FSOC 2015 Annual Report Charts - Treasury Department

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and high-yield data represent option-adjusted spreads. ... Source: BAML High-Yield Strategy, S&P LCD ...... commerci
4.1.1 Change in Real Gross Domestic Product Percent 4

As Of: 2014 Q4

Percent 4

2

2

0

0

-2

-2

-4

-4 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: BEA, Haver Analytics

Note: Annual changes are Q4/Q4.

4.1.2 Change in Real Personal Consumption Expenditures Percent 4

As Of: 2014 Q4

Percent 4

2

2

0

0

-2

-2

-4

-4 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: BEA, Haver Analytics

Note: Annual changes are Q4/Q4.

4.1.3 Private Housing Starts Millions of Units 2.0

As Of: Mar-2015

Millions of Units 0.5 0.4

1.5 Multifamily (right axis) 1.0

0.3

Single-family (left axis)

0.2

0.5

0.0 2002

0.1 0.0 2004

2006

Source: Census Bureau, Haver Analytics

2008

2010

2012

2014

Note: Seasonally adjusted at an annualized rate. Multifamily housing starts are calculated on a 3-month moving average. Gray bar signifies NBER recession.

4.1.4 U.S. Oil Imports and Production Millions of Barrels/Day 12

As Of: Mar-2015

Millions of Barrels/Day 12

10 8

10 8

Oil Imports

6 4

6 Oil Production

2

4 2

0 0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Energy Information Administration, Census Bureau, Haver Analytics

4.1.5 Net Change in Nonfarm Payroll Employment Thousands of Jobs 600

As Of: Apr-2015

400

Thousands of Jobs 600 Monthly Change

200

200

0

0 -200 -400

400

3-Month Moving Average

-200 -400

-600

-600

-800

-800

-1000 -1000 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: BLS, Haver Analytics

Note: Gray bar signifies NBER recession.

4.1.6 Civilian Unemployment Rate Percent 12

As Of: Apr-2015

Percent 12

9

9

6

6

3 1982

3 1987

1992

Source: BLS, Haver Analytics

1997

2002

2007

2012

Note: Gray bars signify NBER recessions.

4.1.7 Labor Force Participation Rate Percent 68

As Of: Apr-2015

Percent 68

67

67

66

66

65

65

64

64

63

63

62 1982

62 1987

1992

Source: BLS, Haver Analytics

1997

2002

2007

2012

Note: Gray bars signify NBER recessions.

4.1.8 Long-Term Unemployment Percent 50

As Of: Apr-2015

Percent 50

40

40

30

30

20

20

10

10

0 1982

0 1987

Source: BLS, Haver Analytics

1992

1997

2002

2007

2012

Note: Long-term unemployment as a percent of total unemployment. Gray bars signify NBER recessions.

4.2.1 Private Nonfinancial Debt Percent of Nominal GDP As Of: 2014 Q4 200 Nonfinancial Noncorporate Debt Nonfinancial Corporate Debt Consumer and Other Household Debt 150 Mortgages

Percent of Nominal GDP 200

150

100

100

50

50

0 1992

0 1996

2000

2004

2008

2012

Source: BEA, Financial Accounts of Note: Other Household Debt includes the United States, Haver Analytics debts of both households and nonprofits.

4.2.2 Debt to Assets for Nonfinancial Corporations Percent 28

As Of: 2014 Q4

Percent 28

26

26

24

24

22

22

20

20

18

18

16 1980

16 1985

1990

1995

Source: Financial Accounts of the United States, Haver Analytics

2000

2005

2010

Note: Gray bars signify NBER recessions.

4.2.3 Bank Business Lending Standards and Demand Net Percentage 100

50

As Of: Feb-2015

Net Percentage 100

Reporting Stronger Demand from Large and Medium-Sized Firms

50

0

-50

-100 2000

0

-50

Reporting Tighter Standards for Large and Medium-Sized Firms

-100 2002

Source: SLOOS, Haver Analytics

2004

2006

2008

2010

2012

2014

Note: Data includes firms with annual sales of $50 million or more over the last 3 months. Net percentage balance of responses. Gray bars signify NBER recessions.

4.2.4 Noncurrent Commercial and Industrial Loans Percent 4

As Of: 2014 Q4

Percent 4

3

3

2

2

1

1

0 2000

0 2002

2004

2006

Source: FDIC, Haver Analytics

2008

2010

2012

2014

Note: Percent of total C&I loans. Gray bars signify NBER recessions.

4.2.5 Nonfinancial Corporate Bond Default Rate Percent 10

As Of: 2015 Q1

Percent 10

8

8

6

6

4

4

2

2

0 1981 1986 Source: Moody’s Investors Service

0 1991 1996 2001 2006 2011 Note: Default rates are annual rates calculated on a quarterly basis. Gray bars signify NBER recessions.

