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A.1 Nominal Trade-Weighted U.S. Dollar Index
Index
125
120

As Of: 31-Oct-2022

Index
125

Advanced
Broad
Emerging Markets

120

115

115

110

110

105

105

100

100

95
Jan 2020

95
Jul 2020

Jan 2021

Source: Federal Reserve,
Haver Analytics

Jul 2021

Jan 2022

Jul 2022

Note: Indexed to 100 as of Dec. 31, 2020.

A.2 Portfolio Flows to EMEs
Basis Points
800

Percent of Assets
0.75

As Of: Oct-2022

600

0.25

400

-0.25

200

-0.75

0
2015

Equity Flows (right axis)
Bond Flows (right axis)
2016

Source: EPFR,
Bloomberg, L.P.

2017

2018

EMBIG spread (left axis)

2019

2020

2021

-1.25
2022

Note: Bars show monthly averages of weekly flow data,
line shows monthly average of daily Spread data.

A.3 Shares of Commodity Importers and Exporters
As Of: 2021

Percent
100

Percent
100

Commodity Exporters
Commodity Importers
75

75

50

50

25

25

0
Source: UN Comtrade, Haver
Analytics, FSOC calculations

2021

0

A.4 Advanced Economies 10-Year Sovereign Yields
As Of: 31-Oct-2022

Percent

Percent
5

5
4
3

United States
United Kingdom
Germany
Japan

4
3

2

2

1

1

0

0

-1
Jan 2017

-1
Feb 2018

Mar 2019

Apr 2020

May 2021

Source: U.S. Treasury, Deutsche Bundesbank, Ministry of
Finance Japan, Bank of England, Haver Analytics

Jun 2022

3.1.1.1 Conduit CMBS Delinquency and Foreclosure Rate
As Of: Sep-2022

Percent
10
8

60+ Days
Delinquency

Percent
10
8

6

6

4

4

2

Foreclosure /
Real Estate Owned

2

0
0
Jan 2005 Dec 2007 Nov 2010 Oct 2013 Oct 2016 Sep 2019 Aug 2022
Source: JPMorgan, Trepp

Note: 60+ Days Delinquent includes
Foreclosure/Real Estate Owned.

3.1.1.2 Delinquency Rate by Property Type
Percent

As Of: Sep-2022

24

24
20
16

Percent

Multifamily
Lodging
Industrial
Office
Retail

20
16

12

12

8

8

4

4

0
0
Jan 2005 Dec 2007 Nov 2010 Oct 2013 Oct 2016 Sep 2019 Aug 2022
Source: JPMorgan, Trepp

3.1.1.3 Vacancy Rate by Property Type
Percent
14

As Of: 2022 Q3

Percent
14

12

12

10

10

8

8

6

6
Office

4

Industrial

4

2

Multifamily

2

Retail
0
2006

2009

2011

Source: CoStar, Haver Analytics

2014

2017

2019

0
2022

Note: Gray bars signify NBER recessions.

3.1.2.1 Monthly House Price Growth
Percent
3

Percent
3

As of: Aug-2022
FHFA Home Price Index
Case-Shiller Home Price Index

2

2

1

1

0

0

-1
2012

-1
2014

2016

Source: S&P CoreLogic Real Estate
Data, FHFA, Haver Analytics

2018

2020

2022

Note: SA. Month-overmonth percentage change.

3.1.2.2 Residential Purchase and Refinance Levels
Percent
6

Billions of US$
1500

As Of: 2022 Q1
Purchase (right axis)
Refinance (right axis)

30 Year Mortgage
Rate (left axis)
1200

5

900
4
600
3

2
2015

300

2016

2017

2018

2019

Source: NMDB®, Freddie Mac Primary
Mortgage Survey

2020

2021

0
2022

3.1.2.3 Real House Prices Relative to Long-Term Trend
Index

As Of: 2022 Q2

Index

180

180

160

160

140

140

120

120

100

100

80

80

60
1975 1980 1985 1990 1995 2000 2005 2010 2015 2020

60

Source: FHFA, BLS, FRED

Note: Not seasonally adjusted, real terms. Trend is estimated
using data from 1975 Q3 through 2012 Q2 (trough-to-trough).

3.1.2.4 30-Year MBS Spread
Percent

As Of: 31-Oct-2022

Percent
2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0
2005

0.0
2008

Source: Bloomberg, L.P.

