4.1.1 federal debt held by the public 2016 annual...4.1.4 fixed income implied volatility . basis...
Post on 27-May-2020
7 Views
Preview:
TRANSCRIPT
0
30
60
90
120
150
0
30
60
90
120
150
1940 1950 1960 1970 1980 1990 2000 2010 2020
Source: CBO, Haver Analytics
As Of: Mar-2016 Percent of GDP 4.1.1 Federal Debt Held by the Public
Note: Data for fiscal years. Years after 2015 are projected.
Percent of GDP
CBO Baseline Projection
Percent As Of: 31-Mar-2016 4.1.2 10-Year Treasury Yields
Source: U.S. Department of the Treasury
-2
-1
0
1
2
3
4
5
-2
-1
0
1
2
3
4
5
2009 2010 2011 2012 2013 2014 2015 2016
Percent
Treasury Notes
Treasury Inflation-Protected Securities
Percent As Of: 31-Mar-2016 4.1.3 2-Year Treasury Yields
Source: U.S. Department of the Treasury
0.00
0.25
0.50
0.75
1.00
1.25
1.50
0.00
0.25
0.50
0.75
1.00
1.25
1.50
2009 2010 2011 2012 2013 2014 2015 2016
Percent
0
50
100
150
200
250
300
0
50
100
150
200
250
300
2005 2007 2009 2011 2013 2015
Merrill Lynch Option Volatility Estimate
(MOVE) Index
1994-Present MOVE Average
4.1.4 Fixed Income Implied Volatility Basis Points Basis Points
Source: Bloomberg, L.P.
As Of: 31-Mar-2016
Note: Implied volatility is calculated using a yield curve-weighted index of the normalized implied volatility on 1-month Treasury options.
A.1 Selected Swap Spreads
Source: Bloomberg, L.P.
-100
-50
0
50
100
150
200
-100
-50
0
50
100
150
200
2000 2003 2006 2009 2012 2015
Basis Points Basis Points As Of: 31-Mar-2016
3-Year 5-Year 10-Year 30-Year
-2
0
2
4
6
8
-2
0
2
4
6
8
2015 Q1 2015 Q2 2015 Q3 2015 Q4
4.2.1 Advanced Economies Real GDP Growth Percent Percent As Of: 2015 Q4
Source: Eurostat, CAO, BEA, Haver Analytics
Note: Data represents seasonally adjusted quarter-over-quarter annualized real GDP growth rates.
United Kingdom Japan
Euro Area
United States
-4
-2
0
2
4
6
8
10
-4
-2
0
2
4
6
8
10
2000 2004 2008 2012 2016 2020
Source: IMF, Haver Analytics
As Of: Apr-2016 Percent 4.2.2 Real GDP Growth
Note: Year-over-year percent change. Data after 2015 are projected.
Percent
Advanced Economies
Emerging Economies
-6
-4
-2
0
2
4
6
-6
-4
-2
0
2
4
6
2002 2005 2008 2011 2014 2017 2020
Source: IMF, Haver Analytics
As Of: Apr-2016 Percent 4.2.3 Euro Area Real GDP Growth
Note: Year-over-year percent change. Data after 2015 are projected.
Percent
Spain France Euro Area Italy Germany
-18
-12
-6
0
6
12
-18
-12
-6
0
6
12
2013Q1
2013Q3
2014Q1
2014Q3
2015Q1
2015Q3
4.2.4 Contributions to Japanese GDP Growth Percent Percent
Source: Cabinet Office of Japan, Haver Analytics
As Of: 2015 Q4
Private Demand Public Demand
GDP
Net Exports Inventories
Note: Data represents seasonally adjusted quarter-over-quarter annualized real GDP growth rates.
-3
-2
-1
0
1
2
3
-3
-2
-1
0
1
2
3
1998 2001 2004 2007 2010 2013 2016
4.2.5 Japanese Consumer Price Inflation Percent Percent
Source: Bank of Japan, Haver Analytics
As Of: Mar-2016
CPI
Current Target
Note: Data represents year-over-year percent change. CPI is adjusted for the consumption tax increase that took effect in April 2014.
0
8
16
24
32
40
0
4
8
12
16
20
2010 2011 2012 2013 2014 2015 2016
Source: Bloomberg, L.P.
As Of: 31-Mar-2016 Percent 4.2.6 European 10-Year Yields
Percent
Greece (right axis) Portugal (left axis) Spain (left axis) Italy (left axis) United Kingdom (left axis) Germany (left axis)
0
3
6
9
12
15
0
3
6
9
12
15
2000 2002 2004 2006 2008 2010 2012 2014
4.2.7 Chinese Real GDP Growth Percent Percent
Source: China National Bureau of Statistics, Haver Analytics
As Of: 2015
Note: Year-over-year percent change from the fourth quarter of the previous year.
Percent As Of: 2015 4.2.8 Chinese Manufacturing and Services Growth
Source: China National Bureau of Statistics, Haver Analytics
5
8
11
14
17
5
8
11
14
17
2000 2002 2004 2006 2008 2010 2012 2014
Percent
Manufacturing
Services
Note: Year-over-year percent change.
As Of: 31-Mar-2016 4.2.9 Chinese Equity Market (CSI 300 Index)
Source: Capital IQ
1000
2000
3000
4000
5000
6000
1000
2000
3000
4000
5000
6000
2010 2011 2012 2013 2014 2015 2016
Index Index
Percent As Of: Mar-2016 4.2.10 Chinese Credit Growth
Source: The People’s Bank of China, Haver Analytics
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
2008 2009 2010 2011 2012 2013 2014 2015 2016
Percent
Bank Credit
Nonbank Credit
Total Credit
Note: 12-month percentage change of 3-month rolling average. Total credit is defined as total social financing, a broad measure that includes some equity financing.
Percent As Of: Mar-2016 4.2.11 Components of Chinese Nonbank Credit Growth
Source: The People’s Bank of China, Haver Analytics
-50
0
50
100
150
200
250
300
-50
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016
Percent
Other Nonfinancial Equity Financing Bankers’ Acceptance Bills Trust Loans Entrusted Loans
Note: 12-month percentage change of 3-month rolling average.
0
40
80
120
160
200
240
0
40
80
120
160
200
240
2008 2009 2010 2011 2012 2013 2014 2015
4.2.12 Credit to the Chinese Nonfinancial Private Sector Percent of GDP Percent of GDP As Of: 2015 Q3
Source: China National Bureau of Statistics, BIS, Haver Analytics Note: Rolling 4-quarter sum of GDP.
-300
-100
100
300
500
-300
-100
100
300
500
2006 2008 2010 2012 2014
Net Inflows
Portfolio Flows Bank Flows
Foreign Direct Investment
4.2.13 Gross Capital Flows to EMEs Billions of US$ Billions of US$
Source: IMF, Haver Analytics
As Of: 2015 Q4
0
100
200
300
400
500
600
700
0
100
200
300
400
500
600
700
2004 2006 2008 2010 2012 2014
4.2.14 Emerging Market Gross Global Bond Issuance Billions of US$ Billions of US$
Source: Dealogic
As Of: 2015
Note: Public includes issuance by municipal and state-owned enterprises. Bonds with a maturity of greater than 1 year.
Private Public
Sovereign
0
200
400
600
800
1000
0
200
400
600
800
1000
2008 2009 2010 2011 2012 2013 2014 2015 2016Source: JP Morgan, Haver Analytics
As Of: 31-Mar-2016 Basis Points 4.2.15 Emerging Market Bond Spreads
Note: JP Morgan EMBI+ Sovereign Spreads indices for each region.
Basis Points
Latin America Europe Asia
-6
-3
0
3
6
9
12
-6
-3
0
3
6
9
12
1998 2001 2004 2007 2010 2013
4.2.16 Change in State and Local Government Tax Revenues Percent Percent
Source: Census Bureau
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.
As Of: 2015 Q4
-20
-15
-10
-5
0
5
10
15
-20
-15
-10
-5
0
5
10
15
2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: ICI, Haver Analytics
As Of: Mar-2016 Billions of US$ Billions of US$ 4.2.17 Long-Term Mutual Fund Flows: Municipal Bonds
4.2.18 Municipal Bond Spreads
Source: Thomson Reuters MMD, Haver Analytics
-200
0
200
400
600
-200
0
200
400
600
2005 2007 2009 2011 2013 2015
Basis Points Basis Points As Of: 31-Mar-2016
Note: Spreads between municipal and Treasury securities of comparable maturities.
