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Presentation Materials (PDF)
Pages 195 to 249 of the Transcript
Appendix 1: Materials used by Mr. Dudley
Class II FOMC - Restricted FR
Page 1
Top panel
(1)
Title: U.S. Equity Indices Decline Sharply
Series: S&P 500 index, Nasdaq index, and Russell 2000 index
Horizon: August 1, 2007 - January 25, 2008
Description: U.S. equity indices have declined sharply since the December FOMC meeting.
Source: Bloomberg
Middle panel
(2)
Title: Global Equities Weaken
Series: S&P 500 index, Nikkei index, MSCI World Ex U.S. index, and Euro Stoxx 50 index
Horizon: August 1, 2007 - January 25, 2008
Description: Global equity indices have declined sharply since the December FOMC meeting.
Source: Bloomberg
Bottom panel
(3)
Title: Corporate Credit Option-Adjusted Spreads and Yields
Series: Investment grade and high-yield debt spreads
Horizon: January 1, 2007 - January 25, 2008
Description: Investment grade and high-yield debt option-adjusted spreads widen while yields on
high-yield debt rise and yields on investment grade debt remain stable over the intermeeting period.
Source: Bloomberg
Page 2
Top panel
(4)
Title: Global Credit Default Swap Spreads
Series: ITRAXX Crossover Series 7, high-yield CDX, and investment grade CDX spreads
Horizon: March 1, 2007 - January 25, 2008
Description: ITRAXX Crossover Series 7, high-yield CDX, and investment grade CDX spreads
have widened since the December FOMC meeting.
Source: Bloomberg
Middle panel
(5)
Title: Implied Volatility Increases in Recent Days
Series: VIX index, MOVE index, 1-month Euro-Dollar volatility index, and 1-month Dollar-Yen
volatility index
Horizon: January 1, 2007 - January 25, 2008
Description: During the inter-meeting period, implied volatility across asset classes has increased.
Source: Bloomberg
Bottom panel
(6)
Title: Financial Guarantors Business Mix by Company
Series: Amount in billions of U.S. public finance, U.S. ABS/structured finance, and international
business, for Ambac, AGO, FGIC, FSA, MBIA, and SCA
Horizon: Third quarter 2007
Description: Ambac and MBIA have the most U.S. public finance, U.S. ABS/structured finance, and
international business
Source: Company Documents and UBS
Page 3
Top panel
(7)
Title: Financial Guarantors Claims Paying Resources
Series: Amount in billions of statutory capital, soft capital, unearned premiums, and present value of
future premiums, for Ambac, AGO, FGIC, FSA, MBIA, and SCA
Horizon: Third quarter 2007
Description: Ambac and MBIA have the most statutory capital, soft capital, and unearned
premiums, and the highest present value of future premiums to pay claims.
Source: Company Documents and UBS
Middle panel
(8)
Title: ABS CDO Net Par Exposure* as a Percent of Claims Paying Resources
Series: ABS CDO net par exposure as a percent of claims paying resources for Ambac, AGO, FGIC,
FSA, MBIA, and SCA
Horizon: Third quarter 2007
Description: SCA has the largest ABS CDO net par exposure as a percent of claims paying
resources.
* Collateralized to some degree by subprime mtg. assets Return to text
Source: Company Documents and UBS
Bottom panel
(9)
Title: Large Commercial Banks' Equity Prices and CDS Spreads
Series: Average credit default swap spreads and average indexed equity prices for Bank of America,
Citigroup, JP Morgan, Wells Fargo, and Wachovia
Horizon: January 1, 2007 - January 25, 2008
Description: While credit default swap spreads widened for Bank of America, Citigroup, JP
Morgan, Wells Fargo, and Wachovia, their equity prices declined.
Source: Markit and Bloomberg
Page 4
Top panel
(10)
Title: Large Investment Banks' Equity Prices and CDS Spreads
Series: Average credit default swap spreads and average indexed equity prices for Goldman Sachs,
Lehman Brothers, Merrill Lynch, Morgan Stanley, and Bear Stearns
Horizon: January 1, 2007 - January 25, 2008
Description: While credit default swap spreads widened for Goldman Sachs, Lehman Brothers,
Merrill Lynch, Morgan Stanley, and Bear Stearns, their equity prices declined.
Source: Markit and Bloomberg
Bottom panel
(11) Reported Write-downs** for Selected Banks
Q3 2007 - Q4 2007
Institution
3Q07
4Q07*
Total Reported/Estimated
Bank of America
1.5
5.3
6.8
Barclays
1.0
1.6
2.6
Bear Stearns
0.7
1.9
2.6
Citigroup
3.8
18.0
21.8
Countrywide
1.0
N/A
1.0
Credit Suisse
1.9
N/A
1.9
Deutsche Bank
3.1
N/A
3.1
Goldman Sachs
1.5
0.0
1.5
HSBC
0.9
N/A
0.9
JPMorgan Chase
1.6
1.3
2.9
Lehman Brothers
0.7
0.8
1.5
Institution
3Q07
4Q07*
Total Reported/Estimated
Merrill Lynch
8.4
14.1
22.5
Morgan Stanley
1.4
9.4
10.8
UBS
4.4
10.0
14.4
Wachovia
1.3
1.7
3.0
Washington Mutual
0.3
1.6
1.9
Wells Fargo
0.5
0.3
0.8
TOTAL
34.0
66.0
100.0
* Values in Italics are estimates Return to table
** In billions of dollars Return to text
Source: JP Morgan
Page 5
Top panel
(12) Capital Ratios Continue to Fall
Q2 2007 - Q4 2007
2Q07
3Q07
4Q07
Change
4Q07 - 2Q07*
Bank of America
8.52
8.22
6.87
-165
Citigroup
7.91
7.32
7.10
-81
JPMorgan Chase
8.40
8.37
8.40
0
Wachovia
7.47
7.10
7.20
-27
Wells Fargo
8.57
8.21
7.59
-98
Average
8.17
7.84
7.43
-74
Holding Co.
* In basis points Return to table
Source: JP Morgan
Middle panel
(13)
Title: Fed Funds Futures Rate Expectations Fall
Series: Fed funds futures curve as of 12/10/2007, 1/18/2008, and 1/25/2008
Horizon: December 10, 2007 - January 25, 2008
Description: The fed funds futures curve has shifted lower since the December FOMC meeting and
the January intermeeting rate cut.
Source: Bloomberg
Bottom panel
(14)
Title: Eurodollar Futures Curve Shifts Lower
Series: Eurodollar futures curve as of 12/10/2007, 1/18/2008, and 1/25/2008
Horizon: December 10, 2007 - January 25, 2008
Description: The Eurodollar futures curve has steepened and shifted lower in the front-end since the
January intermeeting rate cut.
Source: Bloomberg
Page 6
Top panel
(15)
Title: Distribution of Expected Policy Target Among Primary Dealers Prior to January 29-30 FOMC
Meeting
Series: Dealer expectations for policy target rate by quarter, average forecast for policy target by
quarter, and market rate for policy expectation by quarter as of 1/23/2007
Horizon: 2008:Q1 - 2009:Q4
Description: Compared to the December policy survey, there is more dispersion of policy rate
expectation for 2008 and 2009. Dealers on average expect slightly higher rates than what is currently
priced into market.
Source: Dealer Policy Survey
Middle panel
(16)
Title: Distribution of Expected Policy Target Among Primary Dealers Prior to December 11 FOMC
Meeting
Series: Dealer expectations for policy target rate by quarter, average forecast for policy target by
quarter, and market rate for policy expectation by quarter as of 12/3/2007
Horizon: 2007:Q4 - 2008:Q4
Description: There was less dispersion regarding where dealers expect the policy rate to be in 2007
as compared to the January 2008 policy survey. Dealers on average expect higher rates than what is
currently priced into Eurodollar futures for 2008.
Source: Dealer Policy Survey
Bottom panel
(17)
Title: Probabilities for Policy Rate Outcomes for January FOMC Meeting
Series: Probabilities for a 2.75, 3.00, 3.25, 3.50, 3.75, or 4.00 percent target rate at the January
FOMC meeting as of 1/18/2008 and 1/25/2008
Horizon: January 18, 2008 - January 25, 2008
Description: After the 75 bps intermeeting rate cut, there was an increase in probabilities for a 2.75,
3.00, or 3.25 percent target rate at the January 30 FOMC meeting.
Source: Cleveland Fed
Page 7
Top panel
(18)
Title: Probability Distribution on Eurodollar Futures Contract
Series: Probability distribution on Eurodollar futures contract as of 12/10/2007 and 1/25/2008
Horizon: December 10, 2007 - January 25, 2008
Description: Since the December FOMC meeting, the probability of a policy rate cut has increased.
Source: CME Options
Middle panel
(19)
Title: TIPS Implied Average Rate of Inflation: 5-10 Year Horizon
Series: Federal Reserve Board's 5-10 Year horizon TIPS inflation compensation and Barclays' 5-10
Year horizon TIPS inflation compensation
Horizon: June 1, 2006 - January 25, 2008
Description: TIPS inflation compensation over a 5-10 year horizon has increased significantly since
the December FOMC meeting as measured by both the Federal Reserve Board and Barclays.
Source: Federal Reserve Board and Barclays Capital
Page 8
Top panel
(20)
Title: Spreads between U.S. Term Funding Rates and OIS Rates Decline
Series: Spread between one-month Libor rate and one-month interest rate swap rates and spread
between three-month Libor rate and three-month interest rate swap rate
Horizon: July 1, 2007 - January 25, 2008
Description: The spread between one-month Libor rate and one-month interest rate swap rates and
the spread between three-month Libor rate and three-month interest rate swap rate have narrowed
since the December FOMC meeting.
Source: Bloomberg
Bottom panel
(21) Central Bank Term Funding Facilities
Federal Reserve Term Auction Facility:
Auction
Settlement
12/20/2007
12/27/2007
1/17/2008
1/31/2008
Term
Amount
Minimum Bid
Rate
Stop-out
Rate
Propositions
Bid/Cover
Bidders
28
Days
$20 b
4.17%
4.65%
$61.6 b
3.08
93
35
Days
$20 b
4.15%
4.67%
$57.7 b
2.88
73
28
Days
$30 b
3.88%
3.95%
$55.5 b
1.85
56
28
Days
$30 b
TBD
TBD
TBD
TBD
TBD
Propositions
Bid/Cover
Bidders
European Central Bank:
Auction
Term
Amount
Fixed
% of All at Fixed
Settlement
12/20/2007
12/27/2007
1/17/2008
Rate
Rate
28
Days
$10 b
4.65%
45.29%
$22.08
2.21
39
35
Days
$10 b
4.67%
70.85%
$14.12 b
1.41
27
28
Days
$10 b
3.95%
67.61%
$14.79 b
1.48
22
Swiss National Bank:
Auction
Settlement
Term
Amount
Marginal
Interest
Rate
% of All
at Fixed
Rate
Weighted
Avg. Interest
Rate
Propositions
Bid/Cover
Bidders
12/20/2007
28 Days
$4 b
4.50%
30.28%
4.79%
$17.01 b
4.25
17
1/17/2008
28 Days
$4 b
3.88%
15.03%
3.91%
$10.87 b
2.72
10
Source: Federal Reserve Board, European Central Bank, and Swiss National Bank
APPENDIX: Reference Exhibits
Page 9
Top panel
(22)
Title: Euro Term Funding Pressures Decrease
Series: Spread between one-month Euribor rates and one-month EONIA swap rates and spread
between three-month Euribor rates and three-month EONIA swap rates
Horizon: July 1, 2007 - January 25, 2008
Description: The spread between one-month Euribor rate and one-month EONIA swap rates and the
spread between three-month Euribor rate and three-month EONIA swap rate have narrowed.
Source: Bloomberg
Middle panel
(23)
Title: Sterling Term Funding Pressures Decrease
Series: Spread between one-month sterling LIBOR rates and one-month SONIA swap rates and
spread between three-month sterling LIBOR rates and three-month SONIA swap rates
Horizon: July 1, 2007 - January 25, 2008
Description: The spread between one-month sterling LIBOR rate and one-month SONIA swap rates
and the spread between three-month sterling LIBOR rate and three-month SONIA swap rate have
narrowed.
Source: Bloomberg
Bottom panel
(24)
Title: One-Month LIBOR to OIS Spread
Series: Market-implied expectation for one-month LIBOR to OIS rate spread after year-end as of
early December and actual spread between one-month LIBOR to OIS rate spread
Horizon: July 1, 2007 - March 11, 2008
Description: The one-month LIBOR to OIS rate spread has declined much faster than originally
expected in early December 2007.
Source: Bloomberg
Page 10
Top panel
(25)
Title: Secured CP Rate Spreads Narrow
Series: One-month secured commercial paper rate, spread between secured and one-month overnight
index swaps rates, and spread between secured commercial paper discount rates and one-month
LIBOR rates
Horizon: January 1, 2007 - January 25, 2008
Description: Since the December FOMC meeting, one-month secured commercial paper rate, spread
between secured and one-month overnight index swaps rates, and spread between secured
commercial paper discount rates and one-month LIBOR rates have all declined.
Source: Federal Reserve Board
Middle panel
(26)
Title: Spread between Jumbo and Conforming Mortgage Rates Widen Once Again
Series: Jumbo mortgage rates and conforming mortgage rates
Horizon: January 1, 2007 - January 25, 2008
Description: The spread between jumbo and conforming rates has widened since the December
FOMC meeting.
Source: Bloomberg
Bottom panel
(27)
Title: Dollar Sells Off After Year-End Rally
Series: Yen-USD and Euro-USD
Horizon: January 1, 2007 - January 25, 2008
Description: Since mid-June, the U.S. dollar has softened against the Euro and Japanese Yen.
Source: Bloomberg
Page 11
Top panel
(28)
Title: Fed Funds Target Rate and Two-Year Treasury Yield
Series: Fed funds target rate and two-year Treasury yield
Horizon: January 1985 - January 2008
Description: Since late 2004, the spread between two-year Treasury yield and the fed funds target
rate has declined.
Source: Bloomberg
Middle panel
(29)
Title: Treasury Yield Curve Shifts Lower and Continues to Steepen
Series: Constant maturity Treasury yield curve as of 10/30/2007, 12/11/2007, 1/18/2008, and
1/25/2008
Horizon: October 30, 2007 - January 25, 2008
Description: The Treasury yield curve has shifted lower and steepened since the last FOMC
meetings.
Source: Bloomberg
Bottom panel
(30)
Title: Effective Fed Funds Rate Relative to Target Rate
Series: Rolling cumulative effective rate (12/12-1/21), rolling cumulative effective rate (1/23-1/27),
target fed funds rate, and effective fed funds rate
Horizon: December 12, 2007 - January 25, 2008
Description: The rolling cumulative effective rate since 12/12 has been trending below the target
rate during most of the intermeeting period.
Source: Federal Reserve Bank of New York
Appendix 2: Materials used by Mr. Reifschneider, Ms. Liang, and Mr. Sheets
Material for Staff Presentation on the Economic Outlook
January 29, 2008
CLASS II FOMC - Restricted (FR)
Exhibit 1
Gauging the Cyclical State of the Economy
Top panel
Data Surprises Since the December Greenbook
Negative
Private payroll employment
Unemployment rate
Industrial production
Housing starts and permits
New home sales
Orders and shipments
Business sentiment
Financial market conditions
Middle-left panel
Recession Probability Estimates
Positive
Construction put-in-place
Defense spending
Retail sales
Percent
Period
Nonfinancial-based
Financial-based
January 2005
5.51
1.65
February 2005
4.74
1.94
March 2005
10.43
2.02
April 2005
9.28
3.04
May 2005
9.82
4.19
June 2005
5.73
5.08
July 2005
6.57
5.06
August 2005
7.29
5.49
17.35
5.69
October 2005
9.77
6.07
November 2005
5.02
7.14
December 2005
1.87
8.60
January 2006
2.79
11.23
February 2006
6.01
11.20
March 2006
7.03
10.73
April 2006
8.82
10.56
May 2006
10.26
11.17
June 2006
10.11
13.59
July 2006
11.76
17.46
August 2006
10.36
19.11
September 2006
17.30
18.23
October 2006
23.27
18.67
November 2006
32.64
19.25
December 2006
17.05
17.15
January 2007
24.67
15.36
February 2007
19.84
15.85
March 2007
29.42
17.86
April 2007
16.61
17.73
May 2007
16.76
16.18
June 2007
18.76
13.71
July 2007
15.19
24.83
August 2007
21.44
33.30
September 2007
25.44
35.17
October 2007
44.21
33.72
November 2007
34.49
40.39
December 2007
44.75
50.31
September 2005
Period
Nonfinancial-based
Financial-based
ND
62.96
January 2008
Note: Estimates based on monthly data for 85 nonfinancial indicators and 20 financial indicators.
ND No data Return to table
Middle-right panel
Reasons for Not Calling a Recession
Estimated probabilities not uniformly high
No apparent inventory overhang
Weakness in labor market and spending indicators still limited
Monetary and fiscal stimulus in process
…but it was a close call.
Bottom-left panel
Greenbook-Consistent Short-Run R*
Period
Percent
1998:Q1
4.33
1998:Q2
4.16
1998:Q3
4.30
1998:Q4
3.47
1999:Q1
3.90
1999:Q2
4.08
1999:Q3
4.29
1999:Q4
4.37
2000:Q1
5.26
2000:Q2
5.63
2000:Q3
5.24
2000:Q4
4.55
2001:Q1
3.10
2001:Q2
1.94
2001:Q3
1.72
2001:Q4
0.51
2002:Q1
0.66
2002:Q2
0.54
2002:Q3
0.29
2002:Q4
-0.01
2003:Q1
0.33
2003:Q2
0.44
2003:Q3
0.03
Period
Percent
2003:Q4
0.18
2004:Q1
0.48
2004:Q2
0.67
2004:Q3
0.90
2004:Q4
1.29
2005:Q1
1.88
2005:Q2
1.44
2005:Q3
1.78
2005:Q4
2.16
2006:Q1
2.61
2006:Q2
2.57
2006:Q3
2.61
2006:Q4
2.80
2007:Q1
2.96
2007:Q2
3.22
2007:Q3
3.08
2007:Q4
2.52
2008:Q1
0.82
Bottom-right panel
R* Revisions
R* down 1¼ percentage point since December
Jump in equity premium main culprit
Exhibit 2
Forecast Summary
Top-left panel
Real GDP
Percent change, Q4/Q4
Period
Real GDP
Dec. GB
Jan. GB
2004
3.15
ND
ND
2005
2.88
ND
ND
2006
2.60
ND
ND
2007
ND
2.34
2.43
2008
ND
1.31
1.52
2009
ND
2.06
2.18
Top-right panel
Real GDP
Quarterly percent change
(annual rate)
Dec. GB
Jan. GB
2007: Q3
5.0
4.9
Q4
0.1
0.5
2008: Q1
0.7
0.6
Q2
1.4
1.2
Middle-left panel
Unemployment Rate
Percent
Period
Unemployment Rate
Dec. GB
Forecast
2004:Q1
5.68
ND
ND
2004:Q2
5.59
ND
ND
2004:Q3
5.44
ND
ND
2004:Q4
5.39
ND
ND
2005:Q1
5.27
ND
ND
2005:Q2
5.11
ND
ND
2005:Q3
4.98
ND
ND
2005:Q4
4.94
ND
ND
2006:Q1
4.71
ND
ND
2006:Q2
4.67
ND
ND
2006:Q3
4.66
ND
ND
2006:Q4
4.44
ND
ND
2007:Q1
4.50
ND
ND
2007:Q2
4.51
ND
ND
2007:Q3
4.68
4.66
ND
2007:Q4
4.80
4.72
ND
2008:Q1
ND
4.76
4.98
2008:Q2
ND
4.80
5.06
2008:Q3
ND
4.85
5.10
2008:Q4
ND
4.90
5.14
2009:Q1
ND
4.94
5.17
2009:Q2
ND
4.96
5.18
2009:Q3
ND
4.97
5.17
2009:Q4
ND
4.97
5.15
Middle-right panel
Unemployment Rate
Percent
Dec. GB
Jan. GB
2007: Q3
4.7
4.7
Q4
4.7
4.8
2008: Q1
4.8
5.0
Q2
4.8
5.1
Bottom-left panel
Core PCE Prices
4-quarter percent change
Period
Core PCE Prices
Dec. GB
Forecast
2004:Q1
1.77
ND
ND
2004:Q2
2.12
ND
ND
2004:Q3
2.10
ND
ND
2004:Q4
2.23
ND
ND
2005:Q1
2.27
ND
ND
2005:Q2
2.13
ND
ND
2005:Q3
2.12
ND
ND
2005:Q4
2.17
ND
ND
2006:Q1
2.04
ND
ND
2006:Q2
2.24
ND
ND
2006:Q3
2.40
ND
ND
2006:Q4
2.29
ND
ND
2007:Q1
2.39
ND
ND
2007:Q2
2.01
2.01
ND
2007:Q3
1.92
1.88
ND
2007:Q4
2.13
1.96
ND
2008:Q1
ND
1.87
2.13
2008:Q2
ND
2.03
2.31
2008:Q3
ND
2.07
2.31
2008:Q4
ND
1.99
2.12
2009:Q1
ND
1.96
2.01
2009:Q2
ND
1.94
1.97
2009:Q3
ND
1.93
1.94
2009:Q4
ND
1.92
1.93
Bottom-right panel
Total PCE Prices
4-quarter percent change
Period
Total PCE Prices
Dec. GB
Forecast
2004:Q1
2.00
ND
ND
2004:Q2
2.80
ND
ND
2004:Q3
2.69
ND
ND
2004:Q4
3.09
ND
ND
2005:Q1
2.76
ND
ND
2005:Q2
2.64
ND
ND
2005:Q3
3.22
ND
ND
2005:Q4
3.17
ND
ND
2006:Q1
3.05
ND
ND
2006:Q2
3.27
ND
ND
2006:Q3
2.85
ND
ND
2006:Q4
1.91
ND
ND
2007:Q1
2.33
ND
ND
2007:Q2
2.33
2.33
ND
2007:Q3
2.14
2.10
ND
2007:Q4
3.36
3.23
ND
2008:Q1
ND
3.00
3.24
2008:Q2
ND
2.43
2.70
2008:Q3
ND
2.46
2.73
2008:Q4
ND
2.01
2.21
2009:Q1
ND
1.80
1.90
2009:Q2
ND
1.74
1.83
2009:Q3
ND
1.73
1.77
2009:Q4
ND
1.74
1.75
Exhibit 3
Key Conditioning Assumptions
Top-left panel
Target Federal Funds Rate
Percent
Period
Target Federal Funds Rate
Dec. GB
Forecast
14 December 2004
2.25
ND
ND
2 February 2005
2.50
ND
ND
22 March 2005
2.75
ND
ND
Period
Target Federal Funds Rate
Dec. GB
Forecast
3 May 2005
3.00
ND
ND
30 June 2005
3.25
ND
ND
9 August 2005
3.50
ND
ND
20 September 2005
3.75
ND
ND
1 November 2005
4.00
ND
ND
13 December 2005
4.25
ND
ND
31 January 2006
4.50
ND
ND
28 March 2006
4.75
ND
ND
10 May 2006
5.00
ND
ND
29 June 2006
5.25
ND
ND
8 August 2006
5.25
ND
ND
20 September 2006
5.25
ND
ND
25 October 2006
5.25
ND
ND
12 December 2006
5.25
ND
ND
31 January 2007
5.25
ND
ND
21 March 2007
5.25
ND
ND
9 May 2007
5.25
ND
ND
28 June 2007
5.25
ND
ND
7 August 2007
5.25
ND
ND
18 September 2007
4.75
ND
ND
31 October 2007
4.50
ND
ND
ND
4.50
ND
11 December 2007
4.25
ND
ND
22 January 2008
3.50
ND
ND
2008:Q1
ND
4.25
3.35
2008:Q2
ND
4.25
3.00
2008:Q3
ND
4.25
3.00
2008:Q4
ND
4.25
3.00
2009:Q1
ND
4.25
3.00
2009:Q2
ND
4.25
3.00
2009:Q3
ND
4.00
3.00
2009:Q4
ND
4.00
3.00
2007:Q4
[Note: Except 22 January 2008, the dates are those of regularly scheduled Federal Open Market Committee meetings.]
Top-right panel
Wilshire 5000
Index
Period
Wilshire 5000
Dec. GB
Forecast
2005:Q1
11638
ND
ND
2005:Q2
11877
ND
ND
2005:Q3
12289
ND
ND
2005:Q4
12518
ND
ND
2006:Q1
13155
ND
ND
2006:Q2
12850
ND
ND
2006:Q3
13346
ND
ND
2006:Q4
14258
ND
ND
2007:Q1
14409
ND
ND
2007:Q2
15211
ND
ND
2007:Q3
15362
ND
ND
2007:Q4
14820
14820
ND
2008:Q1
ND
11635
13345
2008:Q2
ND
11815
13555
2008:Q3
ND
12410
13975
2008:Q4
ND
13035
14410
2009:Q1
ND
13675
14855
2009:Q2
ND
14340
15315
2009:Q3
ND
15030
15790
2009:Q4
ND
15745
16280
Middle-left panel
Fiscal Stimulus Package
$125 billion placeholder package includes:
$75 billion in personal tax rebates
$50 billion bonus depreciation
Economic effects:
Temporary boost to PCE
Small investment response
Inventory and import offset
Middle-right panel
Effects of the Fiscal Stimulus Package
Percentage points, annual rate
Period
Total effect on real GDP growth
Contribution of PCE and E&S
2008:H1
0.02
0.02
2008:H2
0.82
1.82
2009:H1
-0.50
-1.33
Period
Total effect on real GDP growth
Contribution of PCE and E&S
2009:H2
-0.11
-0.11
Bottom-left panel
Potential GDP Growth
Percent
Period
Potential GDP Growth
Dec. GB
Jan. GB
2004
2.27
ND
ND
2005
ND
2.18
2.32
2006
ND
2.22
2.43
2007
ND
2.25
2.44
2008
ND
2.19
2.29
2009
ND
2.06
2.29
Bottom-right panel
Output Gap
Percent
Period
Output Gap
Dec. GB
Forecast
2005:Q1
-0.41
-0.43
ND
2005:Q2
-0.29
-0.27
ND
2005:Q3
0.22
0.28
ND
2005:Q4
-0.05
0.03
ND
2006:Q1
0.52
0.66
ND
2006:Q2
0.53
0.72
ND
2006:Q3
0.19
0.43
ND
2006:Q4
0.11
0.40
ND
2007:Q1
-0.34
-0.00
ND
2007:Q2
-0.01
0.38
ND
2007:Q3
0.59
1.04
ND
2007:Q4
0.10
0.49
ND
2008:Q1
ND
0.12
-0.32
2008:Q2
ND
-0.08
-0.59
2008:Q3
ND
-0.26
-0.69
2008:Q4
ND
-0.37
-0.65
2009:Q1
ND
-0.42
-0.83
2009:Q2
ND
-0.41
-0.89
2009:Q3
ND
-0.39
-0.83
2009:Q4
ND
-0.37
-0.76
Exhibit 4
Housing, Investment, and Consumption
Top-left panel
New Home Sales
Millions of units, annual rate
Period
New Home Sales
Dec. GB
Forecast
1999:Q1
0.86
ND
ND
1999:Q2
0.91
ND
ND
1999:Q3
0.87
ND
ND
1999:Q4
0.87
ND
ND
2000:Q1
0.88
ND
ND
2000:Q2
0.83
ND
ND
2000:Q3
0.88
ND
ND
2000:Q4
0.93
ND
ND
2001:Q1
0.95
ND
ND
2001:Q2
0.89
ND
ND
2001:Q3
0.87
ND
ND
2001:Q4
0.92
ND
ND
2002:Q1
0.92
ND
ND
2002:Q2
0.96
ND
ND
2002:Q3
1.00
ND
ND
2002:Q4
1.03
ND
ND
2003:Q1
0.98
ND
ND
2003:Q2
1.09
ND
ND
2003:Q3
1.17
ND
ND
2003:Q4
1.12
ND
ND
2004:Q1
1.20
ND
ND
2004:Q2
1.20
ND
ND
2004:Q3
1.16
ND
ND
2004:Q4
1.24
ND
ND
2005:Q1
1.28
ND
ND
2005:Q2
1.27
ND
ND
2005:Q3
1.30
ND
ND
2005:Q4
1.26
ND
ND
2006:Q1
1.13
ND
ND
2006:Q2
1.09
ND
ND
Period
New Home Sales
Dec. GB
Forecast
2006:Q3
0.99
ND
ND
2006:Q4
0.99
ND
ND
2007:Q1
0.85
ND
ND
2007:Q2
0.86
ND
ND
2007:Q3
0.73
0.74
ND
2007:Q4
0.65
0.71
ND
2008:Q1
ND
0.70
0.58
2008:Q2
ND
0.70
0.59
2008:Q3
ND
0.71
0.60
2008:Q4
ND
0.72
0.61
2009:Q1
ND
0.73
0.61
2009:Q2
ND
0.74
0.62
2009:Q3
ND
0.75
0.62
2009:Q4
ND
0.75
0.62
Top-right panel
Single-Family Housing Starts
Millions of units, annual rate
Period
Single-Family Housing Starts
Dec. GB
Forecast
1999:Q1
1.34
ND
ND
1999:Q2
1.27
ND
ND
1999:Q3
1.29
ND
ND
1999:Q4
1.34
ND
ND
2000:Q1
1.28
ND
ND
2000:Q2
1.24
ND
ND
2000:Q3
1.19
ND
ND
2000:Q4
1.22
ND
ND
2001:Q1
1.26
ND
ND
2001:Q2
1.30
ND
ND
2001:Q3
1.28
ND
ND
2001:Q4
1.26
ND
ND
2002:Q1
1.36
ND
ND
2002:Q2
1.34
ND
ND
2002:Q3
1.34
ND
ND
2002:Q4
1.41
ND
ND
2003:Q1
1.41
ND
ND
2003:Q2
1.43
ND
ND
Period
Single-Family Housing Starts
Dec. GB
Forecast
2003:Q3
1.53
ND
ND
2003:Q4
1.66
ND
ND
2004:Q1
1.56
ND
ND
2004:Q2
1.61
ND
ND
2004:Q3
1.64
ND
ND
2004:Q4
1.61
ND
ND
2005:Q1
1.71
ND
ND
2005:Q2
1.70
ND
ND
2005:Q3
1.75
ND
ND
2005:Q4
1.73
ND
ND
2006:Q1
1.75
ND
ND
2006:Q2
1.52
ND
ND
2006:Q3
1.39
ND
ND
2006:Q4
1.23
ND
ND
2007:Q1
1.17
ND
ND
2007:Q2
1.17
ND
ND
2007:Q3
0.99
1.00
ND
2007:Q4
0.83
0.86
ND
2008:Q1
ND
0.81
0.71
2008:Q2
ND
0.81
0.66
2008:Q3
ND
0.81
0.66
2008:Q4
ND
0.81
0.67
2009:Q1
ND
0.82
0.68
2009:Q2
ND
0.82
0.70
2009:Q3
ND
0.83
0.71
2009:Q4
ND
0.83
0.72
Middle-left panel
Inventory of Unsold New Homes*
Period
Months' supply
Dec. GB
March 1999
4.02
ND
April 1999
3.97
ND
May 1999
3.98
ND
June 1999
3.89
ND
July 1999
3.94
ND
August 1999
3.95
ND
September 1999
4.14
ND
Period
Months' supply
Dec. GB
October 1999
4.21
ND
November 1999
4.29
ND
December 1999
4.25
ND
January 2000
4.29
ND
February 2000
4.14
ND
March 2000
4.29
ND
April 2000
4.23
ND
May 2000
4.23
ND
June 2000
4.42
ND
July 2000
4.30
ND
August 2000
4.30
ND
September 2000
4.08
ND
October 2000
4.02
ND
November 2000
4.03
ND
December 2000
3.84
ND
January 2001
3.81
ND
February 2001
3.70
ND
March 2001
3.70
ND
April 2001
3.77
ND
May 2001
3.89
ND
June 2001
4.05
ND
July 2001
4.15
ND
August 2001
4.22
ND
September 2001
4.29
ND
October 2001
4.28
ND
November 2001
4.19
ND
December 2001
4.00
ND
January 2002
4.01
ND
February 2002
4.01
ND
March 2002
4.14
ND
April 2002
4.16
ND
May 2002
4.15
ND
June 2002
4.11
ND
July 2002
4.15
ND
August 2002
4.11
ND
September 2002
3.98
ND
October 2002
3.94
ND
Period
Months' supply
Dec. GB
November 2002
3.96
ND
December 2002
3.96
ND
January 2003
4.00
ND
February 2003
4.12
ND
March 2003
4.15
ND
April 2003
4.15
ND
May 2003
4.00
ND
June 2003
3.76
ND
July 2003
3.58
ND
August 2003
3.49
ND
September 2003
3.59
ND
October 2003
3.73
ND
November 2003
3.91
ND
December 2003
3.96
ND
January 2004
3.98
ND
February 2004
3.88
ND
March 2004
3.81
ND
April 2004
3.81
ND
May 2004
3.72
ND
June 2004
3.82
ND
July 2004
4.10
ND
August 2004
4.23
ND
September 2004
4.25
ND
October 2004
4.02
ND
November 2004
4.07
ND
December 2004
4.08
ND
January 2005
4.38
ND
February 2005
4.27
ND
March 2005
4.16
ND
April 2005
4.10
ND
May 2005
4.18
ND
June 2005
4.29
ND
July 2005
4.23
ND
August 2005
4.37
ND
September 2005
4.51
ND
October 2005
4.60
ND
November 2005
4.76
ND
Period
Months' supply
Dec. GB
December 2005
4.86
ND
January 2006
5.17
ND
February 2006
5.53
ND
March 2006
5.86
ND
April 2006
6.15
ND
May 2006
6.13
ND
June 2006
6.25
ND
July 2006
6.59
ND
August 2006
6.70
ND
September 2006
6.76
ND
October 2006
6.71
ND
November 2006
6.63
ND
December 2006
6.51
ND
January 2007
6.66
ND
February 2007
7.12
ND
March 2007
7.71
ND
April 2007
7.64
ND
May 2007
7.52
ND
June 2007
7.59
ND
July 2007
7.89
ND
August 2007
8.36
8.31
September 2007
8.66
8.53
October 2007
8.70
8.60
November 2007
8.81
8.51
December 2007
ND
8.37
January 2008
ND
8.27
February 2008
ND
8.05
March 2008
ND
7.84
April 2008
ND
7.65
May 2008
ND
7.46
June 2008
ND
7.27
July 2008
ND
7.07
August 2008
ND
6.87
September 2008
ND
6.67
October 2008
ND
6.49
November 2008
ND
6.31
December 2008
ND
6.14
Period
Months' supply
Dec. GB
January 2009
ND
5.98
February 2009
ND
5.83
March 2009
ND
5.67
April 2009
ND
5.53
May 2009
ND
5.39
June 2009
ND
5.25
July 2009
ND
5.14
August 2009
ND
5.03
September 2009
ND
4.92
October 2009
ND
4.83
November 2009
ND
4.73
December 2009
ND
4.63
As shown in the figure, the current forecast begins in December 2007 at about 9.1 months' supply, increases to about 9.3 by
January 2008, then begins to decrease rapidly after March until it meets the December Greenbook forecast by the end of the
period at about 4.6 months' supply in December 2009.
* Relative to three-month moving average of sales. Return to text
Middle-right panel
Real Business Fixed Investment
Percent change, annual rate
Period
Fixed investment
Dec. GB
Jan. GB
2005
5.1
ND
ND
2006
5.2
ND
ND
2007:H1
6.5
ND
ND
2007:H2
ND
7.3
8.4
2008:H1
ND
0.6
-0.6
2008:H2
ND
0.5
1.5
2009:H1
ND
2.1
2.4
2009:H2
ND
2.7
3.3
Bottom-left panel
Personal Consumption Expenditures
Percent change, annual rate
Period
Real PCE
Excl. fiscal package
2005
2.77
ND
2006
3.36
ND
2007
2.55
ND
2008:H1
1.15
1.14
Period
Real PCE
Excl. fiscal package
2008:H2
3.38
0.93
2009:H1
0.39
2.28
2009:H2
2.41
2.50
Bottom-right panel
Contribution of Wealth to PCE Growth
Percentage points
Period
Contribution
Dec. GB
Jan. GB
2005
0.69
ND
ND
2006
0.66
ND
ND
2007
0.54
ND
ND
2008
ND
-0.15
-0.52
2009
ND
-0.55
-0.69
Exhibit 5
Inflation
Top-left panel
Core PCE Prices
Percent, annual rate
Period
3-month moving average
12-month moving average
January 2005
2.45
2.29
February 2005
2.31
2.26
March 2005
2.97
2.27
April 2005
2.24
2.13
May 2005
2.37
2.19
June 2005
1.67
2.07
July 2005
1.81
2.08
August 2005
1.33
2.11
September 2005
1.90
2.16
October 2005
2.22
2.18
November 2005
2.64
2.16
December 2005
2.21
2.19
January 2006
1.96
2.06
February 2006
1.75
2.02
March 2006
2.39
2.04
April 2006
2.81
2.20
Period
3-month moving average
12-month moving average
May 2006
2.97
2.17
June 2006
2.87
2.34
July 2006
2.28
2.32
August 2006
2.45
2.45
September 2006
2.29
2.44
October 2006
2.48
2.38
November 2006
1.74
2.23
December 2006
1.51
2.26
January 2007
2.20
2.44
February 2007
2.69
2.46
March 2007
2.37
2.26
April 2007
1.42
2.09
May 2007
1.17
2.01
June 2007
1.50
1.91
July 2007
1.71
1.95
August 2007
1.91
1.88
September 2007
2.38
1.94
October 2007
2.63
1.99
November 2007
2.89
2.16
December 2007
2.78
2.26
Note: December is staff estimate.
