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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.