2011

2014

2017

2020

Note: Spread to 10-Year Treasury.

B.1 Mortgage Rate (30-Year Fixed-Rate Average)
As Of: 27-Oct-2022

Percent
20

Percent
20

15

15

10

10

5

5

0
1972

0
1982

1992

Source: Freddie Mac Primary
Mortgage Market Survey, FRED

2002

2012

2022

3.1.3.1 Nonfinancial Corporate Debt as Percent of GDP
Percent
60

As Of: 2022 Q2

Percent
60

50

50

40

40

30

30

20
1980

20
1985

1990

1995

2000

2005

2010

2015

2020

Source: Federal Reserve, Haver
Note: Gray bars signify NBER recessions.
Analytics

3.1.3.2 Gross Issuance of Corporate Bonds
As Of: Oct-2022
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
2022

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. 2022 figures are through October.

3.1.3.3 Corporate Bond Yields

9

Percent
12

As Of: 31-Oct-2022

Percent
12

9

High-Yield

6

6

3

3
Investment Grade

0
2012

0
2014

2016

Source: ICE Data Indices, FRED

2018

2020

2022

Note: Dotted lines represent 20-year average.

3.1.3.4 Corporate Bond Spreads
Percent
12

As Of: 31-Oct-2022

Percent
12

9

6

3

0
2012

9

High-Yield

6

3

Investment Grade

0
2014

Source: ICE Data Indices,
FRED

2016

2018

2020

2022

Note: Dotted lines represent 20-year average.

3.1.3.5 Maturity Profile of U.S. Nonfinancial Corporate Debt
As Of: 01-Jul-2022

Billions of US$
1200
1000

Billions of US$
1200

High-Yield
Investment Grade

1000

800

800

600

600

400

400

200

200

0

2022.2H

2023

Source: S&P Global
Ratings Research

2024

2025

2026

2027

0

Note: Includes bonds, loans, and revolving credit
facilities that are rated by S&P Global Ratings.
Excludes debt maturing after 2027.

3.1.3.6 Institutional Leveraged Loans Outstanding
As Of: 2022 Q3

Trillions of US$
1.6

Trillions of US$
1.6

1.4

1.4

1.2

1.2

1.0

1

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

0.0

2006

2008

Source: S&P LCD

2010

2012

2014

2016

2018

2020

2022

0

Note: Includes all loans including those not included in the
LSTA/TRLPC mark-to-market service. Primarily institutional tranches.

3.1.4.1 CP and NCDs Outstanding
Trillions of US$
1.5

As Of: Sep-2022

Trillions of US$
1.5

CP Outstanding
Outstanding NCDs with <1 Yr Maturity
1.2

1.2

0.9

0.9

0.6

0.6

0.3
2017

0.3
2018

2019

Source: Federal Reserve, Haver
Analytics, DTCC Solutions LLC

2020

2021

2022

Note: Not seasonally adjusted. Domestic includes
CP issued in the U.S. by entities with foreign
parents.

3.1.4.2 CP Outstanding by Issuer Type
Trillions of US$
2.5

As Of: Oct-2022

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
Jan 2004

Oct 2007

Source: Federal Reserve,
Haver Analytics

Jul 2011

Apr 2015

Jan 2019

0.0
Oct 2022

Note: Not seasonally adjusted. Domestic includes
CP issued in the U.S. by entities with foreign parents.

3.1.4.3 CP Investors
Percent
100

As Of: 2022 Q2

Percent
100

80

80

60

60

40

40

20

20

0
1990

1994

1998

Funding Corporations
Money Market Funds

2002

2006

2010

2014

State & Local Governments
Nonfinancial Corporates

Source: Federal Reserve, Haver Analytics

2018
Other

0
2022

3.1.4.4 3-Month CP Interest Rate Spreads
Percent
4
3

As Of: 31-Oct-2022

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
Sep 2020

Source: Federal Reserve,
Refinitiv, Haver Analytics

May 2021

Jan 2022

Sep 2022

Note: Spread to 3-Month
Overnight Index Swap (OIS) rate.

3.1.4.5 Repo Rates
Percent
6
SOFR
5 TGCR

As Of: 31-Oct-2022

Percent
6
5

4

4

3

3

2

2

1

1

0
Jan 2019

Oct 2019

Source: FRBNY

Jul 2020

Apr 2021

Jan 2022

0
Oct 2022

Note: TGCR = Tri-party General Collateral Rate;
SOFR = Secured Overnight Financing Rate.