Top-right panel
PCE Energy Prices
Four-quarter percent change
Period
PCE Energy Prices
Dec. GB
Forecast
2005:Q1
11.48
ND
ND
2005:Q2
11.51
ND
ND
2005:Q3
23.83
ND
ND
2005:Q4
21.12
ND
ND
2006:Q1
20.29
ND
ND
2006:Q2
22.09
ND
ND
2006:Q3
10.23
ND
ND
2006:Q4
-4.03
ND
ND
2007:Q1
0.49
ND
ND
2007:Q2
4.00
ND
ND
2007:Q3
0.94
0.94
ND
Period
PCE Energy Prices
Dec. GB
Forecast
2007:Q4
ND
18.60
18.78
2008:Q1
ND
16.62
17.66
2008:Q2
ND
5.43
6.42
2008:Q3
ND
7.10
8.55
2008:Q4
ND
1.79
3.20
2009:Q1
ND
-0.64
0.10
2009:Q2
ND
-1.26
-0.50
2009:Q3
ND
-1.38
-0.97
2009:Q4
ND
-1.26
-0.98
Middle-left panel
PCE Food Prices
Four-quarter percent change
Period
PCE Food Prices
Dec. GB
Forecast
2005:Q1
2.42
ND
ND
2005:Q2
2.40
ND
ND
2005:Q3
2.15
ND
ND
2005:Q4
2.23
ND
ND
2006:Q1
2.57
ND
ND
2006:Q2
1.99
ND
ND
2006:Q3
2.39
ND
ND
2006:Q4
2.28
ND
ND
2007:Q1
2.88
ND
ND
2007:Q2
3.66
ND
ND
2007:Q3
4.09
4.09
ND
2007:Q4
ND
4.66
4.52
2008:Q1
ND
4.15
3.95
2008:Q2
ND
3.50
3.36
2008:Q3
ND
2.78
2.69
2008:Q4
ND
2.21
2.30
2009:Q1
ND
2.02
2.18
2009:Q2
ND
1.99
2.10
2009:Q3
ND
2.00
2.04
2009:Q4
ND
2.01
1.98
Middle-right panel
Core Nonfuel Import Prices
Four-quarter percent change
Period
Core Nonfuel Import Prices
Dec. GB
Forecast
2005:Q1
3.51
ND
ND
2005:Q2
2.89
ND
ND
2005:Q3
2.23
ND
ND
2005:Q4
2.19
ND
ND
2006:Q1
1.26
ND
ND
2006:Q2
1.66
ND
ND
2006:Q3
2.73
ND
ND
2006:Q4
2.40
ND
ND
2007:Q1
2.77
ND
ND
2007:Q2
2.85
2.85
ND
2007:Q3
2.65
2.59
ND
2007:Q4
ND
2.89
3.11
2008:Q1
ND
2.81
3.20
2008:Q2
ND
2.06
2.59
2008:Q3
ND
1.55
2.15
2008:Q4
ND
1.14
1.69
2009:Q1
ND
0.79
1.27
2009:Q2
ND
0.85
1.28
2009:Q3
ND
0.87
1.25
2009:Q4
ND
0.86
1.22
Bottom-left panel
Long-Run Inflation Expectations
Michigan Survey
Period
Percent
January 2005
2.7
February 2005
2.8
March 2005
2.9
April 2005
3.0
May 2005
2.9
June 2005
2.8
July 2005
2.9
August 2005
2.8
September 2005
3.1
October 2005
3.2
November 2005
3.0
Period
Percent
December 2005
3.1
January 2006
2.9
February 2006
2.9
March 2006
2.9
April 2006
3.1
May 2006
3.2
June 2006
2.9
July 2006
2.9
August 2006
3.2
September 2006
3.0
October 2006
3.1
November 2006
3.0
December 2006
3.0
January 2007
3.0
February 2007
2.9
March 2007
2.9
April 2007
3.1
May 2007
3.1
June 2007
2.9
July 2007
3.1
August 2007
2.9
September 2007
2.9
October 2007
2.8
November 2007
2.9
December 2007
3.1
January 2008
3.0
Survey of
Professional
Forecasters
Period
Percent
2005:Q1
2.45
2005:Q2
2.50
2005:Q3
2.50
2005:Q4
2.50
2006:Q1
2.50
2006:Q2
2.50
2006:Q3
2.50
Period
Percent
2006:Q4
2.50
2007:Q1
2.35
2007:Q2
2.40
2007:Q3
2.40
2007:Q4
2.40
TIPS inflation compensation*
Date
Percent
3 January 2005
2.77
4 January 2005
2.79
5 January 2005
2.75
6 January 2005
2.77
7 January 2005
2.73
10 January 2005
2.71
11 January 2005
2.67
12 January 2005
2.68
13 January 2005
2.67
14 January 2005
2.70
17 January 2005
ND
18 January 2005
2.69
19 January 2005
2.70
20 January 2005
2.72
21 January 2005
2.70
24 January 2005
2.67
25 January 2005
2.64
26 January 2005
2.66
27 January 2005
2.68
28 January 2005
2.68
31 January 2005
2.67
1 February 2005
2.67
2 February 2005
2.59
3 February 2005
2.56
4 February 2005
2.54
7 February 2005
2.52
8 February 2005
2.53
9 February 2005
2.57
10 February 2005
2.56
Date
Percent
11 February 2005
2.59
14 February 2005
2.58
15 February 2005
2.56
16 February 2005
2.56
17 February 2005
2.60
18 February 2005
2.66
21 February 2005
ND
22 February 2005
2.65
23 February 2005
2.66
24 February 2005
2.68
25 February 2005
2.66
28 February 2005
2.69
1 March 2005
2.73
2 March 2005
2.76
3 March 2005
2.77
4 March 2005
2.71
7 March 2005
2.72
8 March 2005
2.75
9 March 2005
2.81
10 March 2005
2.77
11 March 2005
2.80
14 March 2005
2.78
15 March 2005
2.83
16 March 2005
2.81
17 March 2005
2.83
18 March 2005
2.83
21 March 2005
2.83
22 March 2005
2.81
23 March 2005
2.78
24 March 2005
2.80
25 March 2005
ND
28 March 2005
2.78
29 March 2005
2.77
30 March 2005
2.73
31 March 2005
2.75
1 April 2005
2.76
4 April 2005
2.75
Date
Percent
5 April 2005
2.73
6 April 2005
2.73
7 April 2005
2.72
8 April 2005
2.70
11 April 2005
2.69
12 April 2005
2.71
13 April 2005
2.76
14 April 2005
2.79
15 April 2005
2.76
18 April 2005
2.74
19 April 2005
2.70
20 April 2005
2.73
21 April 2005
2.74
22 April 2005
2.70
25 April 2005
2.64
26 April 2005
2.66
27 April 2005
2.62
28 April 2005
2.65
29 April 2005
2.64
2 May 2005
2.64
3 May 2005
2.63
4 May 2005
2.65
5 May 2005
2.65
6 May 2005
2.66
9 May 2005
2.67
10 May 2005
2.64
11 May 2005
2.63
12 May 2005
2.63
13 May 2005
2.60
16 May 2005
2.61
17 May 2005
2.60
18 May 2005
2.54
19 May 2005
2.52
20 May 2005
2.56
23 May 2005
2.54
24 May 2005
2.53
25 May 2005
2.54
Date
Percent
26 May 2005
2.51
27 May 2005
2.53
30 May 2005
ND
31 May 2005
2.47
1 June 2005
2.47
2 June 2005
2.45
3 June 2005
2.50
6 June 2005
2.47
7 June 2005
2.44
8 June 2005
2.45
9 June 2005
2.44
10 June 2005
2.44
13 June 2005
2.45
14 June 2005
2.47
15 June 2005
2.49
16 June 2005
2.48
17 June 2005
2.46
20 June 2005
2.47
21 June 2005
2.43
22 June 2005
2.37
23 June 2005
2.37
24 June 2005
2.36
27 June 2005
2.36
28 June 2005
2.38
29 June 2005
2.40
30 June 2005
2.34
1 July 2005
2.39
4 July 2005
ND
5 July 2005
2.41
6 July 2005
2.38
7 July 2005
2.35
8 July 2005
2.35
11 July 2005
2.37
12 July 2005
2.39
13 July 2005
2.37
14 July 2005
2.35
15 July 2005
2.34
Date
Percent
18 July 2005
2.37
19 July 2005
2.42
20 July 2005
2.41
21 July 2005
2.47
22 July 2005
2.46
25 July 2005
2.42
26 July 2005
2.43
27 July 2005
2.47
28 July 2005
2.44
29 July 2005
2.50
1 August 2005
2.47
2 August 2005
2.46
3 August 2005
2.47
4 August 2005
2.49
5 August 2005
2.48
8 August 2005
2.49
9 August 2005
2.47
10 August 2005
2.51
11 August 2005
2.48
12 August 2005
2.43
15 August 2005
2.47
16 August 2005
2.46
17 August 2005
2.52
18 August 2005
2.48
19 August 2005
2.50
22 August 2005
2.47
23 August 2005
2.49
24 August 2005
2.51
25 August 2005
2.46
26 August 2005
2.47
29 August 2005
2.48
30 August 2005
2.50
31 August 2005
2.40
1 September 2005
2.45
2 September 2005
2.49
5 September 2005
ND
6 September 2005
2.51
Date
Percent
7 September 2005
2.54
8 September 2005
2.51
9 September 2005
2.48
12 September 2005
2.51
13 September 2005
2.50
14 September 2005
2.53
15 September 2005
2.56
16 September 2005
2.59
19 September 2005
2.61
20 September 2005
2.58
21 September 2005
2.52
22 September 2005
2.55
23 September 2005
2.57
26 September 2005
2.60
27 September 2005
2.60
28 September 2005
2.61
29 September 2005
2.62
30 September 2005
2.61
3 October 2005
2.59
4 October 2005
2.58
5 October 2005
2.58
6 October 2005
2.55
7 October 2005
2.54
10 October 2005
ND
11 October 2005
2.49
12 October 2005
2.50
13 October 2005
2.58
14 October 2005
2.56
17 October 2005
2.60
18 October 2005
2.63
19 October 2005
2.62
20 October 2005
2.61
21 October 2005
2.56
24 October 2005
2.58
25 October 2005
2.61
26 October 2005
2.66
27 October 2005
2.66
Date
Percent
28 October 2005
2.68
31 October 2005
2.69
1 November 2005
2.73
2 November 2005
2.75
3 November 2005
2.79
4 November 2005
2.80
7 November 2005
2.76
8 November 2005
2.71
9 November 2005
2.74
10 November 2005
2.68
11 November 2005
ND
14 November 2005
2.64
15 November 2005
2.62
16 November 2005
2.61
17 November 2005
2.61
18 November 2005
2.59
21 November 2005
2.57
22 November 2005
2.57
23 November 2005
2.56
24 November 2005
ND
25 November 2005
2.51
28 November 2005
2.54
29 November 2005
2.56
30 November 2005
2.60
1 December 2005
2.57
2 December 2005
2.56
5 December 2005
2.57
6 December 2005
2.53
7 December 2005
2.54
8 December 2005
2.53
9 December 2005
2.54
12 December 2005
2.58
13 December 2005
2.59
14 December 2005
2.52
15 December 2005
2.51
16 December 2005
2.52
19 December 2005
2.53
Date
Percent
20 December 2005
2.53
21 December 2005
2.53
22 December 2005
2.48
23 December 2005
2.48
26 December 2005
ND
27 December 2005
2.45
28 December 2005
2.45
29 December 2005
2.43
30 December 2005
2.44
2 January 2006
ND
3 January 2006
2.47
4 January 2006
2.48
5 January 2006
2.46
6 January 2006
2.44
9 January 2006
2.43
10 January 2006
2.47
11 January 2006
2.50
12 January 2006
2.52
13 January 2006
2.50
16 January 2006
ND
17 January 2006
2.51
18 January 2006
2.53
19 January 2006
2.54
20 January 2006
2.55
23 January 2006
2.51
24 January 2006
2.50
25 January 2006
2.52
26 January 2006
2.56
27 January 2006
2.58
30 January 2006
2.58
31 January 2006
2.60
1 February 2006
2.59
2 February 2006
2.58
3 February 2006
2.56
6 February 2006
2.56
7 February 2006
2.58
8 February 2006
2.56
Date
Percent
9 February 2006
2.57
10 February 2006
2.57
13 February 2006
2.57
14 February 2006
2.57
15 February 2006
2.55
16 February 2006
2.56
17 February 2006
2.52
20 February 2006
ND
21 February 2006
2.51
22 February 2006
2.49
23 February 2006
2.50
24 February 2006
2.52
27 February 2006
2.52
28 February 2006
2.53
1 March 2006
2.54
2 March 2006
2.58
3 March 2006
2.61
6 March 2006
2.62
7 March 2006
2.61
8 March 2006
2.58
9 March 2006
2.59
10 March 2006
2.60
13 March 2006
2.59
14 March 2006
2.61
15 March 2006
2.61
16 March 2006
2.57
17 March 2006
2.59
20 March 2006
2.55
21 March 2006
2.55
22 March 2006
2.55
23 March 2006
2.57
24 March 2006
2.54
27 March 2006
2.55
28 March 2006
2.56
29 March 2006
2.56
30 March 2006
2.58
31 March 2006
2.60
Date
Percent
3 April 2006
2.60
4 April 2006
2.59
5 April 2006
2.60
6 April 2006
2.61
7 April 2006
2.63
10 April 2006
2.64
11 April 2006
2.63
12 April 2006
2.62
13 April 2006
2.63
14 April 2006
ND
17 April 2006
2.63
18 April 2006
2.67
19 April 2006
2.72
20 April 2006
2.72
21 April 2006
2.71
24 April 2006
2.70
25 April 2006
2.73
26 April 2006
2.75
27 April 2006
2.77
28 April 2006
2.82
1 May 2006
2.83
2 May 2006
2.79
3 May 2006
2.77
4 May 2006
2.75
5 May 2006
2.75
8 May 2006
2.74
9 May 2006
2.76
10 May 2006
2.74
11 May 2006
2.80
12 May 2006
2.78
15 May 2006
2.77
16 May 2006
2.76
17 May 2006
2.79
18 May 2006
2.74
19 May 2006
2.69
22 May 2006
2.71
23 May 2006
2.70
Date
Percent
24 May 2006
2.69
25 May 2006
2.69
26 May 2006
2.71
29 May 2006
ND
30 May 2006
2.73
31 May 2006
2.75
1 June 2006
2.74
2 June 2006
2.72
5 June 2006
2.70
6 June 2006
2.64
7 June 2006
2.61
8 June 2006
2.61
9 June 2006
2.59
12 June 2006
2.59
13 June 2006
2.60
14 June 2006
2.61
15 June 2006
2.65
16 June 2006
2.66
19 June 2006
2.64
20 June 2006
2.64
21 June 2006
2.63
22 June 2006
2.64
23 June 2006
2.65
26 June 2006
2.66
27 June 2006
2.64
28 June 2006
2.67
29 June 2006
2.68
30 June 2006
2.68
3 July 2006
2.66
4 July 2006
ND
5 July 2006
2.66
6 July 2006
2.65
7 July 2006
2.64
10 July 2006
2.64
11 July 2006
2.62
12 July 2006
2.59
13 July 2006
2.61
Date
Percent
14 July 2006
2.63
17 July 2006
2.64
18 July 2006
2.64
19 July 2006
2.64
20 July 2006
2.65
21 July 2006
2.62
24 July 2006
2.62
25 July 2006
2.67
26 July 2006
2.68
27 July 2006
2.68
28 July 2006
2.68
31 July 2006
2.69
1 August 2006
2.68
2 August 2006
2.68
3 August 2006
2.68
4 August 2006
2.69
7 August 2006
2.68
8 August 2006
2.72
9 August 2006
2.74
10 August 2006
2.72
11 August 2006
2.71
14 August 2006
2.70
15 August 2006
2.71
16 August 2006
2.71
17 August 2006
2.71
18 August 2006
2.70
21 August 2006
2.71
22 August 2006
2.73
23 August 2006
2.73
24 August 2006
2.71
25 August 2006
2.73
28 August 2006
2.72
29 August 2006
2.68
30 August 2006
2.68
31 August 2006
2.68
1 September 2006
2.67
4 September 2006
ND
Date
Percent
5 September 2006
2.67
6 September 2006
2.68
7 September 2006
2.66
8 September 2006
2.65
11 September 2006
2.64
12 September 2006
2.64
13 September 2006
2.65
14 September 2006
2.66
15 September 2006
2.64
18 September 2006
2.64
19 September 2006
2.61
20 September 2006
2.59
21 September 2006
2.59
22 September 2006
2.58
25 September 2006
2.57
26 September 2006
2.55
27 September 2006
2.53
28 September 2006
2.57
29 September 2006
2.57
2 October 2006
2.57
3 October 2006
2.56
4 October 2006
2.56
5 October 2006
2.57
6 October 2006
2.59
9 October 2006
ND
10 October 2006
2.57
11 October 2006
2.56
12 October 2006
2.56
13 October 2006
2.58
16 October 2006
2.59
17 October 2006
2.57
18 October 2006
2.57
19 October 2006
2.60
20 October 2006
2.61
23 October 2006
2.60
24 October 2006
2.61
25 October 2006
2.61
Date
Percent
26 October 2006
2.64
27 October 2006
2.63
30 October 2006
2.61
31 October 2006
2.60
1 November 2006
2.59
2 November 2006
2.57
3 November 2006
2.64
6 November 2006
2.63
7 November 2006
2.65
8 November 2006
2.65
9 November 2006
2.64
10 November 2006
2.61
13 November 2006
2.63
14 November 2006
2.59
15 November 2006
2.58
16 November 2006
2.57
17 November 2006
2.57
20 November 2006
2.54
21 November 2006
2.50
22 November 2006
2.51
23 November 2006
ND
24 November 2006
2.50
27 November 2006
2.50
28 November 2006
2.50
29 November 2006
2.50
30 November 2006
2.53
1 December 2006
2.55
4 December 2006
2.54
5 December 2006
2.55
6 December 2006
2.55
7 December 2006
2.54
8 December 2006
2.57
11 December 2006
2.54
12 December 2006
2.53
13 December 2006
2.55
14 December 2006
2.54
15 December 2006
2.51
Date
Percent
18 December 2006
2.50
19 December 2006
2.48
20 December 2006
2.48
21 December 2006
2.44
22 December 2006
2.44
25 December 2006
ND
26 December 2006
2.44
27 December 2006
2.43
28 December 2006
2.46
29 December 2006
2.47
1 January 2007
ND
2 January 2007
2.47
3 January 2007
2.47
4 January 2007
2.44
5 January 2007
2.46
8 January 2007
2.45
9 January 2007
2.42
10 January 2007
2.42
11 January 2007
2.41
12 January 2007
2.40
15 January 2007
ND
16 January 2007
2.46
17 January 2007
2.47
18 January 2007
2.48
19 January 2007
2.49
22 January 2007
2.50
23 January 2007
2.53
24 January 2007
2.55
25 January 2007
2.55
26 January 2007
2.56
29 January 2007
2.54
30 January 2007
2.55
31 January 2007
2.55
1 February 2007
2.52
2 February 2007
2.52
5 February 2007
2.51
6 February 2007
2.46
Date
Percent
7 February 2007
2.49
8 February 2007
2.47
9 February 2007
2.49
12 February 2007
2.48
13 February 2007
2.48
14 February 2007
2.49
15 February 2007
2.48
16 February 2007
2.49
19 February 2007
ND
20 February 2007
2.49
21 February 2007
2.48
22 February 2007
2.50
23 February 2007
2.51
26 February 2007
2.49
27 February 2007
2.47
28 February 2007
2.49
1 March 2007
2.49
2 March 2007
2.48
5 March 2007
2.44
6 March 2007
2.45
7 March 2007
2.44
8 March 2007
2.44
9 March 2007
2.43
12 March 2007
2.42
13 March 2007
2.44
14 March 2007
2.46
15 March 2007
2.48
16 March 2007
2.48
19 March 2007
2.47
20 March 2007
2.46
21 March 2007
2.50
22 March 2007
2.54
23 March 2007
2.54
26 March 2007
2.55
27 March 2007
2.56
28 March 2007
2.56
29 March 2007
2.55
Date
Percent
30 March 2007
2.55
2 April 2007
2.55
3 April 2007
2.53
4 April 2007
2.54
5 April 2007
2.57
6 April 2007
2.59
9 April 2007
2.58
10 April 2007
2.58
11 April 2007
2.56
12 April 2007
2.56
13 April 2007
2.55
16 April 2007
2.54
17 April 2007
2.53
18 April 2007
2.51
19 April 2007
2.51
20 April 2007
2.52
23 April 2007
2.51
24 April 2007
2.49
25 April 2007
2.51
26 April 2007
2.51
27 April 2007
2.53
30 April 2007
2.48
1 May 2007
2.48
2 May 2007
2.50
3 May 2007
2.49
4 May 2007
2.46
7 May 2007
2.44
8 May 2007
2.45
9 May 2007
2.45
10 May 2007
2.45
11 May 2007
2.45
14 May 2007
2.44
15 May 2007
2.42
16 May 2007
2.41
17 May 2007
2.40
18 May 2007
2.43
21 May 2007
2.44
Date
Percent
22 May 2007
2.47
23 May 2007
2.50
24 May 2007
2.52
25 May 2007
2.52
28 May 2007
ND
29 May 2007
2.51
30 May 2007
2.53
31 May 2007
2.55
1 June 2007
2.55
4 June 2007
2.54
5 June 2007
2.55
6 June 2007
2.56
7 June 2007
2.60
8 June 2007
2.62
11 June 2007
2.63
12 June 2007
2.66
13 June 2007
2.65
14 June 2007
2.66
15 June 2007
2.64
18 June 2007
2.63
19 June 2007
2.63
20 June 2007
2.65
21 June 2007
2.68
22 June 2007
2.71
25 June 2007
2.69
26 June 2007
2.66
27 June 2007
2.65
28 June 2007
2.63
29 June 2007
2.61
2 July 2007
2.62
3 July 2007
2.62
4 July 2007
ND
5 July 2007
2.63
6 July 2007
2.64
9 July 2007
2.64
10 July 2007
2.62
11 July 2007
2.62
Date
Percent
12 July 2007
2.61
13 July 2007
2.62
16 July 2007
2.61
17 July 2007
2.63
18 July 2007
2.63
19 July 2007
2.65
20 July 2007
2.62
23 July 2007
2.63
24 July 2007
2.67
25 July 2007
2.69
26 July 2007
2.64
27 July 2007
2.68
30 July 2007
2.69
31 July 2007
2.70
1 August 2007
2.67
2 August 2007
2.66
3 August 2007
2.62
6 August 2007
2.63
7 August 2007
2.65
8 August 2007
2.67
9 August 2007
2.67
10 August 2007
2.71
13 August 2007
2.68
14 August 2007
2.65
15 August 2007
2.67
16 August 2007
2.70
17 August 2007
2.71
20 August 2007
2.69
21 August 2007
2.70
22 August 2007
2.70
23 August 2007
2.68
24 August 2007
2.68
27 August 2007
2.69
28 August 2007
2.70
29 August 2007
2.68
30 August 2007
2.68
31 August 2007
2.67
Date
Percent
3 September 2007
ND
4 September 2007
2.68
5 September 2007
2.69
6 September 2007
2.68
7 September 2007
2.69
10 September 2007
2.68
11 September 2007
2.70
12 September 2007
2.71
13 September 2007
2.72
14 September 2007
2.73
17 September 2007
2.75
18 September 2007
2.81
19 September 2007
2.81
20 September 2007
2.85
21 September 2007
2.81
24 September 2007
2.79
25 September 2007
2.78
26 September 2007
2.79
27 September 2007
2.81
28 September 2007
2.80
1 October 2007
2.79
2 October 2007
2.79
3 October 2007
2.78
4 October 2007
2.78
5 October 2007
2.79
8 October 2007
ND
9 October 2007
2.79
10 October 2007
2.80
11 October 2007
2.80
12 October 2007
2.79
15 October 2007
2.77
16 October 2007
2.77
17 October 2007
2.76
18 October 2007
2.74
19 October 2007
2.73
22 October 2007
2.73
23 October 2007
2.75
Date
Percent
24 October 2007
2.74
25 October 2007
2.74
26 October 2007
2.78
29 October 2007
2.76
30 October 2007
2.77
31 October 2007
2.74
1 November 2007
2.75
2 November 2007
2.77
5 November 2007
2.79
6 November 2007
2.80
7 November 2007
2.81
8 November 2007
2.82
9 November 2007
2.80
12 November 2007
ND
13 November 2007
2.78
14 November 2007
2.75
15 November 2007
2.73
16 November 2007
2.75
19 November 2007
2.77
20 November 2007
2.77
21 November 2007
2.79
22 November 2007
ND
23 November 2007
2.77
26 November 2007
2.74
27 November 2007
2.77
28 November 2007
2.72
29 November 2007
2.75
30 November 2007
2.77
3 December 2007
2.76
4 December 2007
2.72
5 December 2007
2.67
6 December 2007
2.72
7 December 2007
2.76
10 December 2007
2.75
11 December 2007
2.71
12 December 2007
2.72
13 December 2007
2.73
Date
Percent
14 December 2007
2.74
17 December 2007
2.74
18 December 2007
2.75
19 December 2007
2.71
20 December 2007
2.73
21 December 2007
2.77
24 December 2007
2.77
25 December 2007
ND
26 December 2007
2.78
27 December 2007
2.74
28 December 2007
2.69
31 December 2007
2.72
1 January 2008
ND
2 January 2008
2.71
3 January 2008
2.65
4 January 2008
2.67
7 January 2008
2.64
8 January 2008
2.65
9 January 2008
2.64
10 January 2008
2.70
11 January 2008
2.75
14 January 2008
2.78
15 January 2008
2.76
16 January 2008
2.75
17 January 2008
2.78
18 January 2008
2.79
21 January 2008
ND
22 January 2008
2.89
23 January 2008
2.96
24 January 2008
2.96
25 January 2008
2.93
28 January 2008
2.95
* Five-to-ten years ahead Return to table
Bottom-right panel
PCE Price Projection
(Percent change, Q4/Q4)
2007
2008
2009
3.4
2.2
1.7
3.2
2.0
1.7
2.1
2.1
1.9
2.0
2.0
1.9
Total
Prev.
Core
Prev.
Exhibit 6
Financial Market Developments
Top-left panel
Equity Valuation for S&P 500
Percent
Period
Trend E/P*
Real Treasury perpetuity yield
January 1986
9.36
6.41
February 1986
9.36
5.86
March 1986
8.76
4.74
April 1986
8.34
3.96
May 1986
8.48
4.36
June 1986
8.10
4.64
July 1986
8.00
4.32
August 1986
8.52
4.31
September 1986
7.97
4.83
October 1986
8.74
4.82
November 1986
8.31
4.52
December 1986
8.14
4.41
January 1987
8.39
4.09
February 1987
7.42
4.17
March 1987
7.16
4.07
April 1987
6.98
4.68
May 1987
7.06
5.03
June 1987
7.02
4.89
July 1987
6.71
4.63
August 1987
6.06
4.93
September 1987
6.81
5.55
October 1987
8.90
5.56
November 1987
8.47
4.95
December 1987
8.32
4.92
Period
Trend E/P*
Real Treasury perpetuity yield
January 1988
8.18
4.91
February 1988
8.03
4.64
March 1988
7.67
4.84
April 1988
8.04
5.14
May 1988
8.35
5.45
June 1988
7.70
5.14
July 1988
7.90
5.34
August 1988
8.21
5.39
September 1988
8.01
5.03
October 1988
7.84
4.89
November 1988
8.30
4.90
December 1988
8.01
4.64
January 1989
7.76
4.54
February 1989
7.63
4.63
March 1989
7.64
4.76
April 1989
7.45
4.65
May 1989
7.29
4.54
June 1989
7.22
4.01
July 1989
7.04
4.11
August 1989
6.91
4.09
September 1989
6.99
4.10
October 1989
7.15
3.86
November 1989
7.26
3.79
December 1989
7.09
3.78
January 1990
7.42
4.41
February 1990
7.73
4.66
March 1990
7.68
4.69
April 1990
7.68
4.65
May 1990
7.47
4.62
June 1990
7.32
4.35
July 1990
7.40
4.47
August 1990
8.00
5.00
September 1990
8.67
5.19
October 1990
9.26
5.10
November 1990
8.70
4.79
December 1990
8.51
4.45
January 1991
8.95
4.57
Period
Trend E/P*
Real Treasury perpetuity yield
February 1991
7.72
4.39
March 1991
7.66
4.65
April 1991
7.39
4.51
May 1991
7.88
4.54
June 1991
7.79
4.74
July 1991
7.70
4.69
August 1991
7.56
4.42
September 1991
7.65
4.25
October 1991
7.55
4.45
November 1991
7.48
4.52
December 1991
7.76
4.42
January 1992
7.08
4.32
February 1992
7.30
4.52
March 1992
7.29
4.61
April 1992
7.24
4.39
May 1992
7.17
4.37
June 1992
7.43
4.48
July 1992
7.18
4.65
August 1992
7.16
4.45
September 1992
7.14
4.59
October 1992
7.32
4.82
November 1992
7.09
4.62
December 1992
6.95
4.37
January 1993
6.93
4.46
February 1993
6.94
4.32
March 1993
6.71
4.06
April 1993
6.72
3.92
May 1993
6.75
4.01
June 1993
6.77
3.86
July 1993
6.74
3.85
August 1993
6.66
3.50
September 1993
6.59
3.37
October 1993
6.61
3.34
November 1993
6.57
3.60
December 1993
6.63
3.57
January 1994
6.47
3.61
February 1994
6.50
3.72
Period
Trend E/P*
Real Treasury perpetuity yield
March 1994
6.57
4.04
April 1994
6.93
4.32
May 1994
6.84
4.43
June 1994
6.76
4.52
July 1994
6.96
4.56
August 1994
6.74
4.51
September 1994
6.71
4.83
October 1994
6.72
5.00
November 1994
6.81
4.96
December 1994
7.01
4.55
January 1995
6.82
4.70
February 1995
6.65
4.61
March 1995
6.59
4.57
April 1995
6.46
4.55
May 1995
6.23
4.11
June 1995
6.16
3.71
July 1995
6.05
4.03
August 1995
6.00
4.17
September 1995
5.85
3.88
October 1995
5.82
3.84
November 1995
5.81
3.69
December 1995
5.60
3.48
January 1996
5.80
3.50
February 1996
5.42
3.82
March 1996
5.62
4.20
April 1996
5.66
4.38
May 1996
5.51
4.48
June 1996
5.60
4.54
July 1996
5.91
4.47
August 1996
5.72
4.35
September 1996
5.62
4.47
October 1996
5.50
4.27
November 1996
5.35
3.98
December 1996
5.40
4.03
January 1997
5.20
4.30
February 1997
4.96
4.17
March 1997
5.18
4.40
Period
Trend E/P*
Real Treasury perpetuity yield
April 1997
5.38
4.65
May 1997
4.96
4.46
June 1997
4.71
4.32
July 1997
4.51
3.87
August 1997
4.63
3.94
September 1997
4.57
3.80
October 1997
4.51
3.96
November 1997
4.65
3.79
December 1997
4.60
3.62
January 1998
4.68
3.53
February 1998
4.39
3.61
March 1998
4.21
3.64
April 1998
4.13
3.71
May 1998
4.17
3.69
June 1998
4.26
3.39
July 1998
4.05
3.44
August 1998
4.38
3.36
September 1998
4.64
3.24
October 1998
4.88
3.29
November 1998
4.32
3.37
December 1998
4.29
3.25
January 1999
4.08
3.50
February 1999
4.15
3.65
March 1999
3.94
3.85
April 1999
3.88
3.65
May 1999
3.87
3.84
June 1999
3.94
4.03
July 1999
3.77
3.94
August 1999
3.98
4.02
September 1999
4.05
4.14
October 1999
4.18
4.25
November 1999
3.83
4.09
December 1999
3.85
4.26
January 2000
3.76
4.34
February 2000
3.97
3.76
March 2000
3.99
3.64
April 2000
3.91
3.48
Period
Trend E/P*
Real Treasury perpetuity yield
May 2000
3.89
3.78
June 2000
3.86
3.61
July 2000
3.86
3.56
August 2000
3.89
3.38
September 2000
3.91
3.55
October 2000
4.36
3.58
November 2000
4.24
3.52
December 2000
4.37
3.30
January 2001
4.51
3.41
February 2001
4.59
3.37
March 2001
5.22
3.31
April 2001
4.96
3.69
May 2001
4.81
3.78
June 2001
5.03
3.67
July 2001
5.21
3.60
August 2001
5.38
3.46
September 2001
6.41
3.59
October 2001
5.94
3.38
November 2001
5.63
3.25
December 2001
5.61
3.66
January 2002
5.72
3.64
February 2002
5.78
3.56
March 2002
5.61
3.82
April 2002
5.75
3.77
May 2002
5.93
3.79
June 2002
6.42
3.75
July 2002
7.31
3.73
August 2002
6.91
3.49
September 2002
7.59
3.19
October 2002
7.26
3.48
November 2002
7.05
3.47
December 2002
7.20
3.43
January 2003
6.95
3.40
February 2003
7.59
3.25
March 2003
7.25
3.25
April 2003
7.10
3.32
May 2003
6.69
2.93
Period
Trend E/P*
Real Treasury perpetuity yield
June 2003
6.36
2.79
July 2003
6.43
3.34
August 2003
6.36
3.78
September 2003
6.05
3.61
October 2003
5.97
3.62
November 2003
6.05
3.53
December 2003
5.74
3.45
January 2004
5.51
3.38
February 2004
5.43
3.29
March 2004
5.55
3.11
April 2004
5.51
3.49
May 2004
5.71
3.69
June 2004
5.50
3.65
July 2004
5.66
3.47
August 2004
5.72
3.33
September 2004
5.57
3.16
October 2004
5.69
3.09
November 2004
5.32
3.08
December 2004
5.25
3.03
January 2005
5.40
2.85
February 2005
5.32
2.58
March 2005
5.40
2.79
April 2005
5.57
2.62
May 2005
5.47
2.42
June 2005
5.42
2.16
July 2005
5.35
2.22
August 2005
5.47
2.25
September 2005
5.47
2.28
October 2005
5.75
2.45
November 2005
5.49
2.51
December 2005
5.42
2.41
January 2006
5.40
2.31
February 2006
5.43
2.31
March 2006
5.41
2.51
April 2006
5.44
2.89
May 2006
5.71
3.02
June 2006
5.80
2.91
Period
Trend E/P*
Real Treasury perpetuity yield
July 2006
5.90
2.86
August 2006
5.74
2.72
September 2006
5.71
2.56
October 2006
5.57
2.57
November 2006
5.50
2.40
December 2006
5.46
2.42
January 2007
5.52
2.71
February 2007
5.46
2.71
March 2007
5.78
2.63
April 2007
5.54
2.72
May 2007
5.44
2.75
June 2007
5.47
3.01
July 2007
5.42
2.89
August 2007
6.04
2.82
September 2007
5.67
2.66
October 2007
5.66
2.64
November 2007
6.21
2.42
December 2007
6.09
2.48
28 January 2008
6.74+
2.42+
+ Denotes latest observation using daily interest rates and stock prices and latest earnings data from I/B/E/S. Return to table
* Estimated using analyst year-ahead earnings from I/B/E/S. Return to table
Top-right panel
Estimated Equity Premium*
Period
Percent
January 2005
2.55
February 2005
2.75
March 2005
2.62
April 2005
2.95
May 2005
3.05
June 2005
3.26
July 2005
3.13
August 2005
3.22
September 2005
3.19
October 2005
3.30
November 2005
2.99
December 2005
3.00
Period
Percent
January 2006
3.09
February 2006
3.12
March 2006
2.91
April 2006
2.55
May 2006
2.69
June 2006
2.89
July 2006
3.04
August 2006
3.02
September 2006
3.16
October 2006
3.00
November 2006
3.09
December 2006
3.04
January 2007
2.80
February 2007
2.76
March 2007
3.16
April 2007
2.81
May 2007
2.70
June 2007
2.46
July 2007
2.53
August 2007
3.22
September 2007
3.01
October 2007
3.02
November 2007
3.80
December 2007
3.61
28 January 2008
4.32
* Trend E/P ratio less real Treasury perpetuity yield. Return to text
Middle panel
Corporate Bond Spreads
Basis points
Date
10-year high-yield
10-year BBB
10-year A
2 January 1997
326.53
81.95
61.18
3 January 1997
324.41
82.65
61.87
6 January 1997
327.76
83.44
61.79
7 January 1997
325.28
82.88
62.11
8 January 1997
327.07
82.20
61.52
9 January 1997
337.78
83.68
62.87
Date
10-year high-yield
10-year BBB
10-year A
10 January 1997
329.58
82.34
61.94
13 January 1997
321.02
82.31
61.87
14 January 1997
322.97
82.60
62.33
15 January 1997
323.35
81.60
61.48
16 January 1997
317.43
81.01
60.87
17 January 1997
324.96
81.47
61.17
20 January 1997
ND
ND
ND
21 January 1997
315.84
81.69
61.42
22 January 1997
327.97
81.19
60.84
23 January 1997
325.21
81.20
60.88
24 January 1997
316.63
80.85
60.67
27 January 1997
316.68
80.63
60.50
28 January 1997
320.06
80.68
60.35
29 January 1997
320.22
80.99
60.71
30 January 1997
321.32
80.77
60.60
31 January 1997
317.09
81.22
61.30
3 February 1997
320.84
80.23
60.48
4 February 1997
322.52
80.59
60.71
5 February 1997
316.52
79.30
59.61
6 February 1997
315.08
79.76
59.86
7 February 1997
317.48
78.91
58.89
10 February 1997
316.95
79.97
59.87
11 February 1997
314.92
80.01
60.17
12 February 1997
ND
ND
ND
13 February 1997
318.02
78.98
58.78
14 February 1997
320.05
79.55
59.21
17 February 1997
ND
ND
ND
18 February 1997
316.35
78.69
58.53
19 February 1997
312.32
78.80
58.57
20 February 1997
303.72
77.32
57.43
21 February 1997
304.73
78.29
58.76
24 February 1997
301.49
77.75
58.25
25 February 1997
300.74
77.62
58.23
26 February 1997
289.73
76.55
57.23
27 February 1997
290.54
76.06
57.20
28 February 1997
292.82
76.12
56.99
3 March 1997
295.98
74.40
55.61
Date
10-year high-yield
10-year BBB
10-year A
4 March 1997
291.40
74.30
55.38
5 March 1997
293.94
74.07
55.19
6 March 1997
291.09
73.50
54.62
7 March 1997
295.75
73.71
54.76
10 March 1997
295.42
73.09
54.29
11 March 1997
294.85
72.71
54.16
12 March 1997
291.86
72.95
54.46
13 March 1997
285.58
72.86
54.66
14 March 1997
289.46
73.45
55.38
17 March 1997
288.94
73.64
55.67
18 March 1997
289.17
73.74
55.53
19 March 1997
291.62
73.40
55.40
20 March 1997
294.81
74.51
56.58
21 March 1997
296.00
74.62
56.12
24 March 1997
298.74
74.29
56.02
25 March 1997
298.19
75.12
57.10
26 March 1997
299.26
74.74
56.81
27 March 1997
294.24
74.19
56.71
28 March 1997
ND
ND
ND
31 March 1997
280.05
72.81
55.15
1 April 1997
285.14
72.46
54.97
2 April 1997
291.00
73.67
55.73
3 April 1997
296.34
73.89
55.75
4 April 1997
290.64
74.34
56.01
7 April 1997
293.08
74.83
56.35
8 April 1997
290.60
74.65
56.10
9 April 1997
290.31
74.42
55.90
10 April 1997
289.66
74.29
55.94
11 April 1997
285.76
74.27
56.00
14 April 1997
288.39
74.61
56.50
15 April 1997
295.88
75.00
56.41
16 April 1997
293.60
74.85
56.45
17 April 1997
294.16
74.75
56.26
18 April 1997
294.82
74.51
55.98
21 April 1997
290.26
74.24
55.64
22 April 1997
290.80
73.44
54.76
23 April 1997
283.64
73.73
55.28
Date
10-year high-yield
10-year BBB
10-year A
24 April 1997
279.86
74.06
55.31
25 April 1997
278.81
74.50
55.98
28 April 1997
282.16
74.85
56.47
29 April 1997
290.17
75.25
56.75
30 April 1997
294.37
75.49
56.90
1 May 1997
292.82
75.45
56.58
2 May 1997
291.18
74.78
55.97
5 May 1997
291.66
76.66
57.76
6 May 1997
288.92
77.05
57.96
7 May 1997
281.17
75.83
57.21
8 May 1997
283.85
80.32
62.20
9 May 1997
285.09
76.87
58.36
12 May 1997
283.40
77.11
58.82
13 May 1997
275.58
76.55
58.74
14 May 1997
273.75
74.94
56.96
15 May 1997
273.80
76.19
58.14
16 May 1997
271.38
76.28
58.26
19 May 1997
271.19
77.32
59.23
20 May 1997
271.29
77.02
59.00
21 May 1997
267.87
76.29
58.10
22 May 1997
265.79
77.00
58.92
23 May 1997
271.30
81.27
63.06
26 May 1997
ND
ND
ND
27 May 1997
262.93
77.04
58.85
28 May 1997
261.56
76.37
58.26
29 May 1997
262.98
76.05
57.90
30 May 1997
267.71
77.06
58.66
2 June 1997
282.13
75.57
57.03
3 June 1997
282.15
75.39
57.07
4 June 1997
283.09
75.99
57.71
5 June 1997
281.82
76.36
58.07
6 June 1997
288.55
76.77
58.33
9 June 1997
279.25
75.53
56.92
10 June 1997
274.35
74.70
56.37
11 June 1997
273.23
74.19
55.94
12 June 1997
277.55
74.57
55.50
13 June 1997
280.83
75.10
56.02
Date
10-year high-yield
10-year BBB
10-year A
16 June 1997
282.33
75.12
55.92
17 June 1997
279.46
74.74
55.62
18 June 1997
283.63
74.45
55.43
19 June 1997
282.88
74.54
55.43
20 June 1997
285.93
74.98
55.90
23 June 1997
282.62
74.92
55.65
24 June 1997
283.85
75.21
56.07
25 June 1997
280.63
74.77
55.75
26 June 1997
280.46
74.46
55.81
27 June 1997
278.82
71.25
52.58
30 June 1997
278.89
73.88
55.73
1 July 1997
284.22
74.65
56.42
2 July 1997
284.53
74.66
56.46
3 July 1997
294.71
75.49
57.19
4 July 1997
ND
ND
ND
7 July 1997
295.33
74.81
56.86
8 July 1997
294.19
74.71
56.76
9 July 1997
294.69
74.78
56.84
10 July 1997
293.08
74.82
56.67
11 July 1997
294.19
74.86
57.40
14 July 1997
291.54
74.72
57.38
15 July 1997
288.79
74.66
57.22
16 July 1997
293.28
74.82
57.84
17 July 1997
291.83
74.66
57.83
18 July 1997
288.09
73.78
57.13
21 July 1997
285.74
74.10
57.48
22 July 1997
293.19
73.80
56.96
23 July 1997
292.38
74.22
57.34
24 July 1997
290.72
74.82
57.86
25 July 1997
288.09
74.57
57.74
28 July 1997
287.58
73.02
56.00
29 July 1997
294.40
75.97
59.33
30 July 1997
294.35
74.16
57.28
31 July 1997
292.34
74.50
57.27
1 August 1997
277.26
73.87
57.22
4 August 1997
275.78
74.30
57.83
5 August 1997
278.33
73.88
57.33
Date
10-year high-yield
10-year BBB
10-year A
6 August 1997
276.87
75.46
59.01
7 August 1997
276.29
75.55
58.98
8 August 1997
266.76
71.49
54.80
11 August 1997
266.73
71.50
54.73
12 August 1997
265.37
70.97
54.43
13 August 1997
267.97
69.57
54.47
14 August 1997
274.19
70.10
54.46
15 August 1997
274.33
70.12
53.61
18 August 1997
278.19
69.88
54.73
19 August 1997
278.27
69.70
54.14
20 August 1997
276.53
69.92
54.83
21 August 1997
272.32
71.05
54.66
22 August 1997
268.61
71.40
54.97
25 August 1997
266.76
70.19
54.82
26 August 1997
267.48
69.38
53.97
27 August 1997
269.10
69.82
54.31
28 August 1997
275.44
71.13
55.35
29 August 1997
272.60
70.95
55.07
1 September 1997
ND
ND
ND
2 September 1997
273.97
69.76
54.23
3 September 1997
269.39
69.85
54.49
4 September 1997
270.45
69.00
53.43
5 September 1997
268.08
68.84
52.83
8 September 1997
270.59
69.28
53.99
9 September 1997
270.20
69.03
53.42
10 September 1997
267.12
69.18
53.16
11 September 1997
266.88
68.89
52.93
12 September 1997
273.83
69.92
53.80
15 September 1997
273.59
69.33
