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3.1.1 Household Debt as a Percent of Disposable Personal Income As Of: 2021 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 Personal Savings Rate Percent 35 As Of: Sep-2021 Percent 35 30 30 25 25 20 20 15 15 10 1990–Present Average 10 5 5 0 2015 0 2016 Source: BEA, FRED 2017 2018 2019 2020 2021 Note: Ratio of personal saving to disposable personal income. 3.1.3 Household Debt Service Ratio Percent As Of: 2021 Q2 Percent 14 14 12 12 10 10 8 8 6 1990 6 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. 3.1.4 Owners’ Equity as Share of Household Real Estate Percent 80 As Of: 2021 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. 3.1.5 Components of Consumer Credit Billions of US$ 1750 As Of: 2021 Q3 Billions of US$ 1750 1500 1500 Student Loans 1250 1000 1250 Credit Card Debt Auto Loans 750 750 500 500 Other Household Debt 250 0 2003 1000 250 0 2006 2009 Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics 2012 2015 2018 2021 Note: Other includes consumer finance and retail loans. Gray bars signify NBER recessions. 3.1.6 Percentage of Mortgages in Forbearance Percent 10 As Of: 26-Sep-2021 8 Percent 10 Nonbanks Banks Total 8 6 6 4 4 2 2 0 0 Mar:2020 Jun:2020 Sep:2020 Dec:2020 Mar:2021 Jun:2021 Sep:2021 Source: Mortgage Bankers Association 3.1.7 Transition to Delinquency (30+ Days) by Loan Type Percent As Of: 2021 Q3 Percent 16 16 Student Loans Credit Card Debt Auto Loans Other Household Debt 12 12 8 8 4 4 0 2003 0 2006 2009 Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics 2012 2015 2018 2021 Note: Four-quarter moving sum. Student loan data are not reported prior to 2004 due to uneven reporting. Other includes consumer finance and retail loans. Gray bars signify NBER recessions. 3.2.1.1 Nonfinancial Corporate Credit as Percent of GDP Percent 60 As Of: 2021 Q2 Percent 60 50 50 40 40 30 30 20 1980 20 1985 1990 1995 Source: Federal Reserve, Haver Analytics 2000 2005 2010 2015 2020 Note: Gray bars signify NBER recessions. 3.2.1.2 Corporate Leverage: Debt / EBITDA Ratio 6 As Of: 2021 Q2 Ratio 6 5 5 High-Yield 4 3 2 2000 4 3 Investment Grade 2 2005 Source: Bloomberg, L.P. 2010 2015 2020 Note: Ratio of debt-to-EBITDA for companies included in Bloomberg Barclays Investment Grade and HighYield Indices. Gray bars signify NBER recessions. 3.2.1.3 Interest Coverage Ratios Ratio 10 8 As Of: 2021 Q2 Ratio 10 Investment Grade 8 6 6 4 4 High-Yield 2 2 0 2000 0 2005 Source: Bloomberg, L.P. 2010 2015 2020 Note: Ratio of earnings-to-interest expenses for companies included in Bloomberg Barclays Investment Grade and HighYield Indices. Gray bars signify NBER recessions. 3.2.1.4 Nonfinancial Corporations Liquid Assets Percent of Total Assets 9 As Of: 2021 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. 3.2.1.5 U.S. Corporate Defaults Billions of US$ 200 160 As Of: 2021 Q3 Total Defaulted Debt (left axis) Percent 20 Default Rate (right axis) 16 120 12 80 8 40 4 0 2007 0 2009 2011 Source: Moody's Investors Service, OFR 2013 2015 2017 2019 2021 Note: Issuer weighted 12-month trailing default rate for speculative grade U.S. corporates. As Of: 2021 Q3 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 3.2.1.6 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 $50 million or more. Gray bars signify NBER recessions. 3.2.1.7 Investment Grade Corporate Bond Spreads Percent 10 As Of: 30-Sep-2021 Percent 10 BBB US Corporate Index Single-A US Corporate Index 8 8 AA US Corporate Index 6 6 4 4 2 2 0 2005 0 2007 2009 2011 Source: ICE Data Indices, ICE BofA US, FRED 2013 2015 2017 2019 2021 Note: The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. 3.2.1.8 High-Yield Corporate Bond Spreads Percent 25 As Of: 30-Sep-2021 Percent 25 Single-B US Corporate Index BB US Corporate Index 20 20 15 15 10 10 5 5 0 2005 0 2007 2009 2011 Source: ICE Data Indices, ICE BofA US, FRED 2013 2015 2017 2019 2021 Note: The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. 3.2.1.9 Gross Issuance of Corporate Bonds As Of: Sep-2021 Trillions of US$ 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 0.0 Note: Includes all non-convertible corporate debt, MTNs, and Yankee bonds, but excludes all issues with maturities of one year or less and CDs. 2021 figures are through September. 3.2.1.10 Leveraged Loan Spreads Percent 12.5 As Of: 30-Sep-2021 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 2021 Note: Spread-to-maturity for syndicated loans included in the S&P LCD Leveraged Loan Index. 3.2.1.11 Leveraged Loan Issuance Billions of US$ 750 Institutional Pro-Rata 600 As Of: 30-Sep-2021 Billions of US$ 750 600 450 450 300 300 150 150 0 2006 2008 Source: S&P LCD 2010 2012 2014 2016 2018 2020 0 Note: 2021 figures are through September. 3.2.3.1 Performance of U.S. Stock Indices Percent 100 75 As Of: 30-Sep-2021 Percent 100 Nasdaq Composite S&P 500 Russell 2000 75 50 50 25 25 0 0 -25 -25 -50 Jan:2020 -50 Jul:2020 Source: Bloomberg, L.P. Jan:2021 Jul:2021 Note: Indexed to 31-Dec-2019. 3.2.3.2 S&P 500 Forward Price-to-Earnings P/E 30 As Of: 30-Sep-2021 P/E 30 25 25 Forward Price-to-Earnings 20 20 10-Year Average 15 15 10 2017 10 2018 Source: Bloomberg, L.P. 2019 2020 2021 3.2.3.3 S&P 500 Volatility Index 100 As Of: 24-Sep-2021 Index 100 80 80 60 Realized Volatility 60 Implied Volatility 40 40 20 20 0 2006 0 2008 2010 Source: Bloomberg, L.P. 2012 2014 2016 2018 2020 Note: 30-day realized and implied volatility. 3.2.3.4 SPAC Issuances As Of: 2021 Q3 Billions of US$ 120 Deal Value (left axis) Count 300 Deal Count (right axis) 100 250 80 200 60 150 40 100 20 50 0 2016 2017 Source: Bloomberg, L.P. 2018 2019 2020 2021 0 3.2.3.5 Returns in Selected Equities Indices As Of: 30-Sep-2021 YTD Since YE 2019 5 Year (Annualized) U.S. Indices S&P 500 Nasdaq Composite Russell 2000 14.7% 12.1% 11.6% 33.3% 61.0% 32.1% 14.7% 22.1% 12.0% Other Major Indices Topix FTSE 100 Euro Stoxx 50 DAX 12.5% 9.7% 13.9% 11.2% 17.9% -6.0% 8.1% 15.2% 8.9% 0.5% 6.2% 7.7% Emerging Markets MSCI Emerging Market Index Brazil (Bovespa) India (S&P BSE Sensex) MSCI China Onshore China (CSI 300) Taiwan (TAIEX) South Korea (KOSPI) -3.0% -6.8% 23.8% -17.4% -6.6% 14.9% 7.2% 12.4% -4.0% 43.3% 4.6% 18.8% 41.2% 39.6% 6.8% 13.7% 16.2% 7.3% 8.4% 13.1% 8.5% Source: Bloomberg, L.P. 3.3.1.1 Federal Budget Surplus/Deficit Percent of GDP 10 Percent of GDP 10 Projected Historical 5 5 0 0 -5 -5 -10 -10 -15 -15 -20 -20 1980 1990 2000 Source: CBO, Haver Analytics 2010 2020 2030 Note: Data for fiscal years. Years after 2020 are projected as of July 2021. 3.3.1.2 Federal Debt Held by the Public Percent of GDP 150 125 Historical Percent of GDP 150 CBO July 2021 Baseline Projection 125 100 100 75 75 50 50 25 25 0 0 1940 1950 1960 1970 1980 1990 2000 2010 2020 2030 Source: CBO, Haver Analytics Note: Data for fiscal years. Years after 2020 are projected. 