3.1.4.6 Repo Borrowing Outstanding
Trillions of US$
As Of: 2022 Q2
7
Federal Reserve
6
Other

Trillions of US$
7
6

5

5

4

4

3

3

2

2

1

1

0
2012

0
2014

Source: Federal Reserve,
Haver Analytics

2016

2018

2020

2022

Note: Federal Reserve repo borrowing
primarily consists of ON-RRP facility.

3.1.4.7 Repo Volumes
Billions of US$
1500

As Of: 31-Oct-2022

Billions of US$
1500

SOFR
1200

1200

900

900

600

600

TGCR

300
0
Jan 2019
Source: FRBNY

300

Dec 2019

Nov 2020

Oct 2021

0
Sep 2022

Note: TGCR = Tri-Party General Collateral Rate;
SOFR = Secured Overnight Financing Rate.

3.1.4.8 Sponsored Repo Activity
As Of: Oct-2022
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

Aug 2020

Sep 2021

0
Oct 2022

Note: Average daily volume. Breakdown of repo lending
and repo borrowing unavailable prior to April 2020.

3.1.4.9 Overnight Reverse Repo Facility
Trillions of US$
3.0

As Of: 31-Oct-2022

Trillions of US$
3.0

2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0
Jan 2020

0.0
Jul 2020

Source: FRED, FRBNY

Jan 2021 Jul 2021

Jan 2022 Jul 2022

3.1.5.1 Bitcoin Price
Thousands of US$
70

As Of: 30-Nov-2022

Thousands of US$
70

60

60

50

50

40

40

30

30

20

20

10

10

0
Jan 2018

Dec 2018

Source: Bloomberg, L.P.

Dec 2019

Dec 2020

Nov 2021

0
Nov 2022

3.2.1.1 Total Assets by BHC Type/IHC
Trillions of US$

As Of: 2022 Q2

Trillions of US$

16

16

14

14

12

12

10

10

8

8

6

6

4

4

2

2

0

0

G-SIBs

Source: FR Y-9C

Large
Complex

Large
Noncomplex

Other

IHCs

3.2.1.2 Common Equity Tier 1 Ratios
Percent of RWA
As Of: 2022 Q2
16
G-SIBs
Large Complex
14
Large Noncomplex
Other
12

Percent of RWA
16
14
12

10

10

8

8

6

6

4
2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

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.

3.2.1.3 Return on Assets
Percent
3

2

As Of: 2022 Q2

Percent
3

G-SIBs
Large Complex
Large Noncomplex
Other

2

1

1

0

0

-1
2010

-1
2012

Source: FR Y-9C

2014

2016

2018

2020

2022

Note: Quarterly, seasonally-adjusted annual rate. Return on
assets is equal to net income divided by average assets.

3.2.1.4 Payout Rates at U.S. G-SIBs
Percent of NIAC

As Of: 2022 Q2

Billions of US$

200

150

200
Common Stock Cash Dividends
(left axis)
Stock Repurchases
(left axis)

NIAC (right axis)
150

100

100

50

50

0

0
2014 2015 2016 2017 2018 2019 2020 2021 2022
Note: Payout rates are the ratios of stock repurchases plus cash dividends to

Source: net income available to common shareholders (NIAC). NIAC is net income
FR Y-9C minus preferred dividends. 2022 data represents YTD data through Q2.

3.2.1.5 AOCI as a Percent of Equity
As Of: 2022 Q2

Percent
5

Percent
5

0

0

-5

-5

-10
-15
-20
2014

G-SIBs
Large Complex
Large Noncomplex
Other

-10
-15
-20

2015

Source: FR Y-9C

2016

2017

2018

2019

2020

2021

2022

Note: Accumulated other
comprehensive income (AOCI).

3.2.1.6 Held-to-Maturity Securities
Percent of Investment
Securities
70
60
50
40

Percent of Investment
Securities
70

As Of: 2022 Q2

60

G-SIBs
Large Complex
Large Noncomplex
Other

50
40

30

30

20

20

10

10

0
2010

2012

Source: Call Report

2014

2016

2018

2020

0
2022

Note: Investment securities are held-to-maturity
securities plus available-for-sale securities.