53.51
16 September 1997
285.08
72.67
54.84
17 September 1997
283.61
70.38
54.42
18 September 1997
280.34
71.07
55.26
19 September 1997
280.34
70.94
54.78
22 September 1997
280.75
71.10
54.95
23 September 1997
277.63
70.55
54.56
24 September 1997
281.08
71.02
55.20
25 September 1997
273.78
70.44
54.17
Date
10-year high-yield
10-year BBB
10-year A
26 September 1997
276.82
70.43
54.30
29 September 1997
275.23
69.84
54.09
30 September 1997
274.94
69.96
53.69
1 October 1997
279.15
71.03
54.26
2 October 1997
280.81
71.20
54.05
3 October 1997
271.60
69.34
52.25
6 October 1997
280.31
70.61
53.89
7 October 1997
281.11
70.72
54.14
8 October 1997
270.39
71.84
54.15
9 October 1997
271.73
69.61
53.31
10 October 1997
265.09
69.12
52.46
13 October 1997
ND
ND
ND
14 October 1997
271.55
69.81
53.27
15 October 1997
269.17
69.72
53.13
16 October 1997
267.57
69.18
52.76
17 October 1997
263.57
68.61
52.70
20 October 1997
266.02
69.16
53.33
21 October 1997
266.64
69.39
53.49
22 October 1997
267.35
69.07
53.22
23 October 1997
274.58
69.82
54.08
24 October 1997
277.16
72.50
55.20
27 October 1997
290.16
67.75
52.03
28 October 1997
294.97
73.67
58.37
29 October 1997
298.67
72.87
56.75
30 October 1997
304.82
75.00
57.36
31 October 1997
312.15
79.16
62.62
3 November 1997
308.36
81.60
64.71
4 November 1997
301.90
81.26
64.39
5 November 1997
301.20
81.87
64.47
6 November 1997
303.70
82.96
65.42
7 November 1997
304.03
83.02
65.38
10 November 1997
303.36
83.41
65.96
11 November 1997
ND
ND
ND
12 November 1997
302.56
81.70
63.98
13 November 1997
305.84
82.77
64.94
14 November 1997
306.89
83.11
65.75
17 November 1997
306.42
84.03
67.49
Date
10-year high-yield
10-year BBB
10-year A
18 November 1997
307.54
84.40
67.90
19 November 1997
311.45
85.78
69.17
20 November 1997
309.14
86.55
69.51
21 November 1997
309.46
86.56
69.39
24 November 1997
307.51
86.30
69.30
25 November 1997
306.97
86.95
69.29
26 November 1997
307.26
89.09
69.42
27 November 1997
ND
ND
ND
28 November 1997
308.74
92.30
71.95
1 December 1997
307.25
88.76
68.50
2 December 1997
308.44
88.59
68.23
3 December 1997
309.32
88.90
68.56
4 December 1997
306.03
89.22
68.98
5 December 1997
300.88
90.47
70.01
8 December 1997
297.34
89.69
69.40
9 December 1997
297.69
88.88
69.02
10 December 1997
300.06
88.63
68.67
11 December 1997
304.81
88.32
68.20
12 December 1997
310.81
88.45
68.47
15 December 1997
307.59
88.76
69.00
16 December 1997
308.58
88.64
68.92
17 December 1997
304.83
89.42
69.61
18 December 1997
310.48
89.60
69.67
19 December 1997
310.86
86.17
66.17
22 December 1997
312.77
89.96
70.41
23 December 1997
311.56
88.79
69.03
24 December 1997
310.22
89.40
69.49
25 December 1997
ND
ND
ND
26 December 1997
310.79
90.16
70.11
29 December 1997
309.39
90.08
70.28
30 December 1997
306.48
89.25
70.23
31 December 1997
320.75
90.38
69.91
1 January 1998
ND
ND
ND
2 January 1998
328.27
92.72
71.33
5 January 1998
334.92
89.89
69.92
6 January 1998
334.57
88.43
68.31
7 January 1998
328.06
87.80
67.89
Date
10-year high-yield
10-year BBB
10-year A
8 January 1998
331.11
87.28
67.73
9 January 1998
335.13
85.95
67.07
12 January 1998
335.52
87.28
68.42
13 January 1998
333.46
88.26
69.13
14 January 1998
329.11
87.75
68.44
15 January 1998
327.37
88.23
69.39
16 January 1998
321.77
89.41
70.11
19 January 1998
ND
ND
ND
20 January 1998
319.74
92.97
71.97
21 January 1998
320.95
90.56
71.70
22 January 1998
318.80
89.06
70.37
23 January 1998
308.27
88.78
69.61
26 January 1998
312.83
90.74
71.07
27 January 1998
309.27
91.08
71.37
28 January 1998
309.30
92.66
71.97
29 January 1998
318.13
93.22
72.59
30 January 1998
318.89
97.68
74.51
2 February 1998
318.94
94.97
72.59
3 February 1998
318.47
93.91
71.74
4 February 1998
319.85
93.77
72.05
5 February 1998
312.10
92.34
70.47
6 February 1998
312.68
93.51
71.26
9 February 1998
311.24
93.69
71.24
10 February 1998
312.12
94.41
71.80
11 February 1998
316.79
95.74
73.74
12 February 1998
314.49
91.37
68.06
13 February 1998
316.04
93.15
68.84
16 February 1998
ND
ND
ND
17 February 1998
319.42
91.67
67.55
18 February 1998
314.75
91.39
67.81
19 February 1998
313.65
91.58
67.95
20 February 1998
313.36
91.35
68.00
23 February 1998
310.61
92.04
68.36
24 February 1998
302.76
89.73
65.88
25 February 1998
311.72
93.47
69.74
26 February 1998
310.29
93.93
69.91
27 February 1998
312.02
95.22
70.48
Date
10-year high-yield
10-year BBB
10-year A
2 March 1998
301.85
92.88
68.30
3 March 1998
301.15
92.87
68.30
4 March 1998
302.15
93.75
69.32
5 March 1998
298.98
92.06
67.36
6 March 1998
303.80
92.19
67.74
9 March 1998
307.97
92.14
67.63
10 March 1998
308.65
92.52
67.99
11 March 1998
310.63
93.08
68.64
12 March 1998
315.16
93.11
68.92
13 March 1998
313.63
92.72
68.80
16 March 1998
314.26
91.60
67.80
17 March 1998
312.90
91.62
67.63
18 March 1998
310.00
91.83
67.67
19 March 1998
310.21
92.22
68.17
20 March 1998
310.58
92.64
68.29
23 March 1998
309.89
92.75
68.44
24 March 1998
309.73
92.60
68.33
25 March 1998
305.36
93.74
69.12
26 March 1998
301.92
94.42
69.49
27 March 1998
301.02
94.66
69.52
30 March 1998
298.42
94.35
69.22
31 March 1998
305.68
93.63
68.20
1 April 1998
309.14
92.82
67.91
2 April 1998
312.18
92.51
67.52
3 April 1998
319.33
92.35
67.62
6 April 1998
314.23
93.04
68.20
7 April 1998
312.62
92.62
68.13
8 April 1998
309.06
92.44
67.38
9 April 1998
309.75
94.08
69.00
10 April 1998
ND
ND
ND
13 April 1998
305.31
93.75
68.50
14 April 1998
307.81
93.10
68.07
15 April 1998
307.76
91.63
66.99
16 April 1998
307.80
91.16
66.62
17 April 1998
304.70
91.10
66.91
20 April 1998
303.19
90.98
66.36
21 April 1998
301.65
91.30
66.27
Date
10-year high-yield
10-year BBB
10-year A
22 April 1998
300.53
90.87
65.88
23 April 1998
300.78
91.53
66.24
24 April 1998
302.43
91.59
66.27
27 April 1998
299.13
91.43
ND
28 April 1998
298.93
92.03
ND
29 April 1998
299.00
91.62
ND
30 April 1998
316.17
90.66
ND
1 May 1998
318.04
90.58
64.95
4 May 1998
316.56
90.82
65.04
5 May 1998
313.50
90.90
64.79
6 May 1998
315.47
89.68
64.44
7 May 1998
315.47
90.64
65.02
8 May 1998
313.62
90.76
65.40
11 May 1998
309.84
91.65
65.91
12 May 1998
317.41
91.91
66.53
13 May 1998
319.98
92.31
66.82
14 May 1998
317.62
90.94
64.07
15 May 1998
318.01
91.50
65.21
18 May 1998
322.45
92.18
65.67
19 May 1998
320.88
90.33
64.18
20 May 1998
324.97
91.17
65.03
21 May 1998
322.81
92.89
66.51
22 May 1998
324.56
93.05
66.79
25 May 1998
ND
ND
ND
26 May 1998
326.73
91.20
65.02
27 May 1998
328.00
91.04
65.03
28 May 1998
328.23
92.04
65.96
29 May 1998
327.61
93.36
65.84
1 June 1998
341.92
89.69
63.70
2 June 1998
338.17
90.81
65.02
3 June 1998
338.15
91.23
65.45
4 June 1998
338.30
90.92
65.13
5 June 1998
339.70
92.20
66.49
8 June 1998
339.68
92.16
66.56
9 June 1998
340.01
92.32
66.50
10 June 1998
347.10
92.75
67.20
11 June 1998
353.90
93.08
67.72
Date
10-year high-yield
10-year BBB
10-year A
12 June 1998
355.45
93.30
67.70
15 June 1998
360.98
94.56
68.00
16 June 1998
359.62
94.20
68.15
17 June 1998
350.63
94.32
67.48
18 June 1998
355.41
94.86
68.54
19 June 1998
357.60
94.96
68.71
22 June 1998
361.27
94.45
67.94
23 June 1998
364.29
96.19
69.68
24 June 1998
357.01
95.08
68.53
25 June 1998
355.92
94.29
68.86
26 June 1998
357.59
95.85
69.92
29 June 1998
355.20
94.50
68.90
30 June 1998
370.64
98.54
72.71
1 July 1998
370.77
97.36
71.89
2 July 1998
371.22
99.30
73.46
3 July 1998
ND
ND
ND
6 July 1998
373.02
98.97
72.95
7 July 1998
371.32
99.00
73.31
8 July 1998
369.33
99.19
73.11
9 July 1998
372.19
99.31
73.52
10 July 1998
370.78
98.82
73.54
13 July 1998
366.96
99.32
73.93
14 July 1998
364.20
99.29
73.84
15 July 1998
362.76
99.25
73.52
16 July 1998
360.91
99.56
73.37
17 July 1998
362.26
99.06
72.65
20 July 1998
362.38
100.59
73.70
21 July 1998
364.69
100.42
73.62
22 July 1998
362.78
99.97
73.60
23 July 1998
365.47
100.10
73.84
24 July 1998
364.48
100.57
73.90
27 July 1998
355.65
99.85
74.47
28 July 1998
348.98
97.15
71.40
29 July 1998
354.67
101.38
74.76
30 July 1998
357.05
104.46
77.12
31 July 1998
365.40
108.51
79.15
3 August 1998
372.96
109.65
80.48
Date
10-year high-yield
10-year BBB
10-year A
4 August 1998
378.72
108.85
79.62
5 August 1998
380.39
109.09
79.66
6 August 1998
379.47
110.41
80.38
7 August 1998
383.57
111.71
81.47
10 August 1998
384.93
111.28
80.92
11 August 1998
398.11
111.60
81.21
12 August 1998
398.82
112.34
81.48
13 August 1998
398.82
112.88
82.05
14 August 1998
402.51
113.20
82.87
17 August 1998
402.51
114.49
81.98
18 August 1998
407.46
115.61
83.55
19 August 1998
406.79
115.63
83.29
20 August 1998
412.12
116.50
84.02
21 August 1998
426.27
116.11
83.06
24 August 1998
432.04
118.78
83.10
25 August 1998
438.40
119.15
82.13
26 August 1998
443.09
113.38
76.52
27 August 1998
477.23
119.04
82.28
28 August 1998
487.75
128.05
82.86
31 August 1998
506.63
167.77
123.03
1 September 1998
514.12
165.86
121.69
2 September 1998
512.53
165.95
122.25
3 September 1998
518.07
163.96
121.21
4 September 1998
519.65
163.72
122.07
7 September 1998
ND
ND
ND
8 September 1998
512.46
159.66
119.39
9 September 1998
519.63
159.55
118.32
10 September 1998
537.63
158.57
115.27
11 September 1998
537.67
158.22
115.33
14 September 1998
535.45
160.93
117.33
15 September 1998
533.43
158.70
116.39
16 September 1998
532.68
160.47
117.72
17 September 1998
534.07
160.66
117.52
18 September 1998
541.21
156.52
113.76
21 September 1998
542.00
155.70
112.72
22 September 1998
536.62
157.36
114.67
23 September 1998
536.62
156.82
114.95
Date
10-year high-yield
10-year BBB
10-year A
24 September 1998
535.13
156.33
114.21
25 September 1998
537.00
155.40
113.54
28 September 1998
534.91
155.53
113.02
29 September 1998
538.03
159.77
118.23
30 September 1998
552.54
159.62
114.75
1 October 1998
563.16
159.26
113.90
2 October 1998
568.97
162.39
118.85
5 October 1998
583.57
162.11
119.81
6 October 1998
578.25
160.12
117.82
7 October 1998
574.31
161.83
118.40
8 October 1998
580.74
161.50
116.89
9 October 1998
573.04
166.26
122.59
12 October 1998
ND
ND
ND
13 October 1998
573.37
164.59
119.58
14 October 1998
596.35
163.06
120.45
15 October 1998
604.49
162.97
118.86
16 October 1998
612.85
164.44
121.34
19 October 1998
611.64
164.25
120.44
20 October 1998
598.42
163.96
119.65
21 October 1998
595.13
163.85
119.46
22 October 1998
591.30
164.24
119.88
23 October 1998
583.27
165.00
120.34
26 October 1998
585.57
170.78
124.69
27 October 1998
588.71
170.33
124.31
28 October 1998
592.77
170.36
123.92
29 October 1998
592.63
168.82
126.42
30 October 1998
580.44
183.96
132.48
2 November 1998
571.86
182.65
129.60
3 November 1998
566.62
182.50
131.51
4 November 1998
558.11
184.17
132.58
5 November 1998
554.14
178.53
124.50
6 November 1998
545.27
178.57
124.09
9 November 1998
544.29
179.60
125.67
10 November 1998
545.28
179.62
125.94
11 November 1998
ND
ND
ND
12 November 1998
539.15
176.70
125.93
13 November 1998
532.42
180.01
130.20
Date
10-year high-yield
10-year BBB
10-year A
16 November 1998
523.06
181.09
130.36
17 November 1998
511.90
181.61
129.98
18 November 1998
517.97
182.35
129.71
19 November 1998
512.39
178.70
128.39
20 November 1998
514.77
178.84
128.65
23 November 1998
507.94
176.85
126.86
24 November 1998
502.42
173.43
122.66
25 November 1998
500.56
170.82
117.05
26 November 1998
ND
ND
ND
27 November 1998
502.50
170.94
116.80
30 November 1998
501.54
167.65
107.05
1 December 1998
505.11
170.80
111.29
2 December 1998
513.72
166.20
106.31
3 December 1998
517.14
164.35
104.40
4 December 1998
509.12
163.88
104.04
7 December 1998
504.26
163.42
102.60
8 December 1998
512.82
162.80
101.90
9 December 1998
517.63
165.26
103.07
10 December 1998
521.91
165.00
101.98
11 December 1998
516.46
165.27
103.06
14 December 1998
524.06
165.38
101.02
15 December 1998
522.18
165.44
101.62
16 December 1998
526.90
166.84
103.06
17 December 1998
529.58
164.59
101.67
18 December 1998
526.40
163.59
101.16
21 December 1998
520.26
162.58
100.70
22 December 1998
515.39
162.13
100.09
23 December 1998
506.03
160.79
99.11
24 December 1998
500.16
158.95
97.82
25 December 1998
ND
ND
ND
28 December 1998
506.86
158.80
98.12
29 December 1998
512.58
160.36
99.47
30 December 1998
515.36
158.82
98.21
31 December 1998
514.32
160.72
96.79
1 January 1999
ND
ND
ND
4 January 1999
510.25
159.00
93.92
5 January 1999
506.77
161.78
95.34
Date
10-year high-yield
10-year BBB
10-year A
6 January 1999
509.33
163.83
96.96
7 January 1999
503.72
161.66
93.78
8 January 1999
493.92
157.18
92.13
11 January 1999
491.46
156.93
91.24
12 January 1999
495.53
155.15
89.64
13 January 1999
507.08
154.08
88.64
14 January 1999
513.12
152.68
87.71
15 January 1999
511.13
155.64
91.33
18 January 1999
ND
ND
ND
19 January 1999
506.27
154.23
90.26
20 January 1999
499.38
153.71
89.43
21 January 1999
503.49
155.35
90.91
22 January 1999
511.64
155.79
92.17
25 January 1999
507.65
155.46
92.14
26 January 1999
506.38
157.32
93.74
27 January 1999
504.91
156.49
93.71
28 January 1999
507.05
157.22
94.61
29 January 1999
506.50
151.96
92.28
1 February 1999
502.38
150.19
90.51
2 February 1999
497.42
148.51
88.79
3 February 1999
499.59
149.89
90.60
4 February 1999
487.03
147.83
88.81
5 February 1999
482.06
145.93
87.57
8 February 1999
482.55
144.96
87.55
9 February 1999
485.48
145.97
88.38
10 February 1999
484.89
145.49
87.82
11 February 1999
483.97
144.16
86.09
12 February 1999
470.42
142.48
84.98
15 February 1999
ND
ND
ND
16 February 1999
474.35
142.17
85.91
17 February 1999
469.79
142.72
86.37
18 February 1999
477.50
140.85
84.73
19 February 1999
476.23
142.21
86.52
22 February 1999
481.24
141.41
86.39
23 February 1999
477.25
140.40
85.39
24 February 1999
472.50
140.11
85.14
25 February 1999
469.25
142.22
87.62
Date
10-year high-yield
10-year BBB
10-year A
26 February 1999
475.65
140.40
87.53
1 March 1999
466.47
144.12
87.33
2 March 1999
472.05
143.85
86.65
3 March 1999
469.78
142.60
85.43
4 March 1999
468.43
142.69
85.85
5 March 1999
468.58
140.46
82.98
8 March 1999
470.66
140.83
82.63
9 March 1999
474.07
138.48
80.67
10 March 1999
471.19
138.36
81.16
11 March 1999
467.79
137.72
80.75
12 March 1999
470.57
137.13
80.24
15 March 1999
473.02
138.74
81.85
16 March 1999
475.88
137.64
81.62
17 March 1999
470.09
136.28
79.91
18 March 1999
470.31
136.43
80.16
19 March 1999
460.70
135.40
79.23
22 March 1999
458.91
133.90
79.06
23 March 1999
459.73
133.78
78.39
24 March 1999
461.86
134.97
79.86
25 March 1999
456.61
133.97
78.92
26 March 1999
456.63
133.37
78.71
29 March 1999
452.77
133.90
79.63
30 March 1999
456.82
135.29
80.39
31 March 1999
448.72
133.54
83.09
1 April 1999
446.42
134.14
83.78
2 April 1999
ND
ND
ND
5 April 1999
453.56
134.51
83.65
6 April 1999
457.48
135.30
84.25
7 April 1999
453.03
134.16
83.86
8 April 1999
458.42
134.62
84.61
9 April 1999
453.96
134.50
84.11
12 April 1999
453.91
135.34
84.91
13 April 1999
448.43
134.73
84.59
14 April 1999
446.47
135.22
84.31
15 April 1999
443.17
135.17
84.21
16 April 1999
440.00
135.34
84.99
19 April 1999
443.59
133.94
84.39
Date
10-year high-yield
10-year BBB
10-year A
20 April 1999
446.98
133.36
84.67
21 April 1999
447.01
133.39
84.70
22 April 1999
439.58
133.38
84.54
23 April 1999
439.92
133.42
85.06
26 April 1999
443.89
134.83
86.73
27 April 1999
444.58
135.54
87.48
28 April 1999
443.73
136.64
88.45
29 April 1999
449.65
136.08
89.16
30 April 1999
436.14
131.85
85.53
3 May 1999
432.81
133.44
87.13
4 May 1999
431.96
132.21
86.23
5 May 1999
437.72
133.21
87.16
6 May 1999
428.90
132.78
87.19
7 May 1999
427.73
132.50
87.18
10 May 1999
433.25
132.59
86.50
11 May 1999
431.05
133.50
87.25
12 May 1999
435.23
133.12
87.44
13 May 1999
442.19
130.22
85.55
14 May 1999
432.85
131.93
86.43
17 May 1999
435.16
132.43
87.27
18 May 1999
435.04
130.38
83.97
19 May 1999
441.05
133.68
87.44
20 May 1999
441.39
132.05
87.71
21 May 1999
445.06
131.01
87.25
24 May 1999
447.61
128.46
84.80
25 May 1999
448.90
131.43
87.62
26 May 1999
448.82
131.60
87.58
27 May 1999
445.06
132.80
88.39
28 May 1999
ND
ND
ND
31 May 1999
ND
ND
ND
1 June 1999
436.97
137.07
93.93
2 June 1999
438.32
138.55
95.75
3 June 1999
439.46
139.12
95.91
4 June 1999
440.78
139.06
95.85
7 June 1999
439.93
140.82
96.84
8 June 1999
437.89
140.36
96.57
9 June 1999
435.24
141.32
97.92
Date
10-year high-yield
10-year BBB
10-year A
10 June 1999
435.90
140.40
97.05
11 June 1999
429.06
140.51
97.17
14 June 1999
434.76
141.06
97.83
15 June 1999
435.89
142.56
98.90
16 June 1999
438.22
141.37
98.19
17 June 1999
450.02
139.71
97.17
18 June 1999
440.82
141.55
98.60
21 June 1999
440.26
140.96
97.92
22 June 1999
435.19
139.70
96.55
23 June 1999
432.14
140.25
96.74
24 June 1999
429.66
141.54
97.55
25 June 1999
432.13
140.96
97.20
28 June 1999
440.31
141.83
98.46
29 June 1999
442.45
141.63
97.82
30 June 1999
447.45
142.04
99.71
1 July 1999
442.29
141.93
99.12
2 July 1999
443.28
143.01
100.33
5 July 1999
ND
ND
ND
6 July 1999
440.01
142.06
99.35
7 July 1999
438.41
142.86
99.78
8 July 1999
444.26
143.61
100.82
9 July 1999
442.87
143.69
101.13
12 July 1999
ND
ND
ND
13 July 1999
450.43
142.43
99.84
14 July 1999
448.11
141.39
99.49
15 July 1999
446.39
141.39
99.57
16 July 1999
447.76
140.28
98.74
19 July 1999
450.28
139.47
99.28
20 July 1999
450.34
139.68
99.43
21 July 1999
ND
ND
ND
22 July 1999
443.74
140.35
98.86
23 July 1999
443.53
140.73
99.07
26 July 1999
444.98
144.22
104.50
27 July 1999
451.35
143.66
104.22
28 July 1999
452.07
143.51
103.91
29 July 1999
448.17
144.19
104.11
30 July 1999
447.33
148.39
107.55
Date
10-year high-yield
10-year BBB
10-year A
2 August 1999
430.98
146.79
107.12
3 August 1999
435.45
148.97
109.38
4 August 1999
443.96
148.11
108.66
5 August 1999
447.51
146.53
107.58
6 August 1999
439.94
148.21
107.53
9 August 1999
433.29
151.03
110.45
10 August 1999
435.37
151.11
110.67
11 August 1999
440.49
150.55
110.38
12 August 1999
435.35
147.53
107.28
13 August 1999
442.34
149.07
109.11
16 August 1999
439.15
147.28
106.23
17 August 1999
445.80
146.71
105.43
18 August 1999
447.71
146.49
105.53
19 August 1999
447.57
146.69
105.17
20 August 1999
448.68
146.81
105.35
23 August 1999
448.72
148.26
106.36
24 August 1999
451.86
146.95
104.99
25 August 1999
459.85
147.37
105.74
26 August 1999
459.07
148.86
106.42
27 August 1999
451.49
149.48
106.98
30 August 1999
445.22
149.53
106.78
31 August 1999
443.03
155.61
109.31
1 September 1999
443.60
154.73
108.87
2 September 1999
437.17
154.40
107.89
3 September 1999
449.14
154.22
108.04
6 September 1999
ND
ND
ND
7 September 1999
445.23
153.96
107.55
8 September 1999
448.91
153.64
107.36
9 September 1999
447.12
152.99
106.18
10 September 1999
454.87
153.57
106.42
13 September 1999
452.94
152.25
104.31
14 September 1999
450.58
151.08
102.73
15 September 1999
453.08
151.21
103.05
16 September 1999
457.95
153.44
105.47
17 September 1999
458.95
153.24
105.29
20 September 1999
458.21
153.07
103.77
21 September 1999
458.45
151.71
102.97
Date
10-year high-yield
10-year BBB
10-year A
22 September 1999
460.09
152.08
103.11
23 September 1999
466.22
152.15
103.49
24 September 1999
476.55
154.34
104.22
27 September 1999
470.81
154.83
104.34
28 September 1999
464.66
153.67
103.67
29 September 1999
457.69
152.66
103.32
30 September 1999
462.01
152.63
104.44
1 October 1999
456.01
150.11
103.08
4 October 1999
460.67
151.52
104.55
5 October 1999
451.28
150.70
103.02
6 October 1999
449.10
150.94
103.44
7 October 1999
444.78
151.16
104.33
8 October 1999
444.57
150.10
103.02
11 October 1999
ND
ND
ND
12 October 1999
447.74
148.83
103.08
13 October 1999
444.34
146.69
101.33
14 October 1999
440.76
146.13
100.42
15 October 1999
447.73
145.65
99.84
18 October 1999
446.29
146.38
99.65
19 October 1999
442.22
145.79
99.48
20 October 1999
443.17
145.97
99.85
21 October 1999
441.80
145.30
99.03
22 October 1999
442.43
145.91
100.13
25 October 1999
444.56
144.89
99.49
26 October 1999
444.44
145.70
100.23
27 October 1999
452.49
147.29
101.33
28 October 1999
459.92
148.92
102.66
29 October 1999
469.10
147.95
100.21
1 November 1999
462.20
147.83
99.20
2 November 1999
462.46
148.55
100.24
3 November 1999
456.15
147.39
99.33
4 November 1999
469.89
147.80
99.63
5 November 1999
464.04
148.83
99.96
8 November 1999
463.01
150.23
99.70
9 November 1999
460.90
149.79
100.05
10 November 1999
461.10
149.20
99.74
11 November 1999
ND
ND
ND
Date
10-year high-yield
10-year BBB
10-year A
12 November 1999
467.07
149.57
99.74
15 November 1999
467.98
151.46
100.68
16 November 1999
467.23
151.64
101.18
17 November 1999
456.59
150.77
100.50
18 November 1999
454.22
149.38
99.22
19 November 1999
451.53
149.75
99.82
22 November 1999
445.64
148.84
98.54
23 November 1999
446.29
148.03
97.57
24 November 1999
445.65
147.40
97.04
25 November 1999
ND
ND
ND
26 November 1999
442.99
146.94
96.91
29 November 1999
435.92
144.08
92.69
30 November 1999
436.16
146.32
94.22
1 December 1999
433.16
145.84
93.53
2 December 1999
430.92
146.03
93.65
3 December 1999
436.25
146.93
94.49
6 December 1999
435.94
145.92
93.89
7 December 1999
436.88
145.15
93.64
8 December 1999
428.49
144.51
92.55
9 December 1999
428.77
146.37
94.29
10 December 1999
432.77
148.06
95.74
13 December 1999
431.20
148.11
95.64
14 December 1999
422.97
146.91
94.82
15 December 1999
419.80
146.30
94.22
16 December 1999
413.35
144.07
92.22
17 December 1999
416.32
144.39
92.64
20 December 1999
403.50
141.71
90.27
21 December 1999
396.09
140.72
89.72
22 December 1999
407.92
142.40
91.41
23 December 1999
405.90
142.47
91.70
24 December 1999
ND
ND
ND
27 December 1999
404.75
144.36
91.15
28 December 1999
394.81
141.00
91.37
29 December 1999
404.67
138.13
91.23
30 December 1999
405.98
137.23
90.59
31 December 1999
410.49
136.84
91.60
3 January 2000
404.86
138.89
93.90
Date
10-year high-yield
10-year BBB
10-year A
4 January 2000
416.95
141.23
95.77
5 January 2000
414.93
140.46
95.26
6 January 2000
425.01
142.54
97.14
7 January 2000
422.86
144.55
98.83
10 January 2000
415.58
143.42
97.85
11 January 2000
410.10
142.22
98.02
12 January 2000
403.35
139.94
96.39
13 January 2000
418.31
144.68
100.29
14 January 2000
414.67
148.08
103.79
17 January 2000
ND
ND
ND
18 January 2000
422.92
148.80
104.62
19 January 2000
413.33
149.57
105.49
20 January 2000
419.58
149.57
105.80
21 January 2000
418.83
150.95
107.70
24 January 2000
423.16
149.15
105.14
25 January 2000
420.25
148.02
104.06
26 January 2000
424.91
149.80
106.43
27 January 2000
427.62
150.46
107.05
28 January 2000
429.99
150.26
106.95
31 January 2000
434.47
147.74
108.04
1 February 2000
433.04
147.04
107.43
2 February 2000
446.96
145.47
105.88
3 February 2000
447.54
142.26
102.44
4 February 2000
438.87
144.79
104.66
7 February 2000
437.69
145.37
106.37
8 February 2000
442.52
149.41
109.69
9 February 2000
434.93
150.52
111.42
10 February 2000
429.13
148.48
109.59
11 February 2000
435.01
149.56
110.54
14 February 2000
438.91
148.40
109.15
15 February 2000
438.91
147.34
108.35
16 February 2000
457.24
146.93
108.37
17 February 2000
421.02
148.28
110.05
18 February 2000
452.93
149.17
110.79
21 February 2000
ND
ND
ND
22 February 2000
461.65
147.26
108.85
23 February 2000
440.96
147.07
109.59
Date
10-year high-yield
10-year BBB
10-year A
24 February 2000
446.20
145.19
107.75
25 February 2000
469.17
144.85
107.70
28 February 2000
482.45
158.04
121.37
29 February 2000
473.52
160.22
122.07
1 March 2000
477.31
158.92
120.30
2 March 2000
479.51
162.55
124.89
3 March 2000
481.43
162.72
125.26
6 March 2000
477.74
161.85
124.32
7 March 2000
476.92
160.10
123.08
8 March 2000
475.46
ND
122.31
9 March 2000
477.71
157.51
120.36
10 March 2000
480.92
157.00
120.00
13 March 2000
486.04
158.77
123.76
14 March 2000
492.61
160.46
123.82
15 March 2000
501.36
162.69
126.65
16 March 2000
503.04
162.32
126.54
17 March 2000
509.21
162.12
126.16
20 March 2000
510.45
161.67
125.99
21 March 2000
513.75
162.85
126.93
22 March 2000
517.43
161.41
125.76
23 March 2000
523.09
160.52
124.92
24 March 2000
518.22
159.93
124.72
27 March 2000
519.75
162.71
127.41
28 March 2000
531.48
165.14
128.81
29 March 2000
536.94
163.18
128.05
30 March 2000
556.54
180.17
137.77
31 March 2000
559.69
181.64
138.94
3 April 2000
558.90
178.51
135.29
4 April 2000
574.31
177.03
132.94
5 April 2000
575.61
179.23
135.55
6 April 2000
571.82
180.45
136.67
7 April 2000
573.51
182.28
139.64
10 April 2000
563.39
180.51
137.40
11 April 2000
555.75
186.34
140.76
12 April 2000
547.45
187.92
140.96
13 April 2000
552.52
188.12
142.49
14 April 2000
560.32
192.94
147.58
Date
10-year high-yield
10-year BBB
10-year A
17 April 2000
540.45
186.77
139.46
18 April 2000
548.82
190.02
142.97
19 April 2000
552.92
191.98
144.57
20 April 2000
553.11
193.03
144.92
21 April 2000
ND
ND
ND
24 April 2000
557.47
190.44
142.30
25 April 2000
545.45
192.97
144.44
26 April 2000
547.09
192.93
144.30
27 April 2000
541.01
197.29
151.31
28 April 2000
538.87
204.65
153.50
1 May 2000
541.49
206.08
154.05
2 May 2000
534.48
206.07
154.23
3 May 2000
524.37
204.16
152.86
4 May 2000
521.85
202.34
151.17
5 May 2000
519.80
204.06
152.25
8 May 2000
514.66
203.27
153.10
9 May 2000
520.64
204.84
154.24
10 May 2000
529.77
205.05
154.31
11 May 2000
532.68
205.29
154.14
12 May 2000
527.80
204.59
153.23
15 May 2000
531.43
208.59
155.81
16 May 2000
536.38
210.47
158.57
17 May 2000
530.08
211.11
158.89
18 May 2000
524.69
209.19
157.11
19 May 2000
536.33
210.16
159.19
22 May 2000
541.55
208.92
158.32
23 May 2000
545.86
210.82
161.75
24 May 2000
546.36
209.86
160.42
25 May 2000
558.75
217.68
167.76
26 May 2000
565.25
219.44
168.71
29 May 2000
ND
ND
ND
30 May 2000
561.42
218.48
168.43
31 May 2000
571.14
220.55
172.50
1 June 2000
577.73
219.70
171.93
2 June 2000
575.08
219.40
172.02
5 June 2000
578.39
216.35
169.34
6 June 2000
574.23
216.93
170.26
Date
10-year high-yield
10-year BBB
10-year A
7 June 2000
573.17
215.92
167.98
8 June 2000
572.47
215.02
167.67
9 June 2000
567.15
213.43
167.55
12 June 2000
569.17
212.65
166.50
13 June 2000
571.53
216.74
170.01
14 June 2000
571.49
210.51
164.56
15 June 2000
568.06
210.05
163.30
16 June 2000
570.56
208.42
161.87
19 June 2000
570.34
207.42
161.34
20 June 2000
567.93
206.52
161.88
21 June 2000
563.71
205.79
161.67
22 June 2000
563.04
206.22
163.30
23 June 2000
557.17
204.96
162.82
26 June 2000
561.75
204.33
162.02
27 June 2000
563.07
205.25
164.13
28 June 2000
561.39
204.87
164.59
29 June 2000
569.76
205.07
165.54
30 June 2000
574.12
204.18
164.23
3 July 2000
578.02
203.45
165.44
4 July 2000
ND
ND
ND
5 July 2000
579.20
204.10
166.29
6 July 2000
575.63
203.48
164.82
7 July 2000
581.81
205.65
167.05
10 July 2000
ND
ND
ND
11 July 2000
579.90
205.99
167.90
12 July 2000
580.15
206.58
168.39
13 July 2000
585.06
206.67
168.97
14 July 2000
571.75
205.08
166.40
17 July 2000
563.79
203.03
163.99
18 July 2000
567.38
202.00
163.71
19 July 2000
565.49
199.94
162.93
20 July 2000
578.32
201.52
163.98
21 July 2000
579.52
202.36
164.90
24 July 2000
576.81
202.66
165.57
25 July 2000
577.96
202.99
166.10
26 July 2000
580.67
202.83
165.94
27 July 2000
584.25
203.87
167.83
Date
10-year high-yield
10-year BBB
10-year A
28 July 2000
583.98
202.49
165.81
31 July 2000
591.95
203.82
167.06
1 August 2000
598.55
204.25
167.17
2 August 2000
602.33
203.47
167.35
3 August 2000
599.31
204.11
167.84
4 August 2000
604.19
203.61
166.46
7 August 2000
600.07
202.34
166.54
8 August 2000
603.43
203.59
166.78
9 August 2000
601.56
204.43
167.27
10 August 2000
603.67
204.40
167.16
11 August 2000
598.84
203.44
166.59
14 August 2000
600.30
205.48
168.06
15 August 2000
600.71
202.49
165.56
16 August 2000
598.94
201.51
164.59
17 August 2000
599.60
202.20
166.20
18 August 2000
602.42
202.82
166.94
21 August 2000
600.75
202.32
165.45
22 August 2000
599.16
202.67
166.49
23 August 2000
603.98
204.14
168.17
24 August 2000
605.53
204.71
168.90
25 August 2000
603.31
204.39
168.72
28 August 2000
595.95
204.70
169.39
29 August 2000
590.38
203.31
169.12
30 August 2000
589.07
203.52
168.28
31 August 2000
584.00
203.72
171.01
1 September 2000
587.19
204.74
170.69
4 September 2000
ND
ND
ND
5 September 2000
578.06
203.64
170.75
6 September 2000
573.08
201.84
169.19
7 September 2000
568.04
202.43
169.29
8 September 2000
570.59
203.43
169.61
11 September 2000
568.37
203.31
168.76
12 September 2000
570.19
203.72
168.87
13 September 2000
573.12
203.02
168.30
14 September 2000
566.85
202.74
167.47
15 September 2000
567.03
204.11
166.46
18 September 2000
571.04
205.38
165.96
Date
10-year high-yield
10-year BBB
10-year A
19 September 2000
578.05
203.10
164.08
20 September 2000
578.93
203.23
163.48
21 September 2000
586.30
204.13
165.23
22 September 2000
591.18
201.82
164.25
25 September 2000
588.97
202.80
163.56
26 September 2000
594.09
204.73
165.13
27 September 2000
596.28
200.52
162.42
28 September 2000
601.56
200.96
160.22
29 September 2000
602.96
199.50
158.92
2 October 2000
613.37
199.39
158.39
3 October 2000
610.03
200.91
159.93
4 October 2000
607.44
201.61
161.04
5 October 2000
609.80
202.10
162.06
6 October 2000
615.89
204.47
164.88
9 October 2000
ND
ND
ND
10 October 2000
622.16
204.61
167.63
11 October 2000
630.17
205.27
169.81
12 October 2000
635.94
206.04
168.62
13 October 2000
647.76
207.11
171.64
16 October 2000
644.96
207.43
173.14
17 October 2000
660.54
207.20
173.58
18 October 2000
674.41
209.08
176.83
19 October 2000
676.49
209.10
178.19
20 October 2000
680.53
210.85
179.51
23 October 2000
683.23
212.30
179.56
24 October 2000
676.77
212.24
178.32
25 October 2000
671.31
212.25
178.15
26 October 2000
679.71
212.16
177.54
27 October 2000
681.41
213.95
179.24
30 October 2000
679.22
211.74
180.65
31 October 2000
675.92
210.23
177.17
1 November 2000
680.37
210.09
176.69
2 November 2000
679.37
210.57
176.30
3 November 2000
679.67
209.12
175.26
6 November 2000
676.84
208.56
175.44
7 November 2000
681.20
208.34
174.78
8 November 2000
676.83
208.87
175.75
Date
10-year high-yield
10-year BBB
10-year A
9 November 2000
684.30
208.61
174.56
10 November 2000
683.34
207.93
173.50
13 November 2000
687.39
208.34
174.02
14 November 2000
690.78
209.70
175.53
15 November 2000
695.20
209.80
175.49
16 November 2000
698.95
213.69
175.70
17 November 2000
709.70
213.95
178.36
20 November 2000
708.62
214.83
185.38
21 November 2000
724.13
213.51
188.15
22 November 2000
739.12
213.57
188.36
23 November 2000
ND
ND
ND
24 November 2000
738.50
216.89
191.81
27 November 2000
740.17
215.86
190.98
28 November 2000
747.76
217.18
193.71
29 November 2000
760.99
217.35
193.82
30 November 2000
794.46
220.72
195.14
1 December 2000
793.95
223.77
196.72
4 December 2000
796.77
224.98
196.17
5 December 2000
797.30
225.25
197.57
6 December 2000
796.57
224.92
197.16
7 December 2000
797.45
224.94
196.99
8 December 2000
794.73
224.43
196.09
11 December 2000
781.39
225.62
195.10
12 December 2000
773.03
225.50
194.14
13 December 2000
736.26
224.26
193.98
14 December 2000
739.35
223.08
190.79
15 December 2000
732.38
221.83
188.35
18 December 2000
738.02
222.37
187.93
19 December 2000
767.67
222.82
189.21
20 December 2000
761.68
221.10
186.29
21 December 2000
779.47
220.35
185.19
22 December 2000
782.20
220.50
185.28
25 December 2000
ND
ND
ND
26 December 2000
777.99
218.41
185.18
27 December 2000
767.27
217.49
185.71
28 December 2000
765.79
217.99
187.51
29 December 2000
771.00
219.64
187.48
Date
10-year high-yield
10-year BBB
10-year A
1 January 2001
ND
ND
ND
2 January 2001
772.07
222.13
186.69
3 January 2001
748.59
219.10
183.68
4 January 2001
749.39
218.33
180.65
5 January 2001
754.71
221.11
180.59
8 January 2001
732.83
217.76
177.61
9 January 2001
729.47
218.00
177.74
10 January 2001
723.66
217.76
176.09
11 January 2001
702.70
214.31
172.48
12 January 2001
683.62
220.81
173.71
15 January 2001
ND
ND
ND
16 January 2001
689.69
218.17
177.43
17 January 2001
675.17
217.79
178.75
18 January 2001
690.93
216.56
177.99
19 January 2001
678.16
215.15
176.27
22 January 2001
666.82
215.79
174.59
23 January 2001
660.36
212.64
169.02
24 January 2001
657.44
214.64
167.47
25 January 2001
658.08
214.93
165.38
26 January 2001
657.37
212.49
164.54
29 January 2001
655.38
212.41
164.69
30 January 2001
661.94
212.37
164.11
31 January 2001
640.94
208.00
156.84
1 February 2001
648.10
209.47
155.69
2 February 2001
639.06
209.54
157.22
5 February 2001
633.08
210.05
161.53
6 February 2001
630.57
212.48
164.71
7 February 2001
631.46
209.98
162.92
8 February 2001
627.56
210.42
163.08
9 February 2001
629.70
208.12
162.92
12 February 2001
624.18
206.62
160.28
13 February 2001
622.21
206.42
160.06
14 February 2001
618.10
206.03
159.03
15 February 2001
609.33
206.04
160.74
16 February 2001
610.45
204.76
160.52
19 February 2001
ND
ND
ND
20 February 2001
619.90
207.16
162.09
Date
10-year high-yield
10-year BBB
10-year A
21 February 2001
620.95
208.70
163.89
22 February 2001
621.75
210.83
164.74
23 February 2001
626.44
211.83
166.58
26 February 2001
628.70
213.02
167.03
27 February 2001
632.81
215.17
166.80
28 February 2001
625.06
212.94
159.78
