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3.1.1 Household Debt as a Percent of Disposable Personal Income As Of: 2020 Q2 Percent 160 120 Percent 160 Other Household Credit Consumer Credit Mortgages 120 80 80 40 40 0 1995 0 1998 2001 Source: BEA, Federal Reserve, Haver Analytics 2004 2007 2010 2013 2016 2019 Note: Other Household Credit includes debts of both households and nonprofits. 3.1.2 Household Debt Service Ratio Percent As Of: 2020 Q2 Percent 14 14 13 13 12 12 11 11 10 10 9 9 8 1990 8 1994 1998 Source: Federal Reserve, Haver Analytics 2002 2006 2010 2014 2018 Note: Ratio of debt-service payments to disposable personal income. Seasonally adjusted. Gray bars signify NBER recessions. 3.1.3 Owners’ Equity as Share of Household Real Estate Percent 80 As Of: 2020 Q2 Percent 80 70 70 60 60 50 40 1990 1990-Present Average 50 40 1994 1998 Source: Federal Reserve, Haver Analytics 2002 2006 2010 2014 2018 Note: Gray bars signify NBER recessions. 3.1.4 Components of Consumer Credit Billions of US$ 1750 As Of: 2020 Q2 Billions of US$ 1750 1500 1500 Student Loans 1250 1250 1000 Credit Card Debt Auto Loans 750 750 500 Other Household Debt 250 0 2003 1000 500 250 0 2006 2009 Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics 2012 2015 2018 Note: Gray bars signify NBER recessions. 3.1.5 Change in Inquiries Relative to First Week of March 2020 Percent 40 20 Percent 40 As Of: 26-Jun-2020 New Mortgages Unspecified and Other Revolving Credit Auto Loans 20 0 0 -20 -20 -40 -40 -60 Mar:2020 -60 Source: CFPB Apr:2020 May:2020 Jun:2020 3.1.6 Percentage of Mortgages in Forbearance Percent 10 8 As Of: 27-Sep-2020 Percent 10 Nonbanks Banks Total 8 6 6 4 4 2 2 0 Mar:2020 0 May:2020 Source: Mortgage Bankers Association Jul:2020 Sep:2020 3.1.7 Share of Open Accounts that Transitioned to Delinquent As Of: Jun-2020 Percent Percent 1.5 1.2 1.5 First-Lien Mortgages Credit Cards Student Loans Auto Loans 1.2 0.9 0.9 0.6 0.6 0.3 0.3 0.0 Feb:19 0.0 May:19 Source: CFPB Aug:19 Nov:19 Feb:20 May:20 3.2.1.1 Nonfinancial Corporate Credit as Percent of GDP Percent 60 As Of: 2020 Q2 Percent 60 50 50 40 40 30 30 20 1980 20 1985 1990 Source: Federal Reserve, Haver Analytics 1995 2000 2005 2010 2015 2020 Note: Gray bars signify NBER recessions. 3.2.1.2 U.S. Nonfinancial Business Leverage Ratio 0.35 As Of: 2020 Q2 Ratio 6 0.30 5 Gross Debt / Assets (left axis) 0.25 4 0.20 3 0.15 2 Gross Debt / EBITDA (right axis) 0.10 1990 1 1996 Source: Compustat, Haver Analytics 2002 2008 2014 2020 Note: Four-quarter moving average of the median ratio. Includes rated and unrated nonfinancial businesses. Gray bars signify NBER recessions. As Of: 2020 Q2 Percent 100 Large and Middle-market Firms 75 Small Firms 75 50 50 25 25 0 0 -25 -25 -50 1992 -50 1996 2000 2004 Source: Federal Reserve Senior Loan Officer Opinion Survey 2008 2012 2016 Tightening Percent 100 Easing Easing Tightening 3.2.1.3 Bank Business Lending Standards 2020 Note: Represents net percentage of banks reporting tightening standards for C&I loans. Large and middlemarket firms are those with annual sales of $50 million or more. Gray bars signify NBER recessions. 3.2.1.4 Investment Grade Corporate Bond Spreads Percent 10 As Of: 30-Sep-2020 Percent 10 BBB US Corporate Index Single-A US Corporate Index 8 8 AA US Corporate Index 6 6 4 4 2 2 0 2005 0 2007 2009 Source: Ice Data Indices, ICE BofA US, FRED 2011 2013 2015 2017 2019 Note: The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. 3.2.1.5 Gross Issuance of Corporate Bonds As Of: Sep-2020 Trillions of US$ 2.5 High-Yield Investment Grade 2.0 Trillions of US$ 2.5 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2006 2008 Source: Refinitiv, SIFMA 2010 2012 2014 2016 2018 2020 YTD 0.0 Note: Includes all non-convertible corporate debt, MTNs, and Yankee bonds, but excludes all issues with maturities of 1 year or less and CDs. 3.2.1.6 High-Yield Corporate Bond Spreads Percent 25 As Of: 30-Sep-2020 Percent 25 Single-B US Corporate Index BB US Corporate Index 20 20 15 15 10 10 5 5 0 2005 0 2007 2009 Source: Ice Data Indices, ICE BofA US, FRED 2011 2013 2015 2017 2019 Note: The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. 3.2.1.7 Leveraged Loan Spreads Percent 12.5 As Of: 30-Sep-2020 Percent 12.5 10.0 10.0 7.5 7.5 5.0 5.0 2.5 2011 2.5 2013 Source: S&P LCD 2015 2017 2019 Note: Spread-to-maturity for syndicated loans included in the S&P LCD Leveraged Loan Index. 3.2.1.8 Institutional Leveraged Loan Issuance As Of: 30-Sep-2020 Billions of US$ 100 2020 Monthly Issuance (left axis) 2016-2019 Monthly Average Issuance (left axis) 80 Billions of US$ 500 400 2016-2019 Average Cumulative Issuance (right axis) 2020 Cumulative Issuance (right axis) 60 300 40 200 20 100 0 Jan Mar Source: S&P LCD May Jul Sep Nov 0 3.2.1.9 Nonfinancial Corporations Liquid Assets Percent of Total Assets 9 As Of: 2020 Q2 Percent of Total Assets 9 8 8 7 7 6 6 5 5 4 4 3 3 2 1980 2 1985 1990 1995 Source: Federal Reserve, Haver Analytics 2000 2005 2010 2015 2020 Note: Liquid assets includes foreign deposits, checkable deposits and currency, time and savings deposits, money market fund shares, security repurchase agreements, debt securities, and mutual fund shares. Gray bars signify NBER recessions. 3.2.1.10 Maturity Profile of U.S. Nonfinancial Corporate Debt Billions of US$ 1200 Billions of US$ As Of: July-2020 1200 Speculative Grade Investment Grade 1000 1000 800 800 600 600 400 400 200 200 0 2020 2021 Source: S&P Global Ratings Research 2022 2023 2024 2025 0 Note: Includes bonds, loans, and revolving credit facilities that are rated by S&P Global Ratings. A.1 U.S. Corporate Defaults Billions of US$ As Of: 2020 Q3 200 Default Rate (right axis) Total Defaulted Debt (left axis) 160 Percent 20 16 120 12 80 8 40 4 0 0 2007 2009 2011 Source: Moody's Investors Service, OFR 2013 2015 2017 2019 Note: Issuer weighted four quarter trailing default rate for speculative grade U.S. corporates. A.2 Chapter 11 Bankruptcy Filings Count (‘000s) 16 Oct – Dec 14 Jan – Sep Full Year 12 Count (‘000s) 16 As Of: Sep-2020 14 12 10 10 8 8 6 6 4 4 2 2 0 2000 2003 Source: ABI, AACER 2006 2009 2012 2015 2018 0 Note: Annual bankruptcy filings from 2000 – 2010. Monthly bankruptcy filings from 2011 – 2020. A.3 U.S. Nonfinancial Corporate Downgrade-Upgrade Ratio Ratio 10 As Of: Sep-2020 Ratio 10 8 8 6 6 4 4 2 2 0 1990 0 1994 1998 Source: Moody’s, Haver Analytics, OFR 2002 2006 2010 2014 2018 Note: Ratio is trailing 3-month downgrades divided by upgrades. Gray bars signify NBER recessions. A.4 Fallen Angel Debt Billions of US$ 250 As Of: Sep-2020 Billions of US$ 250 200 200 150 150 100 100 50 50 0 2001 2005 Source: BofA Global Research, ICE Data Services, OFR 0 2009 2013 2017 Note: Rolling three months beginning in March 2020. Includes financial issuers. Fallen angels above refer to issuers previously included in the BofA U.S. Corporate Index. 3.2.2.1 S&P 500 Volatility Index 100 As Of: 30-Sep-2020 Index 100 80 80 60 60 VIX 20-Year Average 40 40 20 20 0 2008 0 2010 2012 Source: Bloomberg, L.P. 2014 2016 2018 2020 3.2.2.2 S&P 500 Forward Price-to-Earnings P/E 30 As Of: 30-Sep-2020 P/E 30 25 25 20 20 15 15 10 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 10 Source: Bloomberg, L.P. 3.2.2.3 S&P 500 1-Year Price Returns by Sector Percent 50 As Of: 30-Sep-2020 Percent 50 25 25 0 0 -25 -25 -50 -50 Source: Bloomberg, L.P. 3.2.2.4 Performance of Global Stock Indices Percent As Of: 30-Sep-2020 60 Euro Stoxx 50 Shanghai Composite SE Nikkei 225 S&P 500 45 MSCI Emerging Markets Index Percent 60 45 30 30 15 15 0 0 -15 -15 -30 Jan:2019 -30 Jul:2019 Source: Bloomberg, L.P. Jan:2020 Jul:2020 Note: Indexed to 01-Jan-2019. 3.3.1.1 Federal Debt Held by the Public Percent of GDP 225 Percent of GDP 225 200 175 200 CBO September 2020 Baseline Projection 175 150 150 125 125 100 100 75 75 50 50 25 25 0 0 1940 1950 1960 1970 1980 1990 2000 2010 2020 2030 2040 2050 Source: CBO, Haver Analytics Note: Data for fiscal years. Years after 2019 are projected. 3.3.1.2 Publicly Held Treasury Securities Outstanding Trillions of US$ As Of: Sep-2020 25 Bills Other Marketable Securities 20 Trillions of US$ 25 20 15 15 10 10 5 5 0 2015 0 2016 Source: Federal Reserve, Haver Analytics 2017 2018 2019 2020 Note: Other marketable securities includes notes, bonds, TIPs, and FRNs. 3.3.1.3 Treasury General Account Balance Billions of US$ 2000 As Of: 30-Sep-2020 Billions of US$ 2000 1750 1750 1500 1500 1250 1250 1000 1000 750 750 500 500 250 250 0 2015 0 2016 2017 2018 Source: Federal Reserve, Haver Analytics 2019 2020 3.3.1.4 U.S. Treasury Yields Percent 5 As Of: 30-Sep-2020 Percent 5 4 4 10-Year 3 3 2 2 1 0 2010 1 2-Year 0 2012 2014 2016 Source: U.S. Department of the Treasury 2018 2020 3.3.1.5 Ten-Year TIPS Yield and Breakeven Percent 4 3 As Of: 30-Sep-2020 Percent 4 10-Year Breakeven 3 2 2 1 1 0 0 -1 Treasury InflationProtected Securities -1 -2 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: U.S. Department of the Treasury -2 Note: Breakeven represents the difference between the nominal and TIPS yield. 