C.1 Bank NIM and Fed Funds Rates: 2013 - 2022
Percent
4.0

As Of: 2022 Q2
NIM

3.5

Eff Fed. Funds

Percent
4.0
1.0
3.5
0.9

3.0

3.0
0.8

2.5

2.5
0.6

2.0

2.0
0.5

1.5

0.4
1.5

1.0

0.3
1.0

0.5

0.1
0.5

0.0
0.0
2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
Source: Call Report, Federal Reserve

C.2 Bank Asset Composition: 2014 and 2022
2022 Q2

2014 Q2

8

14

7

8
7

9
72

76

Long-term securities

Other securities

Long-term securities

Other securities

RRE

Other

RRE

Other

Source: FR Y-9C

Note: Long-term securities are defined as securities
that mature or reprice in more than five years. RRE
loans include first and junior lien mortgage loans.

C.3 Realized Interest Rate Risk Hedging by Life
Insurers: 2008 - 2022
As Of: Sept 2022

Gamma
0.75

Gamma
0.75

0.00

0.00

-0.75

-0.75
Realized Gamma

-1.50
2008
Source:
Thomson
Reuters Tick
History

Sample Average

Zero Gamma
2010

2012

2014

2016

2018

2020

-1.50
2022

Note: Realized gamma is the daily coefficient from a regression of five-minute returns on a market capitalizationweighted index of life insurers on five-minute return on a 10Y Treasury Index controlling for five-minute returns
on the S&P500 index. See Brunetti, Foley-Fisher and Verani (2022) “What Do High-Frequency Insurer Stock
Prices Tell Us About Their Interest Rate Risk Management?”, mimeo for more details. Confidence intervals are
constructed by subsampling returns within each day. A gamma below zero indicates that insurance companies
did not hedge the change in interest rates and would benefit from rising long-term interest rates.

C.4 U.S. Total Retirement Entitlements
Billions of US$

As Of: 2022 Q2

Billions of US$
14000

14000
12000

11,669 *

10000

12000
10000

9,597

9,253

8000

8000

4,479

6000

6000
3,817
581

4000
2000
0

Source: ICI

5,118

1,646

DC Plans

Private-Sector
DB Plans

4000
2,185

2,204

3,236
IRAs

3,805

State and
Local
Government
DB Plans

Federal DB
Plans

Annuity
Reserves

2000
0

Note: For definitions of categories, see Table 1 and 2 in the US Retirement Market,
Second Quarter 2022 ICI statistical report. Components may not add to the total because
of rounding. Data are estimated.

C.5 State and Local DB Total Assets by Z.1 Category
Billions of US$
7000

Short Term Assets
Treasury Securities
Agency- and GSE-Backed Securities
Corporate and Foreign Bonds
Alternative Investments

6000
5000

Billions of US$

As Of: 2022 Q2

7000

Corporate Equities
Mutual Fund Shares
Mortgages
Municipal Securities

6000
5000

4000

4000

3000

3000

2000

2000

1000

1000

0

2015

2016

Source: Financial
Accounts of the
United States

2017

2018

2019

2020

2021

2022

0

Note: Alternative investments include hedge funds, private funds, and other unclassified
assets as reported in the Census QSPP. Short term assets include checkable deposits
and currency, time and savings deposits, money market fund shares, security repurchase
agreements, and open market paper. Private equity is included in corporate equities.

C.6 Private DB Total Assets by Z.1 Category
Billions of US$
7000

Short Term Assets
Treasury Securities
Agency- and GSE-Backed Securities
Corporate and Foreign Bonds
Unallocated Insurance Contracts
Debt Securities

6000
5000

Billions of US$
7000

As Of: 2022 Q2

Corporate Equities
Mutual Fund Shares
Mortgages
Alternative Investments
Pension Funds Contributions Receivable
Claims of Pension Fund on Sponsor

6000
5000

4000

4000

3000

3000

2000

2000

1000

1000

0

2015

2016

Source: Financial
Accounts of the
United States

2017

2018

2019

2020

2021

2022

0

Note: Alternative investments include hedge funds, private funds, and other unclassified
assets as reported in the Census QSPP. Short term assets include checkable deposits
and currency, time and savings deposits, money market fund shares, security repurchase
agreements, and open market paper. Private equity is included in corporate equities.