3.3.1.3 Net Issuance of Treasury Securities As Of: 2021 Q3 Billions of US$ 3000 Bills Notes and Bonds Net 2000 Billions of US$ 3000 2000 1000 1000 0 -1000 0 2015 2016 2017 Source: U.S. Department of the Treasury, Bureau of the Fiscal Service, SIFMA, Haver Analytics 2018 2019 2020 2021 -1000 Note: Includes marketable securities only. 3.3.1.4 Treasury General Account Balance Billions of US$ 2000 As Of: 29-Sep-2021 Billions of US$ 2000 1750 1750 1500 1500 1250 1250 1000 1000 750 750 500 500 250 250 0 2015 0 2016 2017 2018 2019 Source: Federal Reserve, Haver Analytics 2020 2021 3.3.1.5 U.S. Treasury Yields Percent 5 As Of: 30-Sep-2021 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 3.3.1.6 10-Year TIPS Yield and Breakeven Percent 4 As Of: 30-Sep-2021 3 Percent 4 3 10-Year Breakeven 2 2 1 1 0 0 -1 Treasury InflationProtected Securities -1 -2 -2 -3 2016 -3 2017 2018 Source: U.S. Department of the Treasury 2019 2020 2021 Note: Breakeven represents the difference between the nominal and TIPS yield. 3.3.1.7 Intraday Volatility for 10-Year Treasury Yields Basis Points As Of: 24-Sep-2021 40 Basis Points 40 99th Percentile 95th Percentile 30 30 Intraday Volatility 20 20 10 10 0 Jan:2020 Jun:2020 Source: Bloomberg, L.P. Nov:2020 Apr:2021 0 Sep:2021 Note: Intraday volatility calculated as daily high yield minus daily low yield on 10-year Treasury notes. Percentiles based on January 2005–September 2021. 3.3.2.1 Municipal Bond Issuance As Of: Sep-2021 Billions of US$ 600 Billions of US$ 600 General Obligation Revenue 500 500 400 400 300 300 200 200 100 100 0 2006 2008 Source: Refinitiv, SIFMA 2010 2012 2014 2016 2018 2020 0 Note: Excludes maturities of less than 13 months. 2021 figures are through September. 3.3.2.2 Monthly Municipal Bond Mutual Fund Flows Billions of US$ 30 Billions of US$ 30 As Of: Sep-2021 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: 30-Sep-2021 Percent 400 350 Percent 400 2005–Present Average 10-Year AAA 350 300 300 250 250 200 200 150 150 100 100 50 50 0 2015 0 2016 2017 Source: Municipal Market Advisors, Bloomberg, L.P. 2018 2019 2020 2021 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 Changes in State and Local Government Tax Revenues Percent As Of: 2021 Q2 Percent 25 25 20 20 15 15 10 10 5 5 0 0 -5 -5 -10 1998 -10 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. 3.4.1.1 CP Outstanding by Issuer Type Trillions of US$ 2.5 As Of: Sep-2021 Trillions of US$ 2.5 Other Foreign Nonfinancial Foreign Financial Domestic Nonfinancial Domestic Financial ABCP 2.0 1.5 2.0 1.5 1.0 1.0 0.5 0.5 0.0 2004 0.0 2008 Source: Federal Reserve, Haver Analytics 2012 2016 2020 Note: Not seasonally adjusted. Domestic includes CP issued in the U.S. by entities with foreign parents. 3.4.1.2 CP Investors Percent 100 As Of: 2021 Q2 Percent 100 Other 80 80 State & Local Governments Nonfinancial Corporates 60 60 Funding Corporations 40 40 Money Market Funds 20 0 1990 20 0 1994 1998 2002 2006 Source: Federal Reserve, Haver Analytics 2010 2014 2018 3.4.1.3 3-Month CP Interest Rate Spreads Percent 4 3 As Of: 30-Sep-2021 Percent 4 A2/P2-Rated Nonfinancial AA-Rated ABCP AA-Rated Financial AA-Rated Nonfinancial 3 2 2 1 1 0 0 -1 Jan:2020 -1 Jul:2020 Source: Federal Reserve, Bloomberg, L.P. Jan:2021 Jul:2021 Note: Spread to 3-Month Overnight Index Swap (OIS) rate. 3.4.1.4 Commercial Bank Deposit Growth Percent 30 As Of: Sep-2021 Percent 30 20 20 Total Deposits 10 10 0 0 -10 -20 -10 -20 Large Time Deposits -30 2007 -30 2009 2011 Source: Federal Reserve 2013 2015 2017 2019 2021 Note: Year-over-year percentage change. 3.4.2.1 Repo Volumes Billions of US$ 1500 1200 As Of: 30-Sep-2021 Billions of US$ 1500 SOFR 1200 900 600 900 600 TGCR 300 0 Apr:2018 Source: FRBNY 300 0 Apr:2019 Apr:2020 Apr:2021 Note: TGCR = Tri-Party General Collateral Rate; SOFR = Secured Overnight Financing Rate. 3.4.2.2 Sponsored Repo Activity As Of: Sep-2021 Billions of US$ 700 Repo Borrowing Repo Lending 600 Aggregate Billions of US$ 700 600 500 500 400 400 300 300 200 200 100 100 0 Jul:2019 Source: DTCC Jan:2020 Jul:2020 Jan:2021 Jul:2021 0 Note: Average daily volume. Breakdown of repo lending and repo borrowing unavailable prior to April 2020. 3.4.2.3 Primary Dealer Repo Agreements Trillions of US$ 3.5 3.0 As Of: 29-Sep-2021 Trillions of US$ 3.5 Overnight/Continuing Term 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 2016 2017 Source: FRBNY, Haver Analytics 2018 2019 2020 2021 3.4.2.4 Primary Dealer Repo Collateral Trillions of US$ As Of: 29-Sep-2021 3.5 Agency Debt Other Agency MBS Equities 3.0 U.S. Treasuries Corporates 2.5 Trillions of US$ 3.5 3.0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2014 0.0 2015 2016 2017 Source: FRBNY, Haver Analytics 2018 2019 2020 2021 Note: U.S. Treasuries includes TIPS. Other includes ABS. 3.4.2.5 Primary Dealer Reverse Repo Agreements Trillions of US$ As Of: 29-Sep-2021 3.0 Overnight/Continuing Term 2.5 Trillions of US$ 3.0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2014 0.0 2015 2016 2017 Source: FRBNY, Haver Analytics 2018 2019 2020 2021 3.4.2.6 Repo Borrowing of Qualifying Hedge Funds Billions of US$ 1500 As Of: 2021 Q1 Billions of US$ 1500 1250 1250 1000 1000 750 750 500 500 250 2014 250 2015 Source: SEC Form PF Statistics Report 2016 2017 2018 2019 2020 Note: Repo borrowing as reported on Question 43 of Form PF. 3.4.2.7 Repo Rates Percent 6 SOFR 5 TGCR As Of: 30-Sep-2021 Percent 6 5 4 4 3 3 2 2 1 1 0 Jan:2019 0 Jul:2019 Source: FRBNY Jan:2020 Jul:2020 Jan:2021 Jul:2021 Note: TGCR = Tri-party General Collateral Rate; SOFR = Secured Overnight Financing Rate. 3.4.2.8 ON-RRP Participation Billions of US$ 1800 As Of: 30-Sep-2021 Billions of US$ 1800 1500 1500 1200 1200 900 900 600 600 300 300 0 2017 Source: FRBNY 0 2018 2019 2020 2021 Note: Overnight Reverse Repurchase Agreement Facility. 3.4.2.9 Value of Securities on Loan Trillions of US$ As Of: 30-Sep-2021 3.5 Foreign Markets 3.0 U.S. Market Trillions of US$ 3.5 3.0 2.5 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2015 0.0 2016 Source: Markit 2017 2018 2019 2020 2021 Note: Data is based on a survey of agent-based lenders. 3.4.2.10 Value of U.S. Securities on Loan Trillions of US$ As Of: 30-Sep-2021 2.5 Other ETFs Corporate Bonds 2.0 Equities Government Debt 1.5 Trillions of US$ 2.5 2.0 1.5 1.0 1.0 0.5 0.5 0.0 2015 0.0 2016 Source: Markit 2017 2018 2019 2020 2021 Note: Data is based on a survey of agent-based lenders. 3.4.2.11 Securities Lending Cash Collateral Percent 50 As Of: 30-Sep-2021 Percent 50 45 45 40 40 35 35 30 30 25 2015 25 2016 Source: Markit 2017 2018 2019 2020 2021 Note: Data is based on a survey of agent-based lenders. 3.4.2.12 U.S. Securities Lending Cash Reinvestment Trillions of US$ As Of: 2021 Q2 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 2005 2007 2009 Source: The Risk Management Association 2011 2013 2015 2017 2019 0 2021 Note: Data is based on a survey of agent-based lenders. 3.4.2.13 U.S. Securities Lending Cash Reinvestment Collateral As Of: 2021 Q2 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 2016 Source: The Risk Management Association, OFR 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: 2021 Q3 Billions of Contracts 6 5 5 4 4 3 3 2 2 1 1 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 Note: 2016–2020 figures represent full year volumes. 2021 figure represents year-todate volume through September 30, 2021. 