10-Year AAA GO
10-Year BBB GO 30-Year BBB GO
30-Year AAA GO
Billions of US$
0
100
200
300
400
500
600
0
100
200
300
400
500
600
2004 2006 2008 2010 2012 2014
New Capital Refunding
4.2.19 Municipal Bond Issuance Billions of US$
Source: Thomson Reuters, SIFMA
As Of: 2015
Note: Excludes maturities of 13 months or less and private placements.
C.1 Municipal Bond Yields
Source: Bloomberg, L.P.
8
9
10
11
12
13
14
2.0
2.5
3.0
3.5
4.0
4.5
Mar:14 Jul:14 Nov:14 Mar:15 Jul:15 Nov:15 Mar:16
Percent Percent As Of: 31-May-2016
20-Year AAA GO (left axis)
Puerto Rico (right axis)
Note: Puerto Rico yields based on 8 percent GO bonds maturing 7/1/2035.
16
18
20
22
24
26
28
16
18
20
22
24
26
28
1980 1985 1990 1995 2000 2005 2010 2015Source: Federal Reserve, Haver Analytics
As Of: 2015 Q4 Percent 4.3.1 Debt to Assets for Nonfinancial Corporations
Note: Gray bars signify NBER recessions.
Percent
-100
-50
0
50
100
-100
-50
0
50
100
2000 2002 2004 2006 2008 2010 2012 2014 2016
Source: SLOOS, Haver Analytics
As Of: Jan-2016 Net Percentage 4.3.2 Bank Business Lending Standards and Demand
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.
Net Percentage
Reporting Stronger Demand from Large and
Medium-Sized Firms
Reporting Tighter Standards for Large and
Medium-Sized Firms
0
10
20
30
40
50
60
0
10
20
30
40
50
60
2005 2007 2009 2011 2013 2015
4.3.3 Covenant-Lite Volume as a Percent of Total Issuance Percent Percent
Source: S&P LCD
As Of: 2015
0
2
4
6
8
0
2
4
6
8
2001 2003 2005 2007 2009 2011 2013 2015
4.3.4 Leveraged Loans: Debt to EBITDA Ratios Multiple Multiple
Source: S&P LCD
As Of: 2015
Large Corporate LBO Loans Large Corporate Loans
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 $50 million or less.
Middle Market Loans
0
1
2
3
4
0
1
2
3
4
2000 2002 2004 2006 2008 2010 2012 2014
Source: FDIC, Haver Analytics
As Of: 2015 Q4 Percent 4.3.5 Noncurrent Commercial and Industrial Loans
Note: Percent of total C&I loans. Gray bars signify NBER recessions.
Percent
Trillions of US$
0.0
0.4
0.8
1.2
1.6
0.0
0.4
0.8
1.2
1.6
2005 2007 2009 2011 2013 2015
Investment Grade High-Yield
4.3.6 Corporate Bond Issuance Trillions of US$
Source: Thomson Reuters, SIFMA
As Of: 2015
Note: Includes all non-convertible corporate debt, MTNs, and Yankee bonds, but excludes all issues with maturities of 1 year or less and CDs.
0
200
400
600
800
1000
0
100
200
300
400
2010 2011 2012 2013 2014 2015 2016
4.3.7 Corporate Credit Spreads
Source: Bank of America Merrill Lynch, Federal Reserve, S&P LCD
As Of: 31-Mar-2016
Leveraged Loans (right axis) High-Yield (right axis) Investment Grade (left axis)
Basis Points Basis Points
Note: Secondary market spreads. Investment grade and high-yield data represent option-adjusted spreads. Dotted lines represent 1997-present median.
0
3
6
9
12
15
18
0
3
6
9
12
15
18
2001 2003 2005 2007 2009 2011 2013 2015
4.3.8 Rolling 12-Month Default Rate Percent Percent As Of: Mar-2016
Source: Moody’s Investors Service Note: Issuer-weighted default rate.
Corporate Bond Leveraged Loan
0
20
40
60
80
100
0
20
40
60
80
100
1997 2000 2003 2006 2009 2012 2015
4.3.9 Distressed Ratios Percent Percent
Source: S&P LCD, Merrill Lynch
Note: S&P LSTA Index Distress Ratio depicts the percentage of performing loans trading below 80. Merrill Lynch High-Yield Index Distress Ratio depicts the percentage of performing high-yield bonds with yields over Treasuries of 1,000 or more basis points.
As Of: Mar-2016
Merrill Lynch High-Yield Index Distress Ratio S&P LSTA Index Distress Ratio
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
2004 2006 2008 2010 2012 2014
4.3.10 CLO Issuance Billions of US$ Billions of US$
Source: S&P LCD
As Of: 2015
4.3.11 Leveraged Loan Primary Market by Investor Type
Source: S&P LCD
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
2005 2007 2009 2011 2013 2015
Percent Percent
Finance & Security Companies
As Of: 2015
CLOs
Insurance Companies Loan Mutual Funds Hedge Funds
Banks
0
25
50
75
100
125
150
0
25
50
75
100
125
150
1992 1996 2000 2004 2008 2012
Source: BEA, Federal Reserve, Haver Analytics
As Of: 2015 Q4 Percent
4.4.1 Household Debt as a Percent of Disposable Personal Income
Note: Other Household Credit includes debts of both households and nonprofits.
Percent
Other Household Credit Consumer Credit Mortgages
9
10
11
12
13
14
9
10
11
12
13
14
1980 1986 1992 1998 2004 2010
Source: Federal Reserve, Haver Analytics
As Of: 2015 Q4 Percent 4.4.2 Household Debt Service Ratio
Note: Ratio of debt service payments to disposable personal income. Seasonally adjusted. Gray bars signify NBER recessions.
Percent
0
3
6
9
12
15
0
3
6
9
12
15
2003 2005 2007 2009 2011 2013 2015
Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics
As Of: 2015 Q4 Percent 4.4.3 Share of Household Debt by Delinquency Status
Note: Severely derogatory loans are loans for which there are reports of a repossession, charge off to bad debt, or foreclosure.
Percent
Severely Derogatory 120+ Days Late 90 Days Late 60 Days Late 30 Days Late
0
200
400
600
800
1000
1200
1400
0
200
400
600
800
1000
1200
1400
2003 2005 2007 2009 2011 2013 2015Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics
As Of: 2015 Q4 Billions of US$ 4.4.4 Components of Consumer Credit
Note: Gray bar signifies NBER recession.
Billions of US$
Credit Card Debt
Auto Loans
Student Loans
Other Household Debt
0
3
6
9
12
15
0
3
6
9
12
15
2003 2005 2007 2009 2011 2013 2015Source: FRBNY Consumer Credit Panel/Equifax, Haver Analytics
As Of: 2015 Q4 Percent 4.4.5 90+ Day Delinquency Rate by Loan Type
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.
Percent
Mortgage Loans
HELOCs Auto Loans
Credit Card Loans
Student Loans
80
100
120
140
160
180
200
220
80
100
120
140
160
180
200
220
2000 2002 2004 2006 2008 2010 2012 2014 2016Source: CoreLogic, FHFA, Haver Analytics
As Of: Feb-2016 Index 4.5.1 National Repeat Sales Home Price Indices
Note: Jan-2000 = 100. Gray bars signify NBER recessions.
Index
CoreLogic (including
distressed sales)
CoreLogic (excluding distressed
sales)
FHFA
0
2
4
6
8
10
12
0
200
400
600
800
1000
1200
1992 1996 2000 2004 2008 2012
30-Year Mortgage Rate (right axis)
4.5.2 Mortgage Originations and Rates Billions of US$ Percent
Source: Mortgage Bankers Association, Freddie Mac Primary Mortgage Market Survey
As Of: 2015 Q4
Refinance (left axis) Purchase (left axis)
Note: Originations represent all 1-4 family homes. Originations calculated as 4-quarter moving averages. Mortgage rates calculated as quarterly averages.
