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 li

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