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