0
1
2
3
4
5
6
0
1
2
3
4
5
6
2000 2002 2004 2006 2008 2010 2012 2014Source: Mortgage Bankers Association, Haver Analytics
As Of: 2015 Q4 Percent 4.5.3 Mortgage Delinquency and Foreclosure
Note: Percent of all mortgages.
Percent
Mortgage Foreclosure
Inventory Mortgage Payments 90+ Days Past Due
0
5
10
15
20
25
30
0
150
300
450
600
750
900
2010 2011 2012 2013 2014 2015
Value of Negative Equity in Residential Mortgages
(left axis)
Percent of Residential
Mortgages with Negative Equity
(right axis)
4.5.4 Mortgages with Negative Equity Billions of US$ Percent
Source: CoreLogic
As Of: 2015 Q4
0
20
40
60
80
100
0
20
40
60
80
100
2001 2003 2005 2007 2009 2011 2013 2015
4.5.5 Purchase Origination Volume by Credit Score Percent of Originations Percent of Originations
Source: McDash, FHFA calculations
As Of: 2015
Note: Includes first lien purchases only.
<600
600-659
660-699
700-719
720-759
>760
0
20
40
60
80
100
0
20
40
60
80
100
2000 2002 2004 2006 2008 2010 2012 2014
4.5.6 Mortgage Originations by Product Percent of Originations Percent of Originations
Source: Inside Mortgage Finance
As Of: 2015
FHA / VA
GSE
Private Portfolio and Securitized
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
2000 2003 2006 2009 2012 2015
4.5.7 RMBS Issuance Trillions of US$ Trillions of US$
Source: Fannie Mae, Freddie Mac, Ginnie Mae, Bloomberg, L.P., Dealogic, Thomson Reuters, SIFMA
As Of: 2015
Non-Agency Agency
0.0
0.5
1.0
1.5
2.0
2.5
0
1
2
3
4
5
6
7
2005 2007 2009 2011 2013 2015
Fannie Mae 30-Year MBS (left axis)
Source: Bloomberg, L.P.
As Of: 31-Mar-2016 Percent 4.5.8 Agency MBS Yield and Spread
Percent
Agency MBS Spread over 10-Year Treasury
(right axis)
0
2
4
6
8
10
0
2
4
6
8
10
2011 2012 2013 2014 2015
4.5.9 Mortgage Servicing Market Trillions of US$ Trillions of US$
Source: Inside Mortgage Finance
As Of: 2015 Q4
Nonbank Bank
Note: Data covers top 25 servicers in each quarter.
40
60
80
100
120
140
160
40
60
80
100
120
140
160
2008 2009 2010 2011 2012 2013 2014 2015 2016
4.5.10 Commercial Property Price Indices Index Index
Source: Real Capital Analytics, Moody’s Investors Service
Moody’s/RCA CPPI – National
Note: Jan-2008 = 100.
Moody’s/RCA CPPI – Major Markets
As Of: Feb-2016
0
100
200
300
400
500
600
0
2
4
6
8
10
12
1995 1998 2001 2004 2007 2010 2013
4.5.11 CRE Capitalization Rates and Spreads Percent Basis Points
Source: CoStar Group
Aggregate CRE Cap Rate
(left axis) CRE Cap Rate Spread to
10-Year Treasury (right axis)
As Of: 2015 Q4
Note: Dotted lines represent 1995-present average.
0
50
100
150
200
250
0
50
100
150
200
250
2001 2003 2005 2007 2009 2011 2013 2015
4.5.12 CMBS Issuance Billions of US$ Billions of US$
Source: Inside Mortgage Finance
As Of: 2015
Agency Non-Agency
0
40
80
120
160
200
240
0
40
80
120
160
200
240
Mar:11 Mar:12 Mar:13 Mar:14 Mar:15 Mar:16
4.5.13 CMBS Senior Debt Spreads Basis Points Basis Points
Source: Barclays
As Of: 31-Mar-2016
Note: Cash spread of new issue, non-agency, 3.0 duper, 10-year last cash flow CMBS.
90
100
110
120
130
140
90
100
110
120
130
140
1998 2001 2004 2007 2010 2013 2016
Source: Federal Reserve, Haver Analytics
As Of: Mar-2016 Index 4.6.1 Nominal U.S. Dollar Trade-Weighted Index
Note: Nominal U.S. Dollar Trade-Weighted Index is a weighted average of the FX value of the U.S. dollar against the currencies of a broad group of major U.S. trading partners.
Index
50
70
90
110
130
150
50
70
90
110
130
150
2008 2009 2010 2011 2012 2013 2014 2015 2016
Source: Federal Reserve, Haver Analytics
As Of: 31-Mar-2016 Index 4.6.2 U.S. Dollar Exchange Rates
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.
Index
Euro-Dollar Major Dollar Index EM Yen-Dollar
-60
-50
-40
-30
-20
-10
0
-60
-50
-40
-30
-20
-10
0
4.6.3 Change in U.S. Dollar Exchange Rates Percent Percent
Source: Wall Street Journal, Haver Analytics
As Of: 31-Mar-2016
Year-over-Year Change Change Since July 2014
Change from 31-Mar-2015 to 31-Mar-2016
Annual growth rate from 31-Mar-2011 to
31-Mar-2016 Major Economies U.S. (S&P) -0.4% 9.2% Euro (Euro Stoxx) -14.9% 2.5% Japan (Nikkei) -12.7% 11.4% U.K. (FTSE) -8.8% 0.9% Selected Europe Germany (DAX) -16.7% 7.2% France (CAC) -12.9% 1.9% Italy (FTSE MIB) -21.8% -3.6% Spain (IBEX) -24.3% -3.8% Emerging Markets MSCI Emerging Market Index -14.1% -6.5% Brazil (Bovespa) -2.1% -6.1% Russia (RTS) -0.5% -15.6% India (Sensex) -9.4% 5.4% China (Shanghai SE) -19.9% 0.5% Hong Kong (Hang Seng) -16.6% -2.5%
4.7.1 Returns in Selected Equities Indices
Source: Capital IQ
1.0
1.5
2.0
2.5
3.0
3.5
10
15
20
25
30
2008 2009 2010 2011 2012 2013 2014 2015 2016
4.7.2 S&P 500 Key Ratios Ratio Ratio
Source: Bloomberg, L.P.
P/B Ratio (right axis)
Trailing P/E Ratio (left axis)
As Of: 31-Mar-2016
Note: Dotted lines represent 1995-present median.
0
20
40
60
80
100
0
20
40
60
80
100
2008 2009 2010 2011 2012 2013 2014 2015 2016
VIX
1995-Present Average
4.7.3 Equity Market Volatility Index Index
Source: Capital IQ
As Of: 31-Mar-2016
0
25
50
75
100
125
150
175
200
0
25
50
75
100
125
150
175
200
2008 2009 2010 2011 2012 2013 2014 2015 2016Source: Energy Information Administration, S&P, Haver Analytics
As Of: 31-Mar-2016 Index 4.8.1 Commodities
Note: 02-Jan-2008 = 100.
Index
Agriculture (S&P GSCI Agricultural Spot Index) Industrial Metals (S&P GSCI Industrial Metals Spot Index) Crude Oil (WTI) Natural Gas
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.5
1.0
1.5
2.0
2.5
2001 2004 2007 2010 2013 2016
4.9.1 Commercial Paper Outstanding Trillions of US$ Trillions of US$ As Of: 30-Mar-2016
Domestic Financial Domestic Nonfinancial Foreign Financial
Asset-Backed
Other Foreign Nonfinancial
Source: Federal Reserve Note: Domestic includes CP issued in the U.S. by entities with foreign parents.