3.4.3.2 U.S. Futures Markets Open Interest Trillions of US$ 30 As Of: 30-Sep-2021 Trillions of US$ 30 25 25 20 20 15 15 10 10 5 5 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 Note: Open interest as of September 30 for all years. 3.4.3.3 Futures 60-Day Historical Volatility Percent 70 Percent 70 As Of: 30-Sep-2021 5-Year Average 9/30/2021 60 60 2021 Range 50 50 40 40 30 30 20 20 10 10 0 Gold Crude Oil S&P 500 Source: Bloomberg, L.P. Corn Silver Soybean 0 3.4.3.4 Micro Futures Contracts Open Interest Billions of US$ As Of: 30-Sep-2021 5 Treasuries Stock Indices Metals 4 Energy Currencies Billions of US$ 5 4 3 3 2 2 1 1 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 Note: Open interest as of September 30 for all years. 3.4.3.5 Futures Transaction Volume – Leaderboard Futures Contract Number of Contracts (YTD) 1. 3-Month Eurodollars 439 Million 2. 10-Year Treasury Notes 357 Million 3. E-Mini S&P 500 Stock Index 300 Million 4. 5-Year Treasury Notes 209 Million 5. WTI Crude Oil 183 Million 6. Micro E-Mini NASDAQ 100 174 Million 7. Micro E-Mini S&P 500 Index 161 Million 8. E-mini NASDAQ 100 Index 103 Million 9. U.S. Treasury Bonds 10. 2-Year U.S. Treasury Notes Source: CFTC 86 Million 82 Million Note: Total futures volume through September 30, 2021. 3.4.3.6 U.S. Treasury Futures Open Interest: Asset Manager Billions of US$ 1000 12/29/2015 750 500 As Of: 28-Sep-2021 12/29/2016 12/29/2017 12/29/2018 12/29/2019 Billions of US$ 1000 12/29/2020 30-Year 10-Year 5-Year 2-Year 750 500 250 250 0 0 -250 -250 -500 -500 -750 -750 -1000 2016 Source: CFTC, Haver Analytics -1000 2017 2018 2019 2020 2021 Note: Note: Net notional amount of open interest. 10-Year includes 10-Year and 10-Year Ultra Treasury Note Futures; 30Year includes Treasury Bond and Ultra Treasury Bond Futures. Billions of US$ 1000 750 500 -1000 2016 Source: CFTC, Haver Analytics 2017 10/31/2017 9/30/2017 8/31/2017 7/31/2017 6/30/2017 5/31/2017 4/30/2017 3/31/2017 1/31/2017 2/28/2017 12/31/2016 11/30/2016 10/31/2016 9/30/2016 8/31/2016 7/31/2016 6/30/2016 5/31/2016 4/30/2016 3/31/2016 2/29/2016 1/29/2016 12/29/2015 As Of: 28-Sep-2021 2018 2019 2020 1/31/2021 2/28/2021 12/31/2020 11/30/2020 10/31/2020 9/30/2020 8/31/2020 7/31/2020 6/30/2020 5/31/2020 4/30/2020 3/31/2020 2/29/2020 1/31/2020 12/31/2019 11/30/2019 10/31/2019 9/30/2019 8/31/2019 7/31/2019 6/30/2019 5/31/2019 4/30/2019 3/31/2019 1/31/2019 2/28/2019 12/31/2018 11/30/2018 10/31/2018 9/30/2018 8/31/2018 7/31/2018 6/30/2018 5/31/2018 4/30/2018 3/31/2018 1/31/2018 2/28/2018 12/31/2017 11/30/2017 Billions of US$ 1000 30-Year 10-Year 5-Year 2-Year 250 0 8/31/2021 7/31/2021 6/30/2021 5/31/2021 4/30/2021 3/31/2021 3.4.3.7 U.S. Treasury Futures Open Interest: Leveraged Funds 750 500 250 0 -250 -250 -500 -500 -750 -750 -1000 2021 Note: Net notional amount of open interest. 10-Year includes 10-Year and 10-Year Ultra Treasury Note Futures; 30-Year includes Treasury Bond and Ultra Treasury Bond Futures. 3.4.3.8 CME Bitcoin Futures Open Interest As Of: 30-Sep-2021 Thousands of Bitcoin 90 Thousands of Bitcoin 75 60 45 30 15 0 Jan:2019 Jul:2019 Jan:2020 Source: Bloomberg, L.P. Jul:2020 Jan:2021 Jul:2021 Note: Includes Bitcoin Futures and Micro Bitcoin Futures contracts. Open interest converted into Bitcoin equivalents using respective futures contract units. 3.4.3.9 Bitcoin Futures and Reference Index Volume Thousands of Bitcoin As Of: Sep-2021 Thousands of Bitcoin 100 80 100 CME CF Bitcoin Real-Time Index CME Futures Volume 80 60 60 40 40 20 20 0 Jan:2019 0 Jul:2019 Source: Bloomberg L.P., Bitcoinity.org Jan:2020 Jul:2020 Jan:2021 Jul:2021 Note: Average daily volume. Incudes CME Bitcoin and Micro Bitcoin volumes converted into bitcoin equivalents. Spot volumes are Bitcoin/USD pairs from underlying spot exchanges referenced by the CME CF Bitcoin Real-Time Index. 3.4.3.10 Growth of USD ESG and Emissions Derivatives Markets Billions of US$ 25 Swaps Index Options 20 Futures As Of: 30-Sep-2021 Billions of US$ 25 20 15 15 10 10 5 5 0 2008 2010 Source: CFTC 2012 2014 2016 2018 2020 0 3.4.3.11 Growth of the ESG Indices Futures Markets Billions of US$ 3.5 As Of: 30-Sep-2021 Billions of US$ 3.5 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 Dec:2019 Source: CFTC Dec:2020 Mar:2021 Jun:2021 Sep:2021 0.0 3.4.3.12 Exchange-Traded Equity Option Volume Millions of Contracts As Of: Sep-2021 Millions of Contracts 35 30 35 Put Options Call Options 30 25 25 20 20 15 15 10 10 5 5 0 Jan:2019 0 Jul:2019 Jan:2020 Source: Options Clearing Corp. Jul:2020 Jan:2021 Jul:2021 Note: Average daily volume. Includes FLEX, excludes index and ETF options. 3.4.3.13 Options on Futures: Open Interest Trillions of US$ 60 Trillions of US$ 60 As Of: Sep-2021 50 50 40 40 30 30 20 20 10 10 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 3.4.3.14 Options on Futures: Volume As Of: Sep-2021 Millions of Contracts 1500 Other Options Eurodollar Options 1250 Millions of Contracts 1500 1250 1000 1000 750 750 500 500 250 250 0 2015 Source: CFTC 2016 2017 2018 2019 2020 2021 YTD 0 3.4.3.15 3-Month Implied Volatility for Select Commodities Options Percent 70 5 Year Average 9/30/2021 60 Percent 70 As Of: 30-Sep-2021 1 Year Range 60 Source: Bloomberg, L.P. Silver 10 Gold 10 Copper 20 WTI 20 Lean Hogs 30 Cotton 30 Sugar 40 Soybean 40 Wheat 50 Corn 50 3.4.3.16 Global OTC Positions Trillions of US$ 1000 As Of: 2021 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 2021 0 3.4.3.17 Global OTC Equity Derivatives Outstanding Trillions of US$ 12 10 As Of: 2021 Q2 Trillions of US$ 12 Other Equities U.S. Equities 10 8 8 6 6 4 4 2 2 0 2000 2003 2006 Source: BIS, Haver Analytics 2009 2012 2015 2018 0 2021 Note: Gross notional amounts outstanding. 3.4.3.18 Derivatives Notional Volume Trillions of US$ Trillions of US$ As Of: 24-Sep-2021 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 2016 Source: CFTC, ISDA 2017 2018 2019 2020 2021 Note: 12-week moving-averages. Excludes securitybased swaps. ISDA adjusted numbers since Nov 2020. 3.4.3.19 Derivatives Notional Amount Outstanding Trillions of US$ 10 Trillions of US$ 500 As Of: 24-Sep-2021 8 Interest Rate Swaps (right axis) 400 6 300 4 200 2 0 2014 Index CDS (left axis) 100 0 2015 Source: CFTC 2016 2017 2018 2019 2020 2021 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. 3.4.3.20 Commodity Swaps: Open Interest Billions of US$ 700 As Of: Sep-2021 Agricultural Energy 600 Billions of US$ 700 Soft Metals 600 500 500 400 400 300 300 200 200 100 100 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 Note: Estimated notional value. Figures as of end of September. 3.4.3.21 Commodity Index Swaps Gross Notional Value Billions of US$ 700 As Of: Sep-2021 Billions of US$ 700 600 600 500 500 400 400 300 300 200 200 100 100 0 2016 Source: CFTC 2017 2018 2019 2020 2021 0 Note: Estimated notional value. Figures as of end of September. 3.4.3.22 Customer Margin Funds Held at FCMs Billions of US$ As Of: Sep-2021 500 Swaps Foreign Futures U.S. Futures 400 Billions of US$ 500 400 300 300 200 200 100 100 0 0 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 Source: CFTC Note: Includes CFTC registered FCMs. 3.4.3.23 FCM Concentration: Customer Futures Balances Percent 100 Percent 100 As Of: 2021 Q3 Top 3 Top 10 Top 5 75 75 50 50 25 25 0 0 2014 2015 Source: CFTC 2016 2017 2018 2019 2020 2021 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. 