4.2.6 Nonfinancial Noncorporate Assets Percent of Total Assets As Of: 2014 Q4 100 Accounts Receivable Other Assets

Percent of Total Assets 100

80

80 Cash and Securities

60

60 Nonresidential Real Estate

40

40

20 0 1990

20

Residential Real Estate

0 1994

1998

Source: Financial Accounts of the United States, Haver Analytics

2002

2006

2010

2014

4.2.7 Net Borrowing by Nonfinancial Noncorporate Businesses Billions of US$ 600

As Of: 2014 Q4

Billions of US$ 600

400

400

200

200

0

0

-200

-200

-400 2000

-400 2002

2004

2006

Source: Financial Accounts of the United States, Haver Analytics

2008

2010

2012

2014

Note: Seasonally adjusted at an annual rate. Gray bars signify NBER recessions.

4.2.8 Bank Business Lending Standards and Demand Net Percentage 100

50

As Of: Feb-2015

Net Percentage 100

Reporting Stronger Demand from Small Firms

50

0

-50

-100 2000

0

-50

Reporting Tighter Standards for Small Firms

-100 2002

Source: SLOOS, Haver Analytics

2004

2006

2008

2010

2012

2014

Note: Data includes firms with annual sales of less than $50 million over the last 3 months. Net percentage balance of responses. Gray bars signify NBER recessions.

4.2.9 Small Businesses' Difficulty Obtaining Credit Net Percentage 16

As Of: 2015 Q1

Net Percentage 16

12

12 Reporting Credit Harder to Obtain

8

8

4

4

0 2000

0 2002

Source: NFIB, Haver Analytics

2004

2006

2008

2010

2012

2014

Note: Percent of firms reporting credit was harder to obtain minus those reporting credit was easier to obtain over the past three months. Gray bars signify NBER recessions.

4.2.10 Household Debt as a Percent of Disposable Personal Income Percent 150 125

As Of: 2014 Q4

Percent 150

Other Household Credit Consumer Credit Mortgages

125

100

100

75

75

50

50

25

25

0 1992

0 1996

2000

2004

2008

2012

Source: BEA, Financial Accounts of Note: Other Household Credit includes the United States, Haver Analytics debts of both households and nonprofits.

4.2.11 Household Debt Service Ratio Percent 15

As Of: 2014 Q4

Percent 15

14

14

13

13

12

12

11

11

10

10

9 1980

9 1985

1990

Source: Federal Reserve, Haver Analytics

1995

2000

2005

2010

Note: Ratio of debt service payments to disposable personal income. Seasonally adjusted. Gray bars signify NBER recessions.

4.2.12 Share of Household Debt by Delinquency Status Percent 15 12

As Of: 2014 Q4

Percent 15

Severely Derogatory 120+ Days Late 90 Days Late 60 Days Late 30 Days Late

12

9

9

6

6

3

3

0 2003

0 2005

2007

2009

2011

2013

Note: Severely derogatory loans are loans for

Source: FRBNY Consumer Credit which there are reports of a repossession, Panel/Equifax, Haver Analytics charge off to bad debt, or foreclosure.

4.2.13 Household and Nonprofit Balance Sheets Trillions of US$ 120 100 80 60

As Of: 2014 Q4

Other Assets Equities Credit Market Instruments Cash Instruments Real Estate

Mortgages Consumer Credit Other Debt

Trillions of US$ 120 100 80 60

40

40

20

20

0

0 -20

-20 -40 2000

Net Worth

2002

2004

Source: Financial Accounts of the United States, Haver Analytics

2006

2008

2010

-40 2012

2014

Note: Other Assets primarily include life insurance reserves, pension entitlements, and noncorporate equities. Other Debt primarily includes security credit, trade payables, and unpaid life insurance premiums.

4.2.14 Owners’ Equity as Share of Household Real Estate Percent 70

As Of: 2014 Q4

Percent 70

1990-2005 Average 60

60

50

50

40

40

30 1990 1994 1998 2002 Source: Financial Accounts of the United States, Haver Analytics

30 2006

2010 2014 Note: Gray bars signify NBER recessions.

4.2.15 Components of Consumer Credit Billions of US$ 1200

As Of: 2014 Q4

Billions of US$ 1200

1000

1000 Auto Loans

800 600

800 Credit Card Debt

600 Other Household Debt

400 200 0 2003

Student Loans

400 200 0

2006

Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics

2009

2012 Note: Gray bar signifies NBER recession.

4.2.16 90+ Day Delinquency Rate by Loan Type Percent 15

As Of: 2014 Q4

Percent 15

12

12 Credit Card Loans

Student Loans

9

9 Mortgage Loans

6 3 0 2003

Auto Loans

HELOC

6 3 0

2006

Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics

2009

2012

Note: Student loan delinquency rates in 2012 Q3 are inflated by the reposting of a large number of delinquent loans by a single servicer. Gray bar signifies NBER recession.