3.3.1.6 FRBNY Open Market Operations: Treasury Purchases Billions of US$ 400 As Of: 03-Oct-2020 Billions of US$ 400 300 300 200 200 100 100 0 2008 0 2010 Source: FRBNY 2012 2014 2016 2018 2020 Note: Weekly amount of Treasury securities purchased by the Federal Reserve Bank of New York in accordance with the FOMC directive. B.1 Intraday Volatility for 10-Year Treasury Yields Basis Points As Of: 30-Sep-2020 Basis Points 40 40 99th Percentile 30 95th Percentile 30 Intraday Volatility 20 20 10 10 0 Jan:2019 0 Jun:2019 Source: Bloomberg, L.P. Nov:2019 Apr:2020 Sep:2020 Note: Intraday volatility calculated as daily high yield minus daily low yield on 10-year Treasury notes. Percentiles based on January 2005 – September 2020. B.2 Bid-Ask Spread for 30-Year Treasury Bonds Basis Points As Of: 30-Sep-2020 Basis Points 7 6 7 Off-the-run (2nd) Off-the-run 5 6 (1st) 5 On-the-run 4 4 3 3 2 2 1 1 0 Oct:2019 0 Jan:2020 Source: Bloomberg, L.P. Apr:2020 Jul:2020 Note: Represents the bid YTM minus the ask YTM for on- and off-the-run U.S. Treasury bonds. B.3 Primary Dealer Inventories Billions of US$ As Of: 30-Sep-2020 350 Treasury Notes and Bonds 300 Treasury Bills Billions of US$ 350 300 250 250 200 200 150 150 100 100 50 50 0 0 -50 2015 -50 2016 Source: FRBNY 2017 2018 2019 2020 3.3.2.1 Changes in State and Local Government Tax Revenues Percent 12 As Of: 2020 Q2 Percent 12 9 9 6 6 3 3 0 0 -3 -3 -6 1998 -6 2001 2004 Source: U.S. Census Bureau, Haver Analytics 2007 2010 2013 2016 2019 Note: Data represents year-over-year percentage change. Revenue measures includes revenues from property, individual income, corporate income, and sales taxes. Gray bars signify NBER recessions. 3.3.2.2 Municipal Bond Mutual Fund Flows Billions of US$ 30 Billions of US$ 30 As Of: Sep-2020 20 20 10 10 0 0 -10 -10 -20 -20 -30 -30 -40 -40 -50 2010 -50 2012 2014 Source: ICI, Haver Analytics 2016 2018 2020 Note: Net fund flows. 3.3.2.3 Municipal Bonds to U.S. Treasuries As Of: 25-Sep-2020 Percent 600 Percent 600 30-Year AAA 10-Year AAA 5-Year AAA 500 500 400 400 300 300 200 200 100 100 0 2005 0 2008 Source: Municipal Market Advisors, Bloomberg, L.P. 2011 2014 2017 2020 Note: Percentage of municipal yields against equivalent Treasury yields. Bloomberg's BVAL AAA Benchmark replaced MMA as the provider for municipal yields on September 1, 2010. 3.3.2.4 Municipal Bond Issuance As Of: Sep-2020 Billions of US$ 600 Billions of US$ 600 Private Placement General Obligation Revenue 500 500 400 400 300 300 200 200 100 100 0 2006 2008 Source: Thomson Reuters, SIFMA 2010 2012 2014 2016 2018 2020 YTD 0 Note: Excludes maturities of less than 13 months. C.1 Breakdown of State Tax Revenues As Of: 2019 9% 5% 2% 47% Source: U.S. Census Bureau 38% Other Corporate Income Property Sales Individual Income C.2 Breakdown of Local Tax Revenues As Of: 2019 1% 5% 5% 18% 72% Source: U.S. Census Bureau Other Corporate Income Property Sales Individual Income C.3 Liabilities of Severely Underfunded Public Pension Plans Billions of US$ 300 250 As Of: 2018 Percent 100 Local unfunded liability (left axis) State unfunded liability (left axis) 90 200 80 150 70 Contribution rate (right axis) 100 50 0 2001 60 50 40 2003 2005 2007 Source: publicplansdata.org 2009 2011 2013 2015 2017 Note: Includes state and local pension plans with UAAL below 50 percent as of 2018. Contribution rate calculated as the weighted average contribution as a percent of actuarially required contribution. 3.4.1.1 CP Outstanding by Issuer Type Trillions of US$ 2.5 As Of: Sep-2020 Trillions of US$ 2.5 Other Foreign Nonfinancial Foreign Financial Domestic Nonfinancial Domestic Financial Asset-Backed 2.0 1.5 2.0 1.5 1.0 1.0 0.5 0.5 0.0 2001 0.0 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 Note: Not seasonally adjusted; domestic includes CP issued in the U.S. by entities with foreign parents. 3.4.1.2 CP Issuance by Issuer Type and Rating Billions of US$ 60 As Of: Sep-2020 Billions of US$ 60 AA ABCP AA Financial A2/P2 Nonfinancial AA Nonfinancial 50 40 50 40 30 30 20 20 10 10 0 Jan:2019 May:2019 Source: Federal Reserve, Haver Analytics Sep:2019 Jan:2020 May:2020 0 Sep:2020 Note: Monthly average. 3.4.1.3 CP Outstanding & MMF Holdings Billions of US$ 1200 1150 As Of: Sep-2020 Billions of US$ 450 Commercial Paper Outstanding (left axis) 400 1100 350 1050 300 1000 250 Money Market Fund Commercial Paper Holdings (right axis) 950 900 Jan:2017 200 150 Jan:2018 Jan:2019 Jan:2020 Source: Federal Reserve, SEC Form N-MFP, Haver Analytics 3.4.1.4 Three Month CP Interest Rate Spreads Percent 4 3 As Of: 30-Sep-2020 Percent 4 A2/P2-Rated Nonfinancial AA-Rated ABCP AA-Rated Financial AA-Rated Nonfinancial 3 2 2 1 1 0 Jan:2019 0 Jun:2019 Nov:2019 Source: FRBNY, Bloomberg L.P., Haver Analytics, OFR Apr:2020 Sep:2020 Note: Spread to 3-Month Overnight Index Swap (OIS) rate. 3.4.1.5 Weekly CP Issuance by Tenor Billions of US$ 120 100 As Of: 25-Sep-2020 Billions of US$ 120 10+ Days 5-9 Days 1-4 Days 100 80 80 60 60 40 40 20 20 0 Jan:2019 0 Jul:2019 Source: Federal Reserve, Haver Analytics Jan:2020 Jul:2020 Note: Weekly average. 3.4.1.6 Commercial Bank Deposit Growth Percent 30 As Of: 30-Sep-2020 Percent 30 20 20 Total Deposits 10 10 0 0 -10 -10 Large Time Deposits -20 -20 -30 2007 -30 2009 2011 Source: Federal Reserve, Haver Analytics 2013 2015 2017 2019 Note: Year-over-year percentage change. 3.4.2.1 FICC Repo Balances and MMF Holdings Billions of US$ 800 700 As Of: Sep-2020 Billions of US$ 300 Overnight Treasury FICC DVP Repo (left axis) 250 600 200 500 150 400 300 Money Market Fund FICC Repo Holdings (right axis) 100 50 0 200 Apr:2018 Oct:2018 Apr:2019 Oct:2019 Apr:2020 Source: FRBNY, SEC Form Note: FICC cleared bilateral excludes term N-MFP, Bloomberg L.P. repo and repo backed by agency collateral. 3.4.2.2 Primary Dealer Repo Agreements Trillions of US$ As Of: 30-Sep-2020 5 Overnight/Continuing Term 4 Trillions of US$ 5 4 3 3 2 2 1 1 0 0 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: FRBNY, Haver Analytics Note: Aggregation method removes missing data when occurs due to disclosure edits or non-trading days for specific security repo agreements. 3.4.2.3 Overnight Repo Volumes and Dealer Inventories Billions of US$ As Of: 30-Sep-2020 500 Primary Dealer Treasury Inventories (left axis) 400 Overnight Treasury Repo Volume (right axis) Billions of US$ 1500 1300 300 1100 200 900 100 700 0 2016 2017 2018 Source: FRBNY, Staff Calculations, Haver Analytics 500 2019 2020 Note: Overnight Treasury repo volume includes published volumes for SOFR. 3.4.2.4 Primary Dealer Reverse Repo Agreements Trillions of US$ As Of: 30-Sep-2020 4 Overnight/Continuing Term Trillions of US$ 4 3 3 2 2 1 1 0 0 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: FRBNY, Haver Analytics 3.4.2.5 Primary Dealer Repo Collateral Trillions of US$ 3.5 As Of: 30-Sep-2020 Agency Debt Agency MBS U.S. Treasuries 3.0 Trillions of US$ 3.5 Other Equities Corporates 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2014 0.0 2015 Source: FRBNY, Haver Analytics 2016 2017 2018 2019 2020 Note: U.S. Treasuries includes TIPS; other includes ABS 3.4.2.6 Collateral in the Tri-Party Repo Market Trillions of US$ 3.0 2.5 As Of: Sep-2020 Other Agency Securities Agency MBS U.S. Treasuries Trillions of US$ 3.0 Other Equities Corporates 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 0.0 Source: FRBNY, Haver Analytics Note: Other includes ABS, CDOs, private label CMOs, international securities, money markets, municipal debt, and whole loans. 3.4.2.7 Repo Rate Spreads Percent As Of: 30-Sep-2020 4 3 Month GCF Repo – 3 Month OIS Overnight SOFR – Overnight EFFR 3 Overnight GCF – Overnight EFFR Percent 4 3 2 2 1 1 0 0 -1 Jun:2018 -1 Dec:2018 Jun:2019 Source: FRBNY, Bloomberg, L.P. Dec:2019 Jun:2020 3.4.2.8 Value of Securities on Loan Trillions of US$ 3.0 2.5 As Of: 30-Sep-2020 Trillions of US$ 3.0 2.5 Global Market (including U.S.) 2.0 2.0 1.5 1.5 U.S. Market 1.0 1.0 0.5 2015 0.5 2016 Source: Markit 2017 2018 2019 2020 Note: Data is based on a survey of agent-based lenders. 3.4.2.9 U.S. Securities Lending Cash Reinvestment Trillions of US$ As Of: 2020 Q3 2.4 Total Cash Reinvestment (left axis) 2.0 Days 300 250 1.6 200 Mean WAM (right axis) 1.2 150 Median WAM (right axis) 0.8 100 0.4 50 0.0 2006 0 2008 2010 Source: The Risk Management Association 2012 2014 2016 2018 2020 Note: Data is based on a survey of agent-based lenders. 3.4.2.10 U.S. Securities Lending Cash Reinvestment Collateral As Of: 2020 Q3 Percent of Total Percent of Total 100 100 Other Commercial Paper Bank Deposits 80 80 Money Market Funds 60 60 Government Repo 40 40 Corporate Securities 20 20 Nongovernment Repo 0 2012 0 2014 Source: The Risk Management Association, OFR 2016 2018 2020 Note: Nongovernment repos have collateral of whole loans, equity, and corporate debt. Other includes ABS, funding agreements, other funds, and other vehicles. Data is based on a survey of agent-based lenders. 