1 March 2001
630.46
213.34
159.89
2 March 2001
623.94
210.84
158.35
5 March 2001
621.04
211.39
158.80
6 March 2001
618.00
211.58
158.26
7 March 2001
621.32
212.75
158.31
8 March 2001
619.29
211.84
156.10
9 March 2001
615.25
211.80
156.17
12 March 2001
623.53
213.45
158.86
13 March 2001
626.58
214.38
160.43
14 March 2001
645.46
215.20
163.24
15 March 2001
647.87
213.75
160.12
16 March 2001
651.40
212.39
159.82
19 March 2001
653.90
213.85
160.44
20 March 2001
662.95
214.90
161.07
21 March 2001
675.90
214.43
160.70
22 March 2001
690.23
213.43
162.57
23 March 2001
680.13
214.93
162.55
26 March 2001
667.74
213.85
159.77
27 March 2001
651.09
212.89
156.21
28 March 2001
658.29
214.07
157.81
29 March 2001
652.26
213.14
155.63
30 March 2001
664.17
211.98
153.98
2 April 2001
668.75
210.40
151.86
3 April 2001
692.83
211.21
153.86
4 April 2001
702.43
212.37
155.73
5 April 2001
697.27
212.53
156.49
6 April 2001
706.56
213.51
157.68
9 April 2001
706.06
214.36
159.43
10 April 2001
692.13
214.28
158.94
11 April 2001
684.37
215.22
157.47
12 April 2001
678.21
214.54
157.70
Date
10-year high-yield
10-year BBB
10-year A
13 April 2001
ND
ND
ND
16 April 2001
667.44
214.83
158.04
17 April 2001
666.72
214.22
156.73
18 April 2001
676.08
215.34
156.32
19 April 2001
667.53
213.82
153.89
20 April 2001
664.90
213.40
152.79
23 April 2001
672.84
214.24
154.18
24 April 2001
668.30
212.09
153.00
25 April 2001
664.52
210.26
148.79
26 April 2001
673.75
209.84
148.61
27 April 2001
659.01
207.34
145.00
30 April 2001
636.93
197.11
141.08
1 May 2001
637.07
197.77
140.52
2 May 2001
625.53
197.26
140.30
3 May 2001
629.34
197.43
141.14
4 May 2001
633.32
196.82
144.54
7 May 2001
629.97
197.59
145.17
8 May 2001
626.40
197.75
145.69
9 May 2001
631.57
197.03
144.76
10 May 2001
626.01
196.65
143.75
11 May 2001
613.86
199.04
144.96
14 May 2001
621.40
196.76
141.67
15 May 2001
615.29
198.38
142.76
16 May 2001
621.96
196.26
139.33
17 May 2001
630.36
195.25
136.46
18 May 2001
627.01
192.47
134.76
21 May 2001
626.80
192.07
136.08
22 May 2001
624.68
190.25
135.04
23 May 2001
626.43
191.11
135.29
24 May 2001
617.85
191.45
136.11
25 May 2001
617.09
191.90
136.63
28 May 2001
ND
ND
ND
29 May 2001
616.20
190.80
135.57
30 May 2001
623.79
190.38
135.98
31 May 2001
631.75
188.72
134.12
1 June 2001
608.76
190.37
133.47
4 June 2001
616.82
188.32
130.93
Date
10-year high-yield
10-year BBB
10-year A
5 June 2001
620.60
186.34
127.76
6 June 2001
616.86
185.34
127.79
7 June 2001
614.01
184.74
128.27
8 June 2001
618.77
187.09
131.26
11 June 2001
623.46
186.82
131.97
12 June 2001
627.74
186.92
131.64
13 June 2001
617.46
188.81
133.33
14 June 2001
627.16
187.52
132.37
15 June 2001
631.80
188.76
134.93
18 June 2001
640.60
190.70
137.58
19 June 2001
647.01
192.48
139.26
20 June 2001
652.03
193.32
140.23
21 June 2001
653.76
193.68
140.40
22 June 2001
660.07
193.76
139.12
25 June 2001
657.32
193.70
137.32
26 June 2001
653.92
193.35
137.41
27 June 2001
654.56
193.15
137.45
28 June 2001
644.13
192.89
136.47
29 June 2001
636.38
192.46
136.45
2 July 2001
638.70
195.33
136.34
3 July 2001
643.50
194.57
136.10
4 July 2001
ND
ND
ND
5 July 2001
630.17
195.35
136.88
6 July 2001
634.02
194.75
135.77
9 July 2001
636.68
197.07
137.38
10 July 2001
635.54
197.09
136.44
11 July 2001
635.08
197.21
136.23
12 July 2001
636.36
196.64
137.41
13 July 2001
638.19
196.90
136.61
16 July 2001
646.84
197.70
136.84
17 July 2001
638.09
198.76
137.30
18 July 2001
655.27
199.08
136.72
19 July 2001
650.98
199.50
137.47
20 July 2001
651.96
197.92
134.94
23 July 2001
652.48
197.84
134.24
24 July 2001
651.30
197.07
135.01
25 July 2001
646.61
197.15
135.69
Date
10-year high-yield
10-year BBB
10-year A
26 July 2001
649.98
197.20
135.24
27 July 2001
655.80
197.58
135.35
30 July 2001
652.83
194.90
134.80
31 July 2001
635.34
193.75
131.84
1 August 2001
635.88
191.31
131.32
2 August 2001
626.44
192.20
131.10
3 August 2001
615.68
191.81
131.58
6 August 2001
621.75
192.03
131.35
7 August 2001
615.49
191.97
131.78
8 August 2001
621.04
192.00
130.93
9 August 2001
616.99
193.53
131.45
10 August 2001
627.76
192.18
130.39
13 August 2001
631.99
192.71
131.46
14 August 2001
630.81
192.92
132.48
15 August 2001
629.70
193.59
133.03
16 August 2001
634.86
193.63
132.91
17 August 2001
646.33
193.48
133.06
20 August 2001
637.73
195.53
135.96
21 August 2001
639.85
197.70
137.17
22 August 2001
640.24
197.78
136.01
23 August 2001
639.59
196.78
135.97
24 August 2001
636.64
196.31
135.48
27 August 2001
635.51
195.95
135.01
28 August 2001
640.85
195.91
133.72
29 August 2001
645.38
195.08
133.78
30 August 2001
649.77
194.99
134.52
31 August 2001
619.98
196.70
135.89
3 September 2001
ND
ND
ND
4 September 2001
608.85
194.77
135.14
5 September 2001
612.71
195.22
135.80
6 September 2001
621.15
194.55
135.41
7 September 2001
630.89
196.51
137.82
10 September 2001
629.87
197.07
139.10
11 September 2001
ND
ND
ND
12 September 2001
ND
ND
ND
13 September 2001
ND
ND
ND
14 September 2001
ND
ND
167.35
Date
10-year high-yield
10-year BBB
10-year A
17 September 2001
719.05
217.61
160.01
18 September 2001
702.11
221.81
166.75
19 September 2001
705.15
219.72
162.96
20 September 2001
705.62
218.78
160.24
21 September 2001
714.80
220.53
164.32
24 September 2001
716.78
221.26
164.74
25 September 2001
727.77
221.38
164.12
26 September 2001
742.03
219.60
164.77
27 September 2001
753.58
221.68
163.91
28 September 2001
771.07
219.67
159.36
1 October 2001
788.80
219.20
161.44
2 October 2001
771.75
217.81
160.57
3 October 2001
763.54
217.10
158.25
4 October 2001
761.39
218.60
158.10
5 October 2001
740.19
216.80
157.76
8 October 2001
ND
ND
ND
9 October 2001
721.64
217.33
157.21
10 October 2001
717.57
219.33
160.58
11 October 2001
703.61
217.40
159.16
12 October 2001
692.27
216.00
157.96
15 October 2001
679.34
218.20
160.73
16 October 2001
689.45
217.31
160.76
17 October 2001
687.17
214.44
157.45
18 October 2001
691.10
215.49
159.49
19 October 2001
686.83
215.55
159.70
22 October 2001
684.80
215.16
159.26
23 October 2001
682.17
215.64
159.23
24 October 2001
690.18
217.49
160.63
25 October 2001
685.77
217.72
161.34
26 October 2001
684.25
219.19
161.97
29 October 2001
684.37
218.24
163.10
30 October 2001
690.07
222.57
165.93
31 October 2001
671.42
227.24
167.27
1 November 2001
673.54
226.78
167.14
2 November 2001
659.81
225.84
166.56
5 November 2001
667.97
229.42
167.70
6 November 2001
668.04
229.62
167.37
Date
10-year high-yield
10-year BBB
10-year A
7 November 2001
674.65
231.71
167.32
8 November 2001
658.66
229.54
166.31
9 November 2001
649.97
226.54
162.81
12 November 2001
ND
ND
ND
13 November 2001
643.48
227.11
162.45
14 November 2001
632.79
222.90
159.57
15 November 2001
602.80
218.55
156.25
16 November 2001
587.77
218.09
155.73
19 November 2001
594.36
214.69
153.68
20 November 2001
595.64
213.18
154.38
21 November 2001
579.81
210.57
150.62
22 November 2001
ND
ND
ND
23 November 2001
566.36
206.95
147.71
26 November 2001
565.39
203.59
144.67
27 November 2001
562.49
200.52
139.41
28 November 2001
560.97
203.84
142.04
29 November 2001
573.09
ND
139.99
30 November 2001
563.61
203.41
133.03
3 December 2001
568.19
209.71
142.26
4 December 2001
574.97
207.43
137.45
5 December 2001
560.28
207.73
137.54
6 December 2001
552.88
200.23
130.98
7 December 2001
538.66
197.78
127.46
10 December 2001
553.43
199.54
127.79
11 December 2001
563.91
201.04
126.67
12 December 2001
579.28
202.57
128.99
13 December 2001
573.93
205.79
133.26
14 December 2001
573.05
200.34
129.51
17 December 2001
571.53
204.13
132.25
18 December 2001
582.38
203.76
133.12
19 December 2001
590.70
203.68
133.31
20 December 2001
585.25
202.28
133.67
21 December 2001
584.33
201.86
132.08
24 December 2001
579.43
200.51
130.57
25 December 2001
ND
ND
ND
26 December 2001
574.11
200.49
130.99
27 December 2001
579.82
197.45
130.34
Date
10-year high-yield
10-year BBB
10-year A
28 December 2001
574.92
196.43
128.75
31 December 2001
563.86
193.77
127.24
1 January 2002
ND
ND
ND
2 January 2002
552.56
208.46
124.78
3 January 2002
547.65
208.71
126.02
4 January 2002
537.21
204.61
124.15
7 January 2002
546.40
207.70
126.81
8 January 2002
548.79
208.86
128.11
9 January 2002
549.02
208.71
128.84
10 January 2002
556.26
211.06
130.60
11 January 2002
561.46
211.28
128.25
14 January 2002
559.05
210.23
128.19
15 January 2002
568.20
212.58
130.18
16 January 2002
571.52
213.39
131.61
17 January 2002
567.83
213.25
132.15
18 January 2002
574.38
215.11
132.75
21 January 2002
ND
ND
ND
22 January 2002
572.12
211.38
128.89
23 January 2002
564.84
210.50
128.60
24 January 2002
564.21
210.65
126.45
25 January 2002
559.83
209.95
126.05
28 January 2002
564.53
208.51
125.22
29 January 2002
574.62
210.25
128.34
30 January 2002
583.73
214.31
134.90
31 January 2002
546.53
215.98
124.80
1 February 2002
550.39
216.56
123.94
4 February 2002
580.43
223.96
125.34
5 February 2002
566.94
232.95
128.77
6 February 2002
566.08
233.37
127.89
7 February 2002
566.00
234.59
127.80
8 February 2002
572.37
230.12
126.73
11 February 2002
572.25
232.35
126.89
12 February 2002
567.24
230.35
124.21
13 February 2002
564.30
227.50
122.04
14 February 2002
574.90
228.67
123.92
15 February 2002
580.75
229.04
125.00
18 February 2002
ND
ND
ND
Date
10-year high-yield
10-year BBB
10-year A
19 February 2002
583.17
233.10
124.27
20 February 2002
584.92
235.02
125.15
21 February 2002
590.14
234.94
125.58
22 February 2002
593.46
236.00
125.76
25 February 2002
600.02
233.31
125.57
26 February 2002
594.76
229.40
123.84
27 February 2002
596.29
227.82
123.38
28 February 2002
566.29
226.46
119.41
1 March 2002
554.62
225.68
119.29
4 March 2002
546.37
223.75
118.43
5 March 2002
541.24
223.87
118.25
6 March 2002
532.44
221.69
117.02
7 March 2002
513.27
217.94
115.68
8 March 2002
497.39
215.48
113.90
11 March 2002
495.28
215.24
113.00
12 March 2002
493.62
215.91
113.03
13 March 2002
495.09
217.54
111.19
14 March 2002
485.30
217.52
111.78
15 March 2002
490.91
219.14
113.21
18 March 2002
491.16
219.70
111.07
19 March 2002
489.52
219.74
111.97
20 March 2002
481.32
218.62
111.60
21 March 2002
485.72
217.93
110.59
22 March 2002
482.93
216.80
109.78
25 March 2002
482.31
217.42
111.83
26 March 2002
491.02
217.47
112.20
27 March 2002
493.20
217.98
112.56
28 March 2002
493.00
216.86
111.69
29 March 2002
ND
ND
ND
1 April 2002
493.35
215.55
113.47
2 April 2002
497.41
217.50
114.89
3 April 2002
510.46
217.53
112.91
4 April 2002
508.82
218.11
114.53
5 April 2002
513.40
218.43
114.78
8 April 2002
511.24
218.02
114.36
9 April 2002
515.51
218.51
115.61
10 April 2002
510.88
219.30
114.99
Date
10-year high-yield
10-year BBB
10-year A
11 April 2002
511.29
221.10
115.87
12 April 2002
522.07
221.17
116.66
15 April 2002
521.78
221.74
117.47
16 April 2002
519.74
220.66
117.38
17 April 2002
510.53
218.82
115.94
18 April 2002
504.72
218.72
116.47
19 April 2002
503.95
218.45
116.00
22 April 2002
506.89
218.88
114.28
23 April 2002
508.65
219.88
114.77
24 April 2002
515.67
221.62
116.10
25 April 2002
520.51
223.78
117.85
26 April 2002
527.75
223.82
120.93
29 April 2002
520.89
224.90
120.39
30 April 2002
493.26
225.76
123.05
1 May 2002
497.76
233.20
123.56
2 May 2002
498.44
232.82
123.79
3 May 2002
494.23
234.52
124.35
6 May 2002
497.13
234.40
123.23
7 May 2002
499.33
238.03
125.35
8 May 2002
492.37
235.48
123.35
9 May 2002
494.96
233.30
126.66
10 May 2002
503.08
236.53
126.71
13 May 2002
500.55
234.84
126.52
14 May 2002
497.96
234.33
125.04
15 May 2002
504.34
232.94
124.73
16 May 2002
515.22
236.95
123.43
17 May 2002
518.44
230.59
120.59
20 May 2002
523.90
236.42
122.21
21 May 2002
529.26
235.83
121.17
22 May 2002
535.29
234.15
121.72
23 May 2002
525.69
235.09
122.79
24 May 2002
525.68
234.24
121.04
27 May 2002
ND
ND
ND
28 May 2002
526.85
229.85
119.91
29 May 2002
532.51
228.33
118.84
30 May 2002
541.34
227.87
118.79
31 May 2002
545.70
212.41
115.44
Date
10-year high-yield
10-year BBB
10-year A
3 June 2002
549.65
211.87
115.49
4 June 2002
551.11
212.64
116.15
5 June 2002
536.24
210.72
114.76
6 June 2002
542.70
212.84
114.64
7 June 2002
544.38
211.65
113.34
10 June 2002
560.91
213.78
114.86
11 June 2002
563.53
216.57
115.27
12 June 2002
572.10
217.83
115.68
13 June 2002
575.91
218.82
116.51
14 June 2002
590.05
220.20
116.84
17 June 2002
578.57
220.62
116.58
18 June 2002
583.58
222.40
117.54
19 June 2002
593.40
224.26
118.21
20 June 2002
591.48
228.96
120.47
21 June 2002
627.48
230.94
119.87
24 June 2002
605.62
235.93
124.02
25 June 2002
615.11
232.70
122.49
26 June 2002
655.14
245.03
124.98
27 June 2002
669.88
244.75
124.83
28 June 2002
671.70
247.55
128.21
1 July 2002
600.77
244.43
127.39
2 July 2002
622.28
253.25
129.35
3 July 2002
623.49
251.90
129.27
4 July 2002
ND
ND
ND
5 July 2002
613.46
250.73
127.56
8 July 2002
618.25
247.29
130.01
9 July 2002
619.06
244.29
130.19
10 July 2002
631.85
246.73
130.84
11 July 2002
643.04
250.21
130.07
12 July 2002
643.07
249.30
132.07
15 July 2002
642.38
256.83
133.20
16 July 2002
635.10
255.70
132.67
17 July 2002
638.13
251.78
134.93
18 July 2002
643.32
254.76
133.51
19 July 2002
651.09
259.49
136.60
22 July 2002
667.01
262.73
137.65
23 July 2002
683.99
268.06
140.69
Date
10-year high-yield
10-year BBB
10-year A
24 July 2002
698.32
276.23
147.84
25 July 2002
700.63
279.74
148.50
26 July 2002
709.03
277.86
146.17
29 July 2002
694.99
281.50
145.01
30 July 2002
692.95
284.31
147.35
31 July 2002
694.85
276.37
148.97
1 August 2002
686.27
272.40
146.52
2 August 2002
711.68
275.01
148.87
5 August 2002
718.46
284.98
152.91
6 August 2002
715.36
285.50
153.69
7 August 2002
720.29
281.55
153.50
8 August 2002
721.40
283.37
155.57
9 August 2002
730.31
287.89
154.10
12 August 2002
739.41
288.96
152.12
13 August 2002
750.63
290.67
153.87
14 August 2002
754.18
291.93
152.18
15 August 2002
744.45
292.40
154.92
16 August 2002
730.33
288.61
153.09
19 August 2002
732.85
287.72
153.50
20 August 2002
727.72
277.75
148.73
21 August 2002
731.67
275.56
148.42
22 August 2002
710.60
272.29
150.04
23 August 2002
707.39
270.83
149.76
26 August 2002
699.31
270.97
149.82
27 August 2002
690.55
269.43
148.80
28 August 2002
691.71
268.96
148.48
29 August 2002
695.96
272.21
149.94
30 August 2002
698.52
272.19
150.73
2 September 2002
ND
ND
ND
3 September 2002
718.11
279.22
153.73
4 September 2002
714.87
277.15
153.27
5 September 2002
721.55
279.39
154.28
6 September 2002
712.85
278.22
153.16
9 September 2002
715.16
279.01
153.54
10 September 2002
714.81
275.80
151.82
11 September 2002
706.62
281.02
152.64
12 September 2002
698.67
278.36
151.62
Date
10-year high-yield
10-year BBB
10-year A
13 September 2002
ND
277.67
150.96
16 September 2002
717.08
277.38
163.06
17 September 2002
715.32
280.74
159.97
18 September 2002
725.29
277.82
165.69
19 September 2002
739.89
278.24
165.31
20 September 2002
743.06
279.73
165.60
23 September 2002
751.62
282.38
167.81
24 September 2002
762.24
287.03
169.31
25 September 2002
757.43
286.38
169.53
26 September 2002
753.00
287.54
169.30
27 September 2002
765.93
288.53
170.54
30 September 2002
780.68
286.32
168.75
1 October 2002
776.91
287.82
169.85
2 October 2002
777.42
287.20
170.87
3 October 2002
779.08
288.64
169.34
4 October 2002
792.20
289.18
172.55
7 October 2002
800.27
294.94
174.12
8 October 2002
814.65
304.42
177.13
9 October 2002
832.97
312.11
180.26
10 October 2002
835.26
317.67
184.04
11 October 2002
823.08
314.16
182.00
14 October 2002
ND
ND
ND
15 October 2002
793.94
305.24
176.71
16 October 2002
790.65
309.57
179.46
17 October 2002
777.83
310.99
177.98
18 October 2002
784.33
313.83
181.66
21 October 2002
775.00
319.33
164.07
22 October 2002
773.34
315.80
161.81
23 October 2002
771.27
314.70
162.36
24 October 2002
771.08
312.75
160.50
25 October 2002
774.34
310.69
160.63
28 October 2002
769.70
306.93
158.16
29 October 2002
779.20
305.50
155.01
30 October 2002
772.30
302.04
155.49
31 October 2002
765.03
300.11
151.97
1 November 2002
755.41
297.74
152.14
4 November 2002
747.24
293.72
152.64
Date
10-year high-yield
10-year BBB
10-year A
5 November 2002
737.98
288.80
150.07
6 November 2002
729.22
281.14
142.89
7 November 2002
740.99
281.54
143.90
8 November 2002
747.56
281.85
144.00
11 November 2002
ND
ND
ND
12 November 2002
739.97
287.98
145.98
13 November 2002
740.50
288.64
146.62
14 November 2002
716.25
281.59
147.70
15 November 2002
707.78
276.45
145.66
18 November 2002
707.05
266.31
143.75
19 November 2002
705.85
266.77
144.43
20 November 2002
686.98
262.39
142.77
21 November 2002
675.17
257.49
139.92
22 November 2002
673.60
254.34
139.09
25 November 2002
657.66
255.95
139.77
26 November 2002
668.82
258.57
139.01
27 November 2002
648.17
252.70
134.92
28 November 2002
ND
ND
ND
29 November 2002
657.47
253.98
136.38
2 December 2002
637.30
243.61
136.16
3 December 2002
632.86
247.45
135.97
4 December 2002
729.81
249.64
135.63
5 December 2002
734.55
249.10
135.71
6 December 2002
741.36
250.23
135.49
9 December 2002
658.92
253.11
135.37
10 December 2002
670.84
254.48
136.68
11 December 2002
678.19
252.87
136.11
12 December 2002
675.81
251.60
136.60
13 December 2002
669.91
251.46
136.57
16 December 2002
658.80
246.91
134.15
17 December 2002
660.24
241.79
133.51
18 December 2002
664.75
239.41
131.99
19 December 2002
675.04
239.96
132.25
20 December 2002
674.19
239.14
131.41
23 December 2002
671.22
238.89
130.95
24 December 2002
673.40
238.12
131.64
25 December 2002
ND
ND
ND
Date
10-year high-yield
10-year BBB
10-year A
26 December 2002
675.93
240.21
134.01
27 December 2002
684.56
240.09
133.08
30 December 2002
684.96
239.02
131.30
31 December 2002
668.32
240.88
132.41
1 January 2003
ND
ND
ND
2 January 2003
641.93
236.63
128.31
3 January 2003
643.32
236.05
130.21
6 January 2003
624.11
233.13
128.51
7 January 2003
620.77
230.18
127.27
8 January 2003
615.36
230.49
126.76
9 January 2003
595.40
227.63
125.36
10 January 2003
593.09
225.46
125.39
13 January 2003
591.38
221.38
122.98
14 January 2003
594.38
223.71
121.79
15 January 2003
597.98
226.55
122.05
16 January 2003
600.23
230.10
122.77
17 January 2003
606.91
232.82
123.08
20 January 2003
ND
ND
ND
21 January 2003
607.70
236.79
124.86
22 January 2003
616.19
238.42
125.15
23 January 2003
612.55
236.90
124.63
24 January 2003
616.64
238.17
124.57
27 January 2003
623.02
240.88
125.47
28 January 2003
622.08
239.41
125.80
29 January 2003
619.09
238.55
125.17
30 January 2003
621.28
237.18
124.37
31 January 2003
616.54
236.48
124.33
3 February 2003
619.36
233.34
122.84
4 February 2003
621.66
234.39
121.78
5 February 2003
613.62
232.76
121.55
6 February 2003
621.81
232.93
120.61
7 February 2003
624.95
232.16
119.85
10 February 2003
622.21
233.27
121.00
11 February 2003
621.75
231.99
120.28
12 February 2003
632.85
232.76
120.83
13 February 2003
647.49
235.24
121.01
14 February 2003
641.58
236.06
121.65
Date
10-year high-yield
10-year BBB
10-year A
17 February 2003
ND
ND
ND
18 February 2003
642.11
237.63
122.49
19 February 2003
641.04
234.83
122.00
20 February 2003
638.09
233.74
122.75
21 February 2003
630.87
232.96
123.14
24 February 2003
632.91
231.40
122.33
25 February 2003
637.26
234.73
124.22
26 February 2003
639.25
234.13
124.34
27 February 2003
637.37
233.37
122.60
28 February 2003
630.14
229.47
121.55
3 March 2003
635.51
224.95
120.43
4 March 2003
635.01
225.55
120.63
5 March 2003
637.83
228.46
120.42
6 March 2003
634.98
227.06
119.09
7 March 2003
638.06
231.95
122.12
10 March 2003
639.06
232.57
122.46
11 March 2003
636.46
235.16
123.03
12 March 2003
638.46
237.45
122.71
13 March 2003
623.18
232.46
120.55
14 March 2003
622.81
231.47
120.75
17 March 2003
612.27
232.52
120.60
18 March 2003
603.50
228.43
119.76
19 March 2003
594.01
226.83
118.89
20 March 2003
588.02
226.61
118.51
21 March 2003
576.95
222.00
117.96
24 March 2003
586.73
222.65
117.36
25 March 2003
585.86
222.61
116.06
26 March 2003
582.14
217.09
114.93
27 March 2003
581.64
215.41
115.47
28 March 2003
580.49
212.55
115.72
31 March 2003
576.84
212.01
115.11
1 April 2003
572.81
208.99
115.32
2 April 2003
555.88
204.20
113.54
3 April 2003
549.17
202.75
111.45
4 April 2003
545.49
205.55
111.85
7 April 2003
537.25
201.93
110.90
8 April 2003
545.58
205.56
111.76
Date
10-year high-yield
10-year BBB
10-year A
9 April 2003
552.17
206.23
110.32
10 April 2003
551.35
207.55
111.49
11 April 2003
546.41
205.36
110.45
14 April 2003
539.71
206.35
108.30
15 April 2003
543.25
203.75
109.14
16 April 2003
541.73
199.82
107.10
17 April 2003
538.03
199.37
105.82
18 April 2003
ND
ND
ND
21 April 2003
530.37
196.68
106.09
22 April 2003
525.09
193.11
104.76
23 April 2003
513.72
188.47
104.25
24 April 2003
515.21
186.64
103.78
25 April 2003
513.49
185.36
102.72
28 April 2003
511.66
185.87
102.72
29 April 2003
504.68
185.19
102.23
30 April 2003
497.97
184.28
100.74
1 May 2003
494.96
183.78
101.61
2 May 2003
486.55
180.82
99.78
5 May 2003
484.71
179.92
99.09
6 May 2003
491.45
163.70
99.10
7 May 2003
505.44
173.54
98.07
8 May 2003
511.47
173.43
97.28
9 May 2003
514.56
176.44
99.93
12 May 2003
516.36
176.75
100.21
13 May 2003
516.25
177.65
99.60
14 May 2003
527.68
182.75
103.28
15 May 2003
528.04
184.27
105.40
16 May 2003
533.22
181.48
103.91
19 May 2003
536.69
184.68
104.14
20 May 2003
544.55
185.93
104.10
21 May 2003
551.28
190.02
106.88
22 May 2003
557.83
186.92
105.66
23 May 2003
559.73
185.00
104.02
26 May 2003
ND
ND
ND
27 May 2003
553.94
183.40
103.67
28 May 2003
554.44
182.61
104.79
29 May 2003
558.12
183.65
105.60
Date
10-year high-yield
10-year BBB
10-year A
30 May 2003
554.31
182.05
103.93
2 June 2003
538.73
183.07
103.92
3 June 2003
546.58
181.49
105.42
4 June 2003
547.26
183.60
105.51
5 June 2003
534.35
179.94
103.79
6 June 2003
525.75
178.36
102.29
9 June 2003
531.82
179.16
102.23
10 June 2003
539.89
179.17
101.89
11 June 2003
534.77
176.87
100.23
12 June 2003
535.09
177.71
101.65
13 June 2003
536.03
177.09
100.43
16 June 2003
525.11
173.44
98.64
17 June 2003
510.50
169.84
97.13
18 June 2003
500.69
170.06
96.96
19 June 2003
503.47
170.40
96.84
20 June 2003
500.82
171.16
97.65
23 June 2003
511.36
172.52
97.24
24 June 2003
517.34
172.05
96.63
25 June 2003
507.29
170.63
95.56
26 June 2003
496.75
173.59
98.19
27 June 2003
493.68
171.95
95.98
30 June 2003
498.46
171.25
96.54
1 July 2003
499.03
173.33
97.54
2 July 2003
499.90
171.59
95.96
3 July 2003
488.88
171.47
96.55
4 July 2003
ND
ND
ND
7 July 2003
481.96
169.22
95.13
8 July 2003
478.52
167.40
94.89
9 July 2003
480.15
167.09
95.31
10 July 2003
482.64
166.86
95.13
11 July 2003
484.30
167.00
94.89
14 July 2003
476.26
166.09
95.29
15 July 2003
459.02
164.00
94.58
16 July 2003
460.12
163.66
94.37
17 July 2003
459.90
161.42
93.62
18 July 2003
458.69
161.91
92.99
21 July 2003
451.22
171.69
103.25
Date
10-year high-yield
10-year BBB
10-year A
22 July 2003
445.95
162.47
93.32
23 July 2003
451.84
161.33
94.00
24 July 2003
444.85
159.57
92.44
25 July 2003
444.68
158.99
91.22
28 July 2003
439.61
162.73
94.05
29 July 2003
437.12
163.40
93.95
30 July 2003
450.92
163.93
93.33
31 July 2003
443.04
166.22
93.93
1 August 2003
453.64
162.84
91.71
4 August 2003
459.06
163.47
93.69
5 August 2003
455.84
163.21
94.75
6 August 2003
481.09
166.71
96.33
7 August 2003
489.95
167.55
97.54
8 August 2003
487.03
166.17
95.57
11 August 2003
478.14
165.34
93.92
12 August 2003
479.60
165.26
94.20
13 August 2003
466.42
165.59
94.34
14 August 2003
475.51
170.58
99.48
15 August 2003
475.02
165.84
93.84
18 August 2003
476.83
168.41
95.90
19 August 2003
475.48
168.24
96.45
20 August 2003
459.37
164.57
93.80
21 August 2003
445.90
160.99
91.61
22 August 2003
448.16
160.54
91.27
25 August 2003
441.28
162.18
93.28
26 August 2003
442.75
161.19
92.24
27 August 2003
435.50
161.38
93.69
28 August 2003
441.67
161.61
95.41
29 August 2003
434.47
160.17
94.63
1 September 2003
ND
ND
ND
2 September 2003
409.38
154.19
91.59
3 September 2003
408.09
153.76
91.84
4 September 2003
414.58
155.96
93.22
5 September 2003
430.44
160.23
96.21
8 September 2003
423.70
158.49
94.17
9 September 2003
424.00
159.54
95.91
10 September 2003
431.14
159.35
96.40
Date
10-year high-yield
10-year BBB
10-year A
11 September 2003
426.15
157.82
95.58
12 September 2003
430.83
156.96
95.46
15 September 2003
428.41
154.28
92.88
16 September 2003
426.10
156.93
96.27
17 September 2003
432.42
154.34
96.27
18 September 2003
427.99
152.46
93.70
19 September 2003
426.70
149.80
91.87
22 September 2003
421.17
151.47
91.85
23 September 2003
426.45
152.98
92.99
24 September 2003
430.72
152.74
93.00
25 September 2003
432.92
151.51
92.49
26 September 2003
441.33
152.95
92.89
29 September 2003
435.02
153.34
93.10
30 September 2003
444.60
153.87
92.84
1 October 2003
443.01
153.85
92.54
2 October 2003
433.95
154.23
92.38
3 October 2003
416.44
152.01
92.37
6 October 2003
421.28
152.37
92.14
7 October 2003
409.90
151.62
91.68
8 October 2003
407.35
150.65
91.10
9 October 2003
401.24
150.13
91.40
10 October 2003
403.26
148.51
90.62
13 October 2003
ND
ND
ND
14 October 2003
391.51
148.49
90.90
15 October 2003
383.80
145.26
89.86
16 October 2003
375.91
141.38
88.51
17 October 2003
380.66
141.34
88.24
20 October 2003
380.91
141.16
87.63
21 October 2003
381.98
143.45
88.35
22 October 2003
393.15
147.12
89.92
23 October 2003
391.64
146.01
88.12
24 October 2003
402.17
145.98
88.73
27 October 2003
396.12
142.39
87.92
28 October 2003
402.06
145.16
87.64
29 October 2003
393.37
145.21
88.15
30 October 2003
387.05
142.55
88.00
31 October 2003
388.33
143.29
87.08
Date
10-year high-yield
10-year BBB
10-year A
3 November 2003
381.39
142.12
86.24
4 November 2003
384.33
142.44
86.75
5 November 2003
379.53
142.32
86.23
6 November 2003
372.30
141.66
84.56
7 November 2003
371.01
141.23
84.86
10 November 2003
369.91
141.18
85.27
11 November 2003
ND
ND
ND
12 November 2003
375.32
138.82
84.43
13 November 2003
385.34
137.35
84.21
14 November 2003
391.48
138.55
86.23
17 November 2003
391.92
139.22
84.98
18 November 2003
394.88
138.92
85.11
19 November 2003
387.12
139.48
84.77
20 November 2003
393.02
139.20
83.79
21 November 2003
393.13
139.61
83.92
24 November 2003
385.39
139.75
84.58
25 November 2003
387.47
138.94
84.18
26 November 2003
380.28
137.78
83.39
27 November 2003
ND
ND
ND
28 November 2003
371.60
136.91
82.76
1 December 2003
360.65
135.50
82.05
2 December 2003
359.30
134.79
82.49
3 December 2003
352.70
133.26
82.30
4 December 2003
351.52
131.36
81.46
5 December 2003
362.40
132.55
82.29
8 December 2003
354.53
134.14
82.62
9 December 2003
350.37
136.99
86.31
10 December 2003
351.60
135.99
85.35
11 December 2003
357.51
134.61
82.94
12 December 2003
358.26
135.29
83.71
15 December 2003
355.18
134.50
83.62
16 December 2003
358.22
136.18
84.22
17 December 2003
361.69
135.60
83.85
18 December 2003
364.50
133.39
83.69
19 December 2003
363.14
131.35
82.02
22 December 2003
358.93
132.66
82.71
23 December 2003
350.34
132.83
83.76
Date
10-year high-yield
10-year BBB
10-year A
24 December 2003
357.87
133.24
84.76
25 December 2003
ND
ND
ND
26 December 2003
360.96
132.06
83.97
29 December 2003
352.06
131.40
83.51
30 December 2003
347.82
132.02
84.86
31 December 2003
349.55
131.14
84.70
1 January 2004
ND
ND
ND
2 January 2004
338.06
129.70
84.17
5 January 2004
329.94
125.49
82.01
6 January 2004
334.36
126.22
83.59
7 January 2004
332.30
125.81
83.40
8 January 2004
328.29
124.72
82.62
9 January 2004
340.67
126.90
83.46
12 January 2004
340.33
126.24
82.39
13 January 2004
344.84
127.02
82.66
14 January 2004
347.43
126.45
82.43
15 January 2004
347.50
126.85
82.82
16 January 2004
341.33
125.71
82.47
19 January 2004
ND
ND
ND
20 January 2004
337.41
126.41
82.92
21 January 2004
337.84
126.28
82.92
22 January 2004
341.29
125.14
83.16
23 January 2004
331.27
125.39
83.05
26 January 2004
328.26
126.79
83.08
27 January 2004
335.05
125.80
83.58
28 January 2004
329.62
126.70
81.75
29 January 2004
335.52
127.67
82.49
30 January 2004
345.13
127.98
82.78
2 February 2004
346.81
129.53
82.64
3 February 2004
356.18
128.16
83.61
4 February 2004
357.91
129.86
84.10
5 February 2004
359.38
131.73
85.74
6 February 2004
368.35
129.61
84.80
9 February 2004
362.88
129.01
84.21
10 February 2004
360.88
129.38
83.03
11 February 2004
366.22
128.00
83.39
12 February 2004
359.56
128.00
83.43
Date
10-year high-yield
10-year BBB
10-year A
13 February 2004
363.51
129.36
84.89
16 February 2004
ND
ND
ND
17 February 2004
361.99
130.69
85.59
18 February 2004
364.59
129.56
85.24
19 February 2004
365.34
131.31
86.61
20 February 2004
361.50
130.80
86.57
23 February 2004
368.36
131.89
86.70
24 February 2004
373.30
132.82
87.13
25 February 2004
373.30
134.03
87.82
26 February 2004
369.99
133.55
87.57
27 February 2004
373.36
132.73
86.64
1 March 2004
370.90
131.62
85.51
2 March 2004
365.55
132.49
85.27
3 March 2004
365.15
131.85
85.22
4 March 2004
366.92
132.04
85.33
5 March 2004
380.55
132.57
85.84
8 March 2004
383.95
132.77
85.98
9 March 2004
388.64
133.07
85.90
10 March 2004
388.42
134.68
87.03
11 March 2004
389.11
134.53
86.62
12 March 2004
388.77
135.09
87.00
15 March 2004
391.35
135.37
87.88
16 March 2004
400.55
137.08
88.16
17 March 2004
401.55
135.79
87.90
18 March 2004
395.52
136.18
88.43
19 March 2004
392.16
136.59
88.89
22 March 2004
398.88
137.48
88.97
23 March 2004
401.98
137.61
88.43
24 March 2004
403.37
138.99
89.86
25 March 2004
400.59
138.61
89.32
26 March 2004
390.31
137.60
89.03
29 March 2004
384.31
135.78
88.13
30 March 2004
383.81
135.30
88.12
31 March 2004
388.94
134.93
87.67
1 April 2004
383.94
135.45
88.27
2 April 2004
363.60
133.33
86.62
5 April 2004
357.58
131.97
86.07
Date
10-year high-yield
10-year BBB
10-year A
6 April 2004
361.73
131.33
86.26
7 April 2004
359.13
129.79
85.32
8 April 2004
355.57
130.30
86.07
9 April 2004
ND
ND
ND
12 April 2004
351.99
128.41
84.70
13 April 2004
345.46
127.77
84.18
14 April 2004
344.97
126.22
82.34
15 April 2004
344.05
128.09
84.12
16 April 2004
347.41
128.76
83.45
19 April 2004
345.08
127.67
82.73
20 April 2004
342.67
128.58
83.77
21 April 2004
343.15
127.66
82.56
22 April 2004
346.36
127.84
83.15
23 April 2004
337.83
127.47
82.16
26 April 2004
339.37
126.31
81.38
27 April 2004
341.63
127.08
81.89
28 April 2004
337.50
128.01
82.32
29 April 2004
337.13
129.63
83.78
30 April 2004
340.24
128.28
82.62
3 May 2004
343.87
128.34
82.89
4 May 2004
344.92
130.06
84.27
5 May 2004
343.34
130.43
84.61
6 May 2004
348.38
133.91
87.26
7 May 2004
342.84
133.31
87.66
10 May 2004
356.67
135.13
88.50
11 May 2004
360.59
135.75
89.28
12 May 2004
362.69
135.81
89.61
13 May 2004
367.75
137.50
90.93
14 May 2004
376.78
137.49
91.44
17 May 2004
385.25
139.19
91.42
18 May 2004
376.97
138.36
91.89
19 May 2004
366.68
138.26
92.19
20 May 2004
374.98
137.78
90.98
21 May 2004
369.58
138.15
91.74
24 May 2004
369.01
137.03
90.90
25 May 2004
368.25
137.69
91.21
26 May 2004
369.38
137.62
92.49
Date
10-year high-yield
10-year BBB
10-year A
27 May 2004
373.83
135.93
91.36
28 May 2004
368.05
136.76
90.99
31 May 2004
ND
ND
ND
1 June 2004
362.79
135.55
89.84
2 June 2004
361.43
135.49
90.49
3 June 2004
364.63
137.03
91.65
4 June 2004
358.14
136.78
91.99
7 June 2004
360.74
135.77
92.04
8 June 2004
358.28
134.96
90.86
9 June 2004
353.96
134.83
90.74
10 June 2004
355.62
134.70
90.49
11 June 2004
ND
ND
ND
14 June 2004
349.31
134.87
90.73
15 June 2004
366.97
135.24
91.42
16 June 2004
359.70
135.67
91.34
17 June 2004
362.43
135.39
90.65
18 June 2004
359.21
135.37
91.15
21 June 2004
359.72
135.70
91.16
22 June 2004
356.82
135.48
91.37
23 June 2004
357.60
136.10
91.85
24 June 2004
360.29
135.49
91.16
25 June 2004
359.21
135.37
91.18
28 June 2004
351.44
134.99
91.35
29 June 2004
356.68
135.73
91.64
30 June 2004
364.11
136.86
92.92
1 July 2004
364.82
136.65
93.40
2 July 2004
372.43
136.46
93.88
5 July 2004
ND
ND
ND
6 July 2004
366.64
137.17
92.71
7 July 2004
365.93
136.75
93.14
8 July 2004
364.72
137.56
94.19
9 July 2004
363.32
137.67
94.10
12 July 2004
362.83
137.04
93.66
13 July 2004
359.60
137.12
93.15
14 July 2004
357.43
136.65
92.41
15 July 2004
355.97
136.13
92.91
16 July 2004
363.54
134.14
92.71
Date
10-year high-yield
10-year BBB
10-year A
19 July 2004
360.52
133.30
91.18
20 July 2004
349.71
133.47
91.21
21 July 2004
348.09
134.20
92.35
22 July 2004
352.48
131.72
91.45
23 July 2004
356.51
133.05
91.47
26 July 2004
354.94
133.43
91.63
27 July 2004
349.33
133.23
91.30
28 July 2004
351.30
133.16
91.25
29 July 2004
350.42
132.74
91.18
30 July 2004
357.11
132.16
91.04
2 August 2004
359.95
136.59
93.36
3 August 2004
365.08
136.24
92.95
4 August 2004
363.06
136.89
92.91
5 August 2004
364.33
136.97
92.49
6 August 2004
376.79
137.33
94.12
9 August 2004
372.81
135.67
92.36
10 August 2004
369.13
136.11
92.38
11 August 2004
370.12
135.89
92.49
12 August 2004
372.40
135.61
91.81
13 August 2004
375.57
134.92
91.74
16 August 2004
373.13
135.76
92.76
17 August 2004
376.45
135.44
92.50
18 August 2004
371.35
135.35
92.39