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
Jan:15 Apr:15 Jul:15 Oct:15 Jan:16
4.9.2 Commercial Paper Interest Rates Percent Percent As Of: 31-Mar-2016
90-Day AA-Rated ABCP 90-Day AA-Rated Financial 90-Day AA-Rated Nonfinancial Overnight AA-Rated ABCP Overnight AA-Rated Financial Overnight AA-Rated Nonfinancial
Source: Federal Reserve
0
1
2
3
4
5
0
1
2
3
4
5
2000 2002 2004 2006 2008 2010 2012 2014 2016
4.9.3 Primary Dealer Repo Agreements Trillions of US$ Trillions of US$ As Of: 30-Mar-2016
Source: FRBNY
Overnight/Continuing Term
0
1
2
3
4
5
0
1
2
3
4
5
2002 2004 2006 2008 2010 2012 2014 2016
4.9.4 Value of the Repo Market Trillions of US$ Trillions of US$
Source: FRBNY
As Of: 31-Mar-2016
Note: Limited data were provided by the clearing banks prior to April 2008. These figures are estimates based on the data provided. Daily Federal Reserve RRP operations beginning in September 2013 are depicted; small-scale RRP test operations undertaken periodically at earlier dates are not depicted. Gray bar signifies NBER recession.
FR 2004 Primary Dealer Repo
Tri-Party Repo Market (excluding Federal
Reserve RRPs)
Tri-Party Repo Market (including Federal Reserve RRPs)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
4.9.5 Collateral in the Tri-Party Repo Market Trillions of US$ Trillions of US$
Source: FRBNY, Haver Analytics
As Of: 9-Mar-2016
Note: Other includes CDOs, international securities, money markets, municipal debt, and whole loans.
U.S. Treasury Strips Agency MBS Agency Debentures and Strips
U.S. Treasuries excluding Strips Corporates ABS Private Label CMOs
Equities
Other Agency CMOs
4.9.6 Bilateral Repo Haircuts
10th Percentile Median 90th Percentile Maximum
U.S. Treasuries (including Strips)
0% 0% 1% 5%
Government Agency 0% 0% 0% 1%
Corporate 0% 0% 0% 5%
Private Label CMO, MBS, and ABS
0% 2% 3% 20%
Source: OFR/Federal Reserve/SEC Bilateral Repo Data Collection Pilot
As Of: Mar-2015
Note: Excludes interaffiliate transactions and transactions using securities lending contracts.
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
4.9.7 Treasury Tri-Party and GCF Repo Rates Percent Percent
Source: Bank of New York Mellon, DTCC, Bloomberg, L.P.
Overnight Treasury GCF Repo Treasury Tri-Party Repo
As Of: 31-Mar-2016
0
1
2
3
4
5
0
1
2
3
4
5
2008 2009 2010 2011 2012 2013 2014 2015 2016
4.9.8 Value of Securities on Loan Trillions of US$ Trillions of US$
Source: Markit Group Limited
Global Market (including U.S.)
U.S. Market
As Of: 31-Mar-2016
Note: Data is based on a survey of agent-based lenders.
0
20
40
60
80
100
0
20
40
60
80
100
2008 2009 2010 2011 2012 2013 2014 2015 2016
4.9.9 Global Securities Lending by Security Type Percent of Lending Percent of Lending
Source: Markit Group Limited
Government Bonds
As Of: 31-Mar-2016
Equities
Note: Data is based on a survey of agent-based lenders. Other includes ETFs, emerging market bonds, and depository receipts.
Corporate Bonds
Other
0
50
100
150
200
250
0.0
0.4
0.8
1.2
1.6
2.0
2000 2003 2006 2009 2012 2015
4.9.10 U.S. Securities Lending Cash Reinvestment Trillions of US$ Days
Source: The Risk Management Association
Mean WAM (right axis)
Median WAM (right axis)
As Of: 2015 Q4
Note: Data is based on a survey of agent-based lenders.
Total Cash Reinvestment (left axis)
4.10.1 Normalized Future Prices
Source: Bloomberg, L.P.
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
2010 2011 2012 2013 2014 2015 2016
Index Index As Of: 31-Mar-2016
Euro 10-Year Treasury Futures E-Mini S&P Commodity Index
4.10.2 Market Volatility Indices
Source: Bloomberg, L.P.
0
10
20
30
40
50
60
70
80
0
3
6
9
12
15
2010 2011 2012 2013 2014 2015 2016
Index Index As Of: 31-Mar-2016
Treasury VIX (left axis) VIX (right axis) Crude Oil VIX (right axis)
0
10
20
30
40
0
10
20
30
40
2005 2007 2009 2011 2013 2015
4.10.3 Selected Exchange Open Interest Millions of US$ Millions of US$
Source: CFTC
As Of: Feb-2016
ICE Futures U.S. New York Mercantile Exchange
Chicago Mercantile Exchange ICE Futures Energy Division
Chicago Board of Trade
0
100
200
300
400
500
0
100
200
300
400
500
2005 2007 2009 2011 2013 2015
4.10.4 Selected Exchange Volume Millions of US$ Millions of US$
Source: CFTC
As Of: Feb-2016
ICE Futures U.S. New York Mercantile Exchange
Chicago Mercantile Exchange ICE Futures Energy Division
Chicago Board of Trade
4.10.5 Selected Futures Open Interest
Source: Bloomberg, L.P.
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0
1
2
3
4
5
2010 2011 2012 2013 2014 2015 2016
Millions of US$ Millions of US$ As Of: Mar-2016
10-Year Treasury (left axis) E-Mini (left axis) WTI Crude (right axis)
4.10.6 Selected Futures Volume
Source: Bloomberg, L.P.
0
5
10
15
20
25
30
0
20
40
60
80
100
2010 2011 2012 2013 2014 2015 2016
Millions of US$ Millions of US$ As Of: Mar-2016
10-Year Treasury (left axis) E-Mini (left axis) WTI Crude (right axis)
4.10.7 WTI Crude COT
Source: Bloomberg, L.P.
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
2010 2011 2012 2013 2014 2015 2016
Millions of US$ Millions of US$ As Of: 29-Mar-2016
Managed Money Swap Dealers Producer/Merchants
4.10.8 10-Year Treasury Traders in Financial Futures
Source: Bloomberg, L.P.
-1.0
-0.5
0.0
0.5
1.0
-1.0
-0.5
0.0
0.5
1.0
2010 2011 2012 2013 2014 2015 2016
Millions of US$ Millions of US$ As Of: 29-Mar-2016
Dealers Asset Managers Leveraged Funds
0
20
40
60
80
100
120
140
0
20
40
60
80
100
120
140
2013 2014 2015 2016
4.10.9 CME Rate Swap Futures Open Interest Thousands of US$ Thousands of US$
Source: Bloomberg, L.P.
As Of: Mar-2016
5-Year Deliverable 30-Year Deliverable
10-Year Deliverable
0
2
4
6
8
0
2
4
6
8
1998 2001 2004 2007 2010 2013
4.10.10 OTC Equity Options: Global Notional Outstanding Trillions of US$ Trillions of US$
Source: BIS, Haver Analytics
As Of: 2015 Q4
Other Financial Institutions Non-Financial Customers
Reporting Dealers
As Of: 2015 Q4 4.10.11 OTC Equity Option Share of All OTC Derivatives
Source: BIS, Haver Analytics
0.0
0.5
1.0
1.5
2.0
0.0
0.5
1.0
1.5
2.0
1998 2001 2004 2007 2010 2013
Percent Percent
0
200
400
600
800
1000
1200
0
200
400
600
800
1000
1200
1998 2001 2004 2007 2010 2013
4.10.12 OTC Equity Options: Global Market Value Billions of US$ Billions of US$
Source: BIS, Haver Analytics
As Of: 2015 Q4
Other Financial Institutions Non-Financial Customers
Reporting Dealers
0
20
40
60
80
100
0
20
40
60
80
100
1 2 3 4 5 6 7 8 9 10
4.10.13 BHC OTC Equity Option Exposure Percent Percent
Source: FR Y-9C
As Of: 2015 Q4
Note: Ten largest U.S. BHCs. Share of options calculated as notional amounts outstanding.
Number of BHCs
Share of Sector Assets
Share of Sector OTC Equity Options
0
100
200
300
400
500
600
700
800
0
100
200
300
400
500
600
700
800
2000 2002 2004 2006 2008 2010 2012 2014
Source: BIS, Haver Analytics
As Of: 2015 Q4 Trillions of US$ 4.10.14 Global OTC Derivatives Market
Note: Notional amounts.