3.2.2.1 Investment Company Asset Growth
Trillions of US$
35

Trillions of US$
35

As Of: 2022 Q2

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
1990

Source: ICI

1995

2000

2005

2010

2015

2020

Note: Excludes non ’40 Act ETPs.

3.2.2.2 GNE/NAV
Leverage
40

Leverage
40

As Of: 2021 Q4

30

30

20

20

10

10

0

Macro

Inv. In
Relative Managed Multiother
Value Futures/ Strategy
Funds
CTA

Source: SEC Form PF
Statistics Report

Other

Credit

Equity

Event
Driven

0

3.2.2.3 GAV/NAV
Leverage
8

Leverage
8

As Of: 2021 Q4

6

6

4

4

2

2

0

Macro

Inv. In
Relative Managed MultiOther
other
Futures/
Strategy
Value
Funds
CTA

Source: SEC Form PF
Statistics Report

Credit

Equity

Event
Driven

0

3.2.2.4 Hedge Fund Industry Concentration
Percent
100

As Of: 2021 Q4

Percent
100

80

80

60

60

40

40

20

20

0

Net Asset Gross Asset
Value
Value
Top 10

Gross
Notional

Top 11-25

Source: SEC Form PF Statistics Report

Borrowing
Top 26-50

Derivative
Value

0

Other

3.2.2.5 Monthly Equity Mutual Fund Flows
Billions of US$
As Of: Sep-2022
100
Global Equity
Domestic Equity
50

Billions of US$
100
50

0

0

-50

-50

-100

-100

-150
2017

-150
2018

2019

Source: ICI, Haver Analytics

2020

2021

2022
Note: Net fund flows.

3.2.2.6 Monthly Bond Mutual Fund Flows
Billions of US$
200
Tax-Exempt
Taxable
100

Billions of US$
200

As Of: Sep-2022

100

0

0

-100

-100

-200

-200

-300
2017

-300
2018

2019

Source: ICI, Haver Analytics

2020

2021

2022
Note: Net fund flows.

3.2.2.7 MMFs Total Net Assets by Fund Type
Trillions of US$
As Of: Sep-2022
6
Government & Treasury
Tax-Exempt
5
Prime

Trillions of US$
6
5

4

4

3

3

2

2

1

1

0
Jan 2013

Jun 2015

Source: SEC Form N-MFP

Nov 2017

Apr 2020

0
Sep 2022

3.2.2.8 Prime MMF Exposures
Percent of Assets
100

As Of: Sep-2022

Percent of Assets
100

80

80

60

60

40

40

20

20

0
2018
Source: SEC
Form N-MFP

0
2019

2020

2021

Financial CP
CD & Time Deposits
Govt & Treasury

2022
Asset-Backed
Nonfinancial CP & Other

3.2.2.9 MMF Weighted Average Maturity
Days
60

Days
60

As Of: Sep-2022

50

50

40

40

30

30

20
10

20

Treasury
Government
Prime Retail
Prime Institutional

0
Jan 2018

Mar 2019

Source: SEC Form N-MFP

10

May 2020

Jul 2021

0
Sep 2022

3.2.2.10 Prime MMF Gross Yields
Percent
4
Prime Retail
Prime Institutional

Percent
4

As Of: Sep-2022

3

3

2

2

1

1

0
Jan 2018

Dec 2018

Nov 2019

Source: SEC Form N-MFP

Oct 2020

Sep 2021

0
Aug 2022

3.2.3.1 DTCC Clearing Fund Requirements
Billions of US$
60
NSCC
FICC: MBSD
50
FICC: GSD

Billions of US$
60

As Of: 2022 Q2

50

40

40

30

30

20

20

10

10

0

0
2016

2017

2018

Source: PFMI Quantitative
Disclosures, Clarus FT

2019

2020

2021

2022

3.2.3.2 Initial Margin: U.S. Exchange Traded Derivatives
Billions of US$
As Of: 2022 Q2
400
Options Clearing Corp.
ICE Clear US
CME
300

Billions of US$
400

300

200

200

100

100

0

0
2016

2017

2018

Source: PFMI Quantitative
Disclosures, Clarus FT

2019

2020

2021

2022

Note: Initial margin required as reported in quantitative
disclosures; includes house and client accounts.