4.3.1 Federal Revenues and Outlays Percent of GDP 25

As Of: Mar-2015

Percent of GDP 25

Outlays 50-Year Average Outlays

22

19

19

16

13 1965

22

50-Year Average Revenues

Revenues

1975

1985

Source: CBO, Haver Analytics

1995

16

13 2005 2015 2025 Note: Data for fiscal years. Years after 2014 are projected.

4.3.2 Outlays in Major Budget Categories Percent of GDP 10

As Of: Mar-2015 Medicare and Medicaid Social Security Other Mandatory Defense Discretionary Nondefense Discretionary Net Interest

8 6

Percent of GDP 10 8 6

4

4

2

2

0 1965

1975

Source: CBO, Haver Analytics

1985

1995

2005

2015

0 2025

Note: Other Mandatory comprises all mandatory spending other than that for Medicare, Medicaid, and Social Security. Data for fiscal years. Years after 2014 are projected.

4.3.3 Federal Debt Held by the Public Percent of GDP 150

As Of: Mar-2015

Percent of GDP 150

120

120 CBO Baseline Projection

90

90

60

60

30

30

0 1948

0 1958

1968

1978

Source: CBO, Haver Analytics

1988

1998

2008

2018

Note: Data for fiscal years. Years after 2014 are projected.

4.3.4 Interest Outlays and Average Maturity of U.S. Public Debt Percent of GDP 3.4

As Of: 2014 Q4

Months 72 Average Maturity of Outstanding Debt (right axis)

3.0 2.6

68 64 60

2.2

56

Interest Outlays (left axis)

1.8

52 48

1.4 1.0 1981

44 40 1986

Source: BEA, OMB, Haver Analytics

1991

1996

2001

2006

2011

Note: Gray bars signify NBER recessions.

4.3.5 Change in State and Local Government Tax Revenues Percent 14

As Of: 2014 Q4

Percent 14

12

12

10

10

8

8

6

6

4

4

2

2

0

0

-2

-2

-4

-4

-6 1998

-6 2000

2002

Source: Census Bureau

2004

2006

2008

2010

2012

2014

Note: Data represents year-over-year change. Revenue measures includes revenues from property, individual income, corporate income, and sales taxes. Gray bars signify NBER recessions.

4.3.6 State and Local Government Employment Millions of Employees 20.0

As Of: Apr-2015

Millions of Employees 20.0

19.5

19.5

19.0

19.0

18.5

18.5

18.0

18.0

17.5 2000

17.5 2002

2004

2006

Source: BLS, Haver Analytics

2008

2010

2012

2014

Note: Gray bars signify NBER recessions.

4.3.7 Long-Term Mutual Fund Flows: Municipal Bonds Billions of US$ 15

As Of: Feb-2015

Billions of US$ 15

10

10

5

5

0

0

-5

-5

-10

-10

-15

-15

-20 2007

-20 2008

2009

2010

Source: ICI, Haver Analytics

2011

2012

2013

2014

2015

4.3.8 Municipal Bond Issuance Billions of US$ 600 Refunding New Capital 500

As Of: 2014

Billions of US$ 600 500

400

400

300

300

200

200

100

100

0

2004

2006

Source: Thomson Reuters, SIFMA

2008

2010

2012

2014

0

Note: Excludes maturities of 13 months or less and private placements.

4.3.9 Municipal Bond Spreads As Of: 31-Mar-2015

Basis Points 800

Basis Points 800

Puerto Rico Illinois California Michigan A GO AAA GO

600 400

600 400

200

200

0 -200 2008

0 -200 2009

2010

2011

Source: Thomson Reuters MMD

2012

2013

2014

2015

Note: Spreads between 10-year municipal and 10-year Treasury securities.

A.1 Municipal Bond Yields Percent 4.5

As Of: 31-Mar-2015 20-Year AAA GO (left axis) Puerto Rico (right axis)

Percent 11.0 10.5

4.0

10.0 3.5 9.5 3.0 9.0 2.5 2.0 Mar:14

8.5 8.0 May:14

Jul:14

Source: Bloomberg, L.P.

Sep:14 Nov:14 Jan:15 Mar:15 Note: Puerto Rico yields based on 8 percent GO bonds maturing 7/1/2035.

4.4.1 Advanced Economies Real GDP Growth Percent 8

As Of: 2014 Q4

Percent 8

6

6

4

4

2

2

0

0

-2

-2

-4 -6

United States Japan United Kingdom Euro Area

-4 -6

-8

-8 2014 Q1

Source: Eurostat, CAO, BEA, Haver Analytics

2014 Q2

2014 Q3

2014 Q4

Note: Data represents seasonally adjusted quarter-over-quarter annualized real GDP growth rates.

4.4.2 Real GDP Growth Percent 10

As Of: Apr-2015

8

Percent 10 Emerging Economies

6

8 6

4

4

2

2

0

0 Advanced Economies

-2

-4

-4 -6 2000

-2

2004

2008

Source: IMF, Haver Analytics

2012

2016

-6 2020

Note: Year-over-year percent change. Data after 2014 are projected.