Trillions of US$
Unallocated
Interest Rate Contracts
Commodity Contracts Credit Default Swaps
Equity-Linked Contracts
FX Contracts
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
2005 2007 2009 2011 2013 2015
Source: BIS, Haver Analytics
As Of: 2015 Q4 Trillions of US$ 4.10.15 Credit Derivatives Outstanding
Note: Notional amounts.
Trillions of US$
Single Name Index and Other Multi-Name
0
10
20
30
40
50
60
0
10
20
30
40
50
60
Dec:13 Jun:14 Dec:14 Jun:15 Dec:15
4.10.16 Global Central Clearing Market Share Percent Percent
Source: DTCC
As Of: 2015 Q4
Note: Percentage of the total outstanding notional. Adjusted for double-counted cleared notional outstanding data.
Credit Default Swaps Interest Rate Derivatives
-3
2. ELIGIBLE SWAPS SELECTION Counterparties specify which swap positions are to be considered for compression
D.1 Bilateral Compression Process
Note: One of the counterparties may be a CCP that clears swaps.
1. PARTICIPATION Counterparties agree to participate in compression
4. VALIDATION AND CONFIRMATION
Counterparties review and agree to proposal
3. COMPRESSION PROPOSAL List of termination and replacement trades is created
6. EXECUTION OF PROPOSAL Existing positions are terminated and replacement swap positions are created
5. MARGIN EXCHANGE Required initial and variation margins are exchanged, as needed
7. NOTIFICATION AND COMPLETION Counterparties are notified of completion of compression and resulting positions
Termination
Replacement Trades
Counterparty A
Counterparty A
Counterparty B
Counterparty B -3 +3
Number of Trades: 1 Gross Notional: 3 Net Notional: -3
Number of Trades: 1 Gross Notional: 3 Net Notional: +3
-5 +5
Number of Trades: 2 Gross Notional: 7 Net Notional: -3
Number of Trades: 2 Gross Notional: 7 Net Notional: +3
+2 -2
+3
-5 +5 +2 -2
D.2 Currently Available Compression Options
Provider
Non-cleared Swaps Cleared Swaps
Bilateral Multilateral* Multilateral* Duo / Bilateral
Unilateral / Solo Netting
Unilateral / Solo Coupon
Blending
Bilateral (no service provider)
TriOptima (private service provider)
CME (CCP)
EUREX (CCP)
LCH (CCP)
Swap Execution Facilities (SEFs)**
More eligible market participants, frequent compression cycles, and options
Source: TriOptima, CME, EUREX, LCH
Note: *There are 30-40 compression cycles annually, each with a single currency. ** SEFs are trading venues that offer trade execution services for swaps that are mandated for central clearing and SEF trading. Compression trades can be executed on SEFs, but the compression itself is performed by CCPs.
Trillions of US$
0
50
100
150
200
250
0
50
100
150
200
250
2003 2005 2007 2009 2011 2013 2015
CCP Non-CCP
D.3 Interest Rate Derivative Compression Volume Trillions of US$
Source: TriOptima
As Of: 2015
Note: Gross notional is represented as single-counted for notional compressed outside of a CCP and double-counted for notional compressed inside of a CCP.
Percent As Of: 2015 Q4 4.10.17 U.S. Central Clearing Market Share
Source: SwapsInfo (ISDA)
0
20
40
60
80
100
0
20
40
60
80
100
Mar:13 Sep:13 Mar:14 Sep:14 Mar:15 Sep:15
Percent
Cleared Interest Rate Derivatives Cleared CDS Index Swaps
Note: Percentage of transaction dollar volume.
Percent As Of: 31-Mar-2016 4.10.18 U.S. On-SEF Trading Share
Source: SwapsInfo (ISDA)
0
20
40
60
80
100
0
20
40
60
80
100
Oct:2013 Apr:2014 Oct:2014 Apr:2015 Oct:2015
Percent
CDS Indices Interest Rate Derivatives
Note: Share of notional volume. 5-day moving averages.
Billions of US$ As Of: 31-Mar-2016 4.10.19 U.S. On-SEF Trading Volume
Source: SwapsInfo (ISDA)
0
100
200
300
400
500
600
0
10
20
30
40
50
60
Oct:2013 Apr:2014 Oct:2014 Apr:2015 Oct:2015
Billions of US$
CDS Indices (left axis) Interest Rate Derivatives (right axis)
Note: 10-day moving averages.
Billions of US$ As Of: 31-Mar-2016 4.10.20 Interest Rate Derivatives Market Activity by Currency
Source: SwapsInfo (ISDA)
0
100
200
300
400
500
600
0
100
200
300
400
500
600
2013 2014 2015 2016
Billions of US$
Other JPY GBP EUR USD
Note: 10-day moving averages.
0
4
8
12
16
0
4
8
12
16
CCAR banks Other banks greaterthan $10B
Other banks lessthan $10B
4.11.1 BHC Total Assets Trillions of US$ Trillions of US$
Source: FR Y-9C
As Of: 2015 Q4
4
6
8
10
12
14
4
6
8
10
12
14
2001 2003 2005 2007 2009 2011 2013 2015
4.11.2 Common Equity Tier 1 Ratios Percent Percent As Of: 2015 Q4
Greater than $50B
Less than $50B
Source: FR Y-9C
Note: Prior to 2014 Q1, the numerator of this ratio is tier 1 common capital. Beginning 2014 Q1 for “advanced approaches” BHCs and in 2015 Q1 for all other BHCs, the numerator is common equity tier 1 capital. For advanced approaches BHCs that have exited their parallel run, the denominator is total RWAs calculated under the advanced approaches framework (the standardized approach is used otherwise).
-30
-15
0
15
30
-2
-1
0
1
2
1997 2000 2003 2006 2009 2012 2015
4.11.3 Return on Equity and Return on Assets
Percent Percent As Of: 2015 Q4
ROE (right axis)
ROA (left axis)
Source: FR Y-9C
Note: Return on equity is equal to net income divided by average equity. Return on assets is equal to net income divided by average assets.
2.0
2.5
3.0
3.5
4.0
4.5
5.0
2.0
2.5
3.0
3.5
4.0
4.5
5.0
2000 2003 2006 2009 2012 2015
4.11.4 Net Interest Margins Percent Percent As Of: 2015 Q4
Greater than $50B
Less than $50B
Source: FR Y-9C
Note: Bank holding companies must have completed the FR Y-9C form for the entire period between Q1 2010 and Q2 2015 to be included in this figure.
0
2
4
6
8
10
12
14
0
2
4
6
8
10
12
14
2011 2012 2013 2014 2015
4.11.5 Litigation Expenses at Selected BHCs Billions of US$ Billions of US$ As Of: 2015 Q4
Note: Includes litigation expenses at Bank of America, Citigroup, Goldman Sachs, JPMorgan Chase, Morgan Stanley, and Wells Fargo. Source: FR Y-9C
35
40
45
50
55
60
5
10
15
20
25
2000 2003 2006 2009 2012 2015
Share of Total Loans (right axis)
4.11.6 Loan-to-Asset Ratios Percent of Total Assets Percent of Total Assets As Of: 2015 Q4
Share of C&I and CRE (left axis)
Share of Residential Mortgages (left axis)
Source: FR Y-9C
0
50
100
150
200
250
0
50
100
150
200
250
1997 2000 2003 2006 2009 2012 2015
4.11.7 Loan Loss Reserves Percent of NPLs Percent of NPLs As Of: 2015 Q4
Less than $50B
Greater than $50B
Source: FR Y-9C
0
2
4
6
8
0
2
4
6
8
1997 2000 2003 2006 2009 2012 2015
Less than $50B
4.11.8 Non-Performing Loans Percent of Total Loans Percent of Total Loans As Of: 2015 Q4
Greater than $50B
Source: FR Y-9C
15
20
25
30
35
40
45
15
20
25
30
35
40
45
2001 2003 2005 2007 2009 2011 2013 2015
4.11.9 Higher-Risk Securities Percent of Total Securities Percent of Total Securities
Source: FR Y-9C
As Of: 2015 Q4
0
2
4
6
8
10
12
14
0
2
4
6
8
10
12
14Pre-Stress Post-Stress Minimum
4.11.10 Initial and Stressed Tier 1 Common Capital Ratios Percent Percent
Source: Federal Reserve
As Of: Mar-2015
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. Ratios are calculated using standardized approach RWAs.