19 August 2004
369.14
134.01
92.71
20 August 2004
366.46
134.92
91.92
23 August 2004
361.29
134.67
91.57
24 August 2004
359.67
133.88
91.24
25 August 2004
359.26
133.27
90.86
26 August 2004
361.53
132.64
90.32
27 August 2004
360.42
131.94
90.16
30 August 2004
363.03
130.60
89.32
31 August 2004
368.32
130.99
89.44
1 September 2004
367.87
131.23
90.55
2 September 2004
362.86
131.33
90.02
3 September 2004
352.99
131.10
88.99
6 September 2004
ND
ND
ND
7 September 2004
356.89
129.97
89.02
Date
10-year high-yield
10-year BBB
10-year A
8 September 2004
360.43
128.13
88.89
9 September 2004
355.28
128.83
88.45
10 September 2004
355.48
128.19
87.87
13 September 2004
355.76
128.55
88.63
14 September 2004
354.10
127.26
87.46
15 September 2004
352.06
127.70
88.04
16 September 2004
359.83
125.33
87.16
17 September 2004
354.24
127.55
87.94
20 September 2004
358.36
125.36
86.36
21 September 2004
360.10
126.36
87.27
22 September 2004
363.32
126.50
87.44
23 September 2004
359.62
127.40
88.37
24 September 2004
358.99
126.33
87.03
27 September 2004
362.80
126.59
87.28
28 September 2004
361.56
126.20
87.09
29 September 2004
355.90
125.44
86.85
30 September 2004
354.52
124.05
86.05
1 October 2004
348.78
123.92
86.05
4 October 2004
349.17
123.75
87.11
5 October 2004
347.51
123.02
85.74
6 October 2004
341.87
123.31
85.55
7 October 2004
337.67
121.81
84.90
8 October 2004
344.11
120.79
85.34
11 October 2004
ND
ND
ND
12 October 2004
345.16
121.65
85.29
13 October 2004
346.25
120.55
85.86
14 October 2004
351.49
119.80
85.44
15 October 2004
348.37
121.10
85.74
18 October 2004
350.98
120.98
84.92
19 October 2004
351.52
120.09
83.17
20 October 2004
358.95
122.57
85.95
21 October 2004
356.18
122.31
85.83
22 October 2004
354.75
122.26
86.19
25 October 2004
354.71
123.34
85.57
26 October 2004
350.97
121.16
85.51
27 October 2004
339.02
120.74
84.53
28 October 2004
337.70
120.59
85.50
Date
10-year high-yield
10-year BBB
10-year A
29 October 2004
337.00
118.15
84.20
1 November 2004
329.70
118.55
83.22
2 November 2004
327.85
118.60
83.75
3 November 2004
324.23
116.67
83.11
4 November 2004
320.59
115.64
82.07
5 November 2004
310.71
114.48
80.71
8 November 2004
310.28
115.00
81.62
9 November 2004
310.83
115.36
81.42
10 November 2004
310.43
114.92
80.83
11 November 2004
ND
ND
ND
12 November 2004
314.22
113.92
79.35
15 November 2004
313.32
112.63
78.72
16 November 2004
315.38
112.17
78.34
17 November 2004
319.19
112.83
79.82
18 November 2004
318.61
112.23
78.83
19 November 2004
310.36
110.65
77.75
22 November 2004
313.71
110.52
77.71
23 November 2004
312.23
110.68
78.43
24 November 2004
ND
110.73
78.45
25 November 2004
ND
ND
ND
26 November 2004
306.78
110.12
78.21
29 November 2004
300.53
109.83
78.17
30 November 2004
300.57
109.65
77.50
1 December 2004
299.87
110.15
78.47
2 December 2004
298.62
109.31
78.36
3 December 2004
307.18
108.56
77.31
6 December 2004
308.96
108.46
76.72
7 December 2004
307.97
107.80
76.26
8 December 2004
315.53
107.00
75.94
9 December 2004
311.47
106.73
75.64
10 December 2004
312.96
107.45
76.09
13 December 2004
312.61
107.09
75.71
14 December 2004
314.84
106.60
75.26
15 December 2004
318.22
107.05
75.99
16 December 2004
307.70
107.20
75.98
17 December 2004
308.33
105.87
76.28
20 December 2004
308.43
105.24
75.42
Date
10-year high-yield
10-year BBB
10-year A
21 December 2004
309.72
104.68
75.15
22 December 2004
306.94
105.20
75.94
23 December 2004
306.34
105.45
76.39
24 December 2004
ND
ND
ND
27 December 2004
299.24
104.68
75.44
28 December 2004
300.09
104.58
75.48
29 December 2004
297.05
104.66
75.28
30 December 2004
302.09
104.52
75.58
31 December 2004
305.90
105.42
77.74
3 January 2005
304.76
105.13
77.66
4 January 2005
297.09
104.11
76.93
5 January 2005
300.67
104.54
77.12
6 January 2005
301.93
105.81
77.97
7 January 2005
302.15
106.07
77.84
10 January 2005
304.73
106.02
78.17
11 January 2005
310.92
106.61
78.21
12 January 2005
312.86
107.00
78.74
13 January 2005
317.22
107.15
78.75
14 January 2005
316.65
107.75
78.81
17 January 2005
ND
ND
ND
18 January 2005
321.24
107.34
78.73
19 January 2005
320.44
107.58
79.05
20 January 2005
324.59
107.99
79.20
21 January 2005
326.64
107.89
78.45
24 January 2005
328.82
108.49
78.79
25 January 2005
321.08
107.67
77.95
26 January 2005
321.55
106.74
77.04
27 January 2005
318.42
106.46
77.21
28 January 2005
322.92
106.21
77.17
31 January 2005
322.80
105.85
76.76
1 February 2005
320.20
105.27
76.53
2 February 2005
317.43
103.96
76.59
3 February 2005
312.18
104.53
76.45
4 February 2005
318.59
102.61
75.58
7 February 2005
318.51
102.70
75.48
8 February 2005
317.88
103.24
76.24
9 February 2005
321.96
102.60
75.59
Date
10-year high-yield
10-year BBB
10-year A
10 February 2005
315.13
103.27
76.14
11 February 2005
311.09
103.05
76.19
14 February 2005
311.52
101.90
75.21
15 February 2005
306.60
102.72
76.17
16 February 2005
300.41
102.74
76.83
17 February 2005
298.61
101.37
75.75
18 February 2005
293.01
100.46
75.65
21 February 2005
ND
ND
ND
22 February 2005
292.16
101.63
76.16
23 February 2005
293.09
100.98
75.65
24 February 2005
291.06
99.88
75.25
25 February 2005
290.42
100.10
75.35
28 February 2005
281.73
99.94
75.14
1 March 2005
281.17
98.96
74.19
2 March 2005
281.46
99.59
73.59
3 March 2005
281.34
98.61
73.78
4 March 2005
286.08
97.47
72.83
7 March 2005
285.46
98.10
73.46
8 March 2005
278.78
98.18
74.29
9 March 2005
268.52
97.46
73.74
10 March 2005
276.23
97.45
73.93
11 March 2005
270.14
97.67
74.07
14 March 2005
275.97
98.57
74.71
15 March 2005
274.37
98.79
74.95
16 March 2005
283.89
101.64
76.54
17 March 2005
295.76
104.07
77.04
18 March 2005
289.70
102.92
76.57
21 March 2005
295.17
104.25
76.96
22 March 2005
294.66
105.13
77.95
23 March 2005
304.14
108.58
79.99
24 March 2005
304.03
107.71
78.92
25 March 2005
ND
ND
ND
28 March 2005
304.38
109.30
80.17
29 March 2005
312.90
111.24
81.48
30 March 2005
321.77
113.51
83.24
31 March 2005
330.94
114.30
83.51
1 April 2005
334.25
115.30
83.65
Date
10-year high-yield
10-year BBB
10-year A
4 April 2005
335.37
116.45
84.24
5 April 2005
329.88
116.20
83.76
6 April 2005
327.21
115.03
83.19
7 April 2005
319.42
113.50
82.94
8 April 2005
320.14
114.29
84.17
11 April 2005
325.88
115.53
84.33
12 April 2005
334.96
114.26
82.70
13 April 2005
336.18
115.83
84.25
14 April 2005
345.22
118.91
85.12
15 April 2005
359.74
120.75
85.84
18 April 2005
364.88
122.56
87.24
19 April 2005
367.22
121.89
85.93
20 April 2005
362.58
121.60
85.82
21 April 2005
352.26
119.91
85.95
22 April 2005
355.93
119.87
85.48
25 April 2005
358.56
120.09
85.84
26 April 2005
360.98
119.42
85.22
27 April 2005
370.38
120.55
85.65
28 April 2005
378.58
121.18
84.99
29 April 2005
382.31
123.85
86.11
2 May 2005
385.30
124.45
85.69
3 May 2005
387.29
125.93
86.63
4 May 2005
380.72
124.64
85.26
5 May 2005
392.56
120.06
84.91
6 May 2005
388.81
122.43
87.77
9 May 2005
387.59
122.00
86.69
10 May 2005
394.41
122.62
86.15
11 May 2005
405.66
123.78
87.14
12 May 2005
406.65
124.63
87.17
13 May 2005
415.43
127.44
89.40
16 May 2005
427.25
127.10
90.03
17 May 2005
434.45
129.47
91.23
18 May 2005
433.31
129.87
90.48
19 May 2005
421.91
128.69
90.21
20 May 2005
416.95
127.70
89.95
23 May 2005
414.79
126.97
89.16
24 May 2005
415.79
127.65
89.24
Date
10-year high-yield
10-year BBB
10-year A
25 May 2005
404.35
125.68
88.38
26 May 2005
397.31
123.95
88.07
27 May 2005
391.94
122.57
87.47
30 May 2005
ND
ND
ND
31 May 2005
398.07
123.67
88.32
1 June 2005
399.30
123.57
87.80
2 June 2005
390.46
120.95
86.31
3 June 2005
380.01
120.38
86.92
6 June 2005
388.31
120.06
86.92
7 June 2005
390.58
120.00
86.49
8 June 2005
389.09
120.62
86.84
9 June 2005
392.44
122.72
88.75
10 June 2005
383.65
122.93
88.98
13 June 2005
380.07
122.49
88.22
14 June 2005
374.46
123.12
89.26
15 June 2005
372.59
122.34
88.01
16 June 2005
377.82
122.39
87.86
17 June 2005
377.54
122.59
87.84
20 June 2005
377.27
122.60
87.87
21 June 2005
379.44
123.13
88.54
22 June 2005
387.74
124.29
89.35
23 June 2005
387.43
124.48
89.31
24 June 2005
392.92
125.00
90.12
27 June 2005
395.67
125.21
89.28
28 June 2005
385.65
124.80
88.97
29 June 2005
382.17
124.87
88.91
30 June 2005
383.37
125.43
90.26
1 July 2005
372.61
123.44
87.73
4 July 2005
ND
ND
ND
5 July 2005
368.95
123.34
88.06
6 July 2005
373.40
124.58
88.83
7 July 2005
375.22
123.55
88.63
8 July 2005
366.89
124.16
88.77
11 July 2005
362.61
122.12
86.90
12 July 2005
355.56
121.39
86.66
13 July 2005
352.07
121.48
87.22
14 July 2005
346.93
119.86
85.55
Date
10-year high-yield
10-year BBB
10-year A
15 July 2005
346.69
119.95
85.63
18 July 2005
343.72
119.79
85.94
19 July 2005
346.16
118.89
84.89
20 July 2005
350.57
118.87
84.59
21 July 2005
339.67
118.51
84.33
22 July 2005
339.74
118.18
84.20
25 July 2005
341.99
118.49
84.67
26 July 2005
341.81
117.84
84.03
27 July 2005
337.76
117.02
83.85
28 July 2005
342.48
116.71
83.62
29 July 2005
334.29
115.90
84.24
1 August 2005
331.55
114.85
83.20
2 August 2005
330.34
115.10
83.00
3 August 2005
336.45
115.88
83.26
4 August 2005
333.47
115.71
83.10
5 August 2005
331.83
116.25
84.31
8 August 2005
332.96
116.68
84.60
9 August 2005
333.51
116.24
83.89
10 August 2005
332.69
117.48
85.00
11 August 2005
337.99
118.21
84.81
12 August 2005
343.49
118.76
85.44
15 August 2005
341.29
116.98
83.45
16 August 2005
348.64
118.47
82.86
17 August 2005
344.30
118.73
83.29
18 August 2005
349.13
118.97
83.03
19 August 2005
347.72
118.23
82.46
22 August 2005
346.84
117.66
82.24
23 August 2005
347.42
117.25
81.95
24 August 2005
347.11
114.69
81.69
25 August 2005
347.65
113.63
80.52
26 August 2005
346.13
115.12
81.93
29 August 2005
347.59
114.01
80.72
30 August 2005
352.00
110.71
78.15
31 August 2005
367.29
119.15
85.72
1 September 2005
368.67
120.20
86.52
2 September 2005
369.66
120.41
86.06
5 September 2005
ND
ND
ND
Date
10-year high-yield
10-year BBB
10-year A
6 September 2005
363.38
120.75
86.01
7 September 2005
359.68
120.02
84.90
8 September 2005
359.44
121.14
85.67
9 September 2005
361.57
121.60
86.36
12 September 2005
356.48
120.84
85.53
13 September 2005
358.69
121.56
86.64
14 September 2005
356.39
121.35
86.20
15 September 2005
351.41
121.97
86.71
16 September 2005
349.13
121.34
85.45
19 September 2005
355.58
122.24
87.03
20 September 2005
359.09
121.31
85.51
21 September 2005
367.84
122.83
86.60
22 September 2005
371.57
123.28
86.80
23 September 2005
363.45
123.29
86.68
26 September 2005
357.15
122.27
85.87
27 September 2005
358.53
122.58
86.14
28 September 2005
363.24
122.38
85.95
29 September 2005
360.54
121.98
85.57
30 September 2005
359.88
121.02
84.77
3 October 2005
352.83
122.45
86.07
4 October 2005
360.09
121.76
86.42
5 October 2005
362.77
122.28
86.06
6 October 2005
364.74
122.57
86.13
7 October 2005
368.53
123.45
86.73
10 October 2005
ND
ND
ND
11 October 2005
371.68
123.02
85.88
12 October 2005
373.60
125.47
87.58
13 October 2005
377.33
127.35
87.85
14 October 2005
373.40
128.25
88.97
17 October 2005
364.87
126.64
87.02
18 October 2005
359.74
125.93
87.21
19 October 2005
363.09
127.02
88.04
20 October 2005
362.08
126.89
87.69
21 October 2005
366.56
127.63
88.64
24 October 2005
360.67
127.15
88.00
25 October 2005
354.06
125.22
85.73
26 October 2005
355.66
127.68
88.06
Date
10-year high-yield
10-year BBB
10-year A
27 October 2005
362.75
128.22
88.36
28 October 2005
364.23
128.10
88.38
31 October 2005
365.94
128.38
88.68
1 November 2005
363.58
128.73
88.87
2 November 2005
359.10
128.66
88.97
3 November 2005
352.21
126.80
88.22
4 November 2005
351.26
126.20
87.84
7 November 2005
354.60
125.72
87.17
8 November 2005
358.74
126.12
87.32
9 November 2005
354.56
126.19
87.60
10 November 2005
362.05
126.75
88.19
11 November 2005
ND
ND
ND
14 November 2005
362.70
126.21
87.25
15 November 2005
369.44
126.26
86.98
16 November 2005
377.56
127.99
88.55
17 November 2005
381.80
128.69
89.59
18 November 2005
382.23
130.05
91.17
21 November 2005
382.43
129.45
89.70
22 November 2005
384.33
129.94
90.86
23 November 2005
379.98
129.70
89.73
24 November 2005
ND
ND
ND
25 November 2005
383.27
129.56
89.43
28 November 2005
383.16
129.30
89.17
29 November 2005
372.67
129.05
88.02
30 November 2005
371.33
128.42
88.56
1 December 2005
369.98
128.89
89.14
2 December 2005
368.98
129.42
89.14
5 December 2005
368.84
130.10
89.84
6 December 2005
376.58
131.78
91.45
7 December 2005
373.71
131.22
90.65
8 December 2005
378.33
132.38
91.97
9 December 2005
369.64
132.39
91.51
12 December 2005
366.37
131.58
91.10
13 December 2005
367.35
131.17
91.54
14 December 2005
375.32
131.78
92.34
15 December 2005
373.06
131.55
92.21
16 December 2005
375.46
131.87
92.66
Date
10-year high-yield
10-year BBB
10-year A
19 December 2005
375.94
131.88
92.13
20 December 2005
376.77
132.53
92.76
21 December 2005
369.16
132.48
92.48
22 December 2005
373.70
133.32
94.25
23 December 2005
379.44
133.34
94.10
26 December 2005
ND
ND
ND
27 December 2005
383.52
133.47
94.61
28 December 2005
380.73
133.35
94.34
29 December 2005
383.57
134.59
95.32
30 December 2005
382.52
134.41
95.42
2 January 2006
ND
ND
ND
3 January 2006
381.15
133.22
95.35
4 January 2006
379.91
133.92
96.74
5 January 2006
376.48
133.24
96.13
6 January 2006
370.91
133.26
95.51
9 January 2006
367.87
132.88
95.58
10 January 2006
365.15
133.38
95.94
11 January 2006
363.41
133.24
96.19
12 January 2006
367.80
132.46
96.34
13 January 2006
377.77
133.52
97.47
16 January 2006
ND
ND
ND
17 January 2006
382.24
133.50
98.11
18 January 2006
380.67
133.73
97.91
19 January 2006
375.55
133.75
98.20
20 January 2006
377.52
132.82
97.93
23 January 2006
376.43
133.04
98.01
24 January 2006
371.09
132.54
97.78
25 January 2006
360.42
131.42
96.76
26 January 2006
359.22
131.58
97.22
27 January 2006
357.55
129.16
94.93
30 January 2006
354.60
130.56
96.74
31 January 2006
354.40
130.23
96.69
1 February 2006
349.86
130.26
96.03
2 February 2006
349.90
129.92
96.08
3 February 2006
353.42
130.57
96.69
6 February 2006
356.25
131.09
97.73
7 February 2006
355.07
130.77
97.82
Date
10-year high-yield
10-year BBB
10-year A
8 February 2006
353.74
131.11
98.00
9 February 2006
356.84
130.39
97.57
10 February 2006
353.13
129.75
96.62
13 February 2006
354.18
129.51
96.30
14 February 2006
351.96
129.22
96.01
15 February 2006
350.33
129.18
95.30
16 February 2006
349.89
128.98
95.55
17 February 2006
352.86
128.77
95.42
20 February 2006
ND
ND
ND
21 February 2006
350.26
128.29
94.31
22 February 2006
351.87
128.60
95.41
23 February 2006
348.33
127.75
94.68
24 February 2006
346.04
126.11
92.77
27 February 2006
344.70
126.02
92.86
28 February 2006
345.66
126.25
93.15
1 March 2006
344.46
127.17
94.04
2 March 2006
340.92
126.66
93.40
3 March 2006
339.80
127.11
93.51
6 March 2006
333.37
126.62
93.57
7 March 2006
335.81
127.08
93.83
8 March 2006
339.54
127.95
94.45
9 March 2006
338.73
127.54
93.85
10 March 2006
337.30
127.75
94.37
13 March 2006
335.55
128.73
95.45
14 March 2006
340.33
128.12
95.42
15 March 2006
337.54
129.07
96.04
16 March 2006
341.59
128.66
96.79
17 March 2006
341.87
127.38
95.69
20 March 2006
338.64
127.83
95.89
21 March 2006
331.56
128.11
96.01
22 March 2006
332.56
128.14
96.24
23 March 2006
329.38
128.35
95.98
24 March 2006
334.10
129.69
97.81
27 March 2006
330.25
128.95
96.05
28 March 2006
324.18
128.82
95.70
29 March 2006
324.33
129.06
96.45
30 March 2006
321.44
129.30
96.81
Date
10-year high-yield
10-year BBB
10-year A
31 March 2006
322.61
129.17
96.48
3 April 2006
319.76
129.62
97.17
4 April 2006
322.02
129.68
97.54
5 April 2006
322.26
129.54
97.14
6 April 2006
320.05
130.34
97.54
7 April 2006
316.44
130.32
97.28
10 April 2006
318.61
130.31
97.51
11 April 2006
320.44
130.65
97.91
12 April 2006
317.29
130.91
98.05
13 April 2006
313.75
129.86
97.52
14 April 2006
ND
ND
ND
17 April 2006
317.43
130.66
98.65
18 April 2006
318.62
130.31
98.57
19 April 2006
314.14
130.12
98.36
20 April 2006
312.93
129.97
98.58
21 April 2006
315.07
129.98
98.77
24 April 2006
316.14
129.32
97.94
25 April 2006
309.24
128.73
97.48
26 April 2006
308.36
128.12
96.88
27 April 2006
310.33
128.44
98.61
28 April 2006
309.78
128.03
97.45
1 May 2006
304.45
126.63
96.09
2 May 2006
305.34
126.15
96.42
3 May 2006
303.16
125.75
96.42
4 May 2006
301.77
125.94
96.08
5 May 2006
304.29
125.39
95.77
8 May 2006
303.89
125.64
96.08
9 May 2006
303.37
125.95
96.27
10 May 2006
303.03
126.49
96.35
11 May 2006
300.40
126.06
96.12
12 May 2006
299.29
127.13
97.00
15 May 2006
304.82
126.45
95.18
16 May 2006
311.18
128.08
97.24
17 May 2006
311.98
127.96
97.47
18 May 2006
320.76
130.57
99.50
19 May 2006
321.65
130.63
99.48
22 May 2006
326.69
130.90
99.52
Date
10-year high-yield
10-year BBB
10-year A
23 May 2006
324.60
131.30
99.68
24 May 2006
330.47
132.79
100.11
25 May 2006
326.09
132.15
100.14
26 May 2006
325.22
131.31
99.36
29 May 2006
ND
ND
ND
30 May 2006
323.91
132.88
100.32
31 May 2006
322.03
134.27
99.87
1 June 2006
323.68
134.52
100.08
2 June 2006
331.35
135.14
100.94
5 June 2006
331.11
135.34
100.59
6 June 2006
335.60
136.97
101.30
7 June 2006
334.16
137.10
101.21
8 June 2006
338.62
137.76
101.49
9 June 2006
340.37
138.67
102.45
12 June 2006
339.07
139.01
102.46
13 June 2006
345.01
139.28
102.50
14 June 2006
344.51
141.18
104.15
15 June 2006
342.86
141.83
105.46
16 June 2006
339.55
141.78
105.60
19 June 2006
339.20
142.52
106.17
20 June 2006
341.57
143.52
106.91
21 June 2006
347.87
143.95
106.48
22 June 2006
345.61
144.37
107.58
23 June 2006
344.09
144.79
107.64
26 June 2006
345.60
144.86
107.26
27 June 2006
348.72
146.06
108.38
28 June 2006
346.36
145.94
107.48
29 June 2006
345.42
145.21
107.27
30 June 2006
344.30
143.90
106.45
3 July 2006
346.12
146.51
108.70
4 July 2006
ND
ND
ND
5 July 2006
340.94
146.29
109.02
6 July 2006
344.78
145.71
108.88
7 July 2006
346.88
145.60
108.72
10 July 2006
346.22
145.80
109.27
11 July 2006
348.28
145.66
108.85
12 July 2006
349.15
145.96
108.82
Date
10-year high-yield
10-year BBB
10-year A
13 July 2006
354.70
146.30
109.03
14 July 2006
357.53
147.40
109.48
17 July 2006
359.19
147.92
110.24
18 July 2006
354.24
147.54
109.76
19 July 2006
357.64
147.92
110.61
20 July 2006
360.15
147.86
110.65
21 July 2006
357.76
147.45
110.25
24 July 2006
360.57
147.23
109.42
25 July 2006
359.13
147.95
110.05
26 July 2006
359.71
147.66
109.95
27 July 2006
357.24
146.24
108.64
28 July 2006
361.24
146.51
109.64
31 July 2006
363.87
146.70
109.08
1 August 2006
363.93
146.65
109.09
2 August 2006
363.78
147.33
109.32
3 August 2006
364.42
146.36
108.60
4 August 2006
367.47
147.21
109.13
7 August 2006
365.10
147.72
109.22
8 August 2006
365.03
147.62
108.57
9 August 2006
363.52
147.40
108.37
10 August 2006
365.13
147.82
108.62
11 August 2006
361.43
147.25
108.29
14 August 2006
359.26
146.31
107.58
15 August 2006
363.58
145.89
107.28
16 August 2006
366.75
146.99
107.84
17 August 2006
364.45
146.70
107.44
18 August 2006
368.40
146.82
107.50
21 August 2006
368.65
146.74
106.85
22 August 2006
368.82
146.49
106.25
23 August 2006
367.93
146.91
106.84
24 August 2006
369.00
146.76
106.09
25 August 2006
370.18
146.91
105.92
28 August 2006
369.52
147.34
106.58
29 August 2006
370.06
147.03
105.83
30 August 2006
371.09
146.83
105.22
31 August 2006
376.35
146.46
104.61
1 September 2006
376.10
146.56
104.96
Date
10-year high-yield
10-year BBB
10-year A
4 September 2006
ND
ND
ND
5 September 2006
369.92
146.14
104.58
6 September 2006
367.02
145.92
104.54
7 September 2006
368.88
146.48
105.24
8 September 2006
368.98
145.64
104.13
11 September 2006
366.43
146.27
104.78
12 September 2006
367.82
146.35
104.82
13 September 2006
365.16
147.09
105.32
14 September 2006
361.85
146.50
105.12
15 September 2006
360.34
145.94
104.66
18 September 2006
359.52
145.77
104.74
19 September 2006
367.46
147.01
105.70
20 September 2006
366.95
146.30
104.47
21 September 2006
375.49
147.50
105.14
22 September 2006
380.45
147.73
104.83
25 September 2006
384.27
148.50
105.24
26 September 2006
381.03
148.18
105.19
27 September 2006
377.44
147.90
104.43
28 September 2006
375.79
149.21
105.88
29 September 2006
373.50
148.30
104.35
2 October 2006
374.73
148.36
105.20
3 October 2006
368.72
148.11
105.17
4 October 2006
378.02
148.25
105.08
5 October 2006
372.56
148.00
104.74
6 October 2006
364.75
147.88
104.35
9 October 2006
ND
ND
ND
10 October 2006
360.22
147.42
104.46
11 October 2006
356.55
148.19
105.36
12 October 2006
355.01
147.49
104.42
13 October 2006
351.49
147.33
104.60
16 October 2006
353.05
146.83
104.11
17 October 2006
354.13
147.14
104.82
18 October 2006
353.84
145.80
103.85
19 October 2006
352.00
145.25
103.75
20 October 2006
351.99
144.72
103.18
23 October 2006
349.06
144.68
103.62
24 October 2006
349.22
144.07
102.72
Date
10-year high-yield
10-year BBB
10-year A
25 October 2006
354.80
144.88
103.61
26 October 2006
357.22
143.28
102.59
27 October 2006
359.44
143.50
102.87
30 October 2006
358.84
143.31
102.25
31 October 2006
368.52
143.40
102.11
1 November 2006
370.96
143.06
101.68
2 November 2006
365.64
142.12
101.62
3 November 2006
353.29
140.76
100.59
6 November 2006
355.65
140.67
101.03
7 November 2006
357.64
140.17
100.77
8 November 2006
358.97
139.70
99.87
9 November 2006
356.48
139.43
100.05
10 November 2006
359.34
139.43
99.99
13 November 2006
356.53
138.64
99.00
14 November 2006
359.53
139.77
99.99
15 November 2006
354.85
140.64
100.42
16 November 2006
348.44
139.71
99.82
17 November 2006
356.55
139.64
99.88
20 November 2006
357.83
140.12
100.25
21 November 2006
361.16
140.24
99.76
22 November 2006
363.58
140.85
100.16
23 November 2006
ND
ND
ND
24 November 2006
364.65
140.19
99.57
27 November 2006
366.40
141.05
100.26
28 November 2006
371.48
140.75
100.16
29 November 2006
366.79
140.23
99.64
30 November 2006
375.05
141.18
99.64
1 December 2006
376.76
141.52
100.22
4 December 2006
375.87
141.40
99.87
5 December 2006
370.89
140.92
99.27
6 December 2006
364.83
140.22
98.68
7 December 2006
363.41
139.59
98.30
8 December 2006
356.95
139.00
97.90
11 December 2006
360.41
139.65
98.60
12 December 2006
364.64
140.94
99.67
13 December 2006
356.79
139.95
98.76
14 December 2006
356.88
140.28
99.05
Date
10-year high-yield
10-year BBB
10-year A
15 December 2006
354.81
140.38
99.43
18 December 2006
355.66
139.96
98.50
19 December 2006
354.51
140.31
99.25
20 December 2006
353.86
139.82
98.74
21 December 2006
357.75
139.86
98.36
22 December 2006
350.98
139.57
98.17
25 December 2006
ND
ND
ND
26 December 2006
352.40
139.37
97.97
27 December 2006
347.97
139.65
98.24
28 December 2006
343.69
138.91
97.19
29 December 2006
341.91
138.97
97.32
1 January 2007
ND
ND
ND
2 January 2007
350.90
140.24
97.81
3 January 2007
350.34
138.84
96.81
4 January 2007
355.17
138.69
96.73
5 January 2007
354.21
138.04
95.65
8 January 2007
352.96
138.15
96.35
9 January 2007
351.92
138.32
96.64
10 January 2007
349.34
137.65
95.56
11 January 2007
343.89
137.97
96.14
12 January 2007
340.30
137.64
96.22
15 January 2007
ND
ND
ND
16 January 2007
340.60
137.30
96.09
17 January 2007
335.47
137.00
95.85
18 January 2007
337.83
136.17
95.27
19 January 2007
333.42
135.12
94.45
22 January 2007
334.08
136.30
95.53
23 January 2007
328.80
134.71
94.63
24 January 2007
326.57
134.83
95.22
25 January 2007
320.44
134.49
95.61
26 January 2007
320.69
134.01
94.52
29 January 2007
319.53
134.05
94.77
30 January 2007
324.30
134.77
95.57
31 January 2007
331.22
134.80
95.57
1 February 2007
326.55
134.53
95.70
2 February 2007
326.79
133.64
95.36
5 February 2007
327.30
133.04
95.04
Date
10-year high-yield
10-year BBB
10-year A
6 February 2007
328.90
133.66
95.37
7 February 2007
326.62
132.62
94.77
8 February 2007
327.92
132.47
94.45
9 February 2007
321.43
131.84
94.34
12 February 2007
321.46
131.38
93.53
13 February 2007
319.57
131.13
93.34
14 February 2007
324.43
131.53
93.92
15 February 2007
323.64
131.11
93.98
16 February 2007
322.19
130.18
93.32
19 February 2007
ND
ND
ND
20 February 2007
322.68
129.79
93.40
21 February 2007
320.14
129.45
93.20
22 February 2007
314.46
128.88
93.01
23 February 2007
319.14
128.21
92.82
26 February 2007
323.79
128.81
93.25
27 February 2007
341.92
132.72
96.54
28 February 2007
339.30
130.72
95.14
1 March 2007
343.08
131.40
95.99
2 March 2007
350.75
132.83
96.38
5 March 2007
356.70
135.59
99.22
6 March 2007
351.96
134.96
98.12
7 March 2007
350.26
135.41
97.91
8 March 2007
344.97
134.62
97.38
9 March 2007
337.31
134.40
97.44
12 March 2007
341.63
134.37
97.67
13 March 2007
350.80
135.74
98.49
14 March 2007
351.39
136.11
98.38
15 March 2007
348.21
136.75
98.99
16 March 2007
348.41
137.01
99.63
19 March 2007
345.54
136.83
99.40
20 March 2007
347.63
137.86
100.71
21 March 2007
347.93
137.77
100.43
22 March 2007
339.86
137.47
99.92
23 March 2007
337.23
137.56
99.99
26 March 2007
339.66
137.28
99.92
27 March 2007
338.53
138.17
100.59
28 March 2007
340.41
139.01
101.20
Date
10-year high-yield
10-year BBB
10-year A
29 March 2007
338.03
138.69
100.76
30 March 2007
336.33
138.93
101.04
2 April 2007
336.27
139.19
100.85
3 April 2007
333.93
139.28
100.54
4 April 2007
338.09
140.16
101.49
5 April 2007
332.92
139.58
101.15
6 April 2007
ND
ND
ND
9 April 2007
326.72
139.09
100.72
10 April 2007
327.47
138.60
100.06
11 April 2007
325.79
138.67
100.52
12 April 2007
325.77
138.44
100.12
13 April 2007
322.72
138.19
100.78
16 April 2007
322.93
137.95
101.20
17 April 2007
325.29
138.04
101.40
18 April 2007
328.04
137.74
101.07
19 April 2007
324.60
137.64
101.24
20 April 2007
321.47
137.31
100.61
23 April 2007
323.41
137.59
101.25
24 April 2007
324.66
137.97
101.73
25 April 2007
321.00
137.64
101.11
26 April 2007
316.81
137.32
101.05
27 April 2007
317.01
137.70
101.59
30 April 2007
325.83
137.84
102.40
1 May 2007
325.87
138.16
102.54
2 May 2007
324.16
137.65
102.21
3 May 2007
321.34
137.42
102.01
4 May 2007
324.55
138.06
102.13
7 May 2007
324.04
137.56
102.78
8 May 2007
324.34
137.02
102.10
9 May 2007
319.88
137.27
102.62
10 May 2007
320.78
136.96
102.61
11 May 2007
318.60
136.48
102.19
14 May 2007
316.25
135.96
101.83
15 May 2007
313.67
135.70
101.98
16 May 2007
313.92
136.12
102.35
17 May 2007
309.22
135.30
102.24
18 May 2007
305.84
135.53
102.21
Date
10-year high-yield
10-year BBB
10-year A
21 May 2007
305.59
135.60
102.46
22 May 2007
300.87
134.73
101.42
23 May 2007
297.89
134.46
101.76
24 May 2007
299.00
134.90
102.17
25 May 2007
299.18
134.79
101.87
28 May 2007
ND
ND
ND
29 May 2007
298.31
135.49
102.93
30 May 2007
299.51
135.30
102.40
31 May 2007
296.45
136.18
103.37
1 June 2007
291.65
136.03
103.59
4 June 2007
296.76
135.74
103.74
5 June 2007
291.14
136.07
103.02
6 June 2007
296.78
136.72
104.09
7 June 2007
292.89
137.71
105.10
8 June 2007
295.65
138.75
106.23
11 June 2007
293.76
138.68
106.18
12 June 2007
289.89
137.62
105.40
13 June 2007
296.60
139.22
106.69
14 June 2007
293.19
137.38
105.36
15 June 2007
296.90
138.06
106.22
18 June 2007
296.47
137.24
105.35
19 June 2007
305.39
138.03
106.23
20 June 2007
301.83
136.89
105.66
21 June 2007
306.39
138.70
107.66
22 June 2007
309.81
139.38
108.58
25 June 2007
321.14
139.62
108.12
26 June 2007
319.52
140.54
108.78
27 June 2007
328.00
140.50
108.53
28 June 2007
324.22
141.52
109.72
29 June 2007
332.44
142.38
110.14
2 July 2007
340.20
142.20
110.86
3 July 2007
334.24
141.33
110.76
4 July 2007
ND
ND
ND
5 July 2007
326.70
142.14
111.77
6 July 2007
322.96
142.25
112.04
9 July 2007
327.15
142.09
111.83
10 July 2007
345.51
143.43
112.67
Date
10-year high-yield
10-year BBB
10-year A
11 July 2007
345.98
143.17
112.54
12 July 2007
339.45
143.26
113.05
13 July 2007
337.73
143.97
113.62
16 July 2007
340.47
143.65
113.26
17 July 2007
339.62
144.16
114.75
18 July 2007
353.99
145.08
114.83
19 July 2007
350.94
145.75
115.11
20 July 2007
366.33
148.84
118.18
23 July 2007
374.37
149.91
118.71
24 July 2007
391.03
152.29
120.06
25 July 2007
396.53
153.14
120.32
26 July 2007
434.41
166.92
131.50
27 July 2007
441.62
171.51
134.62
30 July 2007
438.68
172.99
136.25
31 July 2007
433.08
172.70
135.57
1 August 2007
439.62
172.43
135.98
2 August 2007
431.68
170.59
134.94
3 August 2007
434.56
170.97
135.75
6 August 2007
438.31
174.37
138.60
7 August 2007
427.86
170.68
135.31
8 August 2007
404.42
169.62
136.10
9 August 2007
410.23
169.21
136.33
10 August 2007
414.16
168.41
136.13
13 August 2007
412.55
169.55
137.43
14 August 2007
417.37
171.26
139.27
15 August 2007
425.00
175.04
142.44
16 August 2007
444.84
177.83
144.56
17 August 2007
434.54
178.76
145.60
20 August 2007
434.93
179.38
147.04
21 August 2007
436.18
181.29
147.89
22 August 2007
429.42
181.31
148.49
23 August 2007
427.17
179.96
148.50
24 August 2007
426.50
180.50
148.11
27 August 2007
427.45
179.54
147.00
28 August 2007
433.95
180.65
147.56
29 August 2007
432.56
180.37
147.28
30 August 2007
437.91
182.44
149.46
Date
10-year high-yield
10-year BBB
10-year A
436.07
180.24
148.98
3 September 2007
ND
ND
ND
4 September 2007
433.34
179.45
148.99
5 September 2007
439.08
179.40
148.48
6 September 2007
433.91
180.65
149.77
7 September 2007
448.46
183.51
152.41
10 September 2007
453.75
186.00
155.29
11 September 2007
449.83
186.69
156.48
12 September 2007
446.25
187.52
157.97
13 September 2007
439.02
187.21
158.02
14 September 2007
439.71
187.66
157.86
17 September 2007
436.87
188.02
158.06
18 September 2007
429.08
186.46
155.72
19 September 2007
416.00
185.45
155.72
20 September 2007
403.90
182.41
152.70
21 September 2007
401.23
181.44
150.78
24 September 2007
397.31
179.96
148.90
25 September 2007
400.56
180.25
148.28
26 September 2007
397.52
179.61
148.19
27 September 2007
401.56
179.25
148.18
28 September 2007
402.35
178.97
148.14
1 October 2007
404.79
178.59
148.08
2 October 2007
404.79
178.76
147.22
3 October 2007
398.72
176.97
146.18
4 October 2007
402.91
176.33
144.49
5 October 2007
389.36
174.28
142.11
8 October 2007
ND
ND
ND
9 October 2007
383.55
172.47
141.24
10 October 2007
381.50
171.36
139.48
11 October 2007
377.31
169.84
139.03
12 October 2007
373.35
167.92
137.55
15 October 2007
373.58
167.18
136.71
16 October 2007
380.85
168.72
138.48
17 October 2007
391.86
168.54
139.04
18 October 2007
400.00
169.78
140.31
19 October 2007
416.61
172.30
142.49
22 October 2007
418.57
172.91
143.85
31 August 2007
Date
10-year high-yield
10-year BBB
10-year A
23 October 2007
414.97
173.24
143.59
24 October 2007
421.08
172.63
143.54
25 October 2007
420.03
174.93
146.01
26 October 2007
417.20
174.15
144.97
29 October 2007
418.52
174.90
145.48
30 October 2007
416.65
174.91
145.13
31 October 2007
417.05
178.51
147.70
1 November 2007
431.71
180.32
150.77
2 November 2007
439.49
181.36
151.58
5 November 2007
438.93
182.22
154.87
6 November 2007
434.52
183.09
156.13
7 November 2007
440.04
185.61
159.39
8 November 2007
449.27
188.37
161.51
9 November 2007
459.15
190.52
164.06
12 November 2007
ND
ND
ND
13 November 2007
460.56
193.37
167.49
14 November 2007
458.07
193.64
166.97
15 November 2007
473.78
197.14
169.50
16 November 2007
480.17
198.64
170.87
19 November 2007
497.19
202.12
173.70
20 November 2007
502.15
203.98
175.74
21 November 2007
513.80
204.57
176.81
22 November 2007
ND
ND
ND
23 November 2007
514.44
205.42
177.19
26 November 2007
529.17
208.40
179.16
27 November 2007
523.41
208.64
178.37
28 November 2007
510.03
210.36
179.40
29 November 2007
513.33
213.08
182.26
30 November 2007
511.95
212.09
182.49
3 December 2007
518.85
213.86
184.46
4 December 2007
522.21
215.52
186.14
5 December 2007
516.32
218.93
186.98
6 December 2007
507.40
221.19
188.15
7 December 2007
495.42
221.62
189.37
10 December 2007
489.59
221.73
188.94
11 December 2007
499.74
222.91
188.35
12 December 2007
497.78
224.31
189.87
Date
10-year high-yield
10-year BBB
10-year A
13 December 2007
490.87
221.92
187.95
14 December 2007
485.65
221.80
188.62
17 December 2007
490.60
222.05
188.27
18 December 2007
494.72
219.77
186.97
19 December 2007
504.88
222.03
189.38
20 December 2007
507.31
219.06
186.89
21 December 2007
495.69
220.20
188.06
24 December 2007
491.55
218.65
187.57
25 December 2007
ND
ND
ND
26 December 2007
484.54
218.83
187.59
27 December 2007
491.59
219.12
187.74
28 December 2007
500.08
219.30
186.78
31 December 2007
520.89
220.10
187.07
1 January 2008
ND
ND
ND
2 January 2008
533.33
219.78
186.34
3 January 2008
541.09
224.44
191.17
4 January 2008
552.59
227.69
192.97
7 January 2008
558.83
229.45
193.86
8 January 2008
561.66
231.16
195.09
9 January 2008
578.43
235.34
198.77
10 January 2008
568.36
235.94
201.22
11 January 2008
576.18
239.11
204.04
14 January 2008
576.44
239.52
203.74
15 January 2008
586.60
241.87
205.49
16 January 2008
592.10
240.43
204.85
17 January 2008
607.63
245.32
210.28
18 January 2008
613.34
247.88
210.61
21 January 2008
ND
ND
ND
22 January 2008
633.65
251.67
213.35
23 January 2008
635.57
248.87
207.59
24 January 2008
611.23
244.40
210.49
25 January 2008
610.10
252.44
209.87
28 January 2008
609.10
252.35
209.75
Note: Measured relative to comparable-maturity Treasury.