3.4.3.24 FCM Concentration: Customer Swap Balances As Of: 2021 Q3 Percent 100 Top 3 Percent 100 Top 10 Top 5 75 75 50 50 25 25 0 0 2014 2015 Source: CFTC 2016 2017 2018 2019 2020 2021 Note: Represents the amount of funds an FCM is required to segregate for customers who trade cleared swaps. 3.4.3.25 Concentration of Swap Positions for Registered SDs Percent 70 Percent 70 As Of: 2021 Q3 Top 3 Top 10 Top 5 60 60 50 50 40 40 30 30 20 20 10 10 0 0 Q3 2014 Source: CFTC Q3 2015 Q3 2016 Q3 2017 Q3 2018 Q3 2019 Q3 2020 Q3 2021 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). 3.4.3.26 SEF Trading Volumes: Interest Rate Swaps Billions of US$ As Of: Sep-2021 Percent 1250 80 On-SEF Interest Rate Swap Volume (left axis) Share of Total Volume (right axis) 1000 70 750 60 500 50 250 40 0 Jan:18 Source: CFTC 30 Jan:19 Jan:20 Jan:21 Note: Average daily notional volume. Data have been adjusted to correct a DDR data issue. 3.4.3.27 SEF Trading Volumes: CDS Index Billions of US$ 100 As Of: Sep-2021 On-SEF CDS Index Volume (left axis) Percent 100 Share of Total Volume right axis) 80 90 60 80 40 70 20 60 0 Jan:18 Source: CFTC 50 Jan:19 Jan:20 Jan:21 Note: Average daily notional volume. Excludes security-based swaps. Data have been adjusted to correct a DDR data issue. 3.4.4.1 Relative Performance of Commodity Indices Index As Of: 24-Sep-2021 Index 250 250 Agriculture & Livestock Energy Industrial Metals Precious Metals 200 200 150 150 100 100 50 2016 50 2017 2018 Source: S&P GSCI, Haver Analytics 2019 2020 Note: S&P GSCI Spot Indices. Indexed to 100 as of January 1, 2016. 3.4.4.2 Relative Performance of Precious Metals Index As Of: 30-Sep-2021 Index 160 140 120 160 Silver Gold Palladium Platinum 140 120 100 100 80 80 60 Sep:2020 Dec:2020 Source: Bloomberg, L.P. Mar:2021 Jun:2021 60 Sep:2021 Note: Indexed to 100 as of September 30, 2020. 3.4.4.3 Relative Performance of Industrial Metals Index As Of: 30-Sep-2021 Index 180 160 140 180 Aluminum Copper Zinc Nickel 160 140 120 120 100 100 80 80 60 Jan:2020 60 Jul:2020 Source: S&P GSCI, Haver Analytics Jan:2021 Jul:2021 Note: S&P GSCI Spot Indices. Indexed to 100 as of January 2, 2020. 3.4.4.4 Relative Performance of Agriculture Products Index As Of: 24-Sep-2021 Index 200 175 150 200 Cotton Wheat Live Cattle Coffee Lean Hogs Corn Soybeans 175 150 125 125 100 100 75 75 50 Jan:2020 50 Jul:2020 Source: S&P GSCI, Haver Analytics Jan:2021 Jul:2021 Note: S&P GSCI Spot Indices. Indexed to 100 as of January 3, 2020. 3.4.4.5 U.S. Drought Conditions Percent 80 70 60 As Of: 28-Sep-2021 Percent Exceptional Drought Extreme Drought Severe Drought Moderate Drought Abnormally Dry 80 70 60 50 50 40 40 30 30 20 20 10 10 0 2016 0 2017 2018 2019 Source: University of Nebraska-Lincoln 2020 2021 Note: Limited to Continental U.S. 3.4.4.6 CME Lumber Futures Contract Price, US$ 2000 As Of: 30-Sep-2021 Contract Price, US$ 2000 1500 1500 1000 1000 500 500 0 Jan:2019 0 Jul:2019 Dec:2019 Source: CME, Haver Analytics Jul:2020 Dec:2020 Jun:2021 Note: US$ per 1,000 Board Feed. 3.4.4.7 U.S. Crude Oil Production & Inventories Millions of Barrels 1500 1400 As Of: Aug-2021 Crude Oil Inventories (left axis) Millions of Barrels 16 Crude Oil Production (right axis) 14 1300 12 1200 10 1100 8 1000 6 900 2010 4 2012 2014 Source: EIA, Haver Analytics 2016 2018 2020 Note: Crude oil production presented as millions of barrels per day. 3.4.4.8 WTI Crude Oil Futures Curve Price Per Barrel ($) 80 Price Per Barrel ($) 80 9/30/2021 70 70 60 60 9/30/2019 50 50 40 40 9/30/2020 30 30 1 7 13 19 Source: Bloomberg, L.P. 25 31 37 43 49 55 Note: CME WTI Crude Oil Futures. X axis represents the number of months until expiry. 3.4.4.9 Natural Gas Futures Curve US$ Per MMBtu 6.5 5.5 US$ Per MMBtu 6.5 5.5 9/30/2021 4.5 4.5 3.5 3.5 9/30/2020 2.5 2.5 9/30/2019 1.5 1.5 1 6 11 16 Source: Bloomberg, L.P. 21 26 31 36 41 46 51 56 Note: NYMEX Henry Hub Natural Gas Futures. X axis represents the number of months until expiry. 3.4.4.10 U.S. Natural Gas Prices Contract Price, US$ 25 20 As Of: 30-Sep-2021 Contract Price, US$ 25 Front Month Future 20 Spot Price 15 15 10 10 5 5 0 Sep:2020 Dec:2020 Source: Bloomberg, L.P. Mar:2021 Jun:2021 0 Sep:2021 3.4.4.11 European & U.S. Natural Gas Prices US$ Per MMBtu 30 Europe 25 United States As Of: Sep-2021 US$ Per MMBtu 30 25 20 20 15 15 10 10 5 5 0 2000 0 2003 2006 2009 2012 Source: World Bank Group, Bloomberg, L.P. 2015 2018 2021 3.4.5.1 House Prices by Census Division Index 600 500 400 300 As Of: Aug-2021 Index 600 Mountain Pacific West South Central South Atlantic West North Central Total U.S. New England East South Central Middle Atlantic East North Central 500 400 300 200 200 100 100 0 1991 0 1995 Source: FHFA 1999 2003 2007 2011 2015 2019 Note: Purchase-only, seasonally adjusted, nominal, constant-quality price index. Indexed to January 1991. 3.4.5.2 Home Sales Millions of Units 1.5 1.2 As Of: Sep-2021 New Home Sales (left axis) Millions of Units 8.0 Existing Home Sales (right axis) 7.0 0.9 6.0 0.6 5.0 0.3 4.0 0.0 2005 2008 2011 Source: NAR, Census Bureau, Haver Analytics 2014 2017 2020 3.0 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 Housing Starts (left axis) 2.0 1/1/2000 1/1/2003 As Of: Aug-2021 1/1/2006 1/1/2009 1/1/2012 1/1/2015 Percentage Change 30 1/1/2018 1/1/2021 20 House Price Changes (right axis) 1.5 10 1.0 0 0.5 -10 0.0 2000 2003 2006 2009 Source: U.S. Census Bureau, FHFA, Haver Analytics 2012 2015 2018 2021 -20 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: 2021 Q3 Percent 69 8.5 68 8.0 67 7.5 66 7.0 65 6.5 64 Homeownership Rate (left axis) 6.0 Rental Vacancy Rate (right axis) 63 62 2015 2016 2017 2018 2019 Source: U.S. Census Bureau, Current Population Survey/Housing Vacancy Survey 2020 2021 5.5 5.0 Note: Data are non-seasonally adjusted quarterly percentages. 3.4.5.5 30-Year Fixed Rate Mortgage Rate and Spread Percent 8 As Of: 24-Sep-2021 7 Percent 8 7 30-Year Fixed Rate Mortgage Average 6 6 5 4 3 5 4 Spread to 10-Year Treasury 3 2 2 1 1 0 2005 2007 2009 2011 2013 Source: Bankrate.com, Bloomberg, L.P. 2015 2017 2019 2021 0 3.4.5.6 Mortgage Originations and Rates Percent As Of: 2021 Q1 Billions of US$ 5.0 1500 Refinance (right axis) 30-Year Mortgage Rate Purchase (right axis) (left axis) 4.5 1200 4.0 900 3.5 600 3.0 300 2.5 2015 2016 Source: NMDB®, Bankrate.com 2017 2018 2019 2020 0 2021 Note: Quarterly originations represent all 1-4 family homes with first-lien, closed-end residential mortgages. 3.4.5.7 Purchase Origination Volume by Credit Score As Of: 2021 Q2 Percent of Originations 100 Percent of Originations 100 >780 80 80 60 60 661-780 40 40 601-660 20 20 <601 0 2001 0 2004 Source: NMDB® 2007 2010 2013 2016 2019 Note: Based on all-borrower VantageScore 3.0 for first-lien, closed-end residential purchase mortgages; excludes territories. 3.4.5.8 Shares of Mortgages by Equity Percentage Percent 100 As Of: 2021 Q2 Percent 100 <0% 80 0 to <5% 80 5 to <20% 60 40 60 Percentage of mortgages with 20% or more equity 20 20 0 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: NMDB® 40 0 Note: Quarterly percentage of all mortgage loans that are not closed or terminated. 