DFAST 2013 DFAST 2014 DFAST 2015
4.11.11 Federal Reserve's Actions in CCAR 2015
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 submitted a new capital plan to address certain weaknesses in its capital planning processes at the end of September 2015 as required by the Federal Reserve, and, in December 2015, the Federal Reserve announced that it did not object to the resubmitted capital plan. Source: Federal Reserve
Non-Objection to Capital Plan Ally Financial Comerica 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
4
8
12
16
20
24
4
8
12
16
20
24
2010 2011 2012 2013 2014 2015
4.11.12 Selected High-Quality Liquid Assets at BHCs Percent of Assets Percent of Assets
Source: FR Y-9C
As Of: 2015 Q4
Standard LCR BHCs Modified LCR BHCs Non-LCR BHCs
Note: HQLA is estimated by adding excess reserves to an estimate of securities that qualify for HQLA. Haircuts and Level 2 asset limitations are incorporated into the estimate.
0
2
4
6
8
10
0
2
4
6
8
10
2010 2011 2012 2013 2014 2015
4.11.13 Selected Liquid Assets at Standard LCR BHCs Percent of Assets Percent of Assets
Source: FR Y-9C
As Of: 2015 Q4
Reserves
Treasury Securities
Fannie Mae and Freddie Mac MBS
70
80
90
100
110
120
70
80
90
100
110
120
1997 2000 2003 2006 2009 2012 2015
4.11.14 Net Stable Funding Ratio at Standard LCR BHCs Percent Percent
Source: FR Y-9C, FR 2900
As Of: 2015 Q4
Note: NSFR is estimated using quarter-end balances reported in FR Y-9C and FR 2900 filings.
Minimum NSFR
4.11.15 Weighted-Average Duration Gap
Source: FR Y-9C
0.0
0.5
1.0
1.5
2.0
2.5
3.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
2001 2003 2005 2007 2009 2011 2013 2015
Years Years
Between $50B and $250B
As Of: 2015 Q4
Less than $50B
Greater than $250B
4.11.16 P/B and P/E Ratios of Six Large Complex BHCs
Source: Bloomberg, L.P.
0
10
20
30
40
50
60
0
1
2
3
4
5
2000 2002 2004 2006 2008 2010 2012 2014 2016
Ratio Ratio As Of: 31-Mar-2016
P/B Ratio (left axis)
2000-Present Average P/E Ratio
(right axis)
2000-Present Average P/B Ratio
(left axis)
P/E Ratio (right axis)
Note: Market cap-weighted average of BAC, C, GS, JPM, MS, and WFC.
Basis Points
0
100
200
300
400
500
600
700
0
100
200
300
400
500
600
700
2009 2010 2011 2012 2013 2014 2015 2016
4.11.17 CDS Spreads of Six Large Complex BHCs Basis Points As Of: 31-Mar-2016
Source: Markit Group Limited Note: CDS spreads of BAC, C, GS, JPM, MS, and WFC.
Maximum Value Equal-Weighted Average Minimum Value
0
50
100
150
200
250
2000 2002 2004 2006 2008 2010 2012 20140
50
100
150
200
250
4.11.18 Number of Deals by Size of Pro Forma Bank Number of Deals Number of Deals
Source: SNL Financial
As Of: 2015
Greater than $50B
Less than $10B
Between $10B and $50B
Note: Contains deals that did not involve FDIC assistance. Pro forma bank size is calculated as the sum of total assets of the buyer and the target as of the deal announcement.
0
1
2
3
4
5
0
100
200
300
400
500
600
1980 1985 1990 1995 2000 2005 2010 2015Source: BEA, FDIC, Haver Analytics
As Of: 2015 Number of Institutions 4.11.19 FDIC-Insured Failed Institutions
Note: No FDIC-insured institutions failed during 2005 and 2006.
Percent
Number of Institutions (left axis)
Assets of Failed Institutions as a Percent
of Nominal GDP (right axis)
-1000
-750
-500
-250
0
250
500
750
1000
-1000
-750
-500
-250
0
250
500
750
1000
2008 2009 2010 2011 2012 2013 2014 2015
Noninterest Income Net Interest Income
Noninterest Expense Provisions
4.11.20 Commercial Bank and Thrift Pre-Tax Income Billions of US$ Billions of US$
Source: FDIC Note: Includes all FDIC-insured commercial banks and thrifts.
As Of: 2015
Total Pre-Tax Income
Realized Gains/Losses on Investments
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2004 2006 2008 2010 2012 2014Source: Federal Reserve, Haver Analytics
As Of: 2015 Q4 Trillions of US$
4.11.21 U.S. Branches and Agencies of Foreign Banks: Assets
Note: Other assets includes government securities, asset-backed securities, and other trading assets.
Trillions of US$
Cash and Balances Due from Depository Institutions (excluding Reserve Balances)
Non-C&I Loans C&I Loans Net Due From Related Depository Institutions
Reserve Balances
Other Assets
Securities Purchased with Repos & Fed Funds Sold
0.6
0.8
1.0
1.2
1.4
1.6
0.6
0.8
1.0
1.2
1.4
1.6
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
4.11.22 Cash Assets of U.S. Branches and Agencies of Foreign Banks
Trillions of US$ Trillions of US$
Source: Federal Reserve
As Of: 30-Mar-2016
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2004 2006 2008 2010 2012 2014Source: Federal Reserve, Haver Analytics
As Of: 2015 Q4 Trillions of US$
4.11.23 U.S. Branches and Agencies of Foreign Banks: Liabilities
Note: Other liabilities includes transaction accounts, non-transaction accounts, and other borrowed money.
Trillions of US$
Deposits & Credit Balances Net Due to Related Depository Institutions
Other Liabilities Securities Sold with Repos & Fed Funds Purchased
-60
-45
-30
-15
0
15
30
45
60
-60
-45
-30
-15
0
15
30
45
60
2006 2008 2010 2012 2014
Net Income
4.11.24 Credit Union Income Billions of US$ Billions of US$
Source: NCUA
As Of: 2015
Noninterest Income Net Interest Income
Noninterest Expense Provisions
Realized Gains/Losses on Investments
Note: Federally insured credit unions.
45
50
55
60
65
20
24
28
32
36
2005 2007 2009 2011 2013 2015
4.11.25 Credit Union Deposits Percent Percent
Source: NCUA
As Of: 2015 Q4
Money Market and IRA Deposit Share
(left axis)
Interest-Sensitive Deposit Share
(right axis)
Note: Federally insured credit unions. Interest-sensitive deposit share includes money market and IRA deposit share, share certificates, and certain other deposits.
0
10
20
30
40
50
0
10
20
30
40
50
2005 2007 2009 2011 2013 2015
4.11.26 Credit Union Net Long-Term Assets Percent of Total Assets Percent of Total Assets
Source: NCUA
As Of: 2015 Q4
Mortgage Loans Maturing in 5+ Years
Long-Term Investments Business Loans Fixed Assets
Note: Federally insured credit unions. Long-term investments mature in three or more years.
0
5
10
15
20
25
30
35
0
5
10
15
20
25
30
35
2006 Q4 2013 Q4 2014 Q4 2015 Q4
4.11.27 Credit Union Investments by Maturity Percent of Total Assets Percent of Total Assets
Source: NCUA
As Of: 2015 Q4
1-3 Years 3-5 Years
5-10 Years <1 Year
>10 Years
Note: Federally insured credit unions. Investments <1 year exclude securities with maturities <3 months.
0
10
20
30
40
50
4000
4200
4400
4600
4800
5000
2009 2010 2011 2012 2013 2014 2015
4.12.1 Number of Broker-Dealers and Industry Net Income Number of Firms Billions of US$ As Of: 2015
Source: FINRA
Net Income (right axis)
Number of Broker-Dealers (left axis)
0
100
200
300
400
0
100
200
300
400
2009 2010 2011 2012 2013 2014 2015
Sale of Investment Company Shares
Margin Interest Other
Underwriting
Fees – Supervision, Advisory, Administration
Commissions
4.12.2 Broker-Dealer Revenues Billions of US$ Billions of US$
Source: FINRA
As Of: 2015
0
1
2
3
4
5
6
7
2005 2007 2009 2011 2013 20150
8
16
24
32
40
4.12.3 Broker-Dealer Assets and Leverage Trillions of US$ Ratio
Source: FINRA
As Of: 2015
Note: Leverage is the ratio of total assets to total ownership equity.