4.4.3 Euro Area Real GDP Growth Percent 6

As Of: Apr-2015

Percent 6

4

4

2

2

0

0

-2 -4

Spain France Euro Area Italy Germany

-6 2002

2005

-2 -4

2008

Source: IMF, Haver Analytics

2011

2014

2017

-6 2020

Note: Year-over-year percent change. Data after 2014 are projected.

4.4.4 Euro Area Consumer Price Inflation Percent 5

Percent 5

As Of: Mar-2015

4

4 Headline

Current Target

3

3

2

2

1 0

Core

1 0

-1 -1 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Statistical Office of the European Communities, Haver Analytics

Note: Year-over-year percent change.

4.4.5 Japanese Real GDP Growth Percent 8

As Of: 2014 Q4

Percent 8

6

6

4

4

2

2

0

0

-2

-2

-4

-4

-6

-6

-8

-8 2014 Q1

2014 Q2

2014 Q3

Source: Cabinet Office of Japan, IMF, Haver Analytics

2014 Q4

2015

2016

2017

Note: Data from 2014 represents seasonally adjusted annualized quarter-over-quarter real GDP growth rates. Data from 2015 and beyond represents seasonally adjusted yearover-year real GDP growth rates. Data after 2014 is projected.

4.4.6 Japanese Consumer Price Inflation Percent 3

Percent 3

As Of: Feb-2015 Current Target

2

2

1

1

0

0 CPI

-1

-1

-2 -3 1997

-2

2000

Source: Bank of Japan, Haver Analytics

2003

2006

2009

2012

-3 2015

Note: Data represents year-over-year percent change. CPI is adjusted for the consumption tax increase that took effect in April 2014.

4.4.7 Chinese Real GDP Growth Percent 16

As Of: 2014

Percent 16

14

14

12

12

10

10

8

8

6

6

4

4

2

2

0

0

2000 2002 2004 2006 2008 2010 2012 2014 Source: China National Bureau Note: Year-over-year percent change from the of Statistics, Haver Analytics fourth quarter of the previous year.

4.4.8 Chinese Property Prices Percent 15

Index 120

As Of: Mar-2015 Monthly Change (left axis)

10

116

5 112 0 108 -5 -10

104

Property Price Index (right axis)

-15

100 2011

2012

Source: China National Bureau of Statistics, Haver Analytics

2013

2014

2015

Note: 2010 = 100 in property price index. Monthly changes expressed at an annualized rate. Data represents the arithmetic mean of a 70-city sample.

4.4.9 Chinese Credit Growth Percent 70

As Of: Mar-2015

Percent 70

60

60 Nonbank Credit

50

50

40

40 Total Credit

30

30

20

20

10 0 2008

10

Bank Credit

0 2009

2010

2011

Source: The People’s Bank of China, Haver Analytics

2012

2013

2014

2015

Note: 12-month percentage change of 3-month rolling average.

4.4.10 Components of Chinese Nonbank Credit Growth Percent 300

As Of: Mar-2015

250 200

Other Nonfinancial Equity Financing Bankers’ Acceptance Bills Trust Loans Entrusted Loans

Percent 300 250 200

150

150

100

100

50

50

0

0

-50 2008 2009 2010 2011 Source: The People’s Bank of China, Haver Analytics

-50 2012 2013 2014 2015 Note: 12-month percentage change of 3-month rolling average.

4.4.11 Credit to the Chinese Nonfinancial Private Sector Percent of GDP 200

As Of: 2014 Q3

Percent of GDP 200

180

180

160

160

140

140

120

120

100

100

2008 2009 2010 2011 2012 2013 2014 Source: China National Bureau of Statistics, BIS, Haver Analytics Note: Rolling 4-quarter sum of GDP.

5.1.1 10-Year Treasury Yields Percent 5

As Of: 31-Mar-2015

Percent 5

4

4 Treasury Notes

3

3

2

2

1

1

0

0

-1 -2 2009

Treasury InflationProtected Securities

-1 -2

2010

2011

2012

Source: U.S. Department of the Treasury

2013

2014

2015

5.1.2 2-Year Treasury Yields Percent 1.50

As Of: 31-Mar-2015

Percent 1.50

1.25

1.25

1.00

1.00

0.75

0.75

0.50

0.50

0.25

0.25

0.00 2009

0.00 2010

2011

2012

Source: U.S. Department of the Treasury

2013

2014

2015

5.1.3 Publicly Held Federal Debt Outstanding Trillions of US$ 15

As Of: Mar-2015

Trillions of US$ 15

12

12

9

9

6

6

3

3

0 2001

0 2003

2005

2007

Source: U.S. Department of the Treasury, Haver Analytics

2009

2011

2013

2015

5.1.4 Foreign Holders of U.S. Federal Debt As Of: Feb-2015

Percent 100

Percent 100

Other

80

80 60

60 40

Euro Area

40

Japan

20

20 China 0 2000

0 2002

2004

2006

2008

2010

2012

Source: U.S. Department of the Treasury, Haver Analytics

2014

5.1.5 Fixed Income Implied Volatility Basis Points 300

Merrill Lynch Option Volatility Estimate (MOVE) Index

250 200 150 100

As Of: 31-Mar-2015

1994-Present MOVE Average

50

Basis Points 300 250 200 150 100 50

0 0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Source: Bloomberg, L.P.