3.4.3.1 U.S. Futures Markets Volume Billions of Contracts 6 As Of: Jul-2020 Billions of Contracts 6 5 5 4 4 3 3 2 2 1 1 0 2015 Source: CFTC 2016 2017 2018 2019 2020 (JanJul) 0 Note: 2020 volume annualized. 3.4.3.2 3-Month Implied Volatility Percent As Of: 30-Sep-2020 Percent 150 120 90 150 Crude Oil S&P 500 Corn Gold 120 90 60 60 30 30 0 Sep:2019 0 Dec:2019 Mar:2020 Source: Bloomberg, L.P., CFTC Jun:2020 Sep:2020 3.4.3.3 U.S. Futures Markets Open Interest Trillions of US$ 35 Trillions of US$ 35 As Of: Jun-2020 30 30 25 25 20 20 15 15 10 10 5 5 0 2015 Source: CFTC 2016 2017 2018 2019 2020 Note: Futures contracts are dollarized using prices from contract definitions and other relevant data. 0 3.4.3.4 Micro Futures Open Interest Billions of US$ 4 Energy Stock Indices Metals 3 Currencies Billions of US$ 4 As Of: Jun-2020 3 2 2 1 1 0 2015 Source: CFTC 2016 2017 2018 2019 2020 Note: Futures contracts are dollarized using prices from contract definitions and other relevant data. 0 3.4.3.5 U.S Treasury Futures Open Interest Billions of US$ 900 Asset Managers 600 As Of: 29-Sep-2020 5Y 2Y 30Y 10Y Billions of US$ 900 600 300 300 0 0 -300 -300 -600 -600 Leveraged Funds -900 Jan:2016 Source: CFTC Jan:2017 5Y 2Y 30Y 10Y Jan:2018 Jan:2019 -900 Jan:2020 Note: Net notional amount of open interest by trader type. 10Y includes 10Y and 10Y Ultra Treasury Note Futures; 30Y includes Treasury Bond and Ultra Treasury Bond Futures. 3.4.3.6 Exchange-Traded Equity Option Volume Millions of Contracts As Of: Sep-2020 Millions of Contracts 25 25 Put Options Call Options 20 20 15 15 10 10 5 5 0 Jan:2019 Source: The OCC 0 Jul:2019 Jan:2020 Jul:2020 Note: Average daily volume. Excludes index and ETF options. 3.4.3.7 Call Option Volume for Select Technology Stocks Millions of Contracts As Of: 30-Sep-2020 Millions of Contracts 14 14 12 12 Daily Volume 20-Day Moving Average 10 10 8 8 6 6 4 4 2 2 0 2016 0 2017 Source: Bloomberg, L.P. 2018 2019 2020 Note: Includes daily call option volume for TSLA, AAPL, NFLX, GOOG, FB, and MSFT. Thousands 3.4.3.8 Options on Futures: Open Interest Trillions of US$ 3.0 Agriculture Stock Indices Treasury Futures 2.5 Trillions of US$ 3.0 As Of: Jun-2020 Energy Currencies Metals 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2015 Source: CFTC 2016 2017 2018 2019 2020 0.0 Note: Excludes Eurodollar futures on options. 3.4.3.9 Options on Futures: Volume As Of: Jun-2020 Millions of Contracts 1250 Other Options Eurodollar Options 1000 Millions of Contracts 1250 1000 750 750 500 500 250 250 0 2015 Source: CFTC 2016 2017 2018 2019 2020 0 3.4.3.10 Options on Futures: Delta Adjusted Open Interest As Of: Jun-2020 Trillions of US$ 20 Trillions of US$ 20 15 15 10 10 5 5 0 2015 Source: CFTC 2016 2017 2018 2019 2020 0 Note: Delta adjusted open interest as of June 30 of each year. Includes Eurodollar futures on options. 3.4.3.11 Delta Adjusted Options on Futures by Asset Class As Of: Jul-2020 $0.7B $81.3B $115.7B $29.7B Other Stock Index Energy Treasuries Currencies Agriculture Metals $16.3B $44.4B $83.9B Source: CFTC Note: Delta adjusted open interest. Excludes Eurodollar options. 3.4.3.12 Options on 10-Year Treasury Futures Millions of Contracts As Of: 28-Jul-2020 Ratio 5 4 9 Tail Risk Puts (left axis) Tail Risk Calls (left axis) Put / Call Ratio (right axis) 8 7 6 3 5 4 2 3 2 1 1 0 2016 Source: CFTC 0 2017 2018 2019 2020 3.4.3.13 OTC Options: BHC Gross Notional Outstanding Trillions of US$ 60 50 As Of: 2020 Q2 Other (left axis) Equity (left axis) Foreign Exchange (left axis) Interest Rate (left axis) Percent Percent Held by 6 Largest BHCs by Total Assets (right axis) 100 99 98 40 97 30 96 20 95 10 94 0 93 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C, Staff Calculations Note: Other includes credit, commodity, and other OTC options. 3.4.3.14 OTC Options: BHC Net Notional Outstanding Trillions of US$ As Of: 2020 Q2 Trillions of US$ 4 3 4 Other Equity Foreign Exchange Interest Rate 3 2 2 1 1 0 0 -1 -1 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C, Staff Calculations Note: Other includes credit, commodity, and other OTC options. 3.4.3.15 Derivatives Notional Volume Trillions of US$ Trillions of US$ As Of: 25-Sep-2020 1.0 15 Credit Default Swaps Interest Rate Swaps (left axis) (right axis) 0.8 12 0.6 9 0.4 6 0.2 3 0.0 2015 0 Source: CFTC 2016 2017 2018 2019 2020 Note: 12-week moving-averages. Excludes security-based swaps. 3.4.3.16 Derivatives Notional Amount Outstanding Trillions of US$ 12 Trillions of US$ 500 As Of: 25-Sep-2020 10 400 Interest Rate Swaps (right axis) 8 300 6 200 4 Credit Default Swaps (left axis) 100 2 0 2014 0 2015 Source: CFTC 2016 2017 2018 2019 2020 Note: Weekly Swaps Report not issued between Dec. 22, 2018 and Jan. 26, 2019 due to a lapse in government funding. Excludes security-based swaps. 3.4.3.17 Size of Interest Rate Swap Market Trillions of US$ 280 As Of: 2020 Q2 Trillions of US$ 18 Notional Amounts (left axis) 260 17 240 16 220 15 Entity-Netted Notional (right axis) 200 180 Mar:2018 Sep:2018 Source: CFTC Office of Chief Economist Mar:2019 Sep:2019 14 Mar:2020 13 Note: Total notional amount and entity-netted notional amount as reported in “Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets.” 3.4.3.18 Global OTC Positions Trillions of US$ 1,000 As Of: 2020 Q2 Trillions of US$ 40 Notional Amounts (left axis) 800 600 Gross Market Values (right axis) 30 Gross Credit Exposures (right axis) 20 400 10 200 0 2000 2003 2006 Source: BIS, Haver Analytics 2009 2012 2015 2018 0 3.4.3.19 Commodity Index Swaps: Annual Open Interest Billions of US$ 70 As Of: Jun-2020 Billions of US$ 70 60 60 50 50 40 40 30 30 20 20 10 10 0 2015 Source: CFTC 2016 2017 2018 2019 2020 0 Note: Notional exposure of commodity index swaps. 3.4.3.20 Commodity Index Swaps: Monthly Open Interest Billions of US$ 100 As Of: Jul-2020 Billions of US$ 100 80 80 60 60 40 40 20 20 0 Aug:2019 Source: CFTC Nov:2019 Feb:2020 May:2020 0 Note: Month-end notional exposure of commodity index swaps. 3.4.3.21 Commodity Swaps: Open Interest Billions of US$ 1500 As Of: Jun-2020 Billions of US$ 1500 1250 1250 1000 1000 750 750 500 500 250 250 0 2015 Source: CFTC 2016 2017 2018 2019 2020 0 Note: Average month-end notional exposure across 25 key contracts. 3.4.3.22 Commodity Swaps by Asset Class As Of: Jul-2020 $59B $57B $189B $56B $59B Other Softs Oil Seeds Grains Metals Other Energy Natural Gas Crude $43B $204B Source: CFTC Note: 5-year average notional contribution of the major commodity categories. 3.4.3.23 Margin Funds Held at CFTC Registered FCMs Billions of US$ As Of: Sep-2020 500 Swaps Foreign Futures U.S. Futures 400 Billions of US$ 500 400 300 300 200 200 100 100 0 0 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: CFTC 3.4.3.24 FCM Concentration: Customer Futures Balances Percent 100 Top 10 Percent 100 As Of: 2020 Q3 Top 5 Top 3 75 75 50 50 25 25 0 0 2014 2015 Source: CFTC 2016 2017 2018 2019 2020 Note: Represents total amount of funds that an FCM is required to segregate on behalf of customers who are trading futures and options on futures at US exchanges. 3.4.3.25 FCM Concentration: Customer Swap Balances As Of: 2020 Q3 Top 10 Top 5 Top 3 Percent 100 Percent 100 75 75 50 50 25 25 0 0 2014 2015 Source: CFTC 2016 2017 2018 2019 2020 Note: Represents the amount of funds an FCM is required to segregate for customers who trade cleared swaps. 3.4.3.26 Concentration of Swap Positions for Registered SDs Percent 70 As Of: 2020 Q3 Top 10 60 Top 5 Percent 70 Top 3 60 50 50 40 40 30 30 20 20 10 10 0 0 Q3 2014 Q3 2015 Q3 2016 Q3 2017 Q3 2018 Q3 2019 Q3 2020 Source: CFTC Note: Positions between two Swap Dealers (SDs) in the same category (e.g., Top 3 or Top 5) are double-counted (i.e., a trade between the #1 SD and #3 SD would be counted twice). 3.4.3.27 Interest Rate Swap SEF Trading Volumes Billions of US$ 1250 1000 As Of: Sep-2020 On-SEF Interest Rate Swap Volume (left axis) Percent 80 Share of Total Interest Rate Swap Volume (right axis) 70 750 60 500 50 250 40 0 Jan:17 Source: CFTC 30 Jan:18 Jan:19 Jan:20 Note: Average daily notional volume. 3.4.3.28 Credit Default Swap SEF Trading Volumes Billions of US$ 100 80 As Of: Sep-2020 Percent 100 Share of Total CDS Volume (right axis) On-SEF CDS Volume (left axis) 90 60 80 40 70 20 60 0 Jan:17 Source: CFTC 50 Jan:18 Jan:19 Jan:20 Note: Average daily notional volume. Excludes security-based swaps. 3.4.4.1 Commodities Futures & Options: Open Interest Trillions of US$ 2.5 As Of: Jul-2020 Trillions of US$ 2.5 Options Futures 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2015 Source: CFTC 2016 2017 2018 2019 2020 0.0 Note: Notional amount outstanding. Options are not delta-adjusted 3.4.4.2 Total Net Asset Value: Commodity ETFs Billions of US$ 160 As Of: Sep-2020 Billions of US$ 160 140 140 120 120 100 100 80 80 60 60 40 40 20 20 0 2015 2016 Source: Morningstar, Inc. 2017 2018 2019 2020 0 Note: Data are as of end of September in each given year. 3.4.4.3 Metals Indices Index As Of: 30-Sep-2020 175 Index 175 Bloomberg Precious Metals Index 150 150 125 125 100 100 75 75 Bloomberg Industrial Metals Index 50 2015 2016 2017 Source: Bloomberg, L.P. 50 2018 2019 2020 Note: Indexed to 01-Jan-2015. 