Total Assets (left axis)
Leverage (right axis)
20
24
28
32
36
40
0
1
2
3
4
5
2010 2011 2012 2013 2014 2015
4.12.4 Large Broker-Dealer Assets and Leverage by Affiliation Trillions of US$ Ratio
Source: FINRA
As Of: 2015
Note: Data covers BHC- and FBO-affiliated broker-dealers that are among the 25 largest broker-dealers by assets as of 2015.
BHC-Affiliated Assets (left axis) FBO-Affiliated Assets (left axis)
BHC-Affiliated Leverage (right axis) FBO-Affiliated Leverage (right axis)
-300
-150
0
150
300
450
2002 2004 2006 2008 2010 2012 2014 2016-300
-150
0
150
300
450
4.12.5 Primary Dealer Securities Billions of US$ Billions of US$
Source: FRBNY
Primary Dealer Net Outright Corporate Securities
Primary Dealer Net Outright U.S. Government Securities Primary Dealer Net Outright Federal Agency Securities and Agency MBS
As Of: 30-Mar-2016
Note: Corporate Securities includes corporate bonds, commercial paper, non-agency residential MBS, and other CMBS.
Name Total Assets Name Total Assets JPMorgan Chase 2,351,698,000 Capital One 334,179,916 Bank of America 2,147,391,000 GE Capital 318,826,145 Wells Fargo 1,787,632,000 New York Life 301,657,000 Citigroup 1,731,210,000 TIAA 288,956,000 MetLife 877,933,000 HSBC North America 271,888,608 Goldman Sachs 861,419,000 TD Group 267,143,521 Morgan Stanley 787,465,000 Manulife/John Hancock 253,994,000 Prudential Financial 757,388,000 Lincoln 251,937,000 Berkshire Hathaway 552,257,000 State Street 245,198,879 AIG 496,943,000 Northwestern Mutual 239,514,000 U.S. Bancorp 421,853,000 State Farm 231,690,000 Bank of New York Mellon 393,780,000 The Hartford 228,348,000 PNC 358,690,085 BlackRock 225,261,000
4.12.6 Selected U.S. Financial Holding Companies and Insurers
Note: Thousands of U.S. dollars. Data as of 2015 Q4. GAAP and SAP accounting. Insurers listed in blue. Entity classifications correspond to those used by the National Information Center and SNL Financial. Asset levels correspond to consolidated financial reporting.
Source: National Information Center, SNL Financial, Company Filings
0
15
30
45
60
75
0
15
30
45
60
75
2009 2010 2011 2012 2013 2014 2015
4.12.7 Insurance Industry Net Income Billions of US$ Billions of US$
Source: SNL Financial
As Of: 2015
Life P&C
Note: Life includes accident and health.
2
3
4
5
6
7
8
2009 2010 2011 2012 2013 2014 20152
3
4
5
6
7
8
4.12.8 Net Yield on Invested Assets Percent Percent
Source: SNL Financial, Bank of America Merrill Lynch, Haver Analytics
Life
P&C
Yield on A-Rated Corporate Debt
As Of: 2015 Q4
Note: Life includes accident and health.
0
150
300
450
600
750
900
2009 2010 2011 2012 2013 2014 20150
10
20
30
40
50
60
4.12.9 Insurance Industry Capital and Surplus Billions of US$ Percent of Total Assets
Life Capital and Surplus / Assets (right axis) P&C Capital and Surplus / Assets (right axis) Life Capital and Surplus (left axis) P&C Capital and Surplus (left axis)
As Of: 2015
Note: C&S/Assets is calculated as capital and surplus as a percent of net admitted assets less net admitted separate account assets. Life includes accident and health. Source: SNL Financial
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.5
1.0
1.5
2.0
2.5
2001 2003 2005 2007 2009 2011 2013 2015
Source: Federal Reserve, Haver Analytics
As Of: Mar-2016 Trillions of US$ 4.12.10 Consumer Loans and Leases Outstanding
Note: Loans and leases owned and securitized. Series breaks in December 2010 and 2014 due to change in data collection methodology. Gray bars signify NBER recessions.
Trillions of US$
Commercial Banks
Finance Companies
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.5
1.0
1.5
2.0
2.5
2001 2003 2005 2007 2009 2011 2013 2015
Source: Federal Reserve, Haver Analytics
As Of: Mar-2016 Trillions of US$ 4.12.11 Business Loans and Leases Outstanding
Trillions of US$
Commercial Banks
Finance Companies
Note: Loans and leases owned and securitized. Series break in December 2010 due to change in data collection methodology. Gray bars signify NBER recessions.
0
20
40
60
80
100
0
20
40
60
80
100
2014 Q1 2015 Q1 2016 Q1
4.12.12 Subprime Auto Lending Percent Percent As Of: 2016 Q1
Source: Experian Note: Finance company category excludes captive auto lenders and buy-here, pay-here dealers.
Bank/Credit Union Share of Subprime Auto Lending Finance Company Share of Total Auto Lending
Bank/Credit Union Share of Total Auto Lending
Finance Company Share of Subprime Auto Lending
0
50
100
150
200
250
300
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015
4.12.13 ABS Issuance Billions of US$ Billions of US$
Source: Thomson Reuters, SIFMA
As Of: 2015
Credit Card Student Loans
Auto Housing-Related Other
Equipment
0
50
100
150
200
250
0
50
100
150
200
250
2010 2011 2012 2013 2014 2015 2016
4.12.14 Selected ABS Spreads Basis Points Basis Points
Source: Barclays
Prime Auto Fixed BBB 3-Year Credit Card Fixed BBB 3-Year Prime Auto Fixed AAA 3-Year Credit Card Fixed AAA 3-Year
As Of: 31-Mar-2016
Note: Spreads to Treasury securities.
As Of: 2015 Q4
0
100
200
300
400
500
0
3
6
9
12
15
18
2000 2003 2006 2009 2012 2015
4.12.15 Agency REIT Assets and Leverage Ratio Billions of US$
Source: Bloomberg, L.P.
Leverage (left axis)
Total Assets (right axis)
Note: Data for 16 publicly traded agency REITs. Leverage is the ratio of total assets to equity. Not all agency REITs existed in all time periods in the figure.
0.0
0.5
1.0
1.5
2.0
0.0
0.5
1.0
1.5
2.0
2000 2003 2006 2009 2012 2015
4.12.16 Agency REIT Price-to-Book Ratio Ratio Ratio
Source: Bloomberg, L.P.
As Of: 2015 Q4
Note: Data for 16 publicly traded agency REITs. Price-to-book ratio is weighted by market capitalization. Not all agency REITs existed in all time periods in the figure.
0
1
2
3
4
0
1
2
3
4
2011 2012 2013 2014 2015 2016
4.13.1 MMF Assets by Fund Type Trillions of US$ Trillions of US$
Source: SEC
As Of: Mar-2016
Prime Government and Treasury Tax-Exempt
20
25
30
35
40
45
50
20
25
30
35
40
45
50
2011 2012 2013 2014 2015 2016
4.13.2 Liquid Asset Shares of Prime MMFs Percent of Total Assets Percent of Total Assets
Source: SEC
As Of: Mar-2016
Daily Liquidity
Weekly Liquidity
Note: Weighted by fund size.
Note: Weighted by fund size.
