3.1.1 Household Debt as a Percent of Disposable Personal

0

40

80

120

160

0

40

80

120

160

1995 1998 2001 2004 2007 2010 2013 2016 2019

3.1.1 Household Debt as a Percent of Disposable Personal Income

Percent PercentAs Of: 2021 Q2

Source: BEA, Federal

Reserve, Haver AnalyticsNote: Other Household Credit includes

debts of both households and nonprofits.

Other Household CreditConsumer CreditMortgages

3.1.2 Household Personal Savings Rate

Percent PercentAs Of: Sep-2021

Note: Ratio of personal saving to

disposable personal income.Source: BEA, FRED

0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

2015 2016 2017 2018 2019 2020 2021

1990–Present

Average

3.1.3 Household Debt Service Ratio


Note: Ratio of debt service payments to

disposable personal income. Seasonally

adjusted. Gray bars signify NBER recessions.

Source: Federal Reserve,

Haver Analytics

6

8

10

12

14

6

8

10

12

14

1990 1994 1998 2002 2006 2010 2014 2018

40

50

60

70

80

40

50

60

70

80

1990 1994 1998 2002 2006 2010 2014 2018

1990–Present

Average

3.1.4 Owners’ Equity as Share of Household Real EstatePercent Percent


Haver Analytics

As Of: 2021 Q2

Note: Gray bars signify NBER recessions.

0

250

500

750

1000

1250

1500

1750

0

250

500

750

1000

1250

1500

1750

2003 2006 2009 2012 2015 2018 2021

3.1.5 Components of Consumer Credit

Billions of US$ Billions of US$As Of: 2021 Q3

Source: FRBNY Consumer Credit

Panel/Equifax, Haver Analytics

Auto LoansCredit Card Debt

Student Loans

Other Household Debt

Note: Other includes consumer finance and

retail loans. Gray bars signify NBER recessions.

0

2

4

6

8

10

0

2

4

6

8

10

Mar:2020 Jun:2020 Sep:2020 Dec:2020 Mar:2021 Jun:2021 Sep:2021

Nonbanks

Banks

Total

3.1.6 Percentage of Mortgages in ForbearancePercent Percent

Source: Mortgage Bankers Association

As Of: 26-Sep-2021

0

4

8

12

16

0

4

8

12

16

2003 2006 2009 2012 2015 2018 2021

3.1.7 Transition to Delinquency (30+ Days) by Loan Type


Source: FRBNY Consumer Credit

Panel/Equifax, Haver Analytics

Student Loans

Auto Loans

Note: Four-quarter moving sum. Student loan

data are not reported prior to 2004 due to uneven

reporting. Other includes consumer finance and

retail loans. Gray bars signify NBER recessions.

Credit Card Debt

Other Household Debt

20

30

40

50

60

20

30

40

50

60

1980 1985 1990 1995 2000 2005 2010 2015 2020

3.2.1.1 Nonfinancial Corporate Credit as Percent of GDP

Percent Percent


Haver Analytics

As Of: 2021 Q2

Note: Gray bars signify NBER recessions.

3.2.1.2 Corporate Leverage: Debt / EBITDARatio Ratio

Source: Bloomberg, L.P.

Note: Ratio of debt-to-EBITDA for companies included

in Bloomberg Barclays Investment Grade and High-

Yield Indices. Gray bars signify NBER recessions.

As Of: 2021 Q2

2

3

4

5

6

2

3

4

5

6

2000 2005 2010 2015 2020

Investment Grade

High-Yield

3.2.1.3 Interest Coverage RatiosRatio Ratio


Note: Ratio of earnings-to-interest expenses for companies

included in Bloomberg Barclays Investment Grade and High-

Yield Indices. Gray bars signify NBER recessions.

As Of: 2021 Q2

0

2

4

6

8

10

0

2

4

6

8

10

2000 2005 2010 2015 2020

Investment Grade

High-Yield

3.2.1.4 Nonfinancial Corporations Liquid AssetsPercent of Total Assets Percent of Total Assets


Haver Analytics

Note: Liquid assets includes foreign deposits, checkable deposits and

currency, time and savings deposits, money market fund shares,

security repurchase agreements, debt securities, and mutual fund

shares. Gray bars signify NBER recessions.

As Of: 2021 Q2

2

3

4

5

6

7

8

9

2

3

4

5

6

7

8

9

1980 1985 1990 1995 2000 2005 2010 2015 2020

0

4

8

12

16

20

0

40

80

120

160

200

2007 2009 2011 2013 2015 2017 2019 2021

Default Rate (right axis)

3.2.1.5 U.S. Corporate DefaultsBillions of US$ Percent

Source: Moody's

Investors Service, OFR

As Of: 2021 Q3

Total Defaulted Debt

(left axis)

Note: Issuer weighted 12-month trailing default

rate for speculative grade U.S. corporates.

-50

-25

0

25

50

75

100

-50

-25

0

25

50

75

100

1992 1996 2000 2004 2008 2012 2016 2020

Ea

sin

g

Tig

hte

nin

g

Ea

sin

g

T

igh

ten

ing

Large and Middle-Market Firms

Small Firms

3.2.1.6 Bank Business Lending Standards

Percent Percent

Source: Federal Reserve Senior

Loan Officer Opinion Survey

Note: Represents net percentage of banks reporting

tightening standards for C&I loans. Large and middle-

market firms are those with annual sales of $50 million

or more. Gray bars signify NBER recessions.

As Of: 2021 Q3

0

2

4

6

8

10

0

2

4

6

8

10

2005 2007 2009 2011 2013 2015 2017 2019 2021

Hu

nd

red

s

3.2.1.7 Investment Grade Corporate Bond Spreads

Source: ICE Data Indices,

ICE BofA US, FRED

As Of: 30-Sep-2021Percent Percent

Note: The ICE BofA Option-Adjusted Spreads (OASs) are the

calculated spreads between a computed OAS index of all

bonds in a given rating category and a spot Treasury curve.

BBB US Corporate Index

Single-A US Corporate Index

AA US Corporate Index

0

5

10

15

20

25

0

5

10

15

20

25

2005 2007 2009 2011 2013 2015 2017 2019 2021

3.2.1.8 High-Yield Corporate Bond Spreads

Source: ICE Data Indices,

ICE BofA US, FRED


Note: The ICE BofA Option-Adjusted Spreads (OASs) are the

calculated spreads between a computed OAS index of all

bonds in a given rating category and a spot Treasury curve.

Single-B US Corporate Index

BB US Corporate Index

Trillions of US$

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

2006 2008 2010 2012 2014 2016 2018 2020

Investment GradeHigh-Yield

3.2.1.9 Gross Issuance of Corporate BondsTrillions of US$

Source: Refinitiv,

SIFMA

As Of: Sep-2021

Note: Includes all non-convertible corporate debt, MTNs, and

Yankee bonds, but excludes all issues with maturities of one

year or less and CDs