3.4.4.4 Cash-Futures Spread: Gold Price Per Ounce (US$) 2200 As Of: 31-Jul-2020 Spread Per Ounce (US$) 75 2000 50 1800 25 1600 0 1400 1200 Jan:2020 Spread (right axis) Cash: London Bullion (left axis) Futures: COMEX (left axis) Mar:2020 Source: Bloomberg, L.P., CFTC May:2020 -25 -50 Jul:2020 Note: London 4:00pm fix minus COMEX 10:00am volume weighted average price. 3.4.4.5 Agriculture Prices Index As Of: 24-Sep-2020 Index 120 110 120 Lean Hogs Live Cattle Sugar Cotton Soybeans Corn Wheat 110 100 100 90 90 80 80 70 70 60 Dec:2019 60 Feb:2020 Apr:2020 Source: Bloomberg, L.P., CFTC Jun:2020 Aug:2020 Note: Indexed to year-end 2019. 3.4.4.6 Cash-Futures Spread: Cattle Price Per 100lbs As Of: 30-Sep-2020 Price Per 100lbs 500 150 Cash: Boxed Beef (left axis) Futures: Live Cattle 140 (right axis) Spread (left axis) 400 130 120 300 110 200 100 90 100 80 0 Jan:2020 70 Mar:2020 May:2020 Source: Bloomberg, L.P., CFTC Jul:2020 Sep:2020 Note: Box beef choice cut prices minus live cattle front month contract 3.4.4.7 Net Farm Income Billions of US$ 175 150 125 As Of: 2-Sep-2020 Billions of US$ 175 Other Direct Farm Programs Market Facilitation Program COVID-19 Programs Net Income (excl. Direct Farm Programs) 150 125 100 100 75 75 50 50 25 25 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020F Source: USDA 0 Note: The Market Facilitation Program provides direct payments to help producers who have been directly impacted by illegal retaliatory tariffs. COVID-19 Programs include $16 billion in Coronavirus Food Assistance Program payments and $5.8 billion in PPP payments. 3.4.4.8 Energy Futures & Options: Open Interest Billions of US$ 2000 As Of: Jul-2020 Billions of US$ 2000 Options Futures 1500 1500 1000 1000 500 500 0 2015 Source: CFTC 2016 2017 2018 2019 2020 0 3.4.4.9 Energy Futures & Options by Product Percent 100 As Of: Jul-2020 Percent 100 80 80 60 60 40 40 20 20 0 2015 Source: CFTC 2016 Electricity 2017 2018 Natural Gas 2019 2020 Petroleum 0 3.4.4.10 Global Petroleum Consumption and Production Millions of Barrels 115 As Of: Sep-2020 Production (left axis) Millions of Barrels 30 Change in Inventories (right axis) Consumption (left axis) 20 105 10 95 0 -10 85 -20 75 2015 -30 2016 Source: U.S. Energy Information Administration 2017 2018 2019 2020 Note: Millions of barrels per day. Change in inventories represents the difference between production and consumption. 3.4.4.11 WTI Crude Oil Futures Price Per Barrel (US$) 100 WTI 3rd Month 75 WTI Front Month As Of: 30-Sep-2020 Price Per Barrel (US$) 100 75 50 50 25 25 0 0 -25 -25 -50 2016 -50 2017 2018 2019 Source: U.S. Energy Information Administration 2020 3.4.4.12 Natural Gas Inventories Billions of Cubic Feet As Of: 25-Sep-2020 5000 Weekly Natural Gas Inventories 5-Year Average 4000 Billions of Cubic Feet 5000 5-Year Range 4000 3000 3000 2000 2000 1000 1000 0 2017 0 2018 Source: U.S. Energy Information Administration 2019 2020 Note: The shaded area and dotted line indicate the rolling 5-year range and average. 3.4.4.13 Natural Gas Forward Curves Price Per MMBtu (US$) 4.0 As Of: 26-Jun-2020 3.5 January 2021 Futures Contract (left axis) 3.0 July 2020 Futures Contract (left axis) Spread per MMBtu (US$) 1.5 Spread (right axis) 1.2 0.9 2.5 0.6 2.0 0.3 1.5 1.0 Sep:2019 Dec:2019 Source: Bloomberg, L.P. Mar:2020 Jun:2020 0.0 3.4.5.1 House Prices by Census Division Index 450 400 350 300 250 200 As Of: Aug-2020 Index 450 Mountain Pacific West South Central South Atlantic West North Central Total U.S. New England East South Central Middle Atlantic East North Central 400 350 300 250 200 150 150 100 100 50 1991 50 1995 1999 Source: Federal Housing Finance Agency 2003 2007 2011 2015 2019 Note: Purchase-only, seasonally adjusted, nominal, constant-quality price index. January 1991 = 100. 3.4.5.2 Home Sales Millions of Sales 1.2 As Of: Aug-2020 Millions of Sales 6.5 Existing Home Sales (right axis) 1.0 6.0 5.5 0.8 0.6 5.0 New Home Sales (left axis) 4.5 4.0 0.4 2015 2016 Source: NAR, Census Bureau, HUD 2017 2018 2019 2020 3.5 Note: Series are seasonally adjusted annual rates and are expressed in millions of single-family housing units. 3.4.5.3 New Housing Starts and Price Changes Millions of Housing Units 2.5 As Of: Aug-2020 Percentage Change 15 House Price Changes (right axis) 2.0 10 5 1.5 0 1.0 Housing Starts (left axis) -5 0.5 0.0 2000 -10 2003 Source: U.S. Census Bureau, FHFA, HUD 2006 2009 2012 2015 2018 -15 Note: Data are seasonally adjusted annual rates. House Price Changes series is the year-over-year percentage change of the FHFA National House Price Index. 3.4.5.4 Homeownership and Vacancy Rates Percent As Of: 2020 Q1 Percent 66 9 65 8 64 7 Rental Vacancy Rate (right axis) 63 6 Homeownership Rate (left axis) 62 2015 2016 2017 2018 Source: U.S. Census Bureau, Current Population Survey/Housing Vacancy Survey 2019 5 2020 Note: Data are non-seasonally adjusted quarterly percentages. 3.4.5.5 Mortgage Originations and Rates Billions of US$ As Of: 2020 Q2 800 Refinance (left axis) Purchase (left axis) 30-Year Mortgage 600 Rate (right axis) Percent 6 5 400 4 200 3 0 2015 2 2016 2017 Source: NMDB®, Freddie Mac Primary Mortgage Market Survey® 2018 2019 2020 Note: Quarterly originations represent all 1-4 family homes with first-lien, closedend residential mortgages. 3.4.5.6 Purchase Origination Volume by Credit Score Percent of Originations 100 As Of: 2020 Q2 Percent of Originations 100 >780 80 60 80 60 661-780 40 20 40 601-660 20 <601 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Source: NMDB® 0 Note: Based on first-borrower VantageScore 3.0 for first-lien, closed-end residential purchase mortgages. 3.4.5.7 Shares of Mortgages by Equity Percentage Percent 100 As Of: 2020 Q2 Percent 100 <0% 80 0 to <5% 80 5 to <20% 60 40 20 60 Percentage of mortgages with 20% or more equity 40 20 0 0 2000 2002 2004 2006 2008 2011 2013 2015 2017 2019 Source: NMDB® Note: Quarterly percentage of all mortgage loans that are not closed or terminated. 3.4.5.8 Mortgage Delinquency Percent 6 As Of: 2020 Q2 90 to 180 Days Past Due 5 4 Percent 6 30 or 60 Days Past Due 5 4 3 3 In process of foreclosure, bankruptcy or deed-in-lieu 2 1 2 1 0 0 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: NMDB® Note: Quarterly percentage of all mortgage loans that are not closed or terminated. 3.4.5.9 Forbearance Rates by Investor Type Percent 16 As Of: Sep-2020 FHA, VA, and RHS Total GSE Other (PLS, Portfolio, etc.) 12 Percent 16 12 8 8 4 4 0 0 Mar:2020 Apr:2020 May:2020 Jun:2020 Jul:2020 Aug:2020 Sep:2020 Source: NMDB® Note: Rates are the weekly percentage of servicing portfolio volume in forbearance by investor type over time. 3.4.5.10 Mortgage Originations by Product As Of: 2019 Q4 Percent of Originations 100 Percent of Originations 100 Private Portfolio and Securitized 80 80 60 60 GSE 40 40 20 20 FHA, VA & RHS 0 1998 Source: 0 2001 NMDB® 2004 2007 2010 2013 2016 2019 Note: Quarterly data for first-lien, closed-end residential mortgages. 3.4.5.11 RMBS Issuance Trillions of US$ 3.5 As Of: Sep-2020 Trillions of US$ 3.5 Nonagency Agency 3.0 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 2004 2006 2008 2010 2012 2014 2016 Source: FHLMC, FNMA, GNMA, NCUA, FDIC, Bloomberg, L.P., Dealogic, Thomson Reuters, SIFMA 2018 2020 YTD 3.4.5.12 Cumulative MBS Purchases by the Federal Reserve Billions of US$ 1250 1000 As Of: 30-Sep-2020 Billions of US$ 1250 UMBS GNMA 1000 750 750 500 500 250 250 0 Mar:2020 Apr:2020 May:2020 Jul:2020 Aug:2020 Sep:2020 Source: FRBNY 0 Note: Cumulative 2020 purchases. Weekly series are aggregated from daily Agency MBS operations in the TBA pool. 3.4.6.1 Conduit CMBS Delinquency and Foreclosure Rate Percent As Of: Sep-2020 Percent 10 10 8 8 6 60+ Days Delinquent 6 4 2 4 Foreclosure / Real Estate Owned 2 0 0 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: JPMorgan, Trepp Note: Delinquency rate includes FC/REO. 3.4.6.2 Conduit CMBS Delinquency Rates by Industry Percent 20 15 As Of: Sep-2020 Percent 20 Industrial Office Retail Lodging Multifamily 15 10 10 5 5 0 2017 0 2018 Source: JPMorgan, Trepp 2019 2020 Note: 60+ delinquency rate; includes FC/REO. 3.4.6.3 CMBS Issuance As Of: 2020 Q3 Billions of US$ 300 Billions of US$ 300 Non-Agency Agency 250 250 200 200 150 150 100 100 50 50 0 0 2004 2006 2008 2010 Source: Inside Mortgage Finance 2012 2014 2016 2018 2020 YTD 3.4.6.4 Commercial Property Price Growth As Of: Sep-2020 Percent 20 Percent 20 10 10 0 0 -10 -20 -10 Apartment Industrial Office Retail National -30 2005 -20 -30 2007 2009 2011 Source: Real Capital Analytics, Bloomberg, L.P. 2013 2015 2017 2019 Note: Year-over-year price change. 