4.13.3 Weighted-Average Maturity of MMFs
Source: SEC
25
30
35
40
45
50
25
30
35
40
45
50
2011 2012 2013 2014 2015 2016
Days Days
Prime Funds
All Funds
As Of: Mar-2016
0
4
8
12
16
20
0
4
8
12
16
20
1995 1998 2001 2004 2007 2010 2013
4.13.4 Net Assets of the Investment Company Industry Trillions of US$ Trillions of US$ As Of: 2015
ETFs Other
Equity Mutual Funds Bond/Hybrid Mutual Funds MMFs
Note: Other is composed of unit investment trusts and closed-end funds. Source: ICI, Haver Analytics
-80
-60
-40
-20
0
20
40
-80
-60
-40
-20
0
20
40
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
Source: ICI, Haver Analytics
As Of: Mar-2016 Billions of US$ 4.13.5 Monthly Bond Mutual Fund Flows
Billions of US$
Tax-Exempt Taxable
-40
-30
-20
-10
0
10
20
30
40
-40
-30
-20
-10
0
10
20
30
40
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
Source: ICI, Haver Analytics
As Of: Mar-2016 Billions of US$ 4.13.6 Monthly Equity Mutual Fund Flows
Billions of US$
-30
-15
0
15
30
45
60
75
-30
-15
0
15
30
45
60
75
2005 2007 2009 2011 2013 2015
4.13.7 Bank Loan Mutual Funds: Annual Flows Billions of US$ Billions of US$
Source: Morningstar, Inc.
As Of: 2015
-20
-10
0
10
20
30
-20
-10
0
10
20
30
2005 2007 2009 2011 2013 2015
4.13.8 High-Yield Mutual Funds: Annual Flows Billions of US$ Billions of US$
Source: Morningstar, Inc.
As Of: 2015
0
10
20
30
40
50
0
10
20
30
40
50
2005 2007 2009 2011 2013 2015
4.13.9 Alternative Mutual Funds: Annual Flows Billions of US$ Billions of US$
Source: Morningstar, Inc.
As Of: 2015
-800
-600
-400
-200
0
200
400
600
800
-800
-600
-400
-200
0
200
400
600
800
2009 2010 2011 2012 2013 2014 2015 2016
4.13.10 Cumulative Equity Fund Flows Billions of US$ Billions of US$
Source: Morningstar, Inc.
As Of: Mar-2016
Note: Includes ETFs and mutual funds.
International Passively Managed U.S. Passively Managed International Actively Managed U.S. Actively Managed
0
500
1000
1500
2000
0.0
0.5
1.0
1.5
2.0
2.5
2007 2008 2009 2010 2011 2012 2013 2014 2015
4.13.11 U.S.-Listed ETP AUM and Count Trillions of US$ Number of Funds
Source: Morningstar, Inc.
As Of: 2015
AUM (left axis)
Number of Funds (right axis)
0
4
8
12
16
20
24
28
0
4
8
12
16
20
24
28
2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: Federal Reserve, Haver Analytics
As Of: 2015 Q3 Trillions of US$ 4.13.12 Retirement Fund Assets by Plan Type
Trillions of US$
Private Defined Benefit Plans
Individual Accounts Private Defined Contribution Plans
State and Local Federal
60
70
80
90
100
110
120
60
70
80
90
100
110
120
2002 2004 2006 2008 2010 2012 2014
4.13.13 Public and Private Pension Funding Levels
Source: Public Fund Survey, Milliman 2016 Pension Funding Study
Percent Percent
Public Defined Benefit Plans
Private Defined Benefit Plans
As Of: 2015
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.5
1.0
1.5
2.0
2.5
2003 2005 2007 2009 2011 2013 2015
4.13.14 U.S. Private Equity AUM Trillions of US$ Trillions of US$
Source: Preqin
As Of: 2015 Q3
YTD
Undeployed Capital Existing Investments
0
50
100
150
200
250
0
50
100
150
200
250
2004 2006 2008 2010 2012 2014
4.13.15 M&A Loan Volume for Private Equity-Backed Issuers Billions of US$ Billions of US$
Source: S&P LCD
As Of: 2015
LBO Non-LBO
0
1
2
3
4
5
6
0
1
2
3
4
5
6
2006 2008 2010 2012 2014 2016
6.1.1 Systemic Risk Measures
Source: Bloomberg, L.P., OFR calculations
As Of: Mar-2016
CoVaR SES DIP
Index Index
Note: Sample consists of BAC, C, GS, JPM, MS, and WFC. Measures are standardized by their historical volatility.
6.3.1 Equity Prices and Volatility
Source: Capital IQ
0
10
20
30
40
50
1400
1600
1800
2000
2200
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
Index Index As Of: 31-Mar-2016
S&P 500 (left axis) CBOE VIX (right axis)
6.3.2 Crude Oil Prices and Volatility
Source: Bloomberg, L.P., Energy Information Administration, Haver Analytics
0
20
40
60
80
100
0
20
40
60
80
100
120
Jan:13 Jul:13 Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
US$/Barrel Index As Of: 31-Mar-2016
WTI Spot Price (left axis) Crude Oil VIX (right axis)
Percent of Total Assets
0
2
4
6
8
10
0
2
4
6
8
10
2001 2003 2005 2007 2009 2011 2013 2015
6.3.3 Aggregate Tier 1 Capital Ratio at Domestic BHCs Percent of Total Assets
Source: FR Y-9C
As Of: 2015 Q4
Common Equity
Additional Tier 1 Capital
F.1 Selected Sector High-Yield Spreads
Source: Bloomberg, L.P.
0
300
600
900
1200
1500
1800
0
300
600
900
1200
1500
1800
Jan:14 Jul:14 Jan:15 Jul:15 Jan:16
Basis Points Basis Points As Of: 31-Mar-2016
Energy Industrials Materials All High-Yield Communications Consumer Discretionary Health Care
Note: Spreads are option adjusted to the U.S. dollar swap curve.
0
1
2
3
4
5
6
0
1
2
3
4
5
6
2004 2006 2008 2010 2012 2014 2016
F.2 Expected Year-Ahead Defaults of Oil Firms Percent of Liabilities Percent of Liabilities
Source: Moody’s Analytics CreditEdge
As Of: Mar-2016
Note: Firm-level estimates of default weighted by firm liabilities as a percent of total liabilities, excluding defaulted firms.
H.1 Corporate Bond Turnover
Source: FINRA
0.00
0.05
0.10
0.15
0.20
0.0
0.5
1.0
1.5
2.0
2003 2005 2007 2009 2011 2013 2015
Percent of Issue Size Percent of Issue Size As Of: Sept-2015
Less Active (right axis)
Note: Median daily turnover. More Active consists of 1,000 most active issues each year with respect to par volumes of trades. Less Active consists of the remainder of issues.
More Active (left axis)
-500
-250
0
250
500
2002 2004 2006 2008 2010 2012 2014 2016-1000
-500
0
500
1000
H.2 Primary Dealer Positions and Transactions Billions of US$ Billions of US$
Source: FRBNY
Primary Dealer Outright U.S. Government Security Transactions (right axis)
Primary Dealer Net Outright U.S. Government Securities (left axis) Primary Dealer Net Outright Corporate Securities (left axis)
As Of: 30-Mar-2016
Note: Corporate Securities includes corporate bonds, commercial paper, non-agency residential MBS, and other CMBS.
Primary Dealer Outright Corporate Security Transactions (right axis)
0
2
4
6
8
0
5
10
15
20
25
1999 2002 2005 2008 2011 2014
H.3 U.S. Treasury Security Turnover and Official Sector Holdings Percent Trillions of US$
Source: U.S. Department of the Treasury, Federal Reserve, FRBNY, Haver Analytics
As Of: Feb-2016
Federal Reserve Holdings of U.S. Treasuries (right axis) Foreign Official Holdings of U.S. Treasuries (right axis)
Primary Dealer Average Weekly Trading Volume as a Percent of Total Marketable Debt
(left axis)
H.4 Selected Bid/Offer Spreads
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
2006 2008 2010 2012 2014 2016
Basis Points Percent of Par As Of: 31-Mar-2016
Note: 21-day rolling averages. For Treasury securities, quoted bid/offer spreads for on-the-run 10-year note (in basis points in price terms). For swaps, quoted bid/offer spreads for 10-year interest rate swaps (in basis points in yield terms). For corporate bonds, realized bid/offer spreads (as a percent of par). Corporate bond spreads computed daily for each bond as the difference between the average (volume-weighted) dealer-to-client buy price and the average (volume-weighted) dealer-to-client sell price. This difference is then averaged (on an equal-weighted basis) across bonds within each credit category.
Source: BrokerTec, Bloomberg, L.P., Mergent FISD, FINRA, FRBNY staff calculations
HY Corporate (right axis) IG Corporate (right axis) 10-Year Treasury (left axis) 10-Year Swap (left axis)
top related