3.4.5.9 Mortgage Delinquency Percent As Of: 2021 Q2 Percent 6 6 5 4 30 or 60 Days Past Due 90 to 180 Days Past Due 4 3 3 In process of foreclosure, bankruptcy or deed-in-lieu 2 1 0 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: 5 NMDB® Note: Quarterly percentage of all mortgage loans that are not closed or terminated. 2 1 0 3.4.5.10 Forbearance Rates by Investor Type Percent 14 12 As Of: Aug-2021 FHA, VA, and RHS GSE Other (PLS, Portfolio, etc.) Total Percent 14 12 10 10 8 8 6 6 4 4 2 2 0 Mar:2020 Jun:2020 Sep:2020 Dec:2020 Mar:2021 Jun:2021 Source: NMDB® 0 Note: Rates are the weekly percentage of servicing portfolio volume in forbearance by investor type over time. B.1 House Price Growth Percent 25 As of: Aug-2021 Percent 25 Case-Shiller Home Price Index 20 20 FHFA Home Price Index 15 15 10 10 5 5 0 0 -5 -5 -10 2012 -10 2014 2016 Source: S&P CoreLogic Real Estate Data, FHFA, Haver Analytics 2018 2020 Note: Year-over-year percentage change. B.2 Inventory of Homes Listed for Sale Thousands 2500 As of: Aug-2021 Thousands 2500 2000 2000 Total Inventory 1500 1500 1000 1000 New Listings 500 500 0 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Source: Redfin, Haver Analytics 0 Note: Seasonally adjusted. B.3 Price-to-Rent Ratios Index 200 As of: Aug-2021 Index 200 Case-Shiller Home Price Index 180 180 FHFA House Price Index 160 160 140 140 120 120 100 100 80 1996 80 2001 2006 Source: S&P CoreLogic Real Estate Data, FHFA, BLS, Haver Analytics 2011 2016 2021 Note: Seasonally adjusted; indexed to January 1996. Rental data are owners’ equivalent rent. 3.4.5.11 Mortgage Originations by Product Percent of Originations 100 Private Portfolio and Securitized 80 As Of: 2020 Q4 Percent of Originations 100 80 60 60 GSE 40 40 20 20 FHA, VA & RHS 0 1998 0 2001 Source: NMDB® 2004 2007 2010 2013 2016 2019 Note: Quarterly data for first-lien, closed-end residential mortgages. 3.4.5.12 RMBS Issuance Trillions of US$ 4.0 Non-Agency 3.5 Agency As Of: Sep-2021 Trillions of US$ 4.0 3.5 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 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 YTD Source: FHLMC, FNMA, GNMA, NCUA, Note: 2021 figures are FDIC, Bloomberg, L.P., Dealogic, through September. Thomson Reuters, SIFMA 3.4.5.13 Cumulative MBS Purchases by the Federal Reserve Trillions of US$ 3.0 UMBS GNMA 2.5 As Of: 24-Sep-2021 Trillions of US$ 3.0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 Mar:2020 0.0 Jul:2020 Source: FRBNY Nov:2020 Mar:2021 Jul:2021 Note: Cumulative purchases beginning in March 2020. Weekly series are aggregated from daily Agency MBS operations in the TBA pool. 3.4.6.1 Commercial Property Price Growth Percent 30 20 As Of: Sep-2021 Retail Industrial National Percent 30 Office: Central Business District Apartment Office 20 10 10 0 0 -10 -10 -20 -20 -30 2005 -30 2008 2011 Source: Real Capital Analytics, Bloomberg, L.P. 2014 2017 2020 Note: Year-over-year price change. 3.4.6.2 Conduit CMBS Delinquency and Foreclosure Rate Percent As Of: Sep-2021 Percent 10 8 10 60+ Days Delinquent 8 6 6 4 4 Foreclosure / Real Estate Owned 2 0 2005 2 0 2007 2009 Source: JPMorgan, Trepp 2011 2013 2015 2017 2019 2021 Note: 60+ Days Delinquent includes Foreclosure/Real Estate Owned. 3.4.6.3 Average Capitalization Rates and Spreads As Of: Sep-2021 Percent 12 Percent 12 10 10 National Cap Rate 8 8 6 6 4 4 National Cap Rate Spread 2 0 2001 2 0 2004 2007 Source: Real Capital Analytics, Bloomberg, L.P. 2010 2013 2016 2019 Note: Dotted lines represent 2001–present averages. 3.4.6.4 CMBS Issuance Billions of US$ 400 Non-Agency 350 Agency As Of: Sep-2021 Billions of US$ 400 350 300 300 250 250 200 200 150 150 100 100 50 50 0 0 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: Inside Mortgage Finance Note: 2021 figures are through September. Agency includes multifamily CMBS. 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 $250b Total assets) Citizens Financial M&T Bank Discover Regions Financial Fifth Third Source: Federal Reserve Note: Northern Trust is in Category II due to its cross-jurisdictional activity. Synchrony Financial dropped out of Category IV in 2021:Q2 and did not participate in the 2020 or 2021 stress tests. 3.5.1.2 Total Assets by BHC Type/IHC Trillions of US$ 16 As Of: 2021 Q2 Trillions of US$ 16 14 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: 2021 Q2 Percent of RWA 16 Other Large Noncomplex Large Complex G-SIBs 14 12 10 10 8 8 6 6 4 2001 4 2004 Source: FR Y-9C, Haver Analytics 2007 2010 2013 2016 2019 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 2021 Q2 2021 Q1 2020 Q2 16 As Of: 2021 Q2 Percent of RWA 20 2021 minimum including U.S. G-SIB surcharge 16 12 12 8 8 4 4 0 BAC BK Source: FR-Y9C C GS JPM MS STT WFC 0 3.5.1.5 Payout Rates at U.S. G-SIBs As Of: 2021 Q2 Percent of NIAC 200 Common Stock Cash Dividends (left axis) Stock Repurchases 150 (left axis) Billions of US$ 200 NIAC (right axis) 150 100 100 50 50 0 0 2014 2015 Source: FR Y-9C 2016 2017 2018 2019 2020 2021 Note: Net income available to common shareholders (NIAC) is net income minus preferred dividends. 2021 data represents YTD data through Q2. 3.5.1.6 Supplementary Leverage Ratios at U.S. G-SIBs Percent 10 As Of: 2021 Q2 Minimum 2021 Q2 2021 Q1 2020 Q2 8 Percent 10 8 6 6 4 4 2 2 0 0 BAC BK Source: FR Y-9C, Call Report C GS JPM MS STT WFC Note: Enhanced SLR is only required for the G-SIBs. The ratio is equal to tier 1 capital divided by total assets plus off-balance sheet exposures. The ratio excludes Treasury securities and reserves from the denominator during 2020:Q2 and 2021:Q1, reflecting a temporary change to the SLR rule to ease strains in the Treasury market resulting from the COVID-19 pandemic. 3.5.1.7 Return on Assets Percent 3 Other Large Noncomplex Large Complex 2 G-SIBs As Of: 2021 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: 2021 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 As Of: 2021 Q2 Percent of Total Liabilities 70 Core Deposits 60 50 50 40 40 30 30 20 10 Long-Term Funding 20 10 0 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 Source: FR Y-9C 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: Jun-2021 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: 2021 Q2 Rates 1.50 Other Large Noncomplex Large Complex G-SIBs 1.25 1.00 0.75 0.75 0.50 0.50 0.25 0.25 0.00 2010 0.00 2012 Source: Call Report 2014 2016 2018 2020 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: 2021 Q2 Percent 20 16 16 Residential Real Estate 12 8 Commercial Real Estate 4 12 8 4 0 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 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: 2021 Q2 Percent 8 Credit Card Auto C&I 6 4 4 2 2 0 0 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021 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: 2021 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 2021 Note: Excludes Barclays, Credit Suisse, Deutsche Bank, and UBS. 3.5.1.15 C&I Loan Growth, All Commercial Banks Percent 40 As Of: Jun-2021 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 14 Other 12 Large Noncomplex Large Complex 10 G-SIBs 8 As Of: 2021 Q2 Percent of Total Loans 14 12 10 8 6 6 4 4 2 2 0 2010 0 2012 Source: FR Y-9C 2014 2016 2018 2020 3.5.1.17 High-Quality Liquid Assets by BHC Type Percent of Assets 35 Other Large Noncomplex 30 Large Complex G-SIBs 25 As Of: 2021 Q2 Percent of Assets 35 30 25 20 20 15 15 10 10 5 2010 5 2012 Source: FR Y-9C 2014 2016 2018 2020 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: 2021 Q2 Percent of Assets 15 12 15 Reserve Balances Fannie Mae and Freddie Mac MBS Treasury Securities Ginnie Mae MBS 12 9 9 6 6 3 3 0 2010 0 2012 2014 Source: FR Y-9C, FR 2900 2016 2018 2020 Note: Not seasonally adjusted. 