Note: Implied volatility is calculated using a yield curve-weighted index of the normalized implied volatility on 1-month Treasury options.

5.1.6 European 10-Year Yields Percent 20

As Of: 31-Mar-2015

Percent 40

Greece (right axis) Portugal (left axis) Spain (left axis) Italy (left axis) United Kingdom (left axis) Germany (left axis)

16 12

32 24

8

16

4

8

0 2010

0 2011

Source: Bloomberg, L.P.

2012

2013

2014

2015

5.1.7 Gross Capital Flows to EMEs Billions of US$ 500

As Of: 2014 Q3

Billions of US$ 500

300

300

100

100

-100

Bank Flows Portfolio Flows Foreign Direct Investment Net Inflows

-300 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: IMF, Haver Analytics

-100

-300

5.1.8 Emerging Market Gross Global Bond Issuance Billions of US$ 700 Public Private 600 Sovereign

As Of: 2014

Billions of US$ 700 600

500

500

400

400

300

300

200

200

100

100 0

0 2004 Source: Dealogic

2006

2008

2010 2012 2014 Note: Public includes issuance by state-owned enterprises.

5.1.9 Emerging Market Bond Spreads Basis Points 1000

As Of: 31-Mar-2015

Basis Points 1000 Latin America Europe Asia 800

800 600

600

400

400

200

200

0 2008

0 2009

Source: JP Morgan, Haver Analytics

2010

2011

2012

2013

2014

2015

Note: JP Morgan EMBI+ Sovereign Spreads indices for each region.

5.1.10 Agency MBS Yield and Spread Percent 7.0

As Of: 31-Mar-2015

Percent 2.5

Fannie Mae 30-Year MBS (left axis)

6.0

2.0

5.0 4.0

1.5

3.0

1.0

2.0 1.0 0.0 2005

Agency MBS Spread Over 10-Year Treasury (right axis)

0.5 0.0

2007

Source: Bloomberg, L.P.

2009

2011

2013

2015

5.1.11 CMBS Issuance Billions of US$ 250 Agency Non-Agency 200

As Of: 2014

Billions of US$ 250 200

150

150

100

100

50

50

0

0 2001

2003

2005

2007

Source: Inside Mortgage Finance

2009

2011

2013

5.1.12 CMBS Senior Debt Spreads Basis Points 250

As Of: 26-Mar-2015

200

Basis Points 250 200

150

New Issue LCF

150

100

100

50

50

0 Mar:11 Source: Barclays

Mar:12

0 Mar:13 Mar:14 Mar:15 Note: Cash spread of new issue nonagency 3.0 duper 10-year LCF CMBS.

5.1.13 Corporate Credit Spreads Basis Points 1000 Leveraged Loans (right axis) High-Yield (right axis) 800 Investment Grade (left axis)

As Of: 31-Mar-2015

Basis Points 400 350 300 250

600

200 400

150 100

200

50 0 2010

0 2011

2012

Source: Bank of America Merrill Lynch, Federal Reserve, S&P LCD

2013

2014

2015

Note: Secondary market spreads. Investment grade and high-yield data represent option-adjusted spreads. Dotted lines represent 1997-to-present median.

5.1.14 Total High-Yield Debt Outstanding Trillions of US$ 3.0 High-Yield Bonds Leveraged Loans 2.5

Trillions of US$ 3.0

As Of: 2014

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0

0.0 2004

2006

2008

2010

Source: BAML High-Yield Strategy, S&P LCD

2012

2014

5.1.15 Outstanding Investment Grade Bonds Trillions of US$ 4 Utility Industrial Financial 3

As Of: 2014

Trillions of US$ 4

3

2

2

1

1

0

0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: Barclays

5.1.16 Leveraged Loans: Debt to EBITDA Ratios As Of: 2014

Multiple 8

Multiple 8

Large Corporate LBO Loans Large Corporate Loans Middle Market Loans

7 6

7 6

5

5

4

4

3

3

2

2

1

1

0

2001

2003

Source: S&P LCD

2005

2007

2009

2011

2013

0

Note: Large Corporate Loans captures loans to issuers with EBITDA of more than $50 million. Middle Market Loans captures loans to issuers with EBITDA of $50 million or less.

