banks” and has three bars with the same x-axis labels: “Central bank swaps auctioned,” “Change in net borrowing from abroad by U.S. offices,” and “Changes in select assets of U.S. branches.” The y axis is in billions of U.S. dollars and ranges from 0 to 300. Starting from “European banks,” the first bar is “Central bank swaps auctioned” which is represented in tan. This value is around 180 billion dollars. The next bar is “Change in net borrowing from abroad by U.S. offices,” which is represented in a dark blue shade. This value is around 200 billion dollars. The last bar under “European banks” is a stacked bar labeled “Changes in select assets of U.S. branches.” The top portion is a light pink shade and is labeled “Loans” and the bottom portion is a red shade and is labeled “Cash.” The value of the “Loans” portion is about 95 billion dollars and the value of the “Cash” portion is about 160 billion dollars. Moving to “Asian banks,” the first bar is labeled “Central bank swaps auctioned” and is represented in tan. The value of this bar is about 180 billion dollars. The next bar is “Change in net borrowing from abroad by U.S. offices” and is represented in a dark blue shade. The value of this bar is about 100 billion dollars. The last bar under “Asian banks” is a stacked bar labeled “Changes in select assets of U.S. branches.” The top portion is a light pink shade and is labeled “Loans” and the bottom portion is a red shade and is labeled “Cash.” The value of the “Loans” portion is about 50 billion dollars and the value of the “Cash” portion is about 80 billion dollars.

Note: Change in net borrowing from abroad by U.S. offices is the change in gross liabilities minus gross claims from the Treasury International Capital Form B by any reporter with a foreign bank parent. Cash on branch balance sheets primarily includes reserve balances.

Source: Treasury International Capital; Federal Financial Institutions Examination Council, Reporting Form FFIEC 002, Report of Assets and Liabilities of U.S. Branches and Agencies of Foreign Banks; Federal Reserve Board (FRB) Form FR 2644, Selected Assets and Liabilities of Domestically Chartered Commercial Banks and U.S. Branches and Agencies of Foreign Banks; FRB staff estimates; central bank swap auction results.

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Spring 2021: Most Cited Potential Shocks over Next 12 to 18 Months

Potential Shocks	Percentage
Vaccine resistant variants	58%
Sharp rise in real interest rates	50%
Inflation surge	42%
Risky asset valuations/correction	33%
U.S.-China tensions	33%
TGA drawdown/debt ceiling	25%
Cryptocurrencies/stablecoins	21%
Reach for yield/leverage	21%
Cyber attacks	21%
EM stress	17%
SLR extension	17%
Under-regulated non-banks	17%
CRE	13%
Bank asset quality	13%

Note: Responses are to the following question: “Over the next 12–18 months, which shocks, if realized, do you think would have the greatest negative effect on the functioning of the U.S. financial system?” TGA is Treasury General Account. EM is emerging market. SLR is sup-plementary leverage ratio. CRE is commercial real estate.

Source: Federal Reserve Bank of New York survey of 24 market contacts from early February to early April.

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Fall 2020: Most Cited Potential Shocks over Next 12 to 18 Months

Potential Shocks	Percentage
U.S. political uncertainty	70.8%
Corporate & SME stress/defaults	62.5%
Insufficient fiscal stimulus	54.2%
COVID resurgence	54.2%
Stretched asset valuations	29.2%
U.S.-China tensions	25.0%
Inflation surprises	20.8%
USD collapse/currency war	20.8%
Monetary policy space/efficacy	16.7%
Bank asset quality/bank profitability	16.7%
CRE defaults/CMBS stress	16.7%
Sharp rise in real interest rates	12.5%
Geopolitical risks	12.5%
Brexit	8.3%
Cyber attacks	8.3%
LIBOR transition	8.3%

Note: Responses are to the following question: “Over the next 12–18 months, which shocks, if realized, do you think would have the greatest negative effect on the functioning of the U.S. financial system?” SME is small and medium-sized enterprises. CRE is commercial real estate. CMBS is commercial mortgage-backed security.

Source: Federal Reserve Bank of New York survey of 24 market contacts from early September to mid.-October

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Financial Stability Report

Accessible Version - Financial Stability Report - May 2021

Figure 1-1. Yields on Nominal Treasury Securities

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

1‐3. Implied Volatility of 10‐Year Swap Rate

1‐4. Treasury Market Depth

1‐5. Corporate Bond Yields

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

Figure 1-7. Excess Bond Premium

Figure 1-8. Secondary Market Spreads of Leveraged Loans

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

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

1‐11. S&P 500 Return Volatility

Figure A. Measures of Risk Appetite

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

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

Figure 1-13. Capitalization Rate at Property Purchase

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

Figure 1-15. Farmland Prices

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

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

Figure 1-18. House Price Valuation Measure

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

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

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

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

Figure 2-4. Net Issuance of Risky Business Debt

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

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

Figure 2-7. Default Rates of Leveraged Loans

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

A. PPPLF Advances Outstanding

B. Liquid Deposits at Banks

C. Bank Term Funding Alternatives

2-9. Total Household Loan Balances

2-10. Estimates of New Mortgage Volumes to Households

2-11. Mortgage Loss Mitigation and Delinquency

Figure 2-12. Estimate of Mortgages with Negative Equity

2-13. Estimates of Housing Leverage

2-14. Consumer Credit Balances

2-15. Auto Loan Balances

2-16. Auto Loss Mitigation and Delinquency

2-17. Credit Card Balances

2-18. Credit Card Delinquency Rates

3-1. Common Equity Tier 1 Ratio of Banks*

3-2. Ratio of Tangible Bank Equity to Assets

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

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

Figure 3-5. Leverage at Broker-Dealers

Figure 3-6. Leverage at Insurance Companies

3-7. Gross Leverage at Hedge Funds

3-8. Change in the Use of Financial Leverage

3-9. Issuance of Non-agency Securitized Products, by Asset Class

3-10. Large Bank Lending to Nonbank Financial Firms: Committed Amounts

3-11. Growth of Loan Commitments and Utilization to Nonbank Financial Institutions in 2020, by Sector

4-1. Runnable Money-Like Liabilities as a Share of GDP, by Instrument and Institution *

4-2. Liquid Assets Held by Banks

4-3. Short-Term Wholesale Funding of Banks

4-4. Domestic Money Market Fund Assets

4-5. U.S. Corporate Bonds Held by Mutual Funds

4-6. Bank Loan and High-Yield Bond Mutual Fund Assets

4-7. Mutual Fund Net Flows

4-8. Less Liquid General Account Assets Held by U.S. Insurers

4-9. Nontraditional Liabilities of U.S. Life Insurers, by Liability Type

A. SOFR Swaps Notional Volumes

B. SOFR Futures Open Interest as a Proportion of Fed Funds and Eurodollars

C. Trading Volumes in CME’s Front-Month SOFR Futures Contract

A. Dollar‐Denominated Bank Credit, by Bank Nationality and Location of Counterparty

B. Outstanding U.S. Short‐Term Funding Instruments, by Borrower Origin

C. Dollar‐Denominated Liabilities of Foreign Banks, by Country of Counterparty

D. Central Bank Dollar Swaps Outstanding during COVID‐19

E. Changes in March 2020 to Central Bank Liquidity Swaps Auctioned and Balance Sheets of Foreign Banking Organizations’ U.S. Offices

Spring 2021: Most Cited Potential Shocks over Next 12 to 18 Months

Fall 2020: Most Cited Potential Shocks over Next 12 to 18 Months