3.2.3.3 Initial Margin: Centrally Cleared OTC Derivatives
Billions of US$
As Of: 2022 Q2
400
Credit Default Swaps
Interest Rate Swaps

Billions of US$
400

300

300

200

200

100

100

0

0
2016

2017

2018

Source: PFMI Quantitative
Disclosures, Clarus FT

2019

2020

2021

2022

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.

E.1 Relative Price of Selected Futures Contracts
Index

As Of: 31-Oct-2022

420
350
280

Index
420

Wheat
Copper
Dutch NG
Henry Hub NG
WTI

350
280

210

210

140

140

70

70

0
0
Aug 2021 Nov 2021 Jan 2022 Mar 2022 Jun 2022 Aug 2022 Oct 2022

Source: CFTC

E.2 Aggregate Initial Margin by Asset Class
Billions of US$

As Of: 31-Oct-2022

Billions of US$
400

400
350
300

IRS
F&O
CDS

350
300

250

250

200

200

150

150

100

100

50

50

0
Feb 2020

Source: CFTC

Oct 2020

Jun 2021

Feb 2022

0
Oct 2022

E.3 Aggregate Initial Margin by Region
Billions of US$

As Of: 31-Oct-2022

Billions of US$
400

400
US
UK
Europe

350
300

350
300

250

250

200

200

150

150

100

100

50

50

0
Feb 2020

Aug 2020

Source: CFTC

Mar 2021

Sep 2021

Apr 2022

0
Oct 2022

E.4 Normalized Margin of Futures Contracts
Index

As Of: 31-Oct-2022

Index
5

5
4
3

Wheat
Ruble
US NG
Dutch NG
WTI

4
3

2

2

1

1

0
Oct 2021

Source: CFTC

0
Jan 2022

Apr 2022

Jul 2022

Oct 2022

3.3.1.1 Net Issuance of Treasury Securities
As Of: 2022 Q3
Billions of US$
3000
Bills
Notes and Bonds
Net
2000

Billions of US$
3000

2000

1000

1000

0

-1000

0

2015

2016

2017

2018

Source: U.S. Department of the
Treasury, Bureau of the Fiscal
Service, SIFMA, Haver Analytics

2019

2020

2021

2022

-1000

Note: Includes marketable
securities only.

3.3.1.2 Federal Debt Held by the Public
Percent of GDP
150
125
Historical

As Of: 2022

Percent of GDP
150
CBO July 2022
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 2021 are projected.

3.3.1.3 U.S. Treasury Yields
Percent
5

As Of: 31-Oct-2022

Percent
5
4

4
10-Year

3

3
2

2
1
0
2012

2-Year

1
0

2014

2016

2018

Source: U.S. Department of the Treasury

2020

2022

3.3.1.4 Intraday Volatility for 10-Year Treasury Yields
Basis Points
35

As Of: 31-Oct-2022

Basis Points
35

30
25

30
99th Percentile

25

20
15

20
95th Percentile
Intraday Volatility

15

10

10

5

5

0
Jan 2017

0
Feb 2018 Mar 2019

Source: Bloomberg,
L.P.

Apr 2020 May 2021 Jun 2022

Note: 5-day moving average. Intraday volatility calculated as daily high
yield minus daily low yield on 10-year Treasury notes. Percentiles based
on January 2005–October 2022. Dec. 5, 2018 is included in the data
despite the market being closed.

3.3.1.5 MOVE Index and 2-Year Treasury Yield
Index
180

As Of: 31-Oct-2022

150

Percent
5
4

120
3
90

MOVE Index (left axis)
2

60
1

30
0
Jan 2019

2-Year (right axis)
Apr 2020

Source: FRED, Bloomberg, L.P.

Jul 2021

0
Oct 2022

3.3.1.6 Total TRACE Treasury Weekly Trading Volumes
Trillions of US$
6

As Of: 31-Oct-2022

Trillions of US$
6

5

5

4

4

3

3

2

2

1

1

0
Dec 2018

Sep 2019

Source: FINRA

Jun 2020

Mar 2021

Dec 2021

0
Sep 2022

3.3.2.1 Progress in Transition to SOFR
Percent
100

80
60

As Of: Sep-2022

Total Agency
ARM MBS
Issuance
Total Private
Floating Rate
Note Issuance

Percent
100

Total Swaps
Risk Traded

60

40
20

40
Futures Trading

0
Jan 2021 Apr 2021 Jul 2021 Oct 2021 Jan 2022 Apr 2022 Jul 2022
Source: Black Knight-eMBS,
Bloomberg Finance L.P., and Clarus
Financial Technology