3.5.1.19 Liquidity Coverage Ratios at U.S. G-SIBs Percent 200 As Of: 2021 Q2 Percent 200 2021 Q2 2021 Q1 2020 Q2 150 150 100 100 50 50 0 0 BAC BK C Source: LCR Disclosures from each banks’ websites GS JPM MS STT WFC Note: The solid line represents the regulatory minimum. 3.5.1.20 Held-to-Maturity Securities Percent of Investment Securities 60 Other Large Noncomplex 50 Large Complex G-SIBs 40 Percent of Investment Securities 60 As Of: 2021 Q2 50 40 30 30 20 20 10 10 0 2010 0 2012 Source: Call Report, Haver Analytics 2014 2016 2018 2020 Note: Investment securities are held-to-maturity securities plus available-for-sale securities. 3.5.1.21 Duration Gap As Of: 2021 Q2 Years 3.5 3.0 2.5 Years 3.5 Other Large Noncomplex Large Complex G-SIBs 3.0 2.5 2.0 2.0 1.5 1.5 1.0 1.0 0.5 0.5 0.0 2001 0.0 2004 Source: Call Report, Haver Analytics 2007 2010 2013 2016 2019 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 200 175 As Of: 29-Jun-2021 Large Noncomplex Large Complex G-SIBs Index 200 S&P 500 EU Bank Stock Index Other 175 150 150 125 125 100 100 75 75 50 Jan:2019 Jun:2019 Source: Yahoo! Finance, Bloomberg, L.P. Dec:2019 Jun:2020 Dec:2020 50 Jun:2021 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-2021 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 0 2010 Source: SNL 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 As Of: Jun-2021 Goldman Sachs Citigroup Bank of America 400 Basis Points 500 Wells Fargo JPMorgan Chase Morgan Stanley 400 300 300 200 200 100 100 0 2010 0 2012 Source: Markit 2014 2016 2018 2020 Note: Monthly averages. 3.5.1.25 5-Year CDS Premiums Select Foreign Banks Basis Points 500 As Of: Jun-2021 Deutsche Bank Société Générale BNP Paribas 400 Basis Points 500 Santander Credit Suisse Barclays 400 300 300 200 200 100 100 0 2010 0 2012 Source: Markit 2014 2016 2018 2020 Note: Monthly averages. 3.5.1.26 Initial and Stressed Capital Ratios Percent of RWA 16 Post-Stress DFAST Pre-Stress 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 2021 23 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 2016-2021 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 FDIC-Insured Failed Institutions Number of Institutions 180 As Of: 2020 Percent 3.0 Number of Institutions (left axis) 150 2.5 Assets of Failed Institutions as a Percent of Nominal GDP (right axis) 120 2.0 90 1.5 60 1.0 30 0.5 0 2005 0.0 2008 Source: BEA, FDIC, Haver Analytics 2011 2014 2017 2020 Note: No FDIC-insured institutions failed during 2005, 2006, and 2018. 3.5.1.28 Commercial Bank and Thrift Net Income Billions of US$ 1200 800 As Of: 2021 Q2 Billions of US$ 1200 Realized Gains/Losses Noninterest Income Net Interest Income 800 400 400 0 0 -400 -400 -800 -1200 2006 Source: FDIC 2008 2010 2012 -800 Net Income Provisions Noninterest Expense 2014 2016 2018 2020 -1200 Note: Includes all commercial banks and thrift institutions. All items are annualized. 3.5.1.29 Total Assets of Largest Insured Depository Institutions Count (‘000s) Trillions of US$ As Of: 2021 Q2 25 25 Top 10 IDIs (left axis) Number of Insured Top 11-100 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 19842020 and second quarter data was used for 2021. 3.5.1.30 U.S. Branches and Agencies of Foreign Banks: Assets Trillions of US$ 4 3 As Of: 2021 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. 3.5.1.31 U.S. Branches and Agencies of Foreign Banks: Liabilities Trillions of US$ 4 3 As Of: 2021 Q2 Trillions of US$ 4 Other Liabilities Securities Sold with Repos & Fed Funds Purchased Deposits & Credit Balances Net Due to Related Depository Institutions 3 2 2 1 1 0 2004 0 2006 2008 2010 Source: Federal Reserve, Haver Analytics 2012 2014 2016 2018 2020 Note: Other liabilities includes transaction accounts, non-transaction accounts, and other borrowed money. 3.5.1.32 Credit Union Income Billions of US$ As Of: 2021 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. 3.5.1.33 Loans as a Percent of Total Deposits Percent of Total Assets 100 As Of: 2021 Q2 Percent of Total Assets 100 90 90 80 80 70 70 60 60 50 2006 50 2008 Source: NCUA 2010 2012 2014 2016 2018 2020 3.5.2.1 Number of Broker-Dealers Number of Firms 5000 As Of: 2021 Q2 Number of Firms 5000 4500 4500 4000 4000 3500 3500 3000 3000 2009 Source: FINRA 2011 2013 2015 2017 2019 2021 3.5.2.2 Broker-Dealer Revenues and Net Income Billions of US$ As Of: 2021 Q2 Billions of US$ 500 500 Net Income Total Revenue 400 400 300 300 200 200 100 100 0 0 2009 Source: FINRA 2011 2013 2015 2017 2019 2021 3.5.2.3 Broker-Dealer Assets and Leverage Trillions of US$ As Of: 2021 Q2 8 Leverage (right axis) Total Assets (left axis) Ratio 25 6 20 4 15 2 10 0 5 2005 2007 Source: FINRA 2009 2011 2013 2015 2017 2019 2021 Note: Leverage is the ratio of total assets to total regulatory capital. 3.5.2.4 Broker-Dealer Assets and Leverage by Affiliation Trillions of US$ As Of: 2021 Q2 Ratio 5 25 FBO Total Assets (left axis) BHC Total Assets (left axis) 4 BHC Leverage (right axis) FBO Leverage (right axis) 20 3 15 2 10 1 5 0 0 2009 2011 Source: FINRA 2013 2015 2017 2019 2021 Note: Data covers BHC and FBO-affiliated broker-dealers that are among the 25 largest broker-dealers by assets at year-end 2020. 3.5.2.5 mREIT Financial Assets Billions of US$ As Of: 2021 Q2 800 Other Mortgages Agency & GSE-Backed Securities 600 Billions of US$ 800 600 400 400 200 200 0 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 Source: Federal Reserve, Haver Analytics 0 3.5.2.6 REIT Stock Performance Index 175 150 125 As Of: 30-Sep-2021 S&P 500 Financials Equity REITs mREITs Index 175 150 125 100 100 75 75 50 50 25 Jan:2020 Jun:2020 Source: NAREIT, Bloomberg, L.P. Nov:2020 Apr:2021 25 Sep:2021 Note: Indexed to 100 as of year-end 2019; mREITs represents the FTSE Nareit Mortgage REITs Index; Equity REITs represents the FTSE Nareit Equity REITs Index; Financials represents the S&P 500 Financials Subindex. 3.5.2.7 MMF Assets by Fund Type Trillions of US$ 6 Government Tax-Exempt 5 Prime As Of: Sep-2021 Trillions of US$ 6 5 4 4 3 3 2 2 1 1 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 0 Source: SEC 3.5.2.8 Liquid Asset Shares of Prime MMFs Percent of Total Assets 70 60 As Of: Sep-2021 Percent of Total Assets 70 60 Weekly Liquid - Institutional 50 50 Weekly Liquid - Retail 40 40 Daily Liquid - Institutional 30 30 20 20 Daily Liquid - Retail 10 2017 Source: SEC 10 2018 2019 2020 2021 3.5.2.9 Weighted Average Maturities by Fund Type Days 60 As Of: Sep-2021 Days 60 Government Prime Tax-Exempt 50 50 40 40 30 30 20 20 10 2011 10 Source: SEC 2013 2015 2017 2019 2021 Note: Weighted by fund size. 3.5.2.10 Net Assets of the Investment Company Industry Trillions of US$ Trillions of US$ As Of: 2021 Q3 35 35 UITs Closed-End Funds ETFs MMFs Bond/Hybrid Mutual Funds Equity Mutual Funds 30 25 20 30 25 20 15 15 10 10 5 5 0 0 1980 1985 1990 1995 2000 Source: ICI, Federal Reserve, SEC 2005 2010 2015 2020 Note: Excludes non ’40 Act ETPs. 3.5.2.11 Monthly Bond Mutual Fund Flows Billions of US$ 200 Tax-Exempt Taxable 100 As Of: Sep-2021 Billions of US$ 200 100 0 0 -100 -100 -200 -200 -300 2017 -300 2018 Source: ICI, Haver Analytics 2019 2020 2021 Note: Net fund flows. 