Bottom-left panel
House Price Appreciation
Quarterly percent change, annual rate
Period
National
CA,AZ,NV,FL
2000:Q1
7.27
9.71
2000:Q2
7.25
9.13
2000:Q3
6.92
10.40
2000:Q4
7.38
12.81
2001:Q1
7.79
12.19
2001:Q2
7.35
10.30
2001:Q3
6.93
9.53
2001:Q4
6.69
9.99
2002:Q1
7.40
11.80
2002:Q2
8.30
13.94
2002:Q3
8.90
15.02
2002:Q4
8.51
14.39
2003:Q1
7.71
14.21
2003:Q2
7.56
12.77
2003:Q3
8.72
15.65
2003:Q4
9.29
19.99
2004:Q1
9.77
19.80
2004:Q2
9.92
24.24
2004:Q3
10.72
27.04
2004:Q4
10.56
20.26
2005:Q1
9.93
23.78
2005:Q2
11.48
25.35
2005:Q3
11.01
22.57
2005:Q4
8.90
13.71
2006:Q1
7.08
8.43
2006:Q2
4.72
2.84
2006:Q3
2.36
-2.60
2006:Q4
2.69
-1.38
2007:Q1
4.17
-0.93
2007:Q2
2.03
-5.89
2007:Q3
-1.50
-13.91
2007:Q4e
-2.50
-14.90
e - Staff estimate. Return to table
Source: OFHEO purchase-only indexes.
Bottom-right panel
Financial Sector Results
Writedowns more than $80 billion in Q4
Most from subprime mortgages and CDO exposures
Banks increased loan loss provisions
Firms raised capital and cut dividends and share repurchases
Risks: house prices, slow activity, financial guarantors, previous commitments
Exhibit 7
Business Financial Conditions
Top-left panel
S&P 500 Earnings Per Share
Four-quarter percent change
Period
All firms
Nonfinancial firms
1999:Q1
6.87
ND
1999:Q2
10.10
ND
1999:Q3
22.37
ND
1999:Q4
21.10
ND
2000:Q1
18.50
ND
2000:Q2
16.00
ND
2000:Q3
11.00
ND
2000:Q4
-2.70
ND
2001:Q1
-10.80
ND
2001:Q2
-20.10
ND
2001:Q3
-24.80
-25.74
2001:Q4
-22.40
-23.18
2002:Q1
-8.60
-9.27
2002:Q2
5.30
-0.04
2002:Q3
13.80
7.44
2002:Q4
16.00
17.31
2003:Q1
11.30
13.13
2003:Q2
8.70
2.08
2003:Q3
17.50
14.42
2003:Q4
25.40
16.10
2004:Q1
26.30
25.60
2004:Q2
24.80
33.53
2004:Q3
15.00
20.41
2004:Q4
18.50
21.89
2005:Q1
13.00
13.97
2005:Q2
14.20
14.70
Period
All firms
Nonfinancial firms
2005:Q3
13.60
16.23
2005:Q4
13.30
8.26
2006:Q1
15.50
14.36
2006:Q2
16.50
13.34
2006:Q3
19.80
14.91
2006:Q4
11.10
4.10
2007:Q1
9.60
8.18
2007:Q2
9.40
7.07
2007:Q3
-5.70
3.98
2007:Q4*
-20.88
11.66
* Preliminary. Return to table
Source: I/B/E/S.
Top-right panel
Loss Rates on High-Yield Corporate Bonds
Percent
Period
Actual
Expected
Forecast
1991:Q1
8.09
7.69
ND
1991:Q2
5.43
8.10
ND
1991:Q3
4.47
4.60
ND
1991:Q4
3.34
2.96
ND
1992:Q1
2.50
3.19
ND
1992:Q2
1.48
2.86
ND
1992:Q3
2.39
2.17
ND
1992:Q4
1.78
0.61
ND
1993:Q1
1.00
1.41
ND
1993:Q2
0.71
0.55
ND
1993:Q3
1.20
0.82
ND
1993:Q4
0.53
-0.13
ND
1994:Q1
0.54
1.33
ND
1994:Q2
0.49
0.29
ND
1994:Q3
0.74
-0.03
ND
1994:Q4
0.68
-0.23
ND
1995:Q1
0.47
-0.06
ND
1995:Q2
0.86
-0.26
ND
1995:Q3
1.12
0.00
ND
1995:Q4
1.55
-0.08
ND
Period
Actual
Expected
Forecast
1996:Q1
1.56
0.57
ND
1996:Q2
0.94
1.08
ND
1996:Q3
1.13
0.84
ND
1996:Q4
0.97
0.74
ND
1997:Q1
1.05
1.23
ND
1997:Q2
1.04
0.83
ND
1997:Q3
0.69
0.34
ND
1997:Q4
0.38
0.38
ND
1998:Q1
0.53
1.70
ND
1998:Q2
0.92
1.43
ND
1998:Q3
1.19
0.50
ND
1998:Q4
1.62
1.86
ND
1999:Q1
2.05
2.30
ND
1999:Q2
2.40
2.38
ND
1999:Q3
3.40
3.64
ND
1999:Q4
4.03
3.81
ND
2000:Q1
3.59
4.93
ND
2000:Q2
4.74
4.11
ND
2000:Q3
4.29
6.15
ND
2000:Q4
5.43
5.90
ND
2001:Q1
5.52
8.10
ND
2001:Q2
7.86
9.58
ND
2001:Q3
9.52
10.05
ND
2001:Q4
13.96
11.19
ND
2002:Q1
14.26
13.24
ND
2002:Q2
9.39
11.05
ND
2002:Q3
19.24
8.18
ND
2002:Q4
11.27
10.71
ND
2003:Q1
10.56
7.59
ND
2003:Q2
11.86
4.02
ND
2003:Q3
3.53
3.61
ND
2003:Q4
1.64
2.73
ND
2004:Q1
2.07
0.55
ND
2004:Q2
1.30
0.76
ND
2004:Q3
0.42
0.29
ND
2004:Q4
0.62
0.58
ND
2005:Q1
0.59
0.64
ND
Period
Actual
Expected
Forecast
2005:Q2
1.10
-0.17
ND
2005:Q3
1.69
1.65
ND
2005:Q4
1.65
1.06
ND
2006:Q1
0.44
1.03
ND
2006:Q2
1.22
0.75
ND
2006:Q3
1.21
0.19
ND
2006:Q4
0.51
2.85
ND
2007:Q1
-0.01
2.00
ND
2007:Q2
0.10
0.85
ND
2007:Q3
0.27
1.49
ND
2007:Q4
0.21
1.83
ND
2008:Q1
ND
ND
1.76
2008:Q2
ND
ND
3.05
2008:Q3
ND
ND
3.75
2008:Q4
ND
ND
3.52
2009:Q1
ND
ND
3.83
2009:Q2
ND
ND
4.33
2009:Q3
ND
ND
4.86
2009:Q4
ND
ND
5.58
Middle-left panel
Charge-Off Rates on Commercial Real Estate Loans at Banks
Percent
Period
Actual
Expected
Forecast
1991:Q1
1.78
1.36
ND
1991:Q2
1.84
1.43
ND
1991:Q3
1.98
1.72
ND
1991:Q4
2.38
1.98
ND
1992:Q1
2.11
1.70
ND
1992:Q2
1.77
1.70
ND
1992:Q3
2.54
2.00
ND
1992:Q4
2.22
1.86
ND
1993:Q1
1.69
1.45
ND
1993:Q2
1.48
1.56
ND
1993:Q3
1.21
1.24
ND
1993:Q4
0.97
0.98
ND
1994:Q1
0.93
0.94
ND
Period
Actual
Expected
Forecast
1994:Q2
0.66
0.77
ND
1994:Q3
0.51
0.71
ND
1994:Q4
0.49
0.66
ND
1995:Q1
0.43
0.73
ND
1995:Q2
0.48
0.83
ND
1995:Q3
0.25
0.72
ND
1995:Q4
0.20
0.60
ND
1996:Q1
0.23
0.64
ND
1996:Q2
0.12
0.54
ND
1996:Q3
0.11
0.49
ND
1996:Q4
0.03
0.46
ND
1997:Q1
0.05
0.22
ND
1997:Q2
0.01
0.23
ND
1997:Q3
0.00
0.14
ND
1997:Q4
0.00
0.05
ND
1998:Q1
0.03
-0.12
ND
1998:Q2
-0.01
-0.37
ND
1998:Q3
0.00
-0.03
ND
1998:Q4
0.03
0.12
ND
1999:Q1
0.02
0.03
ND
1999:Q2
0.03
-0.13
ND
1999:Q3
0.03
0.00
ND
1999:Q4
0.03
-0.10
ND
2000:Q1
0.04
-0.21
ND
2000:Q2
0.06
-0.40
ND
2000:Q3
0.06
-0.41
ND
2000:Q4
0.06
-0.23
ND
2001:Q1
0.10
-0.03
ND
2001:Q2
0.10
0.18
ND
2001:Q3
0.13
0.32
ND
2001:Q4
0.17
0.64
ND
2002:Q1
0.16
0.51
ND
2002:Q2
0.14
0.49
ND
2002:Q3
0.14
0.36
ND
2002:Q4
0.16
0.31
ND
2003:Q1
0.11
0.31
ND
2003:Q2
0.15
0.50
ND
Period
Actual
Expected
Forecast
2003:Q3
0.14
0.63
ND
2003:Q4
0.10
0.40
ND
2004:Q1
0.08
0.24
ND
2004:Q2
0.08
0.19
ND
2004:Q3
0.06
0.08
ND
2004:Q4
0.06
-0.17
ND
2005:Q1
0.06
-0.07
ND
2005:Q2
0.05
-0.29
ND
2005:Q3
0.05
-0.31
ND
2005:Q4
0.01
-0.29
ND
2006:Q1
0.05
-0.24
ND
2006:Q2
0.05
-0.18
ND
2006:Q3
0.04
-0.06
ND
2006:Q4
0.09
0.15
ND
2007:Q1
0.10
0.08
ND
2007:Q2
0.14
-0.10
ND
2007:Q3
0.16
0.04
ND
2007:Q4
ND
ND
0.58
2008:Q1
ND
ND
0.89
2008:Q2
ND
ND
0.99
2008:Q3
ND
ND
0.95
2008:Q4
ND
ND
0.91
2009:Q1
ND
ND
0.91
2009:Q2
ND
ND
0.91
2009:Q3
ND
ND
0.89
2009:Q4
ND
ND
0.86
Middle-right panel
Net Percentage of Banks Tightening Standards
Percent
Period
C&I (large and middle)
Commercial Real Estate
1990:Q2
56.90
ND
1990:Q3
39.45
69.38
1990:Q4
48.90
61.68
1991:Q1
36.00
46.43
1991:Q2
15.50
25.75
1991:Q3
12.25
27.13
Period
C&I (large and middle)
Commercial Real Estate
1991:Q4
9.00
14.93
1992:Q1
5.25
7.10
1992:Q2
0.90
10.10
1992:Q3
-1.70
4.38
1992:Q4
4.35
3.50
1993:Q1
2.65
2.23
1993:Q2
-7.85
2.18
1993:Q3
-19.45
-0.85
1993:Q4
-17.75
-3.88
1994:Q1
-12.95
-4.73
1994:Q2
-12.20
-7.13
1994:Q3
-6.95
-3.10
1994:Q4
-17.40
-3.05
1995:Q1
-6.85
0.45
1995:Q2
-5.90
-0.43
1995:Q3
-6.05
2.98
1995:Q4
-3.45
6.08
1996:Q1
6.95
13.33
1996:Q2
-0.90
10.90
1996:Q3
-3.70
5.70
1996:Q4
-7.80
-1.70
1997:Q1
-5.45
-1.80
1997:Q2
-6.95
-5.20
1997:Q3
-5.70
-11.40
1997:Q4
-7.00
-8.80
1998:Q1
1.80
-7.20
1998:Q2
-7.10
-7.20
1998:Q3
0.00
0.00
1998:Q4
36.40
46.40
1999:Q1
7.40
14.80
1999:Q2
10.00
5.10
1999:Q3
5.40
8.90
1999:Q4
9.10
9.10
2000:Q1
10.90
10.90
2000:Q2
24.60
21.40
2000:Q3
33.90
32.10
2000:Q4
43.80
26.30
Period
C&I (large and middle)
Commercial Real Estate
2001:Q1
59.70
44.60
2001:Q2
50.90
41.80
2001:Q3
40.40
42.60
2001:Q4
50.90
44.70
2002:Q1
45.40
46.30
2002:Q2
25.00
30.90
2002:Q3
21.40
25.50
2002:Q4
20.00
22.20
2003:Q1
22.00
13.60
2003:Q2
8.90
17.80
2003:Q3
3.50
13.80
2003:Q4
0.00
0.00
2004:Q1
-17.90
-5.50
2004:Q2
-23.20
-10.70
2004:Q3
-20.00
-8.90
2004:Q4
-21.10
-17.50
2005:Q1
-23.60
-23.70
2005:Q2
-24.10
-22.20
2005:Q3
-16.70
-12.90
2005:Q4
-8.80
-5.20
2006:Q1
-10.70
1.80
2006:Q2
-12.30
1.80
2006:Q3
-8.90
10.70
2006:Q4
0.00
36.30
2007:Q1
0.00
26.30
2007:Q2
-3.70
30.20
2007:Q3
7.50
25.00
2007:Q4
19.20
50.00
January 2008
32.20
80.30
Source: Senior Loan Officer Opinion Survey.
Bottom-left panel
Borrowing Rates
Percent
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
3 January 2006
8.27
5.79
4.49
4 January 2006
8.24
5.78
4.48
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
5 January 2006
8.21
5.78
4.49
6 January 2006
8.18
5.80
4.42
9 January 2006
8.15
5.80
4.50
10 January 2006
8.17
5.85
4.51
11 January 2006
8.19
5.88
4.52
12 January 2006
8.19
5.84
4.54
13 January 2006
8.22
5.78
4.45
16 January 2006
ND
ND
ND
17 January 2006
8.24
5.76
4.53
18 January 2006
8.24
5.77
4.58
19 January 2006
8.22
5.81
4.52
20 January 2006
8.23
5.78
4.53
23 January 2006
8.21
5.78
4.59
24 January 2006
8.19
5.81
4.57
25 January 2006
8.18
5.89
4.62
26 January 2006
8.21
5.93
4.58
27 January 2006
8.18
5.90
4.61
30 January 2006
8.17
5.93
4.61
31 January 2006
8.16
5.92
4.64
1 February 2006
8.14
5.95
4.57
2 February 2006
8.14
5.94
4.61
3 February 2006
8.14
5.91
4.64
6 February 2006
8.17
5.92
4.60
7 February 2006
8.19
5.95
4.64
8 February 2006
8.20
5.97
4.66
9 February 2006
8.21
5.95
4.65
10 February 2006
8.22
5.99
4.64
13 February 2006
8.22
5.98
4.64
14 February 2006
8.23
6.01
4.64
15 February 2006
8.21
5.99
4.65
16 February 2006
8.19
5.98
4.65
17 February 2006
8.16
5.92
4.62
20 February 2006
ND
ND
ND
21 February 2006
8.16
5.94
4.63
22 February 2006
8.14
5.90
4.64
23 February 2006
8.14
5.93
4.65
24 February 2006
8.13
5.94
4.67
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
27 February 2006
8.14
5.96
4.70
28 February 2006
8.10
5.91
4.71
1 March 2006
8.13
5.96
4.72
2 March 2006
8.15
6.01
4.67
3 March 2006
8.19
6.06
4.68
6 March 2006
8.18
6.11
4.70
7 March 2006
8.20
6.12
4.72
8 March 2006
8.24
6.12
4.70
9 March 2006
8.23
6.11
4.72
10 March 2006
8.23
6.14
4.77
13 March 2006
8.23
6.16
4.74
14 March 2006
8.21
6.08
4.75
15 March 2006
8.20
6.12
4.80
16 March 2006
8.16
6.03
4.76
17 March 2006
8.19
6.05
4.79
20 March 2006
8.14
6.04
4.79
21 March 2006
8.13
6.09
4.79
22 March 2006
8.13
6.08
4.83
23 March 2006
8.13
6.12
4.83
24 March 2006
8.11
6.06
4.83
27 March 2006
8.10
6.09
4.85
28 March 2006
8.12
6.17
4.87
29 March 2006
8.15
6.20
4.86
30 March 2006
8.17
6.25
4.90
31 March 2006
8.18
6.25
4.87
3 April 2006
8.17
6.27
4.88
4 April 2006
8.19
6.26
4.86
5 April 2006
8.16
6.23
4.84
6 April 2006
8.19
6.29
4.88
7 April 2006
8.22
6.36
4.86
10 April 2006
8.24
6.36
4.91
11 April 2006
8.23
6.33
4.90
12 April 2006
8.24
6.37
4.95
13 April 2006
8.27
6.43
4.92
14 April 2006
ND
ND
ND
17 April 2006
8.27
6.40
4.98
18 April 2006
8.25
6.37
4.93
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
19 April 2006
8.26
6.42
4.94
20 April 2006
8.25
6.42
4.99
21 April 2006
8.24
6.39
5.01
24 April 2006
8.23
6.36
4.99
25 April 2006
8.24
6.44
5.04
26 April 2006
8.27
6.47
5.06
27 April 2006
8.26
6.44
5.04
28 April 2006
8.24
6.42
5.04
1 May 2006
8.25
6.47
5.03
2 May 2006
8.24
6.45
5.06
3 May 2006
8.26
6.48
5.07
4 May 2006
8.24
6.49
5.10
5 May 2006
8.23
6.44
5.11
8 May 2006
8.23
6.45
5.09
9 May 2006
8.23
6.45
5.11
10 May 2006
8.22
6.45
5.11
11 May 2006
8.23
6.49
5.12
12 May 2006
8.26
6.54
5.10
15 May 2006
8.29
6.50
5.10
16 May 2006
8.30
6.47
5.11
17 May 2006
8.37
6.53
5.14
18 May 2006
8.36
6.46
5.10
19 May 2006
8.34
6.43
5.11
22 May 2006
8.39
6.43
5.12
23 May 2006
8.39
6.46
5.11
24 May 2006
8.42
6.44
5.12
25 May 2006
8.42
6.48
5.13
26 May 2006
8.39
6.45
5.14
29 May 2006
ND
ND
ND
30 May 2006
8.41
6.50
5.17
31 May 2006
8.43
6.55
5.17
1 June 2006
8.43
6.54
5.17
2 June 2006
8.39
6.43
5.18
5 June 2006
8.42
6.46
5.17
6 June 2006
8.44
6.45
5.15
7 June 2006
8.45
6.48
5.20
8 June 2006
8.46
6.45
5.20
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
9 June 2006
8.46
6.44
5.20
12 June 2006
8.46
6.45
5.20
13 June 2006
8.49
6.44
5.23
14 June 2006
8.57
6.54
5.23
15 June 2006
8.60
6.59
5.28
16 June 2006
8.60
6.62
5.28
19 June 2006
8.61
6.64
5.34
20 June 2006
8.64
6.66
5.33
21 June 2006
8.71
6.67
5.33
22 June 2006
8.73
6.72
5.35
23 June 2006
8.75
6.75
5.37
26 June 2006
8.78
6.77
5.38
27 June 2006
8.77
6.74
5.40
28 June 2006
8.79
6.78
5.49
29 June 2006
8.74
6.74
5.47
30 June 2006
8.66
6.65
5.44
3 July 2006
8.68
6.69
5.44
4 July 2006
ND
ND
ND
5 July 2006
8.71
6.76
5.36
6 July 2006
8.71
6.72
5.38
7 July 2006
8.67
6.66
5.38
10 July 2006
8.66
6.66
5.39
11 July 2006
8.65
6.63
5.40
12 July 2006
8.66
6.63
5.40
13 July 2006
8.69
6.61
5.38
14 July 2006
8.71
6.61
5.42
17 July 2006
8.73
6.62
5.42
18 July 2006
8.74
6.67
5.42
19 July 2006
8.70
6.60
5.44
20 July 2006
8.69
6.57
5.44
21 July 2006
8.69
6.58
5.42
24 July 2006
8.71
6.58
5.43
25 July 2006
8.72
6.61
5.45
26 July 2006
8.70
6.57
5.45
27 July 2006
8.68
6.57
5.45
28 July 2006
8.66
6.52
5.45
31 July 2006
8.69
6.52
5.45
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
1 August 2006
8.68
6.51
5.43
2 August 2006
8.65
6.49
5.45
3 August 2006
8.65
6.47
5.41
4 August 2006
8.63
6.43
5.43
7 August 2006
8.62
6.45
5.41
8 August 2006
8.63
6.46
5.40
9 August 2006
8.63
6.47
5.37
10 August 2006
8.65
6.48
5.37
11 August 2006
8.65
6.51
5.38
14 August 2006
8.66
6.53
5.35
15 August 2006
8.64
6.46
5.37
16 August 2006
8.61
6.41
5.33
17 August 2006
8.58
6.40
5.38
18 August 2006
8.59
6.37
5.36
21 August 2006
8.58
6.36
5.34
22 August 2006
8.58
6.35
5.36
23 August 2006
8.57
6.36
5.34
24 August 2006
8.57
6.35
5.35
25 August 2006
8.57
6.34
5.35
28 August 2006
8.57
6.35
5.36
29 August 2006
8.57
6.34
5.35
30 August 2006
8.56
6.32
5.38
31 August 2006
8.59
6.29
5.36
1 September 2006
8.58
6.28
5.37
4 September 2006
ND
ND
ND
5 September 2006
8.57
6.33
5.34
6 September 2006
8.56
6.35
5.31
7 September 2006
8.57
6.34
5.34
8 September 2006
8.55
6.32
5.35
11 September 2006
8.55
6.35
5.36
12 September 2006
8.53
6.32
5.34
13 September 2006
8.50
6.31
5.34
14 September 2006
8.49
6.33
5.33
15 September 2006
8.48
6.34
5.35
18 September 2006
8.49
6.35
5.35
19 September 2006
8.49
6.28
5.31
20 September 2006
8.48
6.27
5.35
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
21 September 2006
8.49
6.21
5.36
22 September 2006
8.49
6.16
5.35
25 September 2006
8.48
6.12
5.35
26 September 2006
8.47
6.14
5.34
27 September 2006
8.45
6.15
5.34
28 September 2006
8.46
6.19
5.37
29 September 2006
8.45
6.20
5.35
2 October 2006
8.44
6.18
5.35
3 October 2006
8.38
6.17
5.35
4 October 2006
8.43
6.13
5.33
5 October 2006
8.41
6.17
5.34
6 October 2006
8.42
6.25
5.33
9 October 2006
ND
ND
ND
10 October 2006
8.43
6.30
5.35
11 October 2006
8.42
6.34
5.36
12 October 2006
8.40
6.33
5.33
13 October 2006
8.39
6.35
5.38
16 October 2006
8.39
6.33
5.35
17 October 2006
8.39
6.32
5.34
18 October 2006
8.37
6.29
5.33
19 October 2006
8.38
6.31
5.34
20 October 2006
8.38
6.30
5.34
23 October 2006
8.39
6.34
5.34
24 October 2006
8.39
6.34
5.36
25 October 2006
8.39
6.29
5.33
26 October 2006
8.37
6.23
5.35
27 October 2006
8.35
6.19
5.33
30 October 2006
8.34
6.18
5.35
31 October 2006
8.36
6.11
5.36
1 November 2006
8.34
6.06
5.34
2 November 2006
8.33
6.09
5.34
3 November 2006
8.32
6.19
5.34
6 November 2006
8.33
6.18
5.30
7 November 2006
8.30
6.13
5.34
8 November 2006
8.29
6.10
5.36
9 November 2006
8.26
6.09
5.34
10 November 2006
8.25
6.05
5.31
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
13 November 2006
8.24
6.06
5.32
14 November 2006
8.23
6.03
5.34
15 November 2006
8.23
6.08
5.35
16 November 2006
8.21
6.12
5.34
17 November 2006
8.24
6.07
5.36
20 November 2006
8.24
6.06
5.35
21 November 2006
8.25
6.04
5.38
22 November 2006
8.27
6.04
5.34
23 November 2006
ND
ND
ND
24 November 2006
8.26
6.02
5.46
27 November 2006
8.27
6.01
5.35
28 November 2006
8.29
5.99
5.35
29 November 2006
8.26
5.99
5.32
30 November 2006
8.28
5.95
5.38
1 December 2006
8.27
5.92
5.35
4 December 2006
8.26
5.92
5.39
5 December 2006
8.23
5.93
5.35
6 December 2006
8.20
5.96
5.35
7 December 2006
8.19
5.95
5.38
8 December 2006
8.20
6.02
5.38
11 December 2006
8.20
5.99
5.38
12 December 2006
8.20
5.97
5.37
13 December 2006
8.22
6.05
5.37
14 December 2006
8.24
6.07
5.38
15 December 2006
8.22
6.07
5.39
18 December 2006
8.22
6.06
5.39
19 December 2006
8.21
6.07
5.39
20 December 2006
8.21
6.07
5.38
21 December 2006
8.20
6.03
5.39
22 December 2006
8.21
6.09
5.40
25 December 2006
ND
ND
ND
26 December 2006
8.20
6.07
5.41
27 December 2006
8.21
6.12
5.36
28 December 2006
8.21
6.16
5.36
29 December 2006
8.20
6.17
5.36
1 January 2007
ND
ND
ND
2 January 2007
8.27
6.16
5.35
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
3 January 2007
8.24
6.13
5.34
4 January 2007
8.25
6.08
5.36
5 January 2007
8.27
6.11
5.35
8 January 2007
8.26
6.11
5.35
9 January 2007
8.25
6.11
5.33
10 January 2007
8.25
6.14
5.33
11 January 2007
8.25
6.19
5.34
12 January 2007
8.25
6.22
5.32
15 January 2007
ND
ND
ND
16 January 2007
8.23
6.20
5.34
17 January 2007
8.22
6.23
5.33
18 January 2007
8.20
6.19
5.36
19 January 2007
8.18
6.20
5.34
22 January 2007
8.17
6.19
5.35
23 January 2007
8.17
6.23
5.36
24 January 2007
8.15
6.23
5.36
25 January 2007
8.14
6.28
5.33
26 January 2007
8.16
6.29
5.34
29 January 2007
8.16
6.30
5.32
30 January 2007
8.19
6.29
5.31
31 January 2007
8.20
6.24
5.33
1 February 2007
8.17
6.25
5.33
2 February 2007
8.17
6.24
5.33
5 February 2007
8.15
6.21
5.35
6 February 2007
8.12
6.17
5.35
7 February 2007
8.08
6.14
5.37
8 February 2007
8.09
6.13
5.33
9 February 2007
8.08
6.18
5.33
12 February 2007
8.10
6.19
5.34
13 February 2007
8.09
6.20
5.35
14 February 2007
8.05
6.12
5.31
15 February 2007
8.02
6.09
5.30
16 February 2007
7.99
6.07
5.33
19 February 2007
ND
ND
ND
20 February 2007
7.99
6.06
5.35
21 February 2007
7.97
6.07
5.35
22 February 2007
7.96
6.10
5.34
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
23 February 2007
7.95
6.04
5.34
26 February 2007
7.95
6.00
5.35
27 February 2007
8.00
5.91
5.31
28 February 2007
8.04
5.95
5.34
1 March 2007
8.08
5.96
5.33
2 March 2007
8.11
5.93
5.32
5 March 2007
8.17
5.96
5.38
6 March 2007
8.14
5.97
5.33
7 March 2007
8.09
5.94
5.32
8 March 2007
8.05
5.94
5.32
9 March 2007
8.05
6.02
5.33
12 March 2007
8.05
5.98
5.33
13 March 2007
8.10
5.95
5.33
14 March 2007
8.13
5.98
5.35
15 March 2007
8.11
5.99
5.34
16 March 2007
8.11
6.00
5.33
19 March 2007
8.11
6.02
5.36
20 March 2007
8.11
6.01
5.36
21 March 2007
8.09
5.99
5.36
22 March 2007
8.08
6.06
5.31
23 March 2007
8.08
6.08
5.34
26 March 2007
8.08
6.06
5.33
27 March 2007
8.09
6.09
5.34
28 March 2007
8.12
6.10
5.36
29 March 2007
8.11
6.11
5.34
30 March 2007
8.10
6.13
5.36
2 April 2007
8.10
6.13
5.34
3 April 2007
8.10
6.15
5.33
4 April 2007
8.13
6.15
5.35
5 April 2007
8.10
6.17
5.35
6 April 2007
ND
ND
ND
9 April 2007
8.10
6.23
5.34
10 April 2007
8.09
6.20
5.35
11 April 2007
8.08
6.21
5.34
12 April 2007
8.08
6.21
5.34
13 April 2007
8.07
6.23
5.34
16 April 2007
8.05
6.20
5.35
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
17 April 2007
8.02
6.15
5.34
18 April 2007
8.02
6.11
5.35
19 April 2007
8.00
6.13
5.37
20 April 2007
7.97
6.13
5.33
23 April 2007
7.96
6.11
5.34
24 April 2007
7.95
6.08
5.33
25 April 2007
7.94
6.11
5.33
26 April 2007
7.94
6.14
5.33
27 April 2007
7.95
6.16
5.34
30 April 2007
7.96
6.08
5.34
1 May 2007
7.97
6.09
5.33
2 May 2007
7.96
6.09
5.33
3 May 2007
7.96
6.12
5.34
4 May 2007
7.95
6.09
5.35
7 May 2007
7.94
6.08
5.32
8 May 2007
7.94
6.07
5.35
9 May 2007
7.94
6.11
5.30
10 May 2007
7.93
6.09
5.35
11 May 2007
7.93
6.11
5.34
14 May 2007
7.93
6.12
5.35
15 May 2007
7.92
6.14
5.35
16 May 2007
7.92
6.14
5.35
17 May 2007
7.92
6.18
5.32
18 May 2007
7.93
6.23
5.35
21 May 2007
7.91
6.21
5.33
22 May 2007
7.91
6.25
5.34
23 May 2007
7.92
6.28
5.34
24 May 2007
7.92
6.28
5.33
25 May 2007
7.93
6.28
5.34
28 May 2007
ND
ND
ND
29 May 2007
7.93
6.30
5.35
30 May 2007
7.95
6.31
5.34
31 May 2007
7.93
6.33
5.35
1 June 2007
7.94
6.39
5.34
4 June 2007
7.97
6.36
5.35
5 June 2007
7.96
6.41
5.33
6 June 2007
8.01
6.41
5.35
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
7 June 2007
8.10
6.55
5.35
8 June 2007
8.15
6.58
5.33
11 June 2007
8.15
6.60
5.36
12 June 2007
8.23
6.71
5.35
13 June 2007
8.23
6.66
5.34
14 June 2007
8.23
6.67
5.34
15 June 2007
8.21
6.62
5.36
18 June 2007
8.19
6.60
5.35
19 June 2007
8.22
6.54
5.34
20 June 2007
8.23
6.58
5.35
21 June 2007
8.30
6.63
5.38
22 June 2007
8.32
6.61
5.36
25 June 2007
8.37
6.56
5.37
26 June 2007
8.38
6.59
5.35
27 June 2007
8.44
6.56
5.39
28 June 2007
8.43
6.60
5.40
29 June 2007
8.43
6.52
5.36
2 July 2007
8.47
6.49
5.40
3 July 2007
8.47
6.54
5.35
4 July 2007
ND
ND
ND
5 July 2007
8.49
6.64
5.34
6 July 2007
8.50
6.69
5.38
9 July 2007
8.50
6.65
5.34
10 July 2007
8.57
6.54
5.34
11 July 2007
8.62
6.60
5.35
12 July 2007
8.60
6.63
5.33
13 July 2007
8.56
6.62
5.36
16 July 2007
8.53
6.57
5.35
17 July 2007
8.56
6.60
5.35
18 July 2007
8.64
6.55
5.34
19 July 2007
8.63
6.58
5.34
20 July 2007
8.70
6.53
5.35
23 July 2007
8.79
6.55
5.36
24 July 2007
8.93
6.55
5.33
25 July 2007
8.97
6.53
5.35
26 July 2007
9.22
6.55
5.35
27 July 2007
9.31
6.60
5.34
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
30 July 2007
9.30
6.64
5.38
31 July 2007
9.20
6.60
5.37
1 August 2007
9.26
6.59
5.38
2 August 2007
9.19
6.58
5.39
3 August 2007
9.16
6.52
5.42
6 August 2007
9.21
6.57
5.45
7 August 2007
9.15
6.58
5.47
8 August 2007
9.02
6.67
5.52
9 August 2007
9.03
6.62
5.69
10 August 2007
9.08
6.62
5.89
13 August 2007
9.04
6.61
5.89
14 August 2007
9.04
6.58
5.83
15 August 2007
9.09
6.59
5.90
16 August 2007
9.19
6.52
5.90
17 August 2007
9.16
6.60
6.05
20 August 2007
9.13
6.57
6.09
21 August 2007
9.09
6.54
6.06
22 August 2007
9.05
6.56
6.09
23 August 2007
9.01
6.54
6.02
24 August 2007
9.01
6.55
6.01
27 August 2007
8.99
6.51
6.07
28 August 2007
9.00
6.47
5.98
29 August 2007
9.02
6.49
6.07
30 August 2007
9.01
6.46
6.12
31 August 2007
9.02
6.46
5.95
3 September 2007
ND
ND
ND
4 September 2007
9.01
6.48
6.12
5 September 2007
9.00
6.40
6.13
6 September 2007
8.97
6.44
6.07
7 September 2007
8.99
6.34
5.98
10 September 2007
8.99
6.31
6.03
11 September 2007
8.98
6.35
5.96
12 September 2007
8.98
6.40
5.95
13 September 2007
8.98
6.47
5.90
14 September 2007
8.97
6.45
5.75
17 September 2007
8.95
6.46
5.73
18 September 2007
8.90
6.47
5.66
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
19 September 2007
8.79
6.49
5.32
20 September 2007
8.82
6.60
5.29
21 September 2007
8.75
6.55
5.33
24 September 2007
8.71
6.53
5.41
25 September 2007
8.73
6.53
5.32
26 September 2007
8.71
6.53
5.40
27 September 2007
8.70
6.48
5.41
28 September 2007
8.71
6.48
5.33
1 October 2007
8.71
6.45
5.31
2 October 2007
8.69
6.43
5.33
3 October 2007
8.64
6.43
5.31
4 October 2007
8.66
6.40
5.32
5 October 2007
8.65
6.50
5.27
8 October 2007
ND
ND
ND
9 October 2007
8.60
6.49
5.30
10 October 2007
8.58
6.47
5.27
11 October 2007
8.54
6.46
5.27
12 October 2007
8.53
6.48
5.26
15 October 2007
8.53
6.46
5.24
16 October 2007
8.58
6.46
5.29
17 October 2007
8.59
6.36
5.25
18 October 2007
8.63
6.32
5.27
19 October 2007
8.68
6.24
5.17
22 October 2007
8.71
6.25
5.16
23 October 2007
8.67
6.26
5.18
24 October 2007
8.68
6.20
5.11
25 October 2007
8.68
6.23
5.13
26 October 2007
8.69
6.26
5.07
29 October 2007
8.68
6.25
4.98
30 October 2007
8.67
6.26
5.03
31 October 2007
8.75
6.37
4.98
1 November 2007
8.79
6.28
4.80
2 November 2007
8.82
6.24
4.86
5 November 2007
8.84
6.28
4.83
6 November 2007
8.84
6.32
4.90
7 November 2007
8.87
6.33
4.89
8 November 2007
8.92
6.31
4.87
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
9 November 2007
8.96
6.28
4.88
12 November 2007
ND
ND
ND
13 November 2007
9.00
6.33
4.88
14 November 2007
8.99
6.35
4.84
15 November 2007
9.05
6.28
4.93
16 November 2007
9.11
6.29
4.95
19 November 2007
9.20
6.25
4.98
20 November 2007
9.25
6.27
4.96
21 November 2007
9.33
6.24
4.98
22 November 2007
ND
ND
ND
23 November 2007
9.34
6.25
5.14
26 November 2007
9.31
6.10
5.12
27 November 2007
9.36
6.21
5.05
28 November 2007
9.30
6.30
5.08
29 November 2007
9.25
6.25
5.25
30 November 2007
9.27
6.28
5.19
3 December 2007
9.27
6.22
5.42
4 December 2007
9.30
6.23
5.49
5 December 2007
9.27
6.30
5.47
6 December 2007
9.27
6.41
5.48
7 December 2007
9.26
6.53
5.51
10 December 2007
9.23
6.55
5.48
11 December 2007
9.18
6.41
5.25
12 December 2007
9.22
6.48
5.51
13 December 2007
9.26
6.57
5.63
14 December 2007
9.26
6.62
5.52
17 December 2007
9.27
6.58
5.57
18 December 2007
9.25
6.50
5.62
19 December 2007
9.28
6.45
5.59
20 December 2007
9.29
6.41
5.64
21 December 2007
9.30
6.55
5.65
24 December 2007
9.31
6.58
5.69
25 December 2007
ND
ND
ND
26 December 2007
9.31
6.65
5.65
27 December 2007
9.29
6.57
5.60
28 December 2007
9.28
6.47
5.20
31 December 2007
9.43
6.42
4.90
Date
10-year high-yield
10-year BBB
30-day A2/P2 nonfinancial commercial paper rate
1 January 2008
ND
ND
ND
2 January 2008
9.43
6.30
4.78
3 January 2008
9.49
6.32
4.70
4 January 2008
9.57
6.32
4.65
7 January 2008
9.60
6.31
4.66
8 January 2008
9.63
6.33
4.61
9 January 2008
9.76
6.33
4.50
10 January 2008
9.76
6.43
4.58
11 January 2008
9.74
6.37
4.48
14 January 2008
9.74
6.37
4.47
15 January 2008
9.75
6.30
4.28
16 January 2008
9.83
6.31
4.45
17 January 2008
9.91
6.29
4.28
18 January 2008
9.97
6.31
4.32
21 January 2008
ND
ND
ND
22 January 2008
10.05
6.23
3.84
23 January 2008
10.07
6.20
3.65
24 January 2008
9.98
6.31
3.59
25 January 2008
9.91
6.33
3.55
28 January 2008
9.90
6.33
3.50
Bottom-right panel
Net Changes in Selected Components of Nonfinancial Business Debt
Billions of dollars, monthly rate
Period
Commercial Paper
C&I loans
Bonds
2005
-0.38
9.91
4.99
2006
3.89
12.97
18.22
2007:H1
1.24
12.17
28.01
2007:Q3
-4.05
36.69
17.67
2007:Q4
-0.20
21.48
30.75
January 2008*
15.00
10.00
24.00
* Preliminary. Return to table
Exhibit 8
Household Financial Conditions
Top-left panel
Consumer Loan Delinquency Rates
At commercial banks
Percent
Period
Credit card loans
1996:Q1
4.04
1996:Q2
4.26
1996:Q3
4.46
1996:Q4
4.59
1997:Q1
4.68
1997:Q2
4.72
1997:Q3
4.68
1997:Q4
4.78
1998:Q1
4.74
1998:Q2
4.74
1998:Q3
4.71
1998:Q4
4.70
1999:Q1
4.64
1999:Q2
4.47
1999:Q3
4.54
1999:Q4
4.50
2000:Q1
4.39
2000:Q2
4.51
2000:Q3
4.53
2000:Q4
4.56
2001:Q1
4.81
2001:Q2
4.95
2001:Q3
5.00
2001:Q4
4.68
2002:Q1
4.94
2002:Q2
4.79
2002:Q3
4.89
2002:Q4
4.84
2003:Q1
4.68
2003:Q2
4.53
2003:Q3
4.23
2003:Q4
4.42
2004:Q1
4.21
2004:Q2
4.15
2004:Q3
4.06
Period
Credit card loans
2004:Q4
4.02
2005:Q1
3.72
2005:Q2
3.67
2005:Q3
3.88
2005:Q4
3.52
2006:Q1
3.90
2006:Q2
4.14
2006:Q3
4.08
2006:Q4
3.92
2007:Q1
4.06
2007:Q2
4.03
2007:Q3
4.34
As shown in the figure, the series "Nonrevolving consumer loans at commercial banks" begins in early 1996 at about 2.9
percent, generally increases to about 3.25 by early 1999, fluctuates around 3 from mid-1999 through late 2001, and generally
decreases to about 2.1 by mid-2005. The curve begins to increase again in early 2006, and continues to edge up in 2007:Q3 to
end at about 2.5 percent.