80

20
0

3.3.2.2 Syndicated Lending
Billions of US$

As Of: Oct-2022

Percent

200

100

150

75

100

50

50

25

0
Nov
Jan
Mar
May
July
Sep
2021
2022
2022
2022
2022
2022
SOFR (left axis)
SOFR as a percent of Total (right axis)
LIBOR (left axis)
Note: Excludes loans without an
Source: LCD, an offering of PitchBook identical base rate, foreign currency, and
prime loans.
Data, and Refinitiv LLC
0

Sep
2021

3.3.3.1 Transition of Mortgage Servicing Assets
from Banks to Nonbanks: 2011 – Q2 2022
2011

2014

Non-Bank
55%

Non-Bank
27%

Non-Bank
7%

Bank
93%

2Q 2022

Bank
73%

Bank
45%

Source: Inside Mortgage Finance; Federal Reserve, Report to Congress on
the Effect of Capital Rules on Mortgage Servicing Assets, June 2016

3.3.3.2 Nonbank Mortgage Originators Number of
Companies, Origination Volumes & Market Share: 2017
– 2021
2017

2021

Change

State
Licenses

Companies
Reporting

Market
Share

Companies
Reporting

Market
Share

1

9,542

21%

10,889

10%

2-25

2,595

26%

4,338

26-50

163

23%

50+

63

30%

Total

12,363

Source: NMLS MCR, CSBS

Licensee
Growth

Market Share
Growth

-1%

14%

-52%

24%

89%

67%

-9%

230

22%

102%

41%

-3%

73

44%

205%

16%

46%

109%

26%

15,530

Origination
Growth

3.3.3.3 Global Private Debt AUM
Trillions of US$
1.50

As Of: 2021

Trillions of US$
1.50

1.25

1.25

1.00

1.00

0.75

0.75

0.50

0.50

0.25

0.25

0.00

2000

2003

Source: Preqin

2006

2009

2012

2015

2018

2021

0.00

3.3.3.4 Distribution of Leveraged Loan Debt/EBITDA Ratios
Percent
100

As Of: 2022 Q3

Percent
100

80

80

60

60

40

40

20

20

0

2007

2009

2011

2013

4.00x – 4.99x
Less than 4.00x

Source: S&P LCD

2015

2017

2019

2021

0

6.00x or higher
5.00x – 5.99x

Note: Includes issuers with EBITDA>$50M. Media and telecom loans
excl. Prior to 2011, 2007-2021 data is annual; 2022 data is through Q3.

3.3.3.5 Leveraged Loan Transactions with EBITDA
Adjustments
As Of: 2022 Q3

Percent
60
50
40

Percent
60

M&A Transactions
LBO Transactions
All Transactions

50
40

30

30

20

20

10

10

0
2007

2010

Source: S&P LCD

2013

2016

2019

0
2022

Note: Media and telecom loans excluded prior to 2011. Excludes
existing tranches of add-ons, amendments & restatements with no new
money, as well as DIPs, second liens and unsecured transactions.
EBITDA adjusted for prospective cost savings or synergies.

3.5.1 Transmission Channels Linking Climate Risks to
Financial Stability

Source: FSOC

3.5.2 Residential Properties at Risk of Wildfire – Percent
Increase in Annual Likelihood by 2050

Source: First Street Foundation, The 5th National Risk Assessment, 2022

3.5.3 Projected Increase in Properties with Substantial
Flood Risk

Source: First Street Foundation, The First National Flood Risk Assessment,
2020

3.5.4 Flow-of-Risk ‘Waterfall’

Source: FSOC

Disclaimer
Chart 3.1.4.1 includes data licensed from DTCC Solutions
LLC, an affiliate of The Depository Trust & Clearing
Corporation.
Neither DTCC Solutions LLC nor any of its affiliates shall be
responsible for any errors or omissions in any DTCC data
included in this publication, regardless of the cause and, in no
event, shall DTCC or any of its affiliates be liable for any
direct, indirect, special or consequential damages, costs,
expenses, legal fees, or losses (including lost income or lost
profit, trading loses and opportunity costs) in connection with
this publication.