5.1.17 Covenant-Lite Volume as a Percent of Total Issuance Percent 60

As Of: 2014

Percent 60

50

50

40

40

30

30

20

20

10

10

0

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: S&P LCD

0

5.1.18 CLO Issuance Billions of US$ 140

As Of: 2014

Billions of US$ 140

120

120

100

100

80

80

60

60

40

40

20

20

0

2004

2006

Source: S&P LCD

2008

2010

2012

2014

0

5.1.19 Share of Leveraged Loan Primary Market by Investor Type As Of: 2014 Percent 70 Finance & Security Companies CLOs Hedge Funds 60 Loan Mutual Funds Insurance Companies Banks

Percent 70 60

50

50

40

40

30

30

20

20

10

10

0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: S&P LCD

0

C.1 Commodity Prices: Metals vs. Oil As Of: 31-Mar-2015

Index 600 500

US$/Barrel 160 140

GSCI Metals Index (left axis)

120

400

100

300

80 60

200 100 0 1995

40

Brent Oil (right axis)

20 0

1999

Source: Bloomberg, L.P.

2003

2007

2011

2015

C.2 High-Yield Bond Spreads As Of: 31-Mar-2015

Basis Points 1000 800

Basis Points 1000 800

High-Yield

600

600

400

400 High-Yield Energy Sector

200 0 2010

200 0

2011

Source: Bloomberg, L.P.

2012

2013

2014

2015

Note: Spreads to worst.

5.1.20 Nominal U.S. Dollar Trade-Weighted Index Index 140

As Of: Mar-2015

Index 140

130

130

120

120

110

110

100

100

90 1998

90 2000

2002

Source: Federal Reserve, Haver Analytics

2004

2006

2008

2010

2012

2014

Note: Nominal U.S. Dollar Trade-Weighted Index is a weighted average of the foreign exchange value of the U.S. dollar against the currencies of a broad group of major U.S. trading partners.

5.1.21 Currency Implied Volatility Percent As Of: 31-Mar-2015 40 3-Month Euro-Dollar 35 3-Month Dollar-Yen Currency VIX 30

Percent 40 35 30 Currency VIX Average, 2002-Present

25 20

25 20

15

15

10

10

5

5

0 2008

2009

2010

Source: Bloomberg, L.P.

2011

2012

2013

2014

2015

0

5.1.22 U.S. Dollar Exchange Rates Index 150 140 130 120

As Of: 31-Mar-2015

Index 150

Euro-Dollar Major Dollar Index EM Yen-Dollar

140 130 120

110

110

100

100

90

90

80

80

70

70

60 2008

60 2009

2010

Source: Federal Reserve, Haver Analytics

2011

2012

2013

2014

2015

Note: 1-Jan-2008 = 100. EM is a weighted average of the FX values of the dollar against a subset of currencies in the broad index that do not circulate widely outside the country of issue.

5.1.23 Change in Exchange Rates (Mar 2014 - Mar 2015) Percent 20

As Of: Mar-2015

Percent 20

10

10

0

0

-10

-10

-20

-20

-30

-30

-40

-40

Source: JP Morgan, Haver Analytics

Note: Change in exchange rate is the change in a country's JP Morgan Broad Nominal Effective Exchange Rate Index.

5.1.24 Returns in Selected Equities Indices

Major Economies U.S. (S&P) Euro (Euro Stoxx) Japan (Nikkei) U.K. (FTSE) Selected Europe Germany (DAX) France (CAC) Italy (FTSE MIB) Spain (IBEX) Emerging Markets MSCI Emerging Market Index Brazil (Bovespa) Russia (RTS) India (Sensex) China (Shanghai SE) Hong Kong (Hang Seng)

Source: Capital IQ

Change from 31-Mar-2014 to 31-Mar-2015

Annual growth rate from 31-Mar-2010 to 31-Mar-2015

10% 17% 30% 3%

12% 6% 12% 4%

25% 15% 7% 11%

14% 5% 0% 1%

-2% 1% -28% 25% 84% 12%

-1% -6% -11% 10% 4% 3%

5.1.25 S&P 500 Key Ratios Ratio 30

Ratio 3.5

As Of: 31-Mar-2015

3.0

25 P/B Ratio (right axis)

2.5

20 2.0 15

10 2008

Trailing P/E Ratio (left axis)

1.5 1.0

2009

2010

Source: Bloomberg, L.P.

2011

2012

2013 2014 2015 Note: Dotted lines represent 1995-to-present median.

5.1.26 Market Volatility Percent 100

Percent 100

As Of: 31-Mar-2015

80

80

60

60

VIX

40

40 1995-2014 Average

20 0 2008

20 0 2009

Source: Capital IQ

2010

2011

2012

2013

2014

2015

5.1.27 Commodities Index 200 175 150

As Of: 31-Mar-2015 Agriculture (S&P GSCI Agricultural Spot Index) Industrial Metals (S&P GSCI Industrial Metals Spot Index) Crude Oil (WTI) Natural Gas

Index 200 175 150

125

125

100

100

75

75

50

50

25

25

0 2008

0 2009

2010

2011

Source: Energy Information Administration, S&P, Haver Analytics

2012

2013

2014

2015

Note: 02-Jan-2008 = 100.