3.5.2.12 Monthly Equity Mutual Fund Flows Billions of US$ 50 As Of: Sep-2021 Billions of US$ 50 25 25 0 0 -25 -25 -50 -50 -75 -75 -100 2017 -100 2018 Source: ICI, Haver Analytics 2019 2020 2021 Note: Net fund flows. 3.5.2.13 Monthly Bank Loan and High-Yield Mutual Fund Flows Billions of US$ 20 10 As Of: Sep-2021 Billions of US$ 20 High-Yield Bank Loan 10 0 0 -10 -10 -20 -20 -30 2017 -30 2018 Source: Morningstar, Inc. 2019 2020 2021 Note: Net fund flows. 3.5.2.14 Cumulative Equity Fund Flows Billions of US$ As Of: Sep-2021 2000 Passively Managed ETPs Actively Managed ETPs Passively Managed Mutual Funds 1000 Actively Managed Mutual Funds Billions of US$ 2000 1000 0 0 -1000 -1000 -2000 2016 -2000 2017 Source: Morningstar, Inc. 2018 2019 2020 2021 Note: Cumulative net fund flows. Includes U.S., international, sector, and nontraditional equity funds. 3.5.2.15 Cumulative Fixed Income Fund Flows Billions of US$ As Of: Sep-2021 1250 Passively Managed ETPs Actively Managed ETPs 1000 Passively Managed Mutual Funds Actively Managed Mutual Funds 750 Billions of US$ 1250 1000 750 500 500 250 250 0 -250 2016 0 -250 2017 Source: Morningstar, Inc. 2018 2019 2020 2021 Note: Cumulative net fund flows. Includes taxable and municipal bond funds. 3.5.2.16 ETP Assets by Category of Investment Trillions of US$ 8 6 As Of: Sep-2021 Trillions of US$ 8 Other Commodities Fixed Income Equity 6 4 4 2 2 0 2009 0 2011 2013 Source: Morningstar, Inc. 2015 2017 2019 2021 3.5.2.17 Monthly ETP Flows: Fixed Income Funds Billions of US$ 40 Tax-Exempt Taxable As Of: Sep-2021 Billions of US$ 40 20 20 0 0 -20 -20 -40 -40 2017 2018 Source: Morningstar, Inc. 2019 2020 2021 Note: Net fund flows. 3.5.2.18 Monthly ETP Flows: Equity Funds Billions of US$ 100 As Of: Sep-2021 Billions of US$ 100 60 60 20 20 -20 -20 -60 -60 -100 2017 -100 2018 Source: Morningstar, Inc. 2019 2020 2021 Note: Net fund flows. 3.5.2.19 Monthly Inverse and Leveraged ETP Flows Billions of US$ 10 Inverse Leveraged As Of: Sep-2021 Billions of US$ 10 5 5 0 0 -5 -5 -10 -10 2017 2018 Source: Morningstar, Inc. 2019 2020 2021 Note: Net fund flows. 3.5.2.20 Hedge Fund Gross and Net Assets Trillions of US$ As Of: 2021 Q1 10 Gross Assets (left axis) Leverage: GAV/NAV (right axis) Net Assets (left axis) 8 Leverage 2.4 2.2 2.0 6 1.8 4 1.6 1.4 2 1.2 0 2013 1.0 2014 2015 2016 Source: SEC Form PF, OFR 2017 2018 2019 2020 2021 Note: Qualifying Hedge Fund gross and net assets as reported on Form PF Questions 8 and 9. 3.5.2.21 Private Equity AUM Billions of US$ 3000 As Of: 31-Dec-2020 Billions of US$ 3000 Dry Powder Unrealized Value 2500 2500 2000 2000 1500 1500 1000 1000 500 500 0 2005 Source: Preqin 2008 2011 2014 2017 2020 0 3.5.2.22 M&A Loan Volume for Private Equity-Backed Issuers Billions of US$ 250 Non-LBO LBO 200 As Of: 30-Sep-2021 Billions of US$ 250 200 150 150 100 100 50 50 0 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD Source: S&P LCD 0 D.1 Static Margin Model Example US$ 160 US$ 160 Position size: $140 120 $40 variation margin paid Position size: $100 120 80 80 Financed: $80 Financed: $120 40 0 40 Initial margin $20 = 20% Share Price at Inception Initial margin $20 = 14.3% $40 Increase in Share Price 0 3.5.2.23 Public Plan Allocation to Alternative Assets Percent 35 As Of: 2020 Percent 35 Other Alternative Real Estate Private Equity Hedge Fund 30 25 30 25 20 20 15 15 10 10 5 5 0 0 2002 2005 2008 Source: publicplansdata.org 2011 2014 2017 2020 Note: Includes public plans that reported investment allocations from 2002-2020. Simple average. 3.5.2.24 Insurance Industry Net Income Billions of US$ 100 Health Life 80 P&C As Of: 2020 Billions of US$ 100 80 60 60 40 40 20 20 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Source: NAIC 0 3.5.2.25 Consumer Loans and Leases Outstanding Trillions of US$ 2.0 As Of: Aug-2021 Trillions of US$ 2.0 Commercial Banks 1.5 1.5 1.0 1.0 0.5 0.0 2001 0.5 Finance Companies 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. 3.5.2.26 Business Loans and Leases Outstanding Trillions of US$ As Of: Aug-2021 Trillions of US$ 4.0 4.0 3.0 3.0 Commercial Banks 2.0 2.0 1.0 0.0 2001 1.0 Finance Companies 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. 3.5.2.27 AAA Securitization Spreads Basis Points As Of: 30-Sep-2021 350 Private Student Loan 3-Year 300 Equipment 3-Year Subprime Auto 2-Year 250 Prime Auto 3-Year Credit Card 3-Year 200 Basis Points 350 300 250 200 150 150 100 100 50 50 0 Jan:2018 0 Source: JPMorgan Jan:2019 Jan:2020 Jan:2021 3.5.2.28 ABS Issuance Billions of US$ 350 As Of: Sep-2021 Equipment Credit Card Auto 300 Billions of US$ 350 Other Student Loans 300 250 250 200 200 150 150 100 100 50 50 0 0 2006 2008 2010 2012 Source: Thomson Reuters, SIFMA 2014 2016 2018 2020 Note: Figures are as of year end through 2020. 2021 figures are through September. 3.6.1.1 DTCC Clearing Fund Requirements Billions of US$ 60 NSCC FICC: MBSD 50 FICC: GSD Billions of US$ 60 As Of: 2021 Q2 50 40 40 30 30 20 20 10 10 0 0 2016 2017 Source: PFMI Quantitative Disclosures, Clarus FT 2018 2019 2020 2021 3.6.1.2 Maximum Uncovered Exposure for DTCC Billions of US$ As Of: 2021 Q1 Billions of US$ 2.0 1.5 2.0 2021 Q1 2020 Q1 2015 - 2019 1.5 1.0 1.0 0.5 0.5 0.0 0.0 DTCC GSD PFMI Quantitative Disclosures, Clarus FT DTCC MBSD DTCC NSCC Note: Peak uncovered exposure for preceding 12 months as reported on question 6.5.4 of PFMI quarterly disclosures. 3.6.1.3 Initial Margin: U.S. Exchange Traded Derivatives Billions of US$ As Of: 2021 Q2 400 Options Clearing Corp. ICE Clear US CME 300 Billions of US$ 400 300 200 200 100 100 0 0 2016 2017 Source: PFMI Quantitative Disclosures, Clarus FT 2018 2019 2020 2021 Note: Initial margin required as reported in quantitative disclosures; includes house and client accounts. 3.6.1.4 Initial Margin: Centrally Cleared OTC Derivatives Billions of US$ As Of: 2021 Q2 400 Credit Default Swaps Interest Rate Swaps Billions of US$ 400 300 300 200 200 100 100 0 0 2016 2017 Source: PFMI Quantitative Disclosures, Clarus FT 2018 2019 2020 2021 Note: Initial margin required as reported in quantitative disclosures; includes house and client accounts. Interest rate swaps margin includes LCH Ltd. and CME. CDS margin include CME, ICC, ICEU, and LCH SA). CME ceased clearing CDS in March 2018. 3.6.1.5 Initial Margin by Segregation Type Billions of US$ 800 House Customer 600 Billions of US$ 800 As Of: 2021 Q2 700 600 500 400 400 300 200 200 100 0 0 2016 2017 Source: PFMI Quantitative Disclosures, Clarus FT 2018 2019 2020 2021 Note: Initial margin required as reported in quantitative disclosures; includes exchange-traded derivatives (Options Clearing Corp., CME, and ICUS), interest rate swaps (LCH Ltd. and CME), and CDS (CME, ICC, ICEU, and LCH SA). CME ceased clearing CDS in March 2018. 