Note: Loans 30 or more days past due for credit card loans.
At domestic auto finance companies
Percent
Period
Auto loans
January 1996
2.98
February 1996
3.12
March 1996
2.89
April 1996
3.16
May 1996
3.26
June 1996
3.37
July 1996
3.27
August 1996
3.32
September 1996
3.42
October 1996
3.43
November 1996
3.42
December 1996
3.50
January 1997
3.52
February 1997
3.53
March 1997
3.65
April 1997
3.61
May 1997
3.52
June 1997
3.54
Period
Auto loans
July 1997
3.55
August 1997
3.48
September 1997
3.31
October 1997
3.17
November 1997
3.23
December 1997
3.06
January 1998
2.99
February 1998
2.92
March 1998
2.92
April 1998
2.86
May 1998
2.84
June 1998
2.79
July 1998
2.53
August 1998
2.82
September 1998
2.74
October 1998
2.67
November 1998
2.83
December 1998
2.56
January 1999
2.68
February 1999
2.55
March 1999
2.55
April 1999
2.44
May 1999
2.33
June 1999
2.32
July 1999
2.23
August 1999
2.23
September 1999
2.25
October 1999
2.27
November 1999
2.25
December 1999
2.26
January 2000
2.28
February 2000
2.23
March 2000
2.03
April 2000
2.17
May 2000
2.24
June 2000
2.18
July 2000
2.23
Period
Auto loans
August 2000
2.21
September 2000
2.15
October 2000
2.22
November 2000
2.20
December 2000
2.25
January 2001
2.27
February 2001
2.29
March 2001
2.17
April 2001
2.26
May 2001
2.33
June 2001
2.37
July 2001
2.39
August 2001
2.32
September 2001
2.37
October 2001
2.35
November 2001
2.25
December 2001
2.23
January 2002
2.14
February 2002
2.15
March 2002
2.08
April 2002
2.10
May 2002
2.04
June 2002
2.04
July 2002
2.07
August 2002
2.07
September 2002
2.09
October 2002
2.07
November 2002
2.11
December 2002
2.12
January 2003
2.14
February 2003
2.16
March 2003
2.24
April 2003
2.19
May 2003
2.18
June 2003
2.15
July 2003
2.09
August 2003
2.07
Period
Auto loans
September 2003
2.04
October 2003
2.01
November 2003
2.01
December 2003
2.01
January 2004
2.05
February 2004
2.09
March 2004
1.97
April 2004
2.03
May 2004
2.03
June 2004
2.04
July 2004
1.98
August 2004
2.06
September 2004
2.01
October 2004
1.98
November 2004
2.01
December 2004
2.02
January 2005
2.04
February 2005
2.04
March 2005
2.06
April 2005
2.13
May 2005
2.02
June 2005
2.09
July 2005
2.20
August 2005
2.18
September 2005
2.22
October 2005
2.32
November 2005
2.29
December 2005
2.25
January 2006
2.13
February 2006
2.21
March 2006
2.23
April 2006
2.29
May 2006
2.34
June 2006
2.36
July 2006
2.35
August 2006
2.30
September 2006
2.27
Period
Auto loans
October 2006
2.29
November 2006
2.24
December 2006
2.26
January 2007
2.18
February 2007
2.34
March 2007
2.34
April 2007
2.35
May 2007
2.35
June 2007
2.36
July 2007
2.35
August 2007
2.41
September 2007
2.52
October 2007
2.55
November 2007
2.62
Note: Loans 30 or more days past due.
Top-right panel
Mortgage Delinquency Rates
Percent of loans
Period
Fixed-rate
prime and near-prime
Adjustable-rate
prime and near-prime
Fixed-rate
subprime
Adjustable-rate
subprime
January 2001
0.97
1.62
6.96
9.43
February 2001
0.97
1.63
6.97
9.48
March 2001
0.94
1.59
6.84
9.28
April 2001
0.93
1.63
6.77
9.20
May 2001
0.92
1.62
7.24
9.19
June 2001
0.95
1.65
7.64
9.51
July 2001
0.98
1.68
7.70
9.67
August 2001
1.00
1.69
7.72
9.94
September 2001
1.05
1.76
8.10
10.19
October 2001
1.06
1.77
8.09
10.28
November 2001
1.09
1.80
8.29
10.50
December 2001
1.13
1.85
8.41
10.55
January 2002
1.15
1.90
8.60
10.63
February 2002
1.12
1.84
8.68
10.61
March 2002
1.06
1.74
8.45
9.95
April 2002
1.01
1.61
8.53
9.51
May 2002
1.03
1.55
8.39
9.11
Period
Fixed-rate
prime and near-prime
Adjustable-rate
prime and near-prime
Fixed-rate
subprime
Adjustable-rate
subprime
June 2002
1.04
1.53
8.57
9.09
July 2002
1.04
1.47
8.60
8.94
August 2002
1.07
1.45
8.70
9.04
September 2002
1.11
1.45
8.90
9.31
October 2002
1.10
1.40
8.94
9.21
November 2002
1.14
1.40
9.03
9.23
December 2002
1.17
1.37
8.91
9.29
January 2003
1.15
1.21
8.33
9.21
February 2003
1.16
1.19
8.25
8.99
March 2003
1.10
1.13
8.18
8.70
April 2003
1.09
1.07
8.03
8.51
May 2003
1.07
1.01
7.89
8.42
June 2003
1.07
0.99
7.46
8.21
July 2003
1.09
0.96
7.10
7.76
August 2003
1.11
0.94
6.98
7.77
September 2003
1.13
0.90
6.91
7.87
October 2003
1.08
0.83
6.74
7.77
November 2003
1.12
0.84
6.77
7.80
December 2003
1.11
0.80
6.67
7.62
January 2004
1.13
0.79
6.82
7.50
February 2004
1.11
0.77
6.54
7.13
March 2004
1.05
0.70
6.33
6.89
April 2004
1.07
0.67
5.94
6.38
May 2004
1.07
0.65
5.87
6.34
June 2004
1.07
0.63
5.79
6.28
July 2004
1.08
0.62
5.81
6.16
August 2004
1.07
0.61
5.63
6.12
September 2004
1.08
0.60
5.64
6.07
October 2004
1.10
0.60
5.64
6.13
November 2004
1.12
0.60
5.83
6.20
December 2004
1.11
0.59
5.79
6.12
January 2005
1.12
0.59
5.87
6.26
February 2005
1.08
0.58
5.72
6.09
March 2005
1.00
0.54
5.47
5.73
April 2005
0.96
0.51
5.31
5.50
May 2005
0.95
0.51
5.34
5.50
Period
Fixed-rate
prime and near-prime
Adjustable-rate
prime and near-prime
Fixed-rate
subprime
Adjustable-rate
subprime
June 2005
0.94
0.51
5.27
5.49
July 2005
0.94
0.53
5.32
5.63
August 2005
0.97
0.55
5.30
5.73
September 2005
0.98
0.56
5.33
5.91
October 2005
1.01
0.57
5.46
6.30
November 2005
1.13
0.64
5.77
6.79
December 2005
1.15
0.66
5.85
7.06
January 2006
1.14
0.67
5.86
7.38
February 2006
1.09
0.65
5.73
7.45
March 2006
0.98
0.60
5.36
7.12
April 2006
0.96
0.59
5.28
7.27
May 2006
0.92
0.59
5.10
7.38
June 2006
0.91
0.60
5.07
7.69
July 2006
0.92
0.62
5.08
8.16
August 2006
0.91
0.64
5.08
8.48
September 2006
0.90
0.67
5.16
8.98
October 2006
0.91
0.71
5.13
9.39
November 2006
0.92
0.76
5.21
9.98
December 2006
0.87
0.78
5.33
10.59
January 2007
0.86
0.82
5.33
10.97
February 2007
0.86
0.86
5.30
11.25
March 2007
0.81
0.86
5.12
11.26
April 2007
0.79
0.91
5.14
11.72
May 2007
0.79
0.97
5.19
12.30
June 2007
0.81
1.07
5.62
13.43
July 2007
0.85
1.20
5.84
14.63
August 2007
0.87
1.32
6.02
15.76
September 2007
0.95
1.50
6.53
17.50
October 2007
1.00
1.70
6.78
18.88
November 2007
1.07
1.97
7.22
20.65
Source: First American LoanPerformance.
Middle-left panel
Lending Conditions
January Senior Loan Officer Survey
Net tightening of standards on credit cards and other consumer loans
Substantial net tightening of standards for subprime and prime mortgages
Risk spreads on consumer ABS jumped in January
Middle-right panel
Gross Issuance of Consumer ABS
Billions of dollars, monthly rate
Period
Auto
Credit Card
Sum
2005
9.00
5.23
14.23
2006
8.11
5.23
13.34
2007:H1
7.20
7.47
14.67
2007:Q3
4.76
7.43
12.19
2007:Q4
5.02
7.16
12.18
January 2008*
5.40
7.73
13.13
Note: Autos includes car loans and leases, and financing for buyers of motorcycles, trucks and other vehicles.
* Preliminary. Return to table
Source: Inside MBS & ABS and Merrill Lynch.
Bottom-left panel
Gross Issuance of MBS by Type
Billions of dollars, monthly rate
Period
Agency
Non-agency
Sum
2004
84.73
72.01
156.74
2005
80.42
99.28
179.70
2006
74.87
95.45
170.32
2007:H1
90.22
44.20
134.42
2007:Q3
103.55
41.38
144.93
2007:Q4
97.81
17.50
115.31
Bottom-right panel
Mortgage Rates
Percent
Period
30-year FRM
30-year fixed-rate jumbo
1-year ARM
11 January 2006
6.15
6.36
5.15
18 January 2006
6.10
6.35
5.18
25 January 2006
6.12
6.20
5.20
1 February 2006
6.23
6.44
5.33
8 February 2006
6.24
6.45
5.34
15 February 2006
6.28
6.45
5.36
22 February 2006
6.26
6.55
5.32
1 March 2006
6.24
6.45
5.34
Period
30-year FRM
30-year fixed-rate jumbo
1-year ARM
8 March 2006
6.37
6.58
5.45
15 March 2006
6.34
6.51
5.37
22 March 2006
6.32
6.49
5.41
29 March 2006
6.35
6.52
5.51
5 April 2006
6.43
6.60
5.57
12 April 2006
6.49
6.57
5.61
19 April 2006
6.53
6.61
5.63
26 April 2006
6.58
6.66
5.68
3 May 2006
6.59
6.76
5.67
10 May 2006
6.58
6.79
5.62
17 May 2006
6.60
6.81
5.62
24 May 2006
6.62
6.79
5.61
31 May 2006
6.67
6.88
5.68
7 June 2006
6.62
6.79
5.63
14 June 2006
6.63
6.71
5.66
21 June 2006
6.71
6.79
5.75
28 June 2006
6.78
6.91
5.82
5 July 2006
6.79
6.92
5.83
12 July 2006
6.74
6.87
5.75
19 July 2006
6.80
6.88
5.80
26 July 2006
6.72
6.80
5.78
2 August 2006
6.63
6.76
5.69
9 August 2006
6.55
6.68
5.69
16 August 2006
6.52
6.58
5.65
23 August 2006
6.48
ND
5.60
30 August 2006
6.44
ND
5.59
6 September 2006
6.47
6.53
5.63
13 September 2006
6.43
6.56
5.60
20 September 2006
6.40
6.53
5.54
27 September 2006
6.31
6.37
5.47
4 October 2006
6.30
6.43
5.46
11 October 2006
6.37
6.43
5.56
18 October 2006
6.36
6.42
5.57
25 October 2006
6.40
6.40
5.60
1 November 2006
6.31
6.44
5.53
8 November 2006
6.33
6.46
5.55
15 November 2006
6.24
6.49
5.53
Period
30-year FRM
30-year fixed-rate jumbo
1-year ARM
22 November 2006
6.18
6.37
5.49
29 November 2006
6.14
6.39
5.46
6 December 2006
6.11
6.30
5.43
13 December 2006
6.12
6.30
5.45
20 December 2006
6.13
ND
5.44
27 December 2006
6.18
ND
5.47
3 January 2007
6.18
6.38
5.42
10 January 2007
6.21
6.34
5.44
17 January 2007
6.23
6.29
5.51
24 January 2007
6.25
6.31
5.49
31 January 2007
6.34
6.40
5.54
7 February 2007
6.28
6.34
5.49
14 February 2007
6.30
6.43
5.52
21 February 2007
6.22
6.28
5.49
28 February 2007
6.18
6.24
5.49
7 March 2007
6.14
6.28
5.47
14 March 2007
6.14
6.31
5.42
21 March 2007
6.16
6.38
5.40
28 March 2007
6.16
6.38
5.43
4 April 2007
6.17
6.30
5.44
11 April 2007
6.22
6.39
5.47
18 April 2007
6.17
6.34
5.45
25 April 2007
6.16
6.42
5.43
2 May 2007
6.16
6.33
5.42
9 May 2007
6.15
6.32
5.48
16 May 2007
6.21
6.42
5.48
23 May 2007
6.37
6.54
5.64
30 May 2007
6.42
6.55
5.57
6 June 2007
6.53
6.66
5.65
13 June 2007
6.74
6.87
5.75
20 June 2007
6.69
6.94
5.66
27 June 2007
6.67
6.88
5.65
4 July 2007
6.63
6.84
5.71
11 July 2007
6.73
7.02
5.71
18 July 2007
6.73
6.86
5.72
25 July 2007
6.69
7.02
5.69
1 August 2007
6.68
7.10
5.59
Period
30-year FRM
30-year fixed-rate jumbo
1-year ARM
8 August 2007
6.59
7.47
5.65
15 August 2007
6.62
7.12
5.67
22 August 2007
6.52
ND
5.60
29 August 2007
6.45
ND
5.84
5 September 2007
6.46
7.17
5.74
12 September 2007
6.31
7.06
5.66
19 September 2007
6.34
6.97
5.65
26 September 2007
6.42
6.92
5.60
3 October 2007
6.37
6.95
5.58
10 October 2007
6.40
6.90
5.73
17 October 2007
6.40
6.86
5.76
24 October 2007
6.33
6.79
5.66
31 October 2007
6.26
6.68
5.57
7 November 2007
6.24
6.62
5.50
14 November 2007
6.24
6.82
5.50
21 November 2007
6.20
6.95
5.42
28 November 2007
6.10
6.90
5.43
5 December 2007
5.96
6.88
5.46
12 December 2007
6.11
7.03
5.50
19 December 2007
6.14
ND
5.51
26 December 2007
6.17
ND
5.53
2 January 2008
6.07
6.90
5.47
9 January 2008
5.87
6.70
5.37
16 January 2008
5.69
6.57
5.26
23 January 2008
5.48
6.61
4.99
Source: Freddie Mac for conforming rates and Inside Mortgage Finance for offer rate on prime jumbo.
6-month LIBOR
Date
Percent
3 January 2006
4.71
4 January 2006
4.68
5 January 2006
4.68
6 January 2006
4.68
9 January 2006
4.70
10 January 2006
4.70
11 January 2006
4.72
12 January 2006
4.74
Date
Percent
13 January 2006
4.73
16 January 2006
4.72
17 January 2006
4.72
18 January 2006
4.72
19 January 2006
4.73
20 January 2006
4.74
23 January 2006
4.73
24 January 2006
4.74
25 January 2006
4.75
26 January 2006
4.78
27 January 2006
4.79
30 January 2006
4.81
31 January 2006
4.81
1 February 2006
4.82
2 February 2006
4.86
3 February 2006
4.86
6 February 2006
4.87
7 February 2006
4.89
8 February 2006
4.89
9 February 2006
4.91
10 February 2006
4.92
13 February 2006
4.93
14 February 2006
4.93
15 February 2006
4.93
16 February 2006
4.94
17 February 2006
4.94
20 February 2006
4.94
21 February 2006
4.94
22 February 2006
4.96
23 February 2006
4.96
24 February 2006
4.98
27 February 2006
4.99
28 February 2006
4.99
1 March 2006
4.98
2 March 2006
4.99
3 March 2006
5.00
6 March 2006
5.01
Date
Percent
7 March 2006
5.03
8 March 2006
5.03
9 March 2006
5.04
10 March 2006
5.05
13 March 2006
5.07
14 March 2006
5.07
15 March 2006
5.04
16 March 2006
5.06
17 March 2006
5.03
20 March 2006
5.03
21 March 2006
5.05
22 March 2006
5.07
23 March 2006
5.08
24 March 2006
5.09
27 March 2006
5.06
28 March 2006
5.07
29 March 2006
5.11
30 March 2006
5.12
31 March 2006
5.14
3 April 2006
5.14
4 April 2006
5.16
5 April 2006
5.16
6 April 2006
5.16
7 April 2006
5.17
10 April 2006
5.21
11 April 2006
5.20
12 April 2006
5.21
13 April 2006
5.22
14 April 2006
ND
17 April 2006
ND
18 April 2006
5.22
19 April 2006
5.19
20 April 2006
5.21
21 April 2006
5.22
24 April 2006
5.23
25 April 2006
5.22
26 April 2006
5.26
Date
Percent
27 April 2006
5.29
28 April 2006
5.22
1 May 2006
ND
2 May 2006
5.25
3 May 2006
5.25
4 May 2006
5.27
5 May 2006
5.28
8 May 2006
5.26
9 May 2006
5.27
10 May 2006
5.27
11 May 2006
5.28
12 May 2006
5.28
15 May 2006
5.27
16 May 2006
5.28
17 May 2006
5.27
18 May 2006
5.30
19 May 2006
5.30
22 May 2006
5.31
23 May 2006
5.32
24 May 2006
5.31
25 May 2006
5.32
26 May 2006
5.32
29 May 2006
ND
30 May 2006
5.32
31 May 2006
5.33
1 June 2006
5.39
2 June 2006
5.38
5 June 2006
5.32
6 June 2006
5.37
7 June 2006
5.38
8 June 2006
5.39
9 June 2006
5.41
12 June 2006
5.42
13 June 2006
5.42
14 June 2006
5.44
15 June 2006
5.52
16 June 2006
5.53
Date
Percent
19 June 2006
5.55
20 June 2006
5.55
21 June 2006
5.57
22 June 2006
5.57
23 June 2006
5.60
26 June 2006
5.62
27 June 2006
5.63
28 June 2006
5.62
29 June 2006
5.64
30 June 2006
5.59
3 July 2006
5.58
4 July 2006
5.59
5 July 2006
5.59
6 July 2006
5.63
7 July 2006
5.63
10 July 2006
5.61
11 July 2006
5.61
12 July 2006
5.61
13 July 2006
5.61
14 July 2006
5.58
17 July 2006
5.56
18 July 2006
5.58
19 July 2006
5.61
20 July 2006
5.59
21 July 2006
5.55
24 July 2006
5.56
25 July 2006
5.56
26 July 2006
5.57
27 July 2006
5.54
28 July 2006
5.55
31 July 2006
5.51
1 August 2006
5.51
2 August 2006
5.52
3 August 2006
5.53
4 August 2006
5.55
7 August 2006
5.49
8 August 2006
5.50
Date
Percent
9 August 2006
5.46
10 August 2006
5.46
11 August 2006
5.47
14 August 2006
5.50
15 August 2006
5.52
16 August 2006
5.49
17 August 2006
5.45
18 August 2006
5.47
21 August 2006
5.46
22 August 2006
5.46
23 August 2006
5.46
24 August 2006
5.46
25 August 2006
5.45
28 August 2006
ND
29 August 2006
5.46
30 August 2006
5.45
31 August 2006
5.43
1 September 2006
5.42
4 September 2006
5.42
5 September 2006
5.42
6 September 2006
5.42
7 September 2006
5.42
8 September 2006
5.42
11 September 2006
5.42
12 September 2006
5.43
13 September 2006
5.43
14 September 2006
5.42
15 September 2006
5.44
18 September 2006
5.44
19 September 2006
5.44
20 September 2006
5.42
21 September 2006
5.42
22 September 2006
5.38
25 September 2006
5.37
26 September 2006
5.36
27 September 2006
5.37
28 September 2006
5.37
Date
Percent
29 September 2006
5.37
2 October 2006
5.38
3 October 2006
5.36
4 October 2006
5.37
5 October 2006
5.36
6 October 2006
5.37
9 October 2006
5.38
10 October 2006
5.39
11 October 2006
5.39
12 October 2006
5.40
13 October 2006
5.40
16 October 2006
5.41
17 October 2006
5.40
18 October 2006
5.41
19 October 2006
5.40
20 October 2006
5.41
23 October 2006
5.42
24 October 2006
5.43
25 October 2006
5.43
26 October 2006
5.42
27 October 2006
5.40
30 October 2006
5.39
31 October 2006
5.39
1 November 2006
5.37
2 November 2006
5.35
3 November 2006
5.36
6 November 2006
5.40
7 November 2006
5.40
8 November 2006
5.38
9 November 2006
5.39
10 November 2006
5.38
13 November 2006
5.38
14 November 2006
5.39
15 November 2006
5.38
16 November 2006
5.39
17 November 2006
5.39
20 November 2006
5.37
Date
Percent
21 November 2006
5.37
22 November 2006
5.37
23 November 2006
5.37
24 November 2006
5.36
27 November 2006
5.36
28 November 2006
5.35
29 November 2006
5.35
30 November 2006
5.35
1 December 2006
5.33
4 December 2006
5.29
5 December 2006
5.29
6 December 2006
5.30
7 December 2006
5.32
8 December 2006
5.32
11 December 2006
5.36
12 December 2006
5.36
13 December 2006
5.35
14 December 2006
5.37
15 December 2006
5.38
18 December 2006
5.37
19 December 2006
5.37
20 December 2006
5.37
21 December 2006
5.37
22 December 2006
5.36
25 December 2006
ND
26 December 2006
ND
27 December 2006
5.36
28 December 2006
5.37
29 December 2006
5.37
1 January 2007
ND
2 January 2007
5.37
3 January 2007
5.37
4 January 2007
5.36
5 January 2007
5.35
8 January 2007
5.37
9 January 2007
5.38
10 January 2007
5.37
Date
Percent
11 January 2007
5.38
12 January 2007
5.38
15 January 2007
5.39
16 January 2007
5.39
17 January 2007
5.39
18 January 2007
5.39
19 January 2007
5.39
22 January 2007
5.39
23 January 2007
5.39
24 January 2007
5.40
25 January 2007
5.40
26 January 2007
5.40
29 January 2007
5.40
30 January 2007
5.40
31 January 2007
5.40
1 February 2007
5.40
2 February 2007
5.40
5 February 2007
5.40
6 February 2007
5.40
7 February 2007
5.40
8 February 2007
5.40
9 February 2007
5.40
12 February 2007
5.40
13 February 2007
5.40
14 February 2007
5.40
15 February 2007
5.39
16 February 2007
5.39
19 February 2007
5.39
20 February 2007
5.39
21 February 2007
5.38
22 February 2007
5.39
23 February 2007
5.39
26 February 2007
5.38
27 February 2007
5.37
28 February 2007
5.33
1 March 2007
5.33
2 March 2007
5.32
Date
Percent
5 March 2007
5.26
6 March 2007
5.30
7 March 2007
5.29
8 March 2007
5.29
9 March 2007
5.30
12 March 2007
5.34
13 March 2007
5.33
14 March 2007
5.30
15 March 2007
5.31
16 March 2007
5.32
19 March 2007
5.34
20 March 2007
5.34
21 March 2007
5.34
22 March 2007
5.31
23 March 2007
5.32
26 March 2007
5.33
27 March 2007
5.33
28 March 2007
5.32
29 March 2007
5.32
30 March 2007
5.33
2 April 2007
5.33
3 April 2007
5.33
4 April 2007
5.34
5 April 2007
5.33
6 April 2007
ND
9 April 2007
ND
10 April 2007
5.36
11 April 2007
5.36
12 April 2007
5.37
13 April 2007
5.37
16 April 2007
5.37
17 April 2007
5.37
18 April 2007
5.36
19 April 2007
5.35
20 April 2007
5.35
23 April 2007
5.36
24 April 2007
5.35
Date
Percent
25 April 2007
5.35
26 April 2007
5.36
27 April 2007
5.36
30 April 2007
5.36
1 May 2007
5.35
2 May 2007
5.36
3 May 2007
5.36
4 May 2007
5.37
7 May 2007
ND
8 May 2007
5.36
9 May 2007
5.36
10 May 2007
5.37
11 May 2007
5.36
14 May 2007
5.37
15 May 2007
5.37
16 May 2007
5.36
17 May 2007
5.36
18 May 2007
5.37
21 May 2007
5.38
22 May 2007
5.37
23 May 2007
5.38
24 May 2007
5.38
25 May 2007
5.38
28 May 2007
ND
29 May 2007
5.38
30 May 2007
5.38
31 May 2007
5.38
1 June 2007
5.39
4 June 2007
5.39
5 June 2007
5.39
6 June 2007
5.40
7 June 2007
5.39
8 June 2007
5.40
11 June 2007
5.40
12 June 2007
5.40
13 June 2007
5.41
14 June 2007
5.41
Date
Percent
15 June 2007
5.41
18 June 2007
5.40
19 June 2007
5.40
20 June 2007
5.39
21 June 2007
5.39
22 June 2007
5.39
25 June 2007
5.38
26 June 2007
5.38
27 June 2007
5.38
28 June 2007
5.38
29 June 2007
5.39
2 July 2007
5.38
3 July 2007
5.38
4 July 2007
5.38
5 July 2007
5.39
6 July 2007
5.39
9 July 2007
5.40
10 July 2007
5.39
11 July 2007
5.38
12 July 2007
5.39
13 July 2007
5.39
16 July 2007
5.39
17 July 2007
5.39
18 July 2007
5.38
19 July 2007
5.38
20 July 2007
5.38
23 July 2007
5.37
24 July 2007
5.37
25 July 2007
5.37
26 July 2007
5.37
27 July 2007
5.33
30 July 2007
5.31
31 July 2007
5.33
1 August 2007
5.30
2 August 2007
5.32
3 August 2007
5.31
6 August 2007
5.26
Date
Percent
7 August 2007
5.28
8 August 2007
5.34
9 August 2007
5.39
10 August 2007
5.40
13 August 2007
5.40
14 August 2007
5.40
15 August 2007
5.39
16 August 2007
5.38
17 August 2007
5.36
20 August 2007
5.35
21 August 2007
5.33
22 August 2007
5.37
23 August 2007
5.43
24 August 2007
5.41
27 August 2007
ND
28 August 2007
5.43
29 August 2007
5.43
30 August 2007
5.46
31 August 2007
5.54
3 September 2007
5.55
4 September 2007
5.56
5 September 2007
5.60
6 September 2007
5.56
7 September 2007
5.57
10 September 2007
5.48
11 September 2007
5.49
12 September 2007
5.52
13 September 2007
5.51
14 September 2007
5.46
17 September 2007
5.42
18 September 2007
5.42
19 September 2007
5.11
20 September 2007
5.07
21 September 2007
5.10
24 September 2007
5.11
25 September 2007
5.14
26 September 2007
5.14
Date
Percent
27 September 2007
5.14
28 September 2007
5.13
1 October 2007
5.15
2 October 2007
5.16
3 October 2007
5.17
4 October 2007
5.18
5 October 2007
5.18
8 October 2007
5.22
9 October 2007
5.21
10 October 2007
5.22
11 October 2007
5.21
12 October 2007
5.14
15 October 2007
5.15
16 October 2007
5.13
17 October 2007
5.11
18 October 2007
5.08
19 October 2007
5.01
22 October 2007
4.93
23 October 2007
4.94
24 October 2007
4.90
25 October 2007
4.84
26 October 2007
4.83
29 October 2007
4.83
30 October 2007
4.82
31 October 2007
4.81
1 November 2007
4.85
2 November 2007
4.79
5 November 2007
4.81
6 November 2007
4.85
7 November 2007
4.84
8 November 2007
4.80
9 November 2007
4.76
12 November 2007
4.74
13 November 2007
4.74
14 November 2007
4.78
15 November 2007
4.79
16 November 2007
4.81
Date
Percent
19 November 2007
4.85
20 November 2007
4.86
21 November 2007
4.85
22 November 2007
4.86
23 November 2007
4.86
26 November 2007
4.89
27 November 2007
4.86
28 November 2007
4.91
29 November 2007
4.91
30 November 2007
4.91
3 December 2007
4.90
4 December 2007
4.91
5 December 2007
4.90
6 December 2007
4.90
7 December 2007
4.93
10 December 2007
4.97
11 December 2007
4.96
12 December 2007
4.93
13 December 2007
4.83
14 December 2007
4.85
17 December 2007
4.85
18 December 2007
4.83
19 December 2007
4.78
20 December 2007
4.75
21 December 2007
4.73
24 December 2007
4.72
25 December 2007
ND
26 December 2007
ND
27 December 2007
4.72
28 December 2007
4.65
31 December 2007
4.60
1 January 2008
ND
2 January 2008
4.57
3 January 2008
4.47
4 January 2008
4.47
7 January 2008
4.36
8 January 2008
4.33
Date
Percent
9 January 2008
4.26
10 January 2008
4.19
11 January 2008
4.08
14 January 2008
3.85
15 January 2008
3.83
16 January 2008
3.79
17 January 2008
3.81
18 January 2008
3.75
21 January 2008
3.67
22 January 2008
3.49
23 January 2008
3.16
24 January 2008
3.15
25 January 2008
3.30
28 January 2008
3.18
Exhibit 9
Mortgage Default Outlook
Top-left panel
Cumulative Defaults on Subprime 2/28 Loans
Percent
Loan Age (Months)
2001-2004 Average
2005
2006
2007
1
0.00
0
0
0
2
0.01
0
0
0
3
0.06
0
0
0
4
0.17
0
0
2
5
0.34
0
1
4
6
0.55
1
2
8
7
0.80
1
3
ND
8
1.06
1
4
ND
9
1.33
2
5
ND
10
1.62
2
6
ND
11
1.91
3
7
ND
12
2.21
3
9
ND
13
2.51
4
10
ND
14
2.82
4
11
ND
15
3.12
5
13
ND
Loan Age (Months)
2001-2004 Average
2005
2006
2007
16
3.43
5
14
ND
17
3.75
6
16
ND
18
4.04
7
18
ND
19
4.35
7
ND
ND
20
4.66
8
ND
ND
21
4.95
9
ND
ND
22
5.24
9
ND
ND
23
5.54
10
ND
ND
24
5.83
11
ND
ND
25
6.12
11
ND
ND
26
6.42
12
ND
ND
27
6.72
13
ND
ND
28
7.04
14
ND
ND
29
7.33
15
ND
ND
30
7.62
15
ND
ND
31
7.89
16
ND
ND
32
8.15
17
ND
ND
33
8.42
ND
ND
ND
34
8.66
ND
ND
ND
35
8.89
ND
ND
ND
36
9.11
ND
ND
ND
37
9.31
ND
ND
ND
38
9.51
ND
ND
ND
39
9.70
ND
ND
ND
40
9.88
ND
ND
ND
41
10.05
ND
ND
ND
42
10.22
ND
ND
ND
43
10.37
ND
ND
ND
44
10.52
ND
ND
ND
As shown in the figure, there is a vertical tripwire labeled "First Reset" at the loan age of 24 months. Data for 2001-2004 are
shown as a range that begins at 0, increases to about 4.7-7.4 by the first reset, and continues to increase to about 8.7-12.1 by
the loan age of 44 months.
Source: Staff calculations from First American LoanPerformance data as of November 2007. Last nine months based on
incomplete data.
Top-right panel
Subprime First Mortgage Rate Resets
Quarterly
Thousands of loans
Period
Resets
2007:Q3
247.47
2007:Q4
343.25
2008:Q1
344.24
2008:Q2
367.06
2008:Q3
401.78
2008:Q4
395.05
2009:Q1
300.28
2009:Q2
160.80
2009:Q3
88.82
2009:Q4
68.06
Source: Staff calculations based on First American LoanPerformance data as of November 2007.
Middle-left panel
Model of Subprime ARM Defaults
Loan-level model of prepayments and defaults
Loan and borrower characteristics at origination
Subsequent MSA or state house prices and employment, interest rates, and "vintage" effects
Middle-right panel
Subprime ARM Defaults
Thousands of loans, annual rate
Period
Defaults
Forecast
2003
92
ND
2004
155
ND
2005
213
ND
2006
324
ND
2007:Q1-Q3
561
ND
2007:Q4
ND
636
2008
ND
760
2009
ND
740
Note: Staff calculations from First American LoanPerformance data and Mortgage Bankers Association National Delinquency
Survey.
Bottom-left panel
Estimated Loan-to-Value Ratios
(Percent of existing mortgages)
LTV > 100*
2007:Q3
2009:Q4**
Subprime
20
44
Prime
5
15
* Includes closed-end second liens. Return to table
** Assumes Greenbook house price path. Return to table
Bottom-right panel
Loan Modifications
Loan workouts and modifications were modest in Q3, but likely accelerated in Q4.
Servicers are strained with loans that are delinquent before the first reset.
Servicers assisted about 15 percent of subprime borrowers with past-due accounts in Q3.
Exhibit 10
Projected Credit Losses
Top panel
Method
Projections of credit losses in the next two years for major categories of business and
household debt.
The paths for house prices, unemployment, interest rates, and other factors from the
Greenbook baseline.
Also from the alternative recession scenario with the assumption that national house prices fall
20 percent.
Real GDP growth turns negative in 2008 and the unemployment rate rises above 6
percent in 2009.
Bottom panel
Projected Credit Losses in 2008 and 2009 by Scenario
(Billions of dollars)
Average based on
long-run loss rates
1. All Mortgages
Greenbook baseline
Recession alternative and 20
percent house price decline
180
417
677
89
192
335
3. Consumer credit
129
154
184
4. Nonfinancial business
131
156
233
13
28
35
440
727
1094
2.
5.
Nonprime - first liens
CRE at banks
6. Total
Exhibit 11
U.S. Trade Outlook
Top panel
Trade in Real Goods and Services
2007
2006
H1
Q3
2008p
2009p
Q4e
Growth rates (percent, annual rate*)
1. Exports
9.3
4.3
19.1
4.6
7.2
7.3
2. Imports
3.7
0.5
4.4
2.1
1.9
3.8
Contribution to U.S. real GDP growth (percentage points, annual rate*)
3. Net exports
0.4
0.4
1.4
0.2
0.5
0.3
4. Current account balance (% of GDP)
-6.2
-5.7
-5.1
-5.5
-5.4
-4.7
5.
-3.5
-3.0
-2.6
-2.4
-2.0
-1.6
Memo:
Non-oil trade balance (% of GDP)
* Years are Q4/Q4; half year is Q2/Q4. Return to table
Bottom-left panel
Core Import Prices
A line and bar chart shows the annual rate of percent change of core import prices from 2005:H1
through 2007:H2, and forecasts for 2008:H1 through 2009:H2. Starting at just over 3% in 2005:H1,
core import prices fell to 1% in the second half of that year, and then gradually returned to around
3% in 2007. Prices are expected to fall towards 1% again by 2009. This panel also indicates the
contribution of foreign prices and the contribution of commodity prices. In general, foreign prices
have contributed about 1% over this period. Their contribution increased to around 2.5% in late 2007
and is expected to remain slightly elevated in early 2008, but then it is expected to fall back to 1% by
the end of 2008 and remain at that level throughout the forecast period. Commodity price
contributions are more volatile, contributing about 1% in 2005, about 2% in 2006 and the beginning
of 2007, and a quarter of a percent in late 2007. Commodity prices are forecasted to have little
contribution throughout the forecast period.
Bottom-right panel
Oil Imports
A line chart shows oil imports as a percent of GDP from 1997 through 2009. Oil imports fluctuated
around 1% of GDP from 1997 through 2001, at which point they began increasing to their present
level of about 3% of GDP. The forecast shows them falling slightly to about 2.5% of GDP by the end
of 2009.
Exhibit 12
Long-Term Performance of U.S. Trade
Top panel
Contribution of Real Net Exports to U.S. GDP Growth
A bar chart shows the contribution of real net exports to U.S. GDP growth from 1997 through 2009.
Unit is percentage points, Q4/Q4. From 1997 through 2005, real net exports' effect on GDP growth
ranged from -1.1 (1998) to -0.1 percentage point (2003 and 2005). The contribution swung into
positive territory starting in 2006, contributing 0.4 in 2006 and 0.6 in 2007. The forecast continues to
expect a positive effect, with a forecast of 0.5 in 2008 and 0.3 percentage point in 2009.
Average
Period
Percentage points, Q4/Q4
1997 - 2005
-0.7
2006 - 2007
0.5
2008 - 2009p
0.4
Middle-left panel
Real Export and Import Growth
Percent, Q4/Q4
Avg. Growth
Avg. Contribution*
Exports
1. 1997-2005
3.7
0.4
2. 2006-2007
8.6
1.0
3. 2008-2009p
7.3
0.9
4. 1997-2005
8.0
-1.1
5. 2006-2007
2.8
-0.5
6. 2008-2009p
2.9
-0.5
Imports
* Contribution to U.S. GDP growth. Return to table
Middle-right panel
Real Trade-Weighted Dollar
A line chart illustrates the broad real dollar, the dollar against major currencies, and against other
important trading partners. Unit is an index, 2002:Q1=100. The dollar is currently down a little over
20% since 2002 in broad real terms, and is expected to fall slightly more by the end of 2009.
Similarly, the dollar is down about 30% against major currencies, and is expected to remain at this
level throughout the forecast period. The dollar is down about 10% against other important trading
partners, and is expected to fall about another 10% by the end of 2009.
Bottom panel
Differential Between U.S. and Foreign Real GDP Growth
A bar chart shows the differential between U.S. and foreign real GDP growth from 1997 through
2009. Unit is percentage points, Q4/Q4. From 1997 to 2005, U.S. growth was on average just ¼
percentage point below that of our trading partners. The broadest positive gap occurred in 1998,
when U.S. growth was about 3% higher than our trading partners, and the largest negative gap
occurred a few years later in 2000, when U.S. growth was about 2% below that of our trading
partners. In 2006, the gap was about -1.25%, and in 2007 it increased slightly more, to about -1.75%.
The forecast shows this gap narrowing slightly in the forecast period to about -1.3%.
Average
Period
Percentage points, Q4/Q4
1997 - 2005
-0.2
2006 - 2007
-1.5
2008 - 2009p
-1.3
Exhibit 13
Outlook for Foreign Growth
Top-left panel
Euro Area
A line chart. From 2006 through mid-2007, economic sentiment increased from about 2 percent to 12
percent above the long-term average. However, starting in mid-2007, sentiment began falling and is
now about 5 percent above the long-term average. Also, from 2006 through mid-2007, changes in
credit standards to households* remained between zero and -10 percent balance, so fairly loose.
Recently, they have started tightening to about positive 20 percent balance by the end of 2007. Credit
standards to enterprises* have followed a pattern similar to those to households. They remained
unchanged or slightly loosened through mid-2007, and then sharply tightened in the second half of
the year with about a 40% increase in tightening.
* From ECB lending survey. Positive values indicate tighter standards. Return to text
Top-right panel
United Kingdom
A line chart shows U.K. corporate credit availability in the last few months as well as new mortgage
lending from 2006 through 2007. Corporate credit availability fell from about 0 to a -50 percent
balance. Meanwhile, new mortgage lending has been volatile, fluctuating between about 8 to 10
billion UK pounds. It reached a peak in this two-year period of about 10.5 billion pounds in late
2006, but since the beginning of 2007 it has been falling and is now around 7.75 billion pounds.
Middle-left panel
Japan
A line chart shows the Japanese Tankan survey (diffusion index) and housing starts (twelve-month
percent change) over 2006 and 2007. The Tankan survey gradually rose from about 5 to 8 over 2006,
however over 2007 it has been steadily falling and is now at about 2. Housing starts remained largely
unchanged throughout 2006 and the first half of 2007, but in the past few months they have dropped
sharply, with a -45% change in the third quarter of 2007. Since then they have risen slightly to -25%.
Middle-right panel
Sources of Near-Term Slowing
Headwinds from financial turmoil, including sharp recent declines in equity markets
Softening of U.S. growth
Expected cyclical moderation
Bottom panel
Real GDP Projections*
Percent change, annual rate**
2007
2008p
2006
2009p
Q1-Q3
Q4e
H1
H2
1. Total Foreign
4.0
4.4
2.8
2.7
3.0
3.4
2.
2.5
2.9
1.7
1.4
1.7
2.2
Advanced Foreign
3.
Euro Area
3.2
2.5
1.5
1.2
1.6
2.2
4.
United Kingdom
3.3
3.1
2.5
1.6
2.0
2.6
5.
Japan
2.5
1.0
1.1
0.9
1.2
1.4
6.
Canada
1.9
3.4
1.7
1.3
1.6
2.2
5.9
6.4
4.3
4.5
4.8
5.0
4.3
4.3
1.5
2.3
3.2
3.3
10.5
11.8
9.6
9.2
9.5
9.4
7.
Emerging Markets
8.
Mexico
9.
China
* Aggregates weighted by U.S. exports. Return to text
** Years are Q4/Q4; half years are Q2/Q4 or Q4/Q2; Q1-Q3 is Q3/Q4. Return to table
Exhibit 14
Top-left panel
Policy Interest Rates
A line chart shows the policy interest rates for the UK, Canada, the euro area, and Japan from 2005
through early 2010.
The UK kept rates around 4.50-4.75 throughout 2005-2006. Beginning in 2007, the UK gradually
increased rates to 5.75 percent, then slightly lowered rates to 5.50 percent in the last quarter of 2007.
Over the next few quarters the forecast anticipates that the UK will lower rates to 4.75 percent and
keep rates at this level throughout the forecast period.
Canada increased rates from 2.50 to 4.50 percent from 2005 through late 2007. Recently, Canada
rates have stepped down to 4.00 percent, and the forecast expects them to drop slightly further to
3.50 percent and remain there throughout the forecast period.
The euro area saw a similar pattern in rates, with rates increasing from 2.00 percent in 2005 to the
current level of 4.00 percent. The forecast anticipates rates to fall to about 3.50 percent and remain
between 3.50-3.75 through the forecast period.
Japan's rates increased from 0.00 to 0.50 percent from 2005-2007. The forecast anticipates that rates
will remain at 0.50 throughout most of the forecast period.
Top-right panel
Risks to the Foreign Outlook
Financial headwinds or U.S. slowing may exceed current projections.
Year-end financial statements could bring bad news.
Overly optimistic expectations of decoupling might lead to policy mistakes.
Housing markets in some countries may be vulnerable.
Bottom-left panel
House Prices
A line chart shows the percent change (from a year earlier) in house prices for the UK, US, France,
Spain, and Canada, from 2004 to 2007. House prices in the US rose at a rate of about 10%
throughout 2004 and 2005. Since late 2005, this rate has been slowing, and as of 2007:Q3, house
prices have only increased 2%. France has seen a similar trend, with prices rising about 15%
throughout 2004 and 2005, then falling to their current rate of 5% in 2007:Q3. In the UK, by late
2004 house prices had risen over 20%, but then this rate quickly slowed to 2% by mid-2005. Prices
began rising again to about 11% by mid-2007, but have since fallen to about 4% as of December.
Spain has been seeing a slowdown in house prices over the period, from 18% at the beginning of
2004 to about 5% by 2007:Q3. Canada's house prices were increasing at about 5% through 2004 and
2005, and in late 2005 they began rising steadily to 12% by mid-2006. However, their prices have
also experienced a slowdown to 6% by November 2007.
Bottom-right panel
Residential Investment: Contribution to GDP Growth
A bar chart shows the contribution to GDP growth of residential investment (percentage points,
annual rate) for the US, Canada, the UK, and the euro area. On average, from 2003 to 2005,
residential investment contributed between about 0.1 and 0.5 percentage point to GDP growth, with
the US having the largest contribution at about 0.5 percentage point. In 2006, the US experienced a
sharp fall, with residential investment contributing about -0.8 percentage point. Canada's fell slightly,
to about -0.05 percentage point, while the UK and euro area's remained around 0.3 percentage point.
In 2007:Q1-Q3, the US continued to experience a marked downward swing in contributions of about
-0.9 percentage point, while Canada, the UK, and the euro area experienced positive contributions
between about 0.1 and 0.5 percentage point.
Exhibit 15
Outlook for Foreign Inflation
Top panel
Headline CPI Projections*
Percent change, annual rate**
2007
2008p
2006
2009p
Q1-Q3
Q4e
H1
H2
1. Average Foreign
2.1
3.4
4.5
2.7
2.5
2.5
2.
1.3
1.9
3.1
1.8
1.7
1.7
Advanced Foreign
3.
Euro Area
1.8
2.2
5.1
1.8
1.8
1.9
4.
United Kingdom
2.7
1.5
3.8
2.8
2.1
2.1
5.
Japan
0.3
0.2
1.6
0.3
0.6
0.6
6.
Canada
1.3
2.7
2.2
2.3
2.1
2.0
2.9
4.8
5.8
3.6
3.3
3.2
4.1
3.7
4.1
3.5
3.5
3.3
7.
8.
Emerging Markets
Mexico
2007
2008p
2006
2009p
Q1-Q3
9.
China
2.1
6.8
Q4e
6.3
H1
3.5
H2
3.0
3.0
* Aggregates weighted by U.S. non-oil imports. Return to text
** Years are Q4/Q4; half years are Q2/Q4 or Q4/Q2; Q1-Q3 is Q3/Q4. Return to table
Ten-Year Inflation Expectations
Middle-left panel
Advanced Foreign*
A line chart shows the break-even rate and Consensus Economics survey for advanced foreign
economies from 2004 through 2007. The break-even rate has fluctuated between about 2.1 and 2.8
percent over this period, largely hovering around 2.3 percent on average. The Consensus Economics
survey has also shown that long-term inflation forecasts have stayed around 2 percent.
* Excludes Japan. Return to text
Middle-right panel
Emerging Markets*
A line chart shows the Consensus Economics survey of ten-year inflation expectations for emerging
markets from 2004 through 2007. These rates have remained between about 3.0 and 3.5 percent over
the period.
* Excludes Israel, the Philippines, and Saudi Arabia. Return to text
Commodities Prices
Bottom-left panel
Oil*
A line chart shows the four-quarter percent change in oil prices (WTI) from 2004 through 2009. Oil
prices increased in 2004 to a 50 percent increase by the end of that year. From late 2004 through
early 2007, oil prices decelerated, even experiencing a 10 percent decline in prices in the first half of
2007. The second half of 2007 has seen an increase in prices, and prices are currently up 40 percent
over this four quarter period. The forecast anticipates that prices will decelerate once again through
2008 and will even slightly contract in 2009. The series ends at about -4 percent in 2009:Q4.
* In terms of foreign currency. Return to text
Bottom-right panel
Non-Fuel*
A line chart shows the four-quarter percent change in metals and food prices from 2004 through
2009. Metal prices increased at a rate of about 30 percent in 2004 and early 2005. Beginning in late
2005, they accelerated to nearly 70 percent by mid-2006. However, metal prices quickly decelerated
and decreased at a rate of -10 percent by the end of 2007. The forecast expects prices to fall another
10 percent by mid-2008, then to stabilize by the end of 2008. Food prices have been increasing at a
pace of between -10 to 20 percent, averaging about 10 percent over the last few years. The forecast
expects them to continue to increase at a pace of 0 to 20 percent over the next two years.
* In terms of foreign currency. Return to text
Appendix 3: Materials used by Mr. Madigan
Material for FOMC Briefing on Economic Projections
Brian Madigan
January 29, 2008
Class I FOMC - Restricted Controlled (FR)
Table 1:
Economic Projections of Federal Reserve Governors and Reserve Bank Presidents1
2008
2009
2010
Real GDP Growth
1.3 to 2.0
2.1 to 2.7
2.5 to 3.0
October projections
1.8 to 2.5
2.3 to 2.7
2.5 to 2.6
Unemployment Rate
5.2 to 5.3
5.0 to 5.3
4.9 to 5.1
October projections
4.8 to 4.9
4.8 to 4.9
4.7 to 4.9
PCE Inflation
2.1 to 2.4
1.7 to 2.0
1.7 to 2.0
October projections
1.8 to 2.1
1.7 to 2.0
1.6 to 1.9
Core PCE Inflation
2.0 to 2.2
1.7 to 2.0
1.7 to 1.9
October projections
1.7 to 1.9
1.7 to 1.9
1.6 to 1.9
Real GDP Growth
1.0 to 2.2
1.8 to 3.2
2.2 to 3.2
October projections
1.6 to 2.6
2.0 to 2.8
2.2 to 2.7
Unemployment Rate
5.0 to 5.5
4.9 to 5.7
4.7 to 5.4
October projections
4.6 to 5.0
4.6 to 5.0
4.6 to 5.0
PCE Inflation
2.0 to 2.8
1.7 to 2.3
1.5 to 2.0
October projections
1.7 to 2.3
1.5 to 2.2
1.5 to 2.0
Core PCE Inflation
1.9 to 2.3
1.7 to 2.2
1.4 to 2.0
October projections
1.7 to 2.0
1.5 to 2.0
1.5 to 2.0
Central Tendencies
Ranges
1. Projections of real GDP growth, PCE inflation and core PCE inflation are fourth-quarter-to-fourth-quarter growth rates, i.e.
percentage changes from the fourth quarter of the prior year to the fourth quarter of the indicated year. PCE inflation and core
PCE inflation are the percentage rates of change in the price index for personal consumption expenditures and the price index
for personal consumption expenditures excluding food and energy, respectively. Each participant's projections are based on his
or her assessment of appropriate monetary policy. The range for each variable in a given year includes all participants'
projections, from lowest to highest, for that variable in the given year; the central tendencies exclude the three highest and
three lowest projections for each variable in each year. Return to text
Exhibit 2
Uncertainty and Risks - GDP Growth
Top panel
2(a): Please indicate your judgment of the uncertainty attached to your projections relative to
levels of uncertainty over the past 20 years.
Number of Participants
Higher
(A)
Broadly similar
(B)
Lower
(C)
January Projections
15
2
0
October Projections
13
4
0
Bottom panel
2(b): Please indicate your judgment of the risk weighting around your projections.
Number of Participants
Weighted to upside
(A)
Broadly balanced
(B)
Weighted to downside
(C)
January Projections
1
3
13
October Projections
0
4
13
Exhibit 3
Uncertainty and Risks - Total PCE Inflation
Top panel
2(a): Please indicate your judgment of the uncertainty attached to your projections relative to
levels of uncertainty over the past 20 years.
Number of Participants
Higher
(A)
Broadly similar
(B)
Lower
(C)
January Projections
5
12
0
October Projections
7
9
1
Bottom panel
2(b): Please indicate your judgment of the risk weighting around your projections.
Number of Participants
Weighted to upside
(A)
Broadly balanced
(B)
Weighted to downside
(C)
January Projections
6
10
1
October Projections
8
9
0
Appendix 4: Materials used by Mr. Stockton
Class II FOMC - RESTRICTED (FR)
Page 1
Top panel
Gross Domestic Product
(percent change at an annual rate)
2007-Q3
Final
Real GDP
2007-Q4
Greenbook
Advance
4.9
0.5
0.6
4.0
1.7
1.9
2.8
2.2
2.0
Durables
4.5
5.2
4.2
Nondurables
2.2
1.7
1.9
Services
2.8
1.9
1.6
9.3
7.4
7.5
Nonresidential Structures
16.4
15.3
15.8
Equipment and Software
6.2
3.8
3.8
-20.5
-30.6
-23.9
Government
3.8
4.0
2.6
Federal
7.1
4.8
0.3
State and Local
1.9
3.6
4.0
Exports
19.1
4.6
3.9
Imports
4.4
2.1
0.3
26.0
-8.1
-6.9
4.1
1.0
2.5
-533.1
-526.9
-521.0
1.8
3.9
3.9
2.0
2.7
2.7
Final Sales
Personal Consumption
Business Fixed Investment
Residential Investment
Level in chained 2000 dollars:
Change in nonfarm business inventories
Change in farm inventories
Net Exports
Price Indexes:
Total PCE Chain Price Index
Core PCE Chain Price Index
Appendix 5: Materials used by Mr. Madigan
Material for FOMC Briefing on Monetary Policy Alternatives
Brian Madigan
January 29-30, 2008
Class I FOMC - Restricted Controlled (FR)
Exhibit 1
Risk Management Strategies
Benefits
Top-left panel
Federal funds rate
Percent
Period
Outcome-Based Rule
Risk Management
2007:Q4
4.50
4.50
2008:Q1
3.06
1.50
2008:Q2
2.27
1.50
2008:Q3
1.99
1.44
2008:Q4
1.21
1.00
2009:Q1
0.85
0.93
2009:Q2
0.68
0.98
2009:Q3
0.73
1.15
2009:Q4
0.80
1.27
2010:Q1
1.10
1.57
2010:Q2
1.45
1.89
2010:Q3
1.77
2.17
2010:Q4
2.05
2.41
2011:Q1
2.27
2.60
2011:Q2
2.83
3.13
2011:Q3
3.11
3.39
2011:Q4
3.36
3.61
2012:Q1
3.57
3.80
2012:Q2
3.75
3.96
2012:Q3
3.90
4.09
2012:Q4
4.03
4.19
Middle-left panel
Civilian unemployment rate
Percent
Period
Outcome-Based Rule
Risk Management
2007:Q4
4.80
4.80
2008:Q1
5.07
5.08
2008:Q2
5.29
5.26
2008:Q3
5.43
5.36
2008:Q4
5.75
5.64
2009:Q1
5.92
5.78
2009:Q2
6.04
5.87
2009:Q3
6.06
5.88
2009:Q4
6.07
5.88
Period
Outcome-Based Rule
Risk Management
2010:Q1
5.99
5.80
2010:Q2
5.87
5.69
2010:Q3
5.74
5.57
2010:Q4
5.60
5.44
2011:Q1
5.45
5.30
2011:Q2
5.31
5.18
2011:Q3
5.18
5.06
2011:Q4
5.06
4.95
2012:Q1
4.94
4.85
2012:Q2
4.84
4.76
2012:Q3
4.75
4.69
2012:Q4
4.67
4.63
Bottom-left panel
Core PCE inflation
Four-quarter moving average
Percent
Period
Outcome-Based Rule
Risk Management
2007:Q4
2.10
2.10
2008:Q1
2.11
2.15
2008:Q2
2.30
2.36
2008:Q3
2.29
2.37
2008:Q4
2.10
2.20
2009:Q1
1.95
2.04
2009:Q2
1.88
1.95
2009:Q3
1.82
1.88
2009:Q4
1.75
1.81
2010:Q1
1.70
1.75
2010:Q2
1.64
1.69
2010:Q3
1.60
1.66
2010:Q4
1.56
1.62
2011:Q1
1.52
1.59
2011:Q2
1.50
1.57
2011:Q3
1.47
1.55
2011:Q4
1.46
1.54
2012:Q1
1.44
1.53
2012:Q2
1.43
1.53
2012:Q3
1.42
1.52
Period
Outcome-Based Rule
2012:Q4
Risk Management
1.41
1.52
Costs
Top-right panel
Federal funds rate
Percent
Period
Prompt Reversal
Gradual
Reversal
Greenbook Baseline
2007:Q4
4.50
4.50
4.50
2008:Q1
1.50
1.50
3.35
2008:Q2
1.50
1.50
3.00
2008:Q3
3.25
2.10
3.00
2008:Q4
4.00
2.72
3.00
2009:Q1
4.14
3.20
3.00
2009:Q2
3.96
3.50
3.00
2009:Q3
3.67
3.65
3.00
2009:Q4
3.38
3.68
3.00
2010:Q1
3.16
3.65
3.00
2010:Q2
3.02
3.59
3.00
2010:Q3
2.95
3.53
3.00
2010:Q4
2.93
3.48
3.00
2011:Q1
2.94
3.43
3.00
2011:Q2
3.34
3.79
3.39
2011:Q3
3.50
3.90
3.53
2011:Q4
3.65
4.02
3.67
2012:Q1
3.76
4.10
3.79
2012:Q2
3.85
4.16
3.88
2012:Q3
3.91
4.20
3.95
2012:Q4
3.95
4.22
4.00
Middle-right panel
Civilian unemployment rate
Percent
Period
Prompt Reversal
Gradual
Reversal
Greenbook Baseline
2007:Q4
4.80
4.80
4.80
2008:Q1
4.98
4.98
4.98
Period
Prompt Reversal
Gradual Reversal
Greenbook Baseline
2008:Q2
5.02
5.02
5.06
2008:Q3
5.01
5.01
5.10
2008:Q4
5.01
4.99
5.14
2009:Q1
5.03
4.97
5.17
2009:Q2
5.06
4.95
5.18
2009:Q3
5.08
4.92
5.17
2009:Q4
5.09
4.90
5.15
2010:Q1
5.10
4.89
5.14
2010:Q2
5.09
4.87
5.11
2010:Q3
5.08
4.85
5.08
2010:Q4
5.04
4.83
5.04
2011:Q1
5.01
4.81
5.00
2011:Q2
4.97
4.78
4.96
2011:Q3
4.93
4.75
4.92
2011:Q4
4.90
4.74
4.88
2012:Q1
4.88
4.73
4.85
2012:Q2
4.86
4.72
4.83
2012:Q3
4.85
4.73
4.81
2012:Q4
4.84
4.73
4.80
Bottom-right panel
Core PCE inflation
Four-quarter moving average
Percent
Period
Prompt Reversal
Gradual
Reversal
Greenbook Baseline
2007:Q4
2.10
2.10
2.10
2008:Q1
2.15
2.15
2.11
2008:Q2
2.37
2.37
2.28
2008:Q3
2.38
2.40
2.29
2008:Q4
2.18
2.24
2.10
2009:Q1
2.02
2.11
1.99
2009:Q2
1.94
2.06
1.95
2009:Q3
1.90
2.01
1.93
2009:Q4
1.89
1.99
1.91
2010:Q1
1.87
1.96
1.89
2010:Q2
1.86
1.93
1.87
2010:Q3
1.86
1.93
1.85
Period
Prompt Reversal
Gradual Reversal
Greenbook Baseline
2010:Q4
1.86
1.92
1.84
2011:Q1
1.85
1.92
1.83
2011:Q2
1.84
1.91
1.81
2011:Q3
1.84
1.91
1.80
2011:Q4
1.83
1.92
1.80
2012:Q1
1.82
1.92
1.79
2012:Q2
1.82
1.92
1.78
2012:Q3
1.81
1.92
1.78
2012:Q4
1.80
1.91
1.77
Table 1:
Alternative Language for the January 30, 2008 FOMC Announcement
Bluebook Version
[Note: In Appendix 5, Table 1, strong emphasis (bold) has been added to indicate red text in the original document.]
Policy
Decision
Rationale
Alternative A
Alternative B
Alternative C
Alternative D
1. The Federal Open Market
Committee decided today to
lower its target for the federal
funds rate 75 basis points to
2-¾ percent.
The Federal Open Market
Committee decided today to
lower its target for the federal
funds rate 50 basis points to 3
percent.
The Federal Open Market
Committee decided today to
lower its target for the federal
funds rate 25 basis points to
3-¼ percent.
The Federal Open Market
Committee decided today to
keep its target for the federal
funds rate at 3-½ percent.
2. Financial markets remain
under considerable stress,
and credit has tightened
further for some businesses
and households. Moreover,
recent information indicates a
deepening of the housing
contraction as well as some
softening in labor markets.
Financial markets remain
under considerable stress,
and credit has tightened
further for some businesses
and households. Moreover,
recent information indicates a
deepening of the housing
contraction as well as some
softening in labor markets.
Financial markets remain
under considerable stress,
and credit has tightened
further for some businesses
and households. Moreover,
recent information indicates a
deepening of the housing
contraction as well as some
softening in labor markets.
Financial markets remain
under considerable stress,
and the tightening of credit
and the deepening of the
housing contraction could
weigh further on economic
growth. However, recent
policy actions should
promote moderate growth
over time.
3. The Committee expects
inflation to moderate in
coming quarters, reflecting
well-anchored inflation
expectations, a projected
leveling out of energy
prices, and easing pressures
on resource utilization.
However, further increases
in energy and commodity
prices, as well as other
factors, could put upward
pressure on inflation.
Therefore, it will be
necessary to continue to
monitor inflation
developments carefully.
The Committee expects
inflation to moderate in
coming quarters, but it will be
necessary to continue to
monitor inflation
developments carefully.
The Committee expects
inflation to moderate in
coming quarters. However,
upward pressure on
inflation could result from
several factors, including
further increases in energy,
commodity, and other
import prices. Therefore, it
will be necessary to continue
to monitor inflation
developments carefully.
The Committee expects
inflation to moderate in
coming quarters. However,
upward pressure on
inflation could result from
several factors, including
further increases in energy,
commodity, and other
import prices. Therefore, it
will be necessary to continue
to monitor inflation
developments carefully.
Alternative A
4. Today's policy action,
combined with those taken
earlier, should help to
promote moderate growth
over time and to mitigate
the risks to economic
activity. However, downside
Assessment
risks to growth may well
of Risk
remain. The Committee will
continue to assess the effects
of financial and other
developments on economic
prospects to determine
whether further action is
needed to address those risks.
Alternative B
Alternative C
Alternative D
Today's policy action,
combined with those taken
earlier, should help to
promote moderate growth
over time and to mitigate
the risks to economic
activity. However, downside
risks to growth remain. The
Committee will continue to
assess the effects of financial
and other developments on
economic prospects and will
act in a timely manner as
needed to address those risks.
Today's policy action,
combined with those taken
earlier, should help promote
moderate growth over time.
However, appreciable
downside risks to growth
remain. The Committee will
continue to assess the effects
of financial and other
developments on economic
prospects and will act in a
timely manner as needed to
address those risks.
Appreciable downside risks
to growth remain. The
Committee will continue to
assess the effects of financial
and other developments on
economic prospects and will
act in a timely manner as
needed to address those risks.
Appendix 6: Materials used by Mr. Parkinson, Mr. Gibson, Ms. Hirtle, Mr.
Greenlee, and Mr. Angulo
Material for FOMC Briefing on Analysis of Policy Issues Raised by Financial Market
Developments
January 30, 2008
Class I FOMC - Restricted-Controlled FR
Exhibit 1
Background and Overview
Top panel
Background
In response to a request from the G-7, the Financial Stability Forum (FSF) created a Working
Group on Market and Institutional Resilience.
The President's Working Group on Financial Markets is conducting its own analysis and will
ensure coordination among U.S. members of the FSF working group.
The Staff Umbrella Group is supporting Federal Reserve participation in the FSF working
group and PWG's effort.
Middle panel
Issues being analyzed by the staff
Credit rating agencies
Investor practices
Bank risk management
Bank regulatory policy
Counterparty risk management and hedge funds
OTC derivatives market infrastructure
Fed's liquidity tools
Tri-party repos
Supervisory and regulatory structure
Bottom panel
Overview of today's briefing
Three presentations
1. A diagnosis of underlying reasons why losses on U.S subprime mortgages triggered a
global financial crisis.
2. An analysis of issues relating to credit rating agencies and investor practices with
respect to the use of credit ratings.
3. An analysis of risk management weaknesses at large global financial services
organizations and the extent to which bank regulatory policies contributed to, or failed to
mitigate, those weaknesses.
Exhibit 2: Diagnosis
Subprime Mortgages and Securitization Markets
Top-left panel
Subprime mortgage delinquency rates
A line chart shows two series, delinquency rates for subprime fixed-rate and variable-rate mortgages,
on a monthly basis from October 2000 through November 2007. The fixed-rate curve begins at about
6 percent, generally increases to about 9 percent by late 2002, generally decreases to nearly 5 percent
by mid-2005, remains at about that level through mid-2007, then increases to about 7.5 percent by
the end of the period. The variable-rate curve begins at about 8 percent, generally increases to about
11 percent by early 2002, generally decreases to about 6 percent by mid-2005, then generally
increases to about 21 percent by the end of the period.
Note. Percent of loans 90 or more days past due or in foreclosure. Covers first liens only.
Source. First American LoanPerformance.
Top-right panel
ABX prices
A line chart shows two series, 2006:H2 vintage AAA and BBB-, on a daily basis from mid-January
2007 through late January 2008. Unit is percent of par.
The AAA curve begins near 100 percent, remains almost constant through early July 2007, generally
decreases to about 87 percent by early August, and generally increases to about 94 percent by early
September. It remains at about that level through mid-October, then with greater volatility decreases
to about 70 percent by late November. The curves then fluctuates between about 68 and 80 percent
through the remainder of the period, ending at about 75 percent.
The BBB- curve begins near 97 percent, generally decreases to almost 60 percent by late February
2007, fluctuates around 70 percent through late May, then generally decreases to about 13 percent by
the end of the period.
Source. Markit.
Middle-left panel
ABS CDO issuance
A stacked bar chart. Approximate values and totals are as follows.
Monthly Rate
Billions of dollars
Period
High grade
Mezzanine
Total
2004
3.6
1.6
5.2
2005
4.4
2.7
7.1
2006
10.5
4.9
15.4
2007:H1
12.8
5.7
18.6
2007:Q3
2.9
1.7
4.7
2007:Q4
0.0
0.5
0.5
There was no issuance through January 26th [2008].
Source. JPMorgan.
Middle-right panel
Typical ABS CDO structure*
High
Grade
Mezzanine
- percent Super Senior
88
62
AAA
5
14
AA
3
8
A
2
6
BBB
1
6
Unrated
1
4
* At origination.
Percent of par value at origination. Return to text
Source. JPMorgan.
Bottom-left panel
ABS CDOs downgraded or placed on watch*
High
Grade
Mezzanine
- percent AAA
45
63
AA
87
81
A
77
87
BBB
77
91
BB
62
80
* Percent of total issued in 2007, as of January 22, 2008. Return to text
Source. JPMorgan.
Bottom-right panel
Gross issuance of non-agency RMBS
A stacked bar chart. Approximate values and totals are as follows.
Monthly rate
Billions of dollars
Period
Prime jumbo
Subprime
Alt-A
Total
2005
23
39
28
90
2006
17
37
31
86
2007:H1
19
27
33
80
2007:Q3
13
9
13
35
2007:Q4
6
4
5
14
Source. Inside Mortgage Finance MBS database, Deutsche Bank.
Exhibit 3: Diagnosis
Leveraged Loans and ABCP
Top-left panel
LCDS versus pipeline
A line chart plots two series, leveraged pipeline* ($ billion) and LCDS** (basis points), on a weekly
basis.
The leveraged pipeline curve begins in early January 2006 at about $60 billion, fluctuates around 55
through July, declines to about 35 in August, then generally increases to about 160 by February
2007. It declines to less than 90 by the end of March, then rapidly increases to about 250 by
mid-July. The curve stays near that level through the end of September, generally declines to a little
more than 150 by the end of the year, and increases to about $170 billion by late January 2008.
The LCDS curve begins in early August 2006 at about 135 basis points, generally decreases to nearly
70 by late February 2007, increases to about 110 by early April, and levels out around 100 by
mid-June. It then increases sharply to about 260 by the beginning of August, decreases to about 185
by mid-October, then resumes its upward trend to about 280 by late November, and to about 335
basis points by late January 2008.
Although the two curves often move in opposition to one another, they share a marked general
increase between August 2006 and August 2007.
* Amount of leveraged lending committed but unfunded. Return to text
** Average of spreads on liquid loan CDS. Return to text
Top-right panel
Funded CLO issuance
Bar chart. Approximate values are as follows.
Monthly Rate
$ billions
Period
Funded CLO issuance
Period
Funded CLO issuance
2001
1.1
2002
1.4
2003
1.9
2004
3.0
2005
5.3
2006
9.1
2007:H1
10.1
2007:Q3
7.6
2007:Q4
4.6
There was no issuance through January 26th [2008].
Source. JPMorgan.
Bottom-left panel
U.S. ABCP outstanding since 2004
A line chart shows two series, total U.S. ABCP outstanding since 2004, and multi-seller U.S. ABCP
outstanding since 2004, on a monthly basis from January 2004 through January 2008. Unit is billions
of dollars.
The total curve begins at about $640 billion, and remains at about that level until late 2004. It then
increases fairly steadily to about 1,160 by mid-2007, and decreases more rapidly to about $815
billion by the end of the period.
The multi-seller curve has a similar shape, though at a lower level. It begins at about $280 billion,
and remains at about that level until late 2004. It then increases fairly steadily to about 525 by
mid-2007, and generally decreases to about $470 billion by the end of the period.
Note. Not seasonally adjusted.
Source. DTC.
Bottom-right panel
Growth of U.S. ABCP outstanding by program type
Jan 05-Jul 07
Jul 07-Dec 07
- percent -
Memo:
Dec 07 Level
- $ billions -
Total
70
-30
816
Multi-Seller
82
-10
469
Single Seller
84
-72
36
Securities
Arbitrage
& Hybrid
55
-29
167
167
-67
42
19
-30
102
SIVs & CDOs
Others
Note. Not seasonally adjusted.
Source. Federal Reserve Board based on data from DTC and Moody's Investors Service.
Exhibit 4: Diagnosis
Impact on the Banking System
Top-left panel
Principal sources of exposure to financial stress
Leveraged loan commitments
Sponsorship of ABCP programs
Retention of exposures from underwriting ABS CDOs
Top-right panel
Leading arrangers of leveraged loans*
Market share
- percent 1. JPMorgan
20.4
2. Bank of America
15.5
3. Citigroup
10.4
4. Credit Suisse
8.8
5. Deutsche Bank
7.1
6. Goldman Sachs
4.9
7. Wachovia
4.6
8. Lehman
3.8
9. Merrill Lynch
3.4
10. General Electric
2.8
Source. Reuters LPC.
* Market shares are an average over 2005, 2006 and 2007:H1 Return to text
Middle-left panel
Leading bank sponsors of global securities-related ABCP
Total ABCP*
$ bil
Pct of Total Assets
1. HBOS
42
4.3
2. HSBC
33
2.1
3. Fortis
26
2.9
4. Citigroup
26
1.6
20. State Street
4
4.2
23. Zions
4
9.2
Memo:
* As of June 30, 2007 Return to table
Middle-right panel
Leading underwriters of U.S. ABS CDOs
Billions of Dollars
Issuance*
(2006-2007)
Losses**
(H2:2007)
Exposures**
(12/31/07)
1. Merrill Lynch
76
18
5
2. Citigroup
58
18
30
3. UBS
43
20
17
4. Barclays
29
2
8
10. BoA
17
7
8
12. Wachovia
10
1
1
18. JPMorgan
3
1
0
Memo:
* Source. JPMorgan Return to table
** Staff estimates. Return to table
Bottom-left panel
Total risk-based capital ratios of largest U.S. BHCs
Q2
Q3
Q4
- percent Citigroup
11.2
10.6
10.9
JPMorgan
12.0
12.5
12.6
Bank of America
12.1
11.9
11.0
Wachovia
11.5
10.8
11.5
Bottom-right panel
Credit default swap spreads
A line chart shows four series, "bank index" credit default swap spreads, and credit default swap
spreads for JPMorgan, Citigroup, and Bank of America, on a daily basis from January 2007 through
January 2008. Unit is basis points.
The bank index series is nearly constant between January 2007 and July 2007, only varying ±6 basis
points from the average. The series increases by 15 basis points by early August 2007, and remains
around this value until mid-November, where it climbs another 20 basis points. The series peaks in
mid-January 2008 at 6 times its initial value, and falls by about 7 basis points before the meeting.
The JPMorgan series is nearly constant between January 2007 and July 2007, only varying ±6 basis
points from the average. The spread increases by 40 basis points by early August, then drops by 20
basis points by mid-October, and rises again by another 30 basis points by mid-November. The series
hits a max in late January at over 5 times its initial value, but falls by 15 basis points in the 2 weeks
before the meeting.
The Citigroup series is nearly constant between January 2007 and June 2007, only varying ±5 basis
points from the average. The spread increases by 45 basis points by mid-August, then drops by 30
basis points by mid-October, and rises again by another 75 basis points by late November. The series
hits a max in late January at over 11 times its initial value, but falls by 16 basis points in the 2 weeks
before the meeting.
The Bank of America series is nearly constant between January 2007 and July 2007, only varying ±5
basis points from the average. The spread increases by 35 basis points by mid-August, then drops by
20 basis points by mid-October, and rises again by another 45 basis points by late November. The
series hits a max in late January at over 10 times its initial value.
Source. Markit.
Exhibit 5
Where did Credit Rating Agencies Play a Role in the Crisis?
Top-left panel
Key points
1. Credit rating agencies are one of the weak links (though not the only one).
2. The way that some investors use credit ratings for their own risk management has not kept up
with financial innovations.
Top-right panel
Road map
1. Role of rating agencies in the financial crisis.
2. Make recommendations on rating agency practices.
3. Link up with investor issues.
Middle-top panel
Subprime RMBS
1. Rating agencies got it wrong.
2. Rating agencies relied too much on historical data to estimate:
how severe a housing downturn could become.
how poorly subprime loans would perform when house prices fell.
whether the originator mattered.
whether refinancing would dry up.
3. No evidence that conflicts of interest had an impact on ratings.
Middle-bottom panel
ABS CDOs
1. Rating agencies got it wrong.
2. Rating models were crude, because rating agencies:
used corporate CDO models to rate ABS CDOs.
had no data on correlation of defaults across ABS.
used ratings as the main measure of quality of subprime RMBS.
only did limited, ad hoc analysis of the timing of cash flows.
3. Investors did not understand that structured finance securities have more systematic risk and
less idiosyncratic risk than corporate securities.
Bottom panel
SIVs
1. Rating agencies got it wrong.
2. Rating model for SIVs relied on a rapid liquidation of assets.
3. Even SIVs with no subprime exposures cannot roll over CP.
Exhibit 6
Recommendations on Rating Agency Practices
Top panel
Six recommendations aimed at structured finance ratings
1. Differentiate structured finance ratings from corporate ratings by providing additional
measures of risk or leverage.
2. Convey a rating's uncertainty in an understandable way.
3. More transparency for structured finance ratings.
4. Be conservative when rating new or evolving asset classes.
5. Enhance the rating frameworks for structured products.
6. Regulators should differentiate better between corporate and structured finance ratings.
Exhibit 7
Investor Practices
Top panel
Approach
Public pension funds are an informative example of how investors use credit ratings.
Limited financial expertise in some cases.
High portion of funds use credit ratings in investment guidelines.
Significant public information on their activities.
We gathered information on investment practices and fund governance for 11 funds, ranging
from $250 billion in assets (CALPers) to 6 with $6 to $11 billion.
Middle panel
Key conclusions
Funds have developed workable solutions to address inexperience or lack of financial
sophistication, including hiring professional investment managers and investment consultants.
The mandates guiding investment managers have not always kept pace with the growth of
structured credit markets. These mandates:
Require managers to meet or exceed returns on a benchmark index or of a peer group of
investment managers.
Constrain the risk the managers may assume.
Credit ratings play an important role in these risk constraints.
However, few of the funds we profiled made significant distinctions between ratings on
structured credit and on other securities.
This provides scope for investment managers to move into structured credit to generate high
returns, without raising warning signals about additional risk.
Not a "naive" use of credit ratings by the investment managers.
Instead, a previously effective mechanism used by fund boards falling out-of-date.
Bottom panel
Recommendations
1. The pension fund industry and other investors should re-evaluate the use of credit ratings in
investment mandates.
Investment mandates should acknowledge differences in risk, return and correlation
across instruments, rather than rely on generic credit ratings.
2. Investors should ensure that investment consultants have independent views of the quality and
adequacy of the ratings for the types of positions in the investors' portfolios.
Exhibit 8
Observations on Risk Management Practices During the Recent Market Turbulence
Top-left panel
Senior supervisors group
Commission Bancaire (France)
Federal Financial Supervisory Authority (Germany)
Swiss Federal Banking Commission (Switzerland)
Financial Supervisory Authority (UK)
Office of the Comptroller of the Currency
Securities and Exchange Commission
Federal Reserve System
Top-right panel
Firms interviewed
Bank of America
Citigroup
JP Morgan Chase
Merrill Lynch
Goldman Sachs
Barclays
HSBC
BNP Paribas
Deutsche Bank
Credit Suisse
UBS
Bottom panel
Firms' overall performance
Most firms, while affected by market developments, generally avoided significant losses.
Most firms' risk management processes worked as intended.
Some firms recognized the emerging additional risks and took deliberate actions to limit or
mitigate them.
Other firms recognized the additional risks and accepted them.
Still other firms did not fully recognize the risks in time to mitigate them.
Risk management practices varied by firm and by strategy, as did the range of outcomes.
Primary risk management weaknesses observed are not new.
Exhibit 9
Observations on Risk Management Practices During the Recent Market Turbulence
Top panel
Four factors differentiated performance:
The effectiveness of senior management oversight of balance sheet, liquidity, and capital
positions;
The effectiveness of communications among senior management, business lines, and risk
management functions;
The sophistication, diversity and adaptability of risk measures utilized;
The attention devoted to valuation issues.
Bottom panel
Effectiveness of senior management oversight of balance sheet, liquidity, and capital positions
More Effective
More disciplined in measuring and limiting risks in advance of the crisis.
More agile in reducing exposures or hedging.
Focused on maintaining a strong balance sheet.
Established capital and liquidity buffers that included lack of access to the market for
funding for a period of time.
Created and enforced internal pricing mechanisms, capital allocation methodologies, and
limits.
Less Effective
Not as focused on the overall strength of their balance sheet.
Operated with less of a liquidity and capital buffer.
More focused on earnings growth or defense of market leadership position.
Did not have limit structures that were consistently or effectively enforced.
Did not properly aggregate or monitor off balance sheet exposures.
Exhibit 10
Observations on Risk Management Practices During the Recent Market Turbulence
Top panel
Effectiveness of communications among senior management, business lines, and risk
management functions
More Effective
Emphasized a comprehensive, firm-wide consolidated assessment of risk.
Well established processes for routine discussion of current and emerging risks.
Collectively made decisions about the firm's overall risk appetite, exposures, and risk
mitigation strategies.
Effectively leveraged the assessments of risks from one business line to consider how
exposures may affect other businesses.
More timely and well-informed perspective.
Implemented plans for reducing exposures while it was still practical and more cost
effective.
Less Effective
Did not effectively share information across business lines on emerging risks.
Comparatively slower in taking actions to mitigate exposures.
Each business line had to assess and consider emerging risks on their own.
Bottom panel
The sophistication, diversity, and adaptability of risk measures utilized
More Effective
Used a wide range of risk measures and analytical tools.
Used a combination of different risk measures and scenario analysis.
Committed more resources to risk management and management information systems.
More timely and scalable management information systems.
Less Effective
Too dependent on a single quantitative measurement.
Did not utilize scenario analysis in their decision making.
Management information systems not as scalable.
Need to develop a number of ad hoc reports.
Exhibit 11
Observations on Risk Management Practices During the Recent Market Turbulence
Top panel
Attention devoted to valuation issues
More Effective
More disciplined in how they valued the holdings of complex or potentially illiquid
securities.
Invested in the development of pricing models and staff with specialized expertise.
Less reliant on external ratings.
Emphasized mark-to-market discipline.
Less Effective
Did not have key valuation models in place prior to the market disruption.
Relied heavily on third-party views of risks.
More narrow view of the risks associated with their CDO business.
Did not actively seek market valuation information.
Bottom panel
Supervisory response
Address risk management deficiencies at each company through the supervisory process.
Re-emphasize the importance of strong independent risk management.
Complete the work already underway within the Basel Committee on Bank Supervision to
update liquidity risk management guidance.
Review existing guidance.
Develop on an interagency basis guidance related to the effective management of the
originate-to-distribute model.
Exhibit 12
Regulatory Policy
Top panel
The question
To what extent did regulatory incentives contribute to or fail to mitigate weaknesses exposed
by the recent turmoil?
Regulatory capital requirements.
Financial reporting requirements.
Middle panel
Conclusions
For banks, regulatory capital incentives are much more important than financial reporting
incentives.
The current regulatory capital framework is not neutral to how banks structure risk positions.
Although not a significant driver of bank behavior, financial reporting issues, particularly
disclosure practices, have been a factor in how the turmoil is unfolding.
Bottom panel
Basel 2 and related improvements
1. Capital charges for most unused short-term credit and liquidity facilities have been increased.
2. Standards for holding capital against the default risk of complex, less liquid products in the
trading book are being finalized.
3. A more risk-sensitive capital treatment for securitization exposures has been established.
Exhibit 13
Regulatory Policy (continued)
Top panel
Recommendations - regulatory capital
1. Reassess the treatment of certain securitizations in the Basel 2 Capital Framework.
2. Exercise supervisory oversight to ensure that banks sufficiently consider "reputational" risk
and its implications for capital and liquidity buffers.
3. Rigorously assess banks' implementation of the Advanced Internal Ratings Based approach to
Basel 2, including the conservatism of estimates of losses from defaults during a downturn
("downturn LGDs") and stress tests.
4. Explore ways to encourage the inclusion in the regulatory capital base of debt instruments that
mandatorily convert into equity when a banking organization is under stress.
Middle panel
Recommendations - disclosure practices
1. Continue to push market participants to make timely and detailed disclosures about the size
and composition of subprime-related exposures.
2. Sponsors and/or liquidity/credit enhancement providers to ABCP programs should disclose the
distribution of assets underlying the programs by type, industry, and credit rating.
3. Sponsors should improve disclosures to investors in ABCP programs.
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