5.1.28 National Repeat Sales Home Price Indices Index 220 200

As Of: Feb-2015 CoreLogic (including distressed sales)

Index 220 CoreLogic (excluding distressed sales)

180

200 180

160

160

140

140

120

120

FHFA

100 80 2000

100 80 2002

2004

Source: CoreLogic, FHFA, Haver Analytics

2006

2008

2010

2012

2014

Note: Jan-2000 = 100. Gray bars signify NBER recessions.

5.1.29 Originations by Purchase and Refinance Billions of US$ As Of: 2014 Q4 1200 Refinance (left axis) Purchase (left axis) 1000

Percent 12 10 8

800 600

30-Year Mortgage Rate (right axis)

6

400

4

200

2

0 1992

0 1996

2000

2004

Source: Mortgage Bankers Association, Freddie Mac Primary Mortgage Market Survey, Haver Analytics

2008

2012

Note: Originations calculated as four-quarter moving average.

5.1.30 Mortgages with Negative Equity Billions of US$ 900

As Of: 2014 Q4 Percent of Residential Mortgages with Negative Equity (right axis)

800 700 600

Percent 30

Value of Negative Equity in Residential Mortgages (left axis)

25 20 15

500

10

400

5

300 2010

2011

Source: CoreLogic

2012

2013

2014

0

5.1.31 Mortgage Delinquency and Foreclosure Percent 6

As Of: 2014 Q4

Percent 6

5

5

4

4

3

3

2

Mortgage Foreclosure Inventory

2 Mortgage Payments Past-Due 90+ Days

1 0 2000

1 0

2002

2004

2006

2008

Source: Mortgage Bankers Association, Haver Analytics

2010

2012

2014

Note: Percent of all mortgages.

5.1.32 Purchase Origination Volume by Credit Score Percent of Originations 100 80 60

As Of: 2014

Percent of Originations 100

>760

80

720-760

60

700-720 40

40 660-700

20

20

600-660

$700B All BHCs 25 BHCs $50-700B BHCs < $50B 20

Percent 30

As Of: 2014 Q4

25 20

15

15

10

10

5

5

0 2007

0 2008

Source: FR Y-9C

2009

2010

2011

2012

2013

2014

Note: Liquid assets ratio is the sum of interest-bearing bank balances, FFS, repos, U.S. Treasury securities, U.S. government agencies, and U.S. government-sponsored agencies less pledged securities divided by total assets.

5.3.14 Non-Performing Loans (90+ Days and Non-Accrual) As Of: 2014 Q4

Percent 10

Residential

8 6 4

Percent 10

Total NPLs

8

CRE

6

Credit Card

4 Other Consumer

2

2 C&I

0 2009

0 2010

Source: SNL Financial

2011

2012

2013

2014

5.3.15 Credit Quality Percent of Total Loans 6 5

As Of: 2014 Q4

Percent of Total Loans 6 5

Total Non-Performing Loans

4

4

3

3

2

2

1 0 2000

1

Annualized Net Charge-Offs

0 2002

2004

Source: FRBNY Quarterly Trends Report

2006

2008

2010

2012

2014

Note: Domestic BHCs and commercial banks. Nonperforming loans include loans that are 90+ days past due and still accruing and loans that are non-accrual.

5.3.16 Loan Loss Reserves Percent 200

150

As Of: 2014 Q4 As a Percent of NonPerforming Loans (left axis)

Percent 350

As a Percent of Annualized Net Charge-Offs (right axis)

300 250 200

100 150 100

50

50 0 2000

0 2002

2004

Source: FRBNY Quarterly Trends Report, FSOC calculations

2006

2008

2010

2012

2014

Note: Domestic BHCs and commercial banks. Nonperforming loans include loans that are 90+ days past due and still accruing and loans that are non-accrual.

5.3.17 Initial and Stressed Tier 1 Common Capital Ratios Percent 14 12

As Of: Mar-2015

Percent 14

Pre-Stress Post-Stress Minimum

12

10

10

8

8

6

6

4

4

2

2

0

DFAST 2013

Source: Federal Reserve

DFAST 2014

DFAST 2015

0

Note: Aggregate ratios shown for all participants in each year. Post-stress ratios reflect the minimum ratio observed at any point under the severely adverse supervisory scenario.