3.6.1.6 Average Clearing Rates for OTC Trading Percent 100 Percent 100 As Of: 2021 Q3 Interest Rate Swaps Index CDS 90 90 80 80 70 70 60 60 50 2014 50 2015 Source: CFTC 2016 2017 2018 2019 2020 2021 Note: Gross notional of new transactions. Excludes security-based swaps. E.1 SOFR Futures Volume Millions of Contracts As Of: Sep-2021 Percent 4 8 3-Month SOFR Futures As a Percent of Eurodollar (left axis) Volume (right axis) 3 1-Month SOFR Futures (left axis) 6 2 4 1 2 0 May:2018 0 Feb:2019 Nov:2019 Source: CME, Bloomberg, L.P. Aug:2020 May:2021 E.2 SOFR Futures Open Interest Millions of Contracts As Of: Sep-2021 Percent 1250 1000 10 3-Month SOFR Futures (left axis) As a Percent of Eurodollar Open Interest (right axis) 1-Month SOFR Futures (left axis) 8 750 6 500 4 250 2 0 May:2018 0 Feb:2019 Nov:2019 Source: CME, Bloomberg, L.P. Aug:2020 May:2021 3.7.1.1 Federal Reserve Swap Lines As Of: 29-Sep-2021 Billions of US$ 500 Billions of US$ 500 400 400 300 300 200 200 100 100 0 Jan:20 0 Apr:20 Jul:20 Source: Federal Reserve Oct:20 Jan:21 Apr:21 Jul:21 Note: Wednesday levels. 3.7.1.2 Nominal U.S. Dollar Trade-Weighted Index Index 105 104 103 As Of: 30-Sep-2021 Index 105 Emerging Markets Broad Advanced 104 103 102 102 101 101 100 100 99 99 98 Jan:2021 98 Mar:2021 May:2021 Source: Federal Reserve, Haver Analytics Jul:2021 Sep:2021 3.7.1.3 YTD Change in USD Exchange Rates, EMEs Percent 10 As Of: 30-Sep-2021 Percent 10 5 5 0 0 -5 -5 -10 -10 -15 -15 -20 -20 Source: Federal Reserve, Wall Street Journal, Haver Analytics Note: Percent change relative to end-2020. 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-2021 Index 120 110 110 100 100 90 90 80 2001 80 2004 2007 Source: Federal Reserve, Haver Analytics 2010 2013 2016 2019 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-2021 Percent 8 4 4 0 0 -4 -4 -8 Euro Area Japan -12 2005 -8 United States United Kingdom -12 2008 Source: IMF WEO, Haver Analytics 2011 2014 2017 2020 2023 Note: Annual change in GDP, constant prices. Dotted lines represent the October 2021 projections for 2021-2023. 3.7.2.2 Discretionary Fiscal Response to the COVID-19 Pandemic As Of: Oct-2021 Percent of GDP 40 Equity, Loans, and Guarantees Additional Spending & Foregone Revenue 30 Percent of GDP 40 30 20 20 10 10 0 0 USA Source: IMF CAN GBR FRA DEU ITA JPN AEs Note: IMF Database of Country Fiscal Measures in Response to the COVID-19 Pandemic. 3.7.2.3 Advanced Economy Interest Expense and Government Debt As Of: Apr-2021 Percent of GDP Percent of GDP 140 3.5 Government Debt Interest Expense (left axis) (right axis) 120 3.0 100 2.5 80 2.0 60 1.5 40 1.0 2007 2009 2011 Source: IMF Fiscal Monitor 2013 2015 2017 2019 2021 Note: 2021 projected. 3.7.2.4 Advanced Economy Headline Inflation Rate Percent 8 Euro Area Japan 6 As Of: Sep-2021 Percent 8 United States United Kingdom 6 4 4 2 2 0 0 -2 -2 -4 2011 -4 2013 Source: Bloomberg, L.P. 2015 2017 2019 2021 Note: Data represents year-over-year percentage change in headline inflation. 3.7.2.5 Euro Area Business and Consumer Surveys Percent As Of: Sep-2021 30 Economic Sentiment (right axis) 20 Industrial Confidence (left axis) Consumer Confidence (left axis) 10 Index 130 120 110 0 100 -10 90 -20 80 -30 70 -40 2013 60 2014 2015 2016 Source: European Commission, Haver Analytics 2017 2018 2019 2020 2021 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 Real GDP for Select Euro Area Economies Index 105 Index 105 As Of: 2021 Q3 100 100 95 95 90 90 85 80 Germany France Italy Spain 75 2019:Q4 85 80 75 2020:Q2 Source: European Commission, Haver Analytics 2020:Q4 2021:Q2 Note: Seasonally adjusted real GDP. Indexed to 100 as of 2019:Q4. 3.7.2.7 Euro Area 10-Year Sovereign Yields Percent 5 As Of: 30-Sep-2021 Spain France Germany 4 Percent 5 Greece Italy 4 Portugal 3 3 2 2 1 1 0 0 -1 Jan:2018 -1 Jan:2019 Source: Reuters, Haver Analytics Jan:2020 Jan:2021 3.7.2.8 Japanese Consumer Price Inflation Percent 3 As Of: Sep-2021 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. 3.7.2.9 Japan 10-Year Government Bond Yield Basis Points 160 As Of: 30-Sep-2021 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 EME GDP Growth As Of: Oct-2021 Percent 10 Percent 10 2010–2019 Average 8 2021 Projected 8 6 6 4 4 2 2 0 0 Aggregate Source: IMF WEO Asia Europe Latin America Middle East Africa 3.7.3.2 Emerging Market Sovereign Bond Spreads Basis Points 1000 Latin America Europe 800 Asia As Of: 30-Sep-2021 Basis Points 1000 800 600 600 400 400 200 200 0 2013 2014 2015 2016 2017 2018 2019 2020 2021 Source: JP Morgan, Haver Analytics 0 Note: JP Morgan EMBI+ Sovereign Spreads indices for each region. 3.7.3.3 Emerging Market Non-Local Bond Issuance Billions of US$ 900 Public Private 750 Sovereign As Of: 30-Sep-2021 Billions of US$ 900 750 600 600 450 450 300 300 150 150 0 0 2005 2007 Source: Dealogic 2009 2011 2013 2015 2017 2019 2021 YTD Note: Bonds have maturities greater than one-year and have been internationally marketed or placed. “Public” includes issuance by municipal and state-owned enterprises. 2021 figures are through September. 3.7.3.4 Foreign Investor Inflows to EMEs Billions of US$ As Of: 2021 Q2 Billions of US$ 600 600 450 450 300 300 150 150 0 0 -150 -150 Other Portfolio Flows Foreign Direct Investment Net Flows -300 -300 2011 2013 2015 Source: IMF, Haver Analytics 2017 2019 2021 3.7.3.5 Foreign Investor Portfolio Inflows to EMEs, by Region Billions of US$ As Of: 2021 Q2 Billions of US$ 300 300 Emerging Markets (ex-China) China 225 225 150 150 75 75 0 0 -75 -75 -150 -150 2011 2013 2015 Source: IMF, Haver Analytics 2017 2019 2021 3.7.3.6 Chinese Real GDP Growth and its Components Percent 30 Agriculture Services 20 Manufacturing Total 10 As Of: 2021 Q3 Percent 30 20 10 0 0 -10 -10 -20 2016 -20 2017 2018 Source: China National Bureau of Statistics, Haver Analytics 2019 2020 2021 Note: Year-over-year percentage change. 3.7.3.7 Credit to the Chinese Nonfinancial Private Sector Percent of GDP 250 200 As Of: 2021 Q1 Nonbank Lending Bank Lending Percent of GDP 250 200 150 150 100 100 50 50 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. 3.7.3.8 Chinese Credit Growth Percent 25 As Of: Sep-2021 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 2021 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. F.1 Annual Expected Damage from Tropical Cyclones As Of: Jun-2021 Percent Change 50 97.5th Percentile Median 40 Percent Change 50 40 30 30 20 20 10 10 0 2020 Source: NGFS CA Climate Impact Explorer 2030 2040 2050 0 Note: Percent change in annual damages under NGFS current policies scenario; relative to 2020. F.2 Fraction of Population Exposed to Heatwaves As Of: Jun-2021 Percent Change 25 97.5th Percentile Median 20 Percent Change 25 20 15 15 10 10 5 5 0 2020 Source: NGFS CA Climate Impact Explorer 2030 2040 2050 0 Note: Change in fraction of U.S. population annually exposed to heatwaves under NGFS current policies scenario. Percent change relative to 1986-2006 average.
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