3.4.6.5 Capitalization Rates and Spreads As Of: Sep-2020 Percent 12 Percent 12 10 10 Average Cap Rate 8 8 6 6 4 4 2 0 2001 2 Average Cap Rate Spread 0 2004 2007 Source: Real Capital Analytics, Bloomberg, L.P. 2010 2013 2016 2019 E.1 Sector Equity REIT Indices As Of: 30-Sep-2020 Percent 120 Percent 120 100 100 80 80 60 40 60 Lodging Retail Office Apartment Industrial 40 20 20 0 Jan:2020 0 Mar:2020 May:2020 Source: NAREIT, Bloomberg, L.P. Jul:2020 Sep:2020 Note: Indexed to February 14, 2020. 3.5.1.1 Categorization of Large U.S. BHCs Description U.S. Domestic Banking Org. Bank of America JPMorgan Chase Category I Bank of New York Mellon Morgan Stanley (U.S. G-SIBs) Citigroup State Street Goldman Sachs Wells Fargo Category II Northern Trust (Large complex, ≥$700b Total assets, or ≥ $75b in Cross-Jurisdictional Activity) Category III Capital One Truist Financial (Large complex, ≥$250b Total assets or ≥ $75b in NBA, wSTWF, or Off-balance sheet exposure) Charles Schwab U.S. Bancorp PNC Financial Ally Financial Huntington Category IV American Express KeyCorp (Large noncomplex, other firms with $100b to $250b Total assets) Citizens Financial M&T Bank Discover Regions Financial Fifth Third Synchrony Financial Source: Federal Reserve Note: Northern Trust is in Category II due to its cross-jurisdictional activity. 3.5.1.2 Total Assets by BHC Type Trillions of US$ 14 As Of: 2020 Q2 Trillions of US$ 14 12 12 10 10 8 8 6 6 4 4 2 2 0 G-SIBs Source: FR Y-9C Large Complex Large Noncomplex Other IHCs 0 3.5.1.3 Common Equity Tier 1 Ratios Percent of RWA 16 14 12 As Of: 2020 Q2 Percent of RWA 16 Other Large Noncomplex Large Complex G-SIBs 14 12 10 10 8 8 6 6 4 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 4 Source: FR Y-9C, Haver Analytics Note: Tier 1 common capital is used as the numerator of the CET1 ratio prior to 2014:Q1 for G-SIBs and large complex BHCs, and prior to 2015:Q1 for large noncomplex and other BHCs. The denominator is risk-weighted assets (RWA). Shaded areas indicate NBER recessions. 3.5.1.4 Common Equity Tier 1 Ratios at U.S. G-SIBs Percent of RWA 20 2020 Q2 2020 Q1 2019 Q2 16 As Of: 2020 Q2 Percent of RWA 20 Minimum including U.S. G-SIB surcharge (2020) 16 12 12 8 8 4 4 0 JPM C Source: FR-Y9C MS BAC GS WFC BK STT 0 3.5.1.5 Payout Rates at U.S. G-SIBs As Of: 2020 Q2 Percent of NIAC 175 NIAC (right axis) 150 Common Stock Cash Dividends (left axis) Stock Repurchases (left axis) 125 Billions of US$ 140 120 100 100 80 75 60 50 40 25 20 0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C Note: Payout rates are the ratios of stock repurchases plus cash dividends to net income available to common shareholders (NIAC). NIAC is net income minus preferred dividends. 2020 data represents YTD data through Q2. 3.5.1.6 Supplementary Leverage Ratios at U.S. G-SIBs Percent 20 15 As Of: 2020 Q2 Percent 20 2020 Q2 (non-modified) 2020 Q2 (modified) 2019 Q4 Minimum 15 10 10 5 5 0 0 JPM BAC Source: FR Y-9C, Call Report STT WFC C MS GS BK Note: Enhanced supplementary leverage ratio is only required for the G-SIBs. The ratio for 2019 Q4 is equal to tier 1 capital divided by total assets plus offbalance sheet exposures. The modified ratio for 2020 Q2 is equal to tier 1 capital divided by total assets minus Treasury securities and reserves. 3.5.1.7 Return on Assets Percent 3 Other Large Noncomplex Large Complex 2 G-SIBs As Of: 2020 Q2 Percent 3 2 1 1 0 0 -1 2010 -1 2012 Source: FR Y-9C 2014 2016 2018 2020 Note: Quarterly, seasonally-adjusted annual rate. Return on assets is equal to net income divided by average assets. 3.5.1.8 Net Interest Margins Percent 6 As Of: 2020 Q2 Percent 6 Other Large Noncomplex Large Complex G-SIBs 5 5 4 4 3 3 2 2 1 2010 1 2012 Source: FR Y-9C 2014 2016 2018 2020 Note: Quarterly, seasonally-adjusted annual rate. Net interest margin is equal to net interest income divided by the quarterly average of interest-earning assets. 3.5.1.9 Sources of Funding at G-SIBs and Large-Complex Percent of Total Liabilities 70 60 Short-Term Funding 50 As Of: 2020 Q2 Percent of Total Liabilities 70 60 Core Deposits 50 40 40 30 30 20 Long-Term Funding 10 10 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Source: FR Y-9C 20 0 Note: ST funding: liabilities with maturities =< 1 yr, trading liabilities, repos, CP, and foreign deposits. LT funding: other borrowed money, subordinated notes and large time deposits with maturities > 1 yr. Core deposits: demand deposits, noninterest-bearing balances, transaction accounts, money market deposits and time deposits <$250,000.Gray bars signify NBER recessions. 3.5.1.10 Deposit Growth, All Commercial Banks Percent 25 As Of: Sep-2020 Percent 25 20 20 15 15 10 10 5 5 0 2001 0 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 Note: Statistical Release H.8, “Assets and Liabilities of Commercial Banks in the United States.” Seasonally adjusted values. Year-over-year percentage change. 3.5.1.11 Effective Deposit Rates by BHC Category Rates 1.50 1.25 1.00 As Of: 2020 Q2 Other Large Noncomplex Large Complex G-SIBs Rates 1.50 1.25 1.00 0.75 0.75 0.50 0.50 0.25 0.25 0.00 0.00 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: Call Report Note: Effective deposit rates are defined as the ratio of the annualized quarterly-average interest expense on deposits and the one-quarter lag of the quarterly-average deposit balances. 3.5.1.12 Delinquency Rates on Real Estate Loans Percent 20 As Of: 2020 Q2 Percent 20 16 16 Residential Real Estate 12 8 Commercial Real Estate 12 8 4 4 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 0 Source: FR Y-9C Note: Includes all loans in domestic and foreign offices. Gray bars signify NBER recessions. 3.5.1.13 Delinquency Rates on Selected Loans Percent 8 6 As Of: 2020 Q2 Percent 8 Credit Card Auto C&I 6 4 4 2 2 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 0 Source: FRY-9C, Call Report Note: Seasonally adjusted. Includes all loans in domestic and foreign offices. Auto loans became available in 2011 Q1. Gray bars signify NBER recessions. 3.5.1.14 Provisions to Loans Ratios at BHCs Percent 12 10 8 As Of: 2020 Q2 Percent 12 Credit Cards Other Consumer Residential Real Estate Commercial Real Estate C&I 10 8 6 6 4 4 2 2 0 2013 0 2014 Source: FR Y-9C 2015 2016 2017 2018 2019 2020 Note: Excludes Barclays, Credit Suisse, DB, and UBS. 3.5.1.15 C&I Loan Growth, All Commercial Banks Percent 40 As Of: Sep-2020 Percent 40 30 30 20 20 10 10 0 0 -10 -10 -20 -20 -30 2001 -30 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 Note: Statistical Release H.8, “Assets and Liabilities of Commercial Banks in the United States.” Yearover-year percentage change. 3.5.1.16 Loans to Nondepository Financial Institutions Percent of Total Loans 12 Other 10 Large Noncomplex Large Complex 8 G-SIBs As Of: 2020 Q2 Percent of Total Loans 12 10 8 6 6 4 4 2 2 0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C 3.5.1.17 High-Quality Liquid Assets by BHC Type Percent of Assets 30 Other Large Noncomplex 25 Large Complex G-SIB As Of: 2020 Q2 Percent of Assets 30 25 20 20 15 15 10 10 5 5 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C Note: HQLA is estimated by adding excess reserves to an estimate of securities that qualify for HQLA. Haircuts and level 2 asset limitations are incorporated into the estimate. 3.5.1.18 Selected Liquid Assets at All BHCs Percent of Assets As Of: 2020 Q2 Percent of Assets 12 10 8 12 Reserve Balances Fannie Mae and Freddie Mac MBS Treasury Securities Ginnie Mae MBS 10 8 6 6 4 4 2 2 0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: FR Y-9C, FR 2900 Note: Quarterly, NSA. 3.5.1.19 Liquidity Coverage Ratios at U.S. G-SIBs Percent 200 As Of: 2020 Q2 Percent 200 2020 Q2 2020 Q1 2019 Q4 150 150 100 100 50 50 0 0 JPM C MS Source: LCR Disclosures from each banks’ websites BAC GS WFC BK STT Note: The solid line represents the regulatory minimum. 3.5.1.20 Held-to-Maturity Securities Percent of Investment Securities 40 Other Large Noncomplex Large Complex 30 G-SIB Percent of Investment Securities 40 As Of: 2020 Q2 30 20 20 10 10 0 1997 0 2001 Source: Call Report, Haver Analytics 2005 2009 2013 2017 Note: Investment securities are held-to-maturity securities plus available-for-sale securities. Gray bars signify NBER recessions. 3.5.1.21 Duration Gap As Of: 2020 Q2 Years 3.5 3.0 2.5 Other Large Noncomplex Large Complex G-SIBs Years 3.5 3.0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 0.0 Source: Call Report, Haver Analytics Note: Duration gap is the approximate weighted-average time of cash inflows less the approximate weighted-average time of cash outflows. Gray bars signify NBER recessions. 3.5.1.22 Bank Stock Performance Index 175 150 As Of: 29-Jun-2020 Large Noncomplex Large Complex G-SIBs Index 175 S&P 500 EU Bank Stock Index Other 150 125 125 100 100 75 75 50 Jan:2019 50 Apr:2019 Source: Yahoo Finance!, Bloomberg, L.P. Aug:2019 Dec:2019 Apr:2020 Note: January 2, 2019 = 100. EU Bank Stock Index created from stock prices for the following banks: BCS, BNPQY, CS, ACA, DB, SAN, UBS. All indexes are created by equally weighting banks. 3.5.1.23 Price-to-Book for Select U.S. G-SIBs Percent 300 As Of: Jun-2020 Goldman Sachs Citigroup Bank of America 250 Percent 300 Wells Fargo JPMorgan Chase Morgan Stanley 250 200 200 150 150 100 100 50 50 0 2008 Source: SNL 0 2010 2012 2014 2016 2018 2020 Note: Month-end values. 3.5.1.24 5-Year CDS Premiums Select U.S. G-SIBs Basis Points 500 400 As Of: Jun-2020 Goldman Sachs Citigroup Bank of America Basis Points 500 Wells Fargo JPMorgan Chase Morgan Stanley 400 300 300 200 200 100 100 0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: Markit Note: Monthly averages. 3.5.1.25 5-Year CDS Premiums Select Foreign Banks Basis Points 500 400 As Of: Jun-2020 Deutsche Bank Société Générale Credit Suisse BNP Paribas Basis Points 500 RBS Santander Barclays 400 300 300 200 200 100 100 0 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: Markit Note: Monthly averages. 3.5.1.26 Initial and Stressed Capital Ratios Percent of RWA 16 Pre-Stress Post-Stress DFAST Percent of RWA 16 Post-Stress CCAR Regulatory Minimum 12 12 8 8 4 4 0 2013 18 2014 30 Source: Federal Reserve 2015 31 2016 33 2017 34 2018 35 2019 18 2020 33 0 Note: Regulatory minimum is 5% pre-2016 and 4.5% from 2016 onwards. For DFAST 2013-2015, bars show Tier 1 Common Capital Ratio. DFAST 2016-2020 bars show Common Equity Tier 1 Ratio. The x-axis labels represent the number of banks tested within a given year. 3.5.1.27 Minimum CET1 Capital Ratios in the Severely Adverse and Alternative Downside Scenarios Minimum CET1 Capital Ratio Scenario 25th Percentile 75th Percentile Aggregate 8 12.3 9.9 V-shaped 7.5 11.3 9.5 U-shaped 5.5 10.8 8.1 W-shaped 4.8 10.5 7.7 Stress Test Severely Adverse Sensitivity Analysis Source: Federal Reserve Note: Excludes common distributions. Sample consists of the 33 firms participating in DFAST 2020. 3.5.1.28 FDIC-Insured Failed Institutions Number of Institutions 600 500 As Of: 2019 Number of Institutions (left axis) 400 Percent 5 Assets of Failed Institutions as a Percent of Nominal GDP (right axis) 4 3 300 2 200 1 100 0 1980 0 1985 1990 Source: BEA, FDIC, Haver Analytics 1995 2000 2005 2010 2015 Note: No FDIC-insured institutions failed during 2005, 2006, and 2018. 3.5.1.29 Commercial Bank and Thrift Net Income Billions of US$ 1500 1000 As Of: 2020 Q2 Non-interest Income Net Interest Income Billions of US$ 1500 Realized Gains/Losses Net Income 1000 500 500 0 0 -500 -500 -1000 -1500 Provisions Noninterest Expense 2009 Source: FDIC 2011 2013 Income Tax Expense 2015 2017 2019 -1000 -1500 Note: Includes all FDIC-insured commercial banks and thrifts. Values are annualized. 3.5.1.30 Total Assets of Largest Insured Depository Institutions Count (‘000s) Trillions of US$ As Of: 2020 Q2 25 25 Top 10 IDIs (left axis) Number of Insured Top 100 IDIs (left axis) Depository Institutions 20 20 (right axis) Other IDIs (left axis) 15 15 10 10 5 5 0 1984 0 1989 1994 Source: FFIEC Call Report 1999 2004 2009 2014 2019 Note: Fourth quarter data was used for years 1984 2019 and second quarter data was used for 2020. 3.5.1.31 U.S. Branches and Agencies of Foreign Banks: Assets Trillions of US$ 4 3 As Of: 2020 Q2 Securities Purchased with Repos & Fed Funds Sold Net Due from Related Institutions Reserve Balances Cash and Balances Due from Depository Institutions (Excluding Reserve Balances) Trillions of US$ 4 Other Assets Non-C&I Loans C&I Loans 3 2 2 1 1 0 2004 2006 2008 2010 Source: Federal Reserve, Haver Analytics 0 2012 2014 2016 2018 2020 Note: Other assets includes government securities, ABS, and other trading assets. 3.5.1.32 U.S. Branches and Agencies of Foreign Banks: Liabilities Trillions of US$ 4 As Of: 2020 Q2 Trillions of US$ 4 Other Liabilities Securities Sold with Repos & Fed Funds Purchased 3 Deposits & Credit Balances Net Due to Related Depository Institutions 3 2 2 1 1 0 2004 0 2006 2008 Source: Federal Reserve, Haver Analytics 2010 2012 2014 2016 2018 2020 Note: Other liabilities includes transaction accounts, non-transaction accounts, and other borrowed money. 3.5.1.33 Credit Union Income Billions of US$ As Of: 2020 Q2 100 Noninterest Income Net Income Net Interest Income Billions of US$ 100 50 50 0 0 -50 -50 Provisions Noninterest Expense -100 2006 2008 Source: NCUA 2010 2012 Realized Gains/Losses on Investments 2014 2016 2018 -100 2020 Note: Federally-insured credit unions. Values are annualized. 3.5.1.34 Credit Union Deposits As Of: 2020 Q2 Percent 68 64 Percent 36 Interest-Sensitive Deposit Share (left axis) 34 Money Market and IRA Deposit Share (right axis) 60 32 30 56 52 28 48 26 44 2006 24 2008 Source: NCUA 2010 2012 2014 2016 2018 2020 Note: Federally-insured credit unions. Interest-sensitive deposit share includes money market and IRA deposit share, share certificates, and certain other deposits. 3.5.1.35 Credit Union Net Long-Term Assets Percent of Total Assets As Of: 2020 Q2 40 Investments Longer Than 3 Years Fixed Rate First Mortgages Percent of Total Assets 40 30 30 20 20 10 10 0 2006 0 2008 Source: NCUA 2010 2012 2014 2016 2018 2020 3.5.1.36 Credit Union Composition of Assets Percent of Total Assets 100 Loans As Of: 2020 Q2 Percent of Total Assets 100 Investments 80 80 60 60 40 40 20 20 0 2006 0 2008 Source: NCUA 2010 2012 2014 2016 2018 2020 3.5.2.1 Number of Broker-Dealers and Industry Net Income Number of Firms 5500 As Of: 2020 Q2 Billions of US$ 60 Number of Broker-Dealers (left axis) 50 Net Income (right axis) 5000 40 4500 30 4000 20 3500 3000 10 2009 Source: FINRA 2011 2013 2015 2017 2019 0 Note: 2009 – 2019 data as of Q4 and 2020 net income is YTD through Q2. 3.5.2.2 Broker-Dealer Revenues Billions of US$ As Of: 2020 Q2 Billions of US$ 500 500 400 400 300 300 200 200 100 100 0 0 2009 Source: FINRA 2011 2013 2015 2017 2019 3.5.2.3 Broker-Dealer Assets and Leverage Trillions of US$ As Of: 2020 Q2 8 Total Assets (left axis) Leverage (right axis) Ratio 25 20 6 15 4 10 2 5 0 0 2005 2007 Source: FINRA 2009 2011 2013 2015 2017 2019 Note: Leverage is the ratio of total assets to total regulatory capital. 2005 – 2019 data as of Q4 and 2020 data as of Q2. 3.5.2.4 REITs Total Assets Billions of US$ 1000 800 As Of: 2020 Q2 Billions of US$ 1000 Equity REITs mREITs 800 600 600 400 400 200 200 0 0 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: Federal Reserve, Haver Analytics Note: Statistical Release Z.1, “Financial Accounts of the United States.” 3.5.2.5 mREIT Stock Performance Index 150 125 As Of: 30-Sep-2020 Index 150 S&P 500 Financials mREITs 125 100 100 75 75 50 50 25 Sep:2019 Dec:2019 Source: Bloomberg, L.P. Mar:2020 Jun:2020 25 Sep:2020 Note: Indexed to 100 as of 9/30/2019; mREITs represents the BREIT Mortgage Index; Financials represents the S&P 500 Financials Subindex. 3.5.2.6 Agency MBS Spread to Treasuries Basis Points As Of: 30-Sep-2020 Basis Points 200 200 175 175 150 150 125 125 100 100 75 75 50 2015 50 2016 Source: Bloomberg, L.P. 2017 2018 2019 2020 Note: Fannie Mae 30-year current-coupon spread to the 5/10-year Treasury blend. 3.5.2.7 MMF Assets by Fund Type Trillions of US$ As Of: Sep-2020 6 Tax-Exempt Government and Treasury 5 Prime Trillions of US$ 6 5 4 4 3 3 2 2 1 1 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 0 Source: SEC 3.5.2.8 Liquid Asset Shares of Prime MMFs Percent of Total Assets 70 As Of: Sep-2020 Percent of Total Assets 70 60 Weekly Liquid - Institutional 60 50 Weekly Liquid - Retail 50 40 30 20 40 Daily Liquid - Institutional 30 20 Daily Liquid - Retail 10 2017 Source: SEC 10 2018 2019 2020 Note: Weighted by fund size. 3.5.2.9 Weighted Average Maturities by Fund Type Days As Of: Sep-2020 Days 60 50 60 Government and Treasury Prime Tax-Exempt 50 40 40 30 30 20 20 10 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 10 Source: SEC Note: Weighted by fund size. 3.5.2.10 Net Assets of the Investment Company Industry Trillions of US$ 30 Trillions of US$ As Of: 2020 Q3 30 Other ETFs MMFs Bond/Hybrid Mutual Funds Equity Mutual Funds 25 20 25 20 15 15 10 10 5 5 0 0 1995 1998 2001 Source: ICI, Haver Analytics 2004 2007 2010 2013 2016 2019 Note: Other is composed of unit investment trusts (UIT) and closed-end funds. Q3 2020 figures include 2019 UIT data, which are reported annually and Q2 2020 closed-end fund data, which are reported on a lag. 3.5.2.11 Monthly Bond Mutual Fund Flows Billions of US$ 200 Tax-Exempt Taxable 100 Billions of US$ 200 As Of: Sep-2020 100 0 0 -100 -100 -200 -200 -300 -300 2017 2018 Source: ICI, Haver Analytics 2019 2020 Note: Net fund flows. 3.5.2.12 Monthly Equity Mutual Fund Flows Billions of US$ 50 Billions of US$ 50 As Of: Sep-2020 25 25 0 0 -25 -25 -50 -50 -75 -75 -100 -100 2017 2018 Source: ICI, Haver Analytics 2019 2020 Note: Net fund flows. 3.5.2.13 Monthly Bank Loan Mutual Fund Flows Billions of US$ 10 As Of: Sep-2020 Billions of US$ 10 5 5 0 0 -5 -5 -10 -10 -15 -15 2017 2018 Source: Morningstar, Inc. 2019 2020 Note: Net fund flows. 3.5.2.14 Monthly High-Yield Mutual Fund Flows Billions of US$ 15 As Of: Sep-2020 Billions of US$ 15 10 10 5 5 0 0 -5 -5 -10 -10 -15 -15 2017 2018 Source: Morningstar, Inc. 2019 2020 Note: Net fund flows. 3.5.2.15 Cumulative Equity Fund Flows Billions of US$ 400 As Of: Sep-2020 Billions of US$ 400 200 200 0 0 -200 -400 -200 U.S. Passively Managed International Passively Managed International Actively Managed U.S. Actively Managed -600 Jan:2019 -400 -600 Jul:2019 Source: Morningstar, Inc. Jan:2020 Jul:2020 Note: Includes ETFs and mutual funds. Cumulative net fund flows. 3.5.2.16 Cumulative Equity and Fixed Income Fund Flows Billions of US$ 600 As Of: Sep-2020 Billions of US$ 600 400 400 200 200 0 0 -200 -400 -200 Fixed Income Passively Managed Fixed Income Actively Managed Equity Passively Managed Equity Actively Managed -600 Jan:2019 Jul:2019 Source: Morningstar, Inc. -400 -600 Jan:2020 Jul:2020 Note: Includes ETFs and mutual funds. Cumulative net fund flows. 3.5.2.17 U.S.-Listed ETF AUM Trillions of US$ As Of: Sep-2020 5 AUM Cumulative Market Appreciation 4 Cumulative Flows to ETFs Trillions of US$ 5 4 3 3 2 2 1 1 0 0 -1 2009 -1 2011 2013 Source: Morningstar, Inc. 2015 2017 2019 3.5.2.18 ETF Assets by Category of Investment Trillions of US$ 5 4 3 As Of: Sep-2020 Trillions of US$ 5 Commodities Alternative Allocation Fixed Income Equity 4 3 2 2 1 1 0 2009 0 2011 2013 Source: Morningstar, Inc. 2015 2017 2019 3.5.2.19 Monthly ETF Flows: Fixed Income Funds Billions of US$ 40 Tax-Exempt Taxable Billions of US$ 40 As Of: Sep-2020 20 20 0 0 -20 -20 -40 -40 2017 2018 Source: Morningstar Direct 2019 2020 Note: Net fund flows. 3.5.2.20 Monthly ETF Flows: Equity Funds Billions of US$ 80 Billions of US$ 80 As Of: Sep-2020 40 40 0 0 -40 -40 -80 2015 -80 2016 2017 Source: Morningstar Direct 2018 2019 2020 Note: Net fund flows. 3.5.2.21 Monthly Inverse and Leveraged ETF Flows Billions of US$ 10 Inverse Leveraged Billions of US$ 10 As Of: Sep-2020 5 5 0 0 -5 -5 -10 2015 -10 2016 2017 Source: Morningstar Direct 2018 2019 2020 Note: Net fund flows. 3.5.2.22 Hedge Fund Gross and Net Assets Trillions of US$ 10 8 As Of: 2020 Q1 Gross Assets (left axis) Net Assets (left axis) Leverage 2.4 Leverage: GAV/NAV (right axis) 2.2 6 2.0 4 1.8 2 0 2013 2014 2015 Source: SEC Form PF, OFR 2016 2017 2018 2019 1.6 2020 Note: QHF gross and net assets as reported on Form PF Questions 8 and 9. 3.5.2.23 Hedge Fund Secured Financing Trillions of US$ 4 3 As Of: Mar-2020 Trillions of US$ 4 Other Secured Financing Prime Broker Repo 3 2 2 1 1 0 2013 0 2014 2015 Source: SEC Form PF, OFR 2016 2017 2018 2019 2020 Note: QHF secured borrowing as reported on Form PF Question 43. 3.5.2.24 Hedge Fund Borrowing: Composition of Creditors Trillions of US$ 4 3 As Of: 2020 Q1 Trillions of US$ 4 Other Foreign G-SIB U.S. G-SIB 3 2 2 1 1 0 2013 2014 2015 Source: SEC Form PF, OFR 2016 2017 2018 2019 0 2020 Note: QHF creditors as reported Form PF Question 47. 3.5.2.25 Hedge Fund Financing Liquidity Percent 100 As Of: 2020 Q1 Percent 100 80 80 60 60 40 40 20 20 0 0 2013 2014 2015 0-7 Days Source: SEC Form PF, OFR 2016 2017 8-30 Days 2018 2019 2020 30+ Days Note: QHF financing liquidity as reported on Form PF Question 46. 3.5.2.26 Hedge Fund Gross Exposures by Asset Class As Of: 2020 Q1 $2.1T $1.1T $5.5T $3.2T Interest Rate Derivatives Foreign Exchange Equities Other U.S. Government Sovereign Ex U.S. Credit $3.3T $1.9T $1.1T Source: SEC Form PF, OFR Note: QHF gross notional exposures as reported on Form PF Questions 26 and 30. Excludes repurchase agreements. Options reported as delta adjusted notional value. Interest rate derivatives reported as 10-year bond-equivalents. 3.5.2.27 Hedge Fund Treasury Exposures Billions of US$ 1500 As Of: Mar-2020 Billions of US$ 1500 1000 1000 500 500 0 0 -500 -1000 -1500 2013 -500 Net Long Short 2014 2015 Source: SEC Form PF, OFR -1000 -1500 2016 2017 2018 2019 2020 Note: QHF Treasury exposures as reported on Form PF Questions 26 and 30. 3.5.2.28 M&A Loan Volume for Private Equity-Backed Issuers Billions of US$ 250 Non-LBO LBO 200 As Of: 30-Sep-2020 Billions of US$ 250 200 150 150 100 100 50 50 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD Source: S&P LCD 0 3.5.2.29 Public Plan Allocation to Alternative Assets Percent 35 As Of: 2018 Percent 35 Other Alternative Real Estate Private Equity Hedge Fund 30 25 30 25 20 20 15 15 10 10 5 5 0 0 2001 2004 2007 Source: publicplansdata.org 2010 2013 2016 Note: Includes public plans that reported investment allocations from 2001-2018. Simple average. 3.5.2.30 Insurance Industry Net Income Billions of US$ 100 Health Life 80 P&C As Of: 2019 Billions of US$ 100 80 60 60 40 40 20 20 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Source: NAIC 0 Note: Life includes accident and health. 3.5.2.31 Insurance Industry Capital and Surplus Billions of US$ 1250 1000 750 Percent of Total Assets 80 As Of: 2019 Health Capital and Surplus (left axis) Life Capital and Surplus (left axis) P&C Capital and Surplus (left axis) Health Capital and Surplus / Assets (right axis) P&C Capital and Surplus / Assets (right axis) Life Capital and Surplus / Assets (right axis) 70 60 50 40 500 30 20 250 10 0 0 2010 Source: NAIC 2012 2014 2016 2018 Note: C&S/Assets is calculated as capital and surplus as a percent of net admitted assets less net admitted separate account assets. Life includes accident and health. 3.5.2.32 Consumer Loans and Leases Outstanding Trillions of US$ 2.0 As Of: Sep-2020 Trillions of US$ 2.0 1.5 1.5 Commercial Banks 1.0 1.0 0.5 0.5 Finance Companies 0.0 2001 0.0 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 Note: Loans and leases owned and securitized. Series breaks in December 2010 and December 2015 due to change in data collection methodology. Gray bars signify NBER recessions. 3.5.2.33 Business Loans and Leases Outstanding Trillions of US$ 4.0 As Of: Sep-2020 Trillions of US$ 4.0 3.0 3.0 Commercial Banks 2.0 2.0 1.0 0.0 2001 Finance Companies 1.0 0.0 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 Note: Loans and leases owned and securitized. Series break in December 2010 due to change in data collection methodology. Gray bars signify NBER recessions. 3.5.2.34 ABS Issuance Billions of US$ 350 As Of: Sep-2020 Billions of US$ 350 Other Student Loans Equipment Credit Card Auto 300 250 300 250 200 200 150 150 100 100 50 50 0 0 2006 2008 2010 2012 Source: Thomson Reuters, SIFMA 2014 2016 2018 2020 YTD Note: Figures are as of year end through 2019. 2020 figures are through September. 3.6.1.1 Initial Margin Requirements: DTCC Billions of US$ 60 NSCC FICC: MBSD 50 FICC: GSD Billions of US$ 60 As Of: 2020 Q2 50 40 40 30 30 20 20 10 10 0 0 2016 2017 Source: ClarusFT, PFMI Quantitative Disclosures 2018 2019 2020 Note: Total initial margin required as reported in PFMI quantitative disclosures; includes house and client accounts. 3.6.1.2 Maximum Uncovered Exposure for DTCC Billions of US$ 2.0 As Of: 2020 Q1 Billions of US$ 2.0 2020 Q1 2015 - 2019 1.5 1.5 1.0 1.0 0.5 0.5 0.0 0.0 DTCC GSD Source: DTCC PFMI Quantitative Disclosures DTCC MBSD DTCC NSCC Note: Peak uncovered exposure between Q3 2015 and Q4 2019 and Q1 2020 as reported on question 6.5.4. 3.6.1.3 Liquidity Demand at Derivatives Clearing Organizations Billions of US$ As Of: 30-Apr-2020 70 Variation Margin Payments 60 Incremental Initial Margin Payments Billions of US$ 70 60 50 50 40 40 30 30 20 20 10 10 0 Feb:2020 0 Source: CFTC Mar:2020 Apr:2020 Note: Light blue represents aggregate variation margin payments and dark blue represents net initial margin payments. Series covers February 3, 2020 through April 30, 2020. Excludes OCC. 3.6.1.4 Initial Margin: U.S. Exchange Traded Derivatives Billions of US$ 350 OCC ICE Clear US 300 CME Billions of US$ 350 As Of: 2020 Q2 300 250 250 200 200 150 150 100 100 50 50 0 0 2016 2017 Source: ClarusFT, PFMI Quantitative Disclosures 2018 2019 2020 Note: Total initial margin required as reported in PFMI quantitative disclosures; includes house and client accounts. 3.6.1.5 Initial Margin: OTC Derivatives Billions of US$ 350 Billions of US$ 350 As Of: 2020 Q2 Credit Default Swaps Interest Rate Swaps 300 300 250 250 200 200 150 150 100 100 50 50 0 0 2016 2017 Source: ClarusFT, PFMI Quantitative Disclosures 2018 2019 2020 Note: Total initial margin required as reported in PFMI quantitative disclosures; includes house and client accounts. Interest rate swaps margin includes LCH Ltd. and CME. Credit default swaps margin include CME, ICC, ICEU, and LCH SA). CME ceased clearing credit default swaps in Mar. 2018. 3.6.1.6 Global OTC Central Clearing Market Share Percent 100 As Of: 2020 Q2 Trillions of US$ (Log) 1000 80 100 60 40 10 20 0 Interest Rate Source: BIS FX Credit Not Cleared (left axis) Cleared (left axis) Equity 1 Total Notional Outstanding (right axis) 3.6.1.7 Average Clearing Rates for OTC Trading Percent 100 Percent 100 As Of: 2020 Q3 Interest Rate Swaps Credit Default Swaps 90 90 80 80 70 70 60 2015 60 Source: CFTC 2016 2017 2018 2019 2020 Note: Gross notional of new transactions. Excludes security-based swaps. 3.6.3.1 Market Capitalization of Certain Blockchain-Based Digital Assets As Of: 30-Sep-2020 Billions of US$ 350 300 250 Billions of US$ 350 Bitcoin Etherum Ripple Litecoin Tether 300 250 200 200 150 150 100 100 50 50 0 2014 0 2015 2016 2017 Source: Coinmarketcap.com; OFR 2018 2019 2020 3.7.1.1 Federal Reserve Swap Lines As Of: 30-Sep-2020 Billions of US$ 500 Billions of US$ 500 400 400 300 300 200 200 100 100 0 Jan:20 0 Mar:20 Source: Federal Reserve May:20 Jul:20 Sep:20 Note: Wednesday levels. 3.7.1.2 Change in USD Exchange Rates, Advanced Economies Percent 30 20 As Of: 30-Sep-2020 3/23/20 – 9/30/20 12/31/19 – 3/23/20 Percent 30 Total 20 10 10 0 0 -10 -10 -20 -20 -30 -30 Source: Federal Reserve, Haver Analytics Note: Percent change relative to end-2019. Positive indicates appreciation of listed currency. Swiss Franc (CHF), Euro (EUR), Swedish Krona (SEK), Japanese Yen (JPY), Australian Dollar, (AUD) New Zealand Dollar (NZD), British Pound (GBP), Canadian Dollar (CAD), and Norwegian Krone (NOK). 3.7.1.3 Change in USD Exchange Rates, EMEs Percent 20 As Of: 30-Sep-2020 Percent 20 10 10 0 0 -10 -10 -20 -20 -30 3/23/20 – 9/30/20 12/31/19 – 3/23/20 -40 Source: Federal Reserve, Wall Street Journal, Haver Analytics Total -30 -40 Note: Percent change relative to end-2019. Chinese renminbi (RMB), Korean won (KRW), Indian rupee (INR), Indonesian rupiah (IDR), Mexican peso (MXN), South African rand (ZAR), Russian ruble (RUB), Argentine peso (ARS), Turkish lira (TRY), Brazilian real (BRL). Positive indicates appreciation of listed currency. 3.7.1.4 Real U.S. Dollar Trade-Weighted Index Index 120 As Of: Sep-2020 Index 120 110 110 100 100 90 90 80 2000 80 2003 2006 Source: Federal Reserve, Haver Analytics 2009 2012 2015 2018 Note: Index shown as a share of its 20-year average. Real USD Trade-Weighted Index is a weighted average of the FX value of the USD against the currencies of a broad group of major U.S. trading partners. Gray bars signify NBER recessions. 3.7.2.1 Advanced Economies Real GDP Growth Percent 8 As Of: Oct-2020 Percent 8 4 4 0 0 -4 -4 -8 United States United Kingdom Euro Area Japan -12 2005 -8 -12 2007 Source: IMF WEO, Haver Analytics 2009 2011 2013 2015 2017 2019 2021 Note: Annual change in GDP, constant prices. Dotted lines represent the IMF’s most recent projections for 2020 and 2021. 3.7.2.2 General Government Gross Debt to GDP Percent 300 Percent 300 2020 (October 2020 Projection) 2019 250 250 200 200 150 150 100 100 50 50 0 0 United States Germany Source: IMF WEO France Italy Spain Japan United Kingdom 3.7.2.3 Outstanding Negative Yielding Debt As Of: 30-Sep-2020 Trillions of US$ 20 Corporates Government Related Securitized Sovereigns Trillions of US$ 20 15 15 10 10 5 5 0 2017 0 2018 Source: Bloomberg, L.P. 2019 2020 Note: Market value of Bloomberg Barclays Global Aggregate Negative Yielding Debt Index, which is a sub-index of the Bloomberg Barclays Aggregate Index. In 2017, SIFMA estimated that the aggregate index covers approximately half of the value of global bonds outstanding. 3.7.2.4 Euro Area H1 2020 Real GDP Percent 10 As Of: 2020 Q2 0 Percent 10 0 -10 -10 -20 -20 -30 -30 Source: Eurostat, Haver Analytics Note: Percentage change in real GDP Q2 2020 compared with Q4 2019. Seasonally adjusted. 3.7.2.5 Euro Area Business and Consumer Surveys Percent 20 As Of: Sep-2020 Index 120 10 110 0 100 -10 90 -20 80 Economic Sentiment (right axis) Industrial Confidence (left axis) Consumer Confidence (left axis) -30 -40 2006 70 60 2009 2012 Source: European Commission, Haver Analytics 2015 2018 Note: Confidence surveys calculated by subtracting the percentage of negative responses from the percentage of favorable responses. For economic sentiment index, 100 = long-term average. 3.7.2.6 Euro Area 10-Year Sovereign Yields As Of: 30-Sep-2020 Percent 5 4 Italy Spain France Germany Percent 5 4 3 3 2 2 1 1 0 0 -1 Jan:2015 Jan:2016 -1 Jan:2017 Jan:2018 Jan:2019 Jan:2020 Source: Reuters, Haver Analytics 3.7.2.7 Euro Area 10-Year Spreads Percent 5 As Of: 30-Sep-2020 Italy (left axis) Spain (left axis) France (left axis) 4 Percent 20 Greece (right axis) Ireland (left axis) Portugal (left axis) 16 3 12 2 8 1 4 0 2015 0 2016 2017 Source: Reuters, Haver Analytics 2018 2019 2020 Note: Calculated as the weekly average spread between local 10Y and German 10Y. 3.7.2.8 UK COVID-19 Business Loan Schemes Billions of GBP 70 60 50 As Of: 18-Oct-2020 Billions of GBP 70 CLBILS CBILS BBLS 60 50 40 40 30 30 20 20 10 10 0 May:2020 0 Jun:2020 Source: HM Treasury Jul:2020 Aug:2020 Sep:2020 Oct:2020 Note: Bounce Back Loan Scheme (BBLS), Coronavirus Large Business Interruption Loan Scheme (CLBILS), Coronavirus Business Interruption Loan Scheme (CBILS). Data reported monthly instead of weekly after August 16, 2020. 3.7.2.9 Japanese Consumer Price Inflation Percent 3 As Of: Sep-2020 Percent 3 2 2 1 1 0 0 -1 -1 -2 -2 -3 2005 -3 2008 Source: Bank of Japan, Haver Analytics 2011 2014 2017 2020 Note: Data represents year-over-year percentage change. CPI excludes fresh food and is adjusted for the consumption tax increase that took effect in April 2014. 3.7.2.10 Japan 10-Year Government Bond Yield Basis Points 160 As Of: 30-Sep-2020 Basis Points 160 120 120 80 80 40 40 0 0 -40 2010 -40 2012 Source: Bloomberg, L.P. 2014 2016 2018 2020 3.7.3.1 2020 Real GDP Revisions for Developing Economies Percent 12 Percent 12 October 2020 IMF Forecast October 2019 IMF Forecast 8 8 4 4 0 0 -4 -4 -8 -8 -12 -12 Aggregate EM Asia Source: IMF WEO EM Europe Latin America Middle East Sub& Central Saharan Asia Africa 3.7.3.2 COVID-19 Impact on 2020 Current Account Balances Percent of GDP 8 Percent of GDP 8 Net Impact Oil Effect Tourism & Remittances 4 4 Source: IMF July 2020 External Sector Report KOR CHN ARG PAK BRA TUR PER ZAF POL MEX COL -8 MYS -8 RUS -4 THA -4 EGY 0 SAU 0 Note: Estimated net direct impact of specific factors on current account balances for select EMEs. 3.7.3.3 Emerging Market Sovereign Bond Spreads As Of: 30-Sep-2020 Basis Points 1000 800 Basis Points 1000 Latin America Europe Asia 800 600 600 400 400 200 200 0 2013 0 2014 2015 2016 2017 Source: JP Morgan, Haver Analytics 2018 2019 2020 Note: JP Morgan EMBI+ Sovereign Spreads indices for each region. 3.7.3.4 Foreign Investor Capital Inflows to EMEs Billions of US$ As Of: 2020 Q2 Billions of US$ 500 500 375 375 250 250 125 125 0 0 -125 Portfolio Inflows Foreign Direct Investment -125 Net Flows Bank Inflows -250 -250 2010 2012 2014 Source: IMF, Haver Analytics 2016 2018 2020 3.7.3.5 Foreign Investor Portfolio Inflows to EMEs Billions of US$ As Of: 2020 Q2 Billions of US$ 200 200 Debt Inflows Equity Inflows 150 Net Portfolio Flows 150 100 100 50 50 0 0 -50 -50 -100 -100 2010 2012 2014 Source: IMF, Haver Analytics 2016 2018 2020 3.7.3.6 Chinese Overseas Lending Billions of US$ 1750 As Of: 2019 Billions of US$ 1750 FDI (Debt) Trade Credit Loans 1500 1500 1250 1250 1000 1000 750 750 500 500 250 250 0 0 2004 2007 2010 Source: State Administration of Foreign Exchange, Haver Analytics 2013 2016 2019 Note: FDI (Debt) reported from 2011 onwards. 3.7.3.7 Chinese Real GDP Growth and its Components Percent 20 As Of: 2020 Q3 Percent 20 Manufacturing 15 15 10 10 Services Total 5 5 Agriculture 0 0 -5 -10 2005 -5 -10 2008 2011 Source: China National Bureau of Statistics, Haver Analytics 2014 2017 2020 Note: Year-over-year percentage change. 3.7.3.8 Credit to the Chinese Nonfinancial Private Sector Percent of GDP 240 200 As Of: 2020 Q1 Percent of GDP Nonbank Lending Bank Lending 160 120 80 40 0 0 2008 2010 2012 2014 2016 2018 2020 Source: China National Bureau of Statistics, BIS, Haver Analytics Note: Rolling 4-quarter sum of GDP. 3.7.3.9 Chinese Credit Growth Percent 25 As Of: Sep-2020 Percent 25 Total Social Financing (New Definition) Total Social Financing (Old Definition) 20 20 15 15 10 10 5 2013 5 2014 2015 Source: PBOC, CCDC, Haver Analytics, Staff Calculations 2016 2017 2018 2019 2020 Note: Calculated as the year-over-year percentage change in total social financing (TSF) flows since 2002. TSF refers to the total volume of financing provided by the financial system to the real economy. TSF (old definition) excludes loan write-offs, ABS of depository institutions, and local government special bonds. 4.1.1 Total Assets of the Federal Reserve Trillions of US$ 8 As Of: 30-Sep-2020 Trillions of US$ 8 7 7 6 6 5 5 4 4 3 3 2 2 1 1 0 2008 0 2010 2012 Source: Federal Reserve, FRED 2014 2016 2018 2020 Note: Wednesday level. 4.1.2 Net Portfolio Holdings of 13(3) Facilities Billions of US$ 300 250 As Of: 30-Sep-2020 PMCCF & SMCCF PPP MMLF CPFF PDCF MSLF Billions of US$ 300 MLF TALF 250 200 200 150 150 100 100 50 50 0 Mar:2020 0 May:2020 Jul:2020 Source: Federal Reserve, Haver Analytics Sep:2020 Note: Wednesday level.
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