5.3.18 Federal Reserve's Actions in CCAR 2015 Non-Objection to Capital Plan Comerica

Ally Financial

MUFG Americas

American Express

Discover Financial

Northern Trust

Bank of America**

Fifth Third Bancorp

PNC Financial

Bank of New York Mellon

Goldman Sachs*

Regions Financial

BB&T

HSBC North America

State Street

BBVA Compass

Huntington Bancshares

SunTrust

BMO Financial

JPMorgan Chase*

U.S. Bancorp

Capital One Financial

KeyCorp

Wells Fargo

Citigroup

M&T Bank

Zions

Citizens Financial

Morgan Stanley* Objection to Capital Plan Deutsche Bank Santander Holdings USA

Source: Federal Reserve

Note: *Goldman Sachs, JPMorgan Chase, and Morgan Stanley met minimum capital requirements on a post-stress basis after submitting adjusted capital actions. **Bank of America will be required to submit a new capital plan by the end of Q3 to address certain weaknesses in its capital planning processes.

5.3.19 FDIC-Insured Failed Institutions Number of Institutions 600

As Of: 2014

Percent 5

500 400

Assets of Failed Institutions as a Percent of Nominal GDP (right axis)

Number of Institutions (left axis)

300

4 3 2

200 1

100 0 1980

0 1985

Source: BEA, FDIC, Haver Analytics

1990

1995

2000

2005

2010

Note: No FDIC-insured institutions failed during 2005 and 2006.

5.3.20 Commercial Bank and Thrift Pre-Tax Income Billions of US$ 1000 750

Billions of US$ 1000 Total Pre-Tax Income 750

As Of: 2014 Noninterest Income Net Interest Income

500

500

250

250

0

0

-250

-250

-500

-500 Provisions Noninterest Expense Realized Gains/Losses on Investments

-750 -1000

2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: FDIC

-750 -1000

Note: Includes all FDIC-insured commercial banks and thrifts.

5.3.21 Risk-Weighted Assets and Return on Assets Percent 2

As Of: 2014 Q4 Return on Assets (left axis)

1.5

Percent 78

Risk-Weighted Assets as a Percent of Total Assets (right axis)

75

1 0.5

72

0

69

-0.5 66 -1 -1.5

63 2006

2008

Source: FDIC, Haver Analytics

2010

2012

2014

Note: All FDIC-insured institutions.

5.3.22 U.S. Branches and Agencies of Foreign Banks: Assets Trillions of US$ 4.0

As Of: 2014 Q4

Securities Purchased with Repos & Fed Funds Sold Non-C&I Loans C&I Loans Net Due From Related Depository Institutions

3.5 3.0 2.5 2.0

Reserve Balances Cash and Balances Due from Depository Institutions (excluding Reserve Balances) Other Assets

Trillions of US$ 4.0 3.5 3.0 2.5 2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0

0.0 2004

2006

Source: Federal Reserve, Haver Analytics

2008

2010

2012

2014

Note: Other assets includes government securities, asset-backed securities, and other trading assets.

5.3.23 U.S. Branches and Agencies of Foreign Banks: Liabilities Trillions of US$ 4.0

As Of: 2014 Q4

Other Liabilities Securities Sold with Repos & Fed Funds Purchased

Deposits & Credit Balances Net Due to Related Depository Institutions

3.5

Trillions of US$ 4.0

3.0

3.5 3.0

2.5

2.5

2.0

2.0

1.5

1.5

1.0

1.0

0.5

0.5

0.0

0.0 2004

2006

Source: Federal Reserve, Haver Analytics

2008

2010

2012

2014

Note: Other liabilities includes transaction accounts, non-transaction accounts, and other borrowed money.

5.3.24 Cash Assets of U.S. Branches and Agencies of Foreign Banks Trillions of US$ 1.6

As Of: 25-Mar-2015

Trillions of US$ 1.6

1.4

1.4

1.2

1.2

1.0

1.0

0.8

0.8

0.6 Jan:13

0.6 Jul:13

Source: Federal Reserve

Jan:14

Jul:14

Jan:15

5.3.25 Federally Insured Credit Union Income Billions of US$ As Of: 2014 60 Noninterest Income Net Income Net Interest Income 45

Billions of US$ 60 45

30

30

15

15

0

0

-15

-15

-30

-30

-45 -60

Provisions Noninterest Expense Realized Gains/Losses on Investments 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: NCUA

-45 -60

5.3.26 Credit Union Deposits As Of: 2014 Q4

Percent 35

Percent 65

60 30

25 Money Market and IRA Deposit Share (left axis)

Interest-Sensitive Deposit Share (right axis)

20 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: NCUA

55

50

45

5.3.27 Credit Union Net Long-Term Assets Percent of Total Assets Percent of Total Assets As Of: 2014 Q4 50 50 Long-Term Investments Fixed Assets Mortgage Loans Maturing Business Loans 40 40 in 5+ Years 30

30

20

20

10

10

0

0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Source: NCUA

5.3.28 Credit Union Investments by Maturity Percent of Total Assets 35 3-5 Years 1-3 Years 30 10 Years 5-10 Years

Percent of Total Assets 35 30

25

25

20

20

15

15

10

10

5

5

0

0 2006 Q4

Source: NCUA

2012 Q4

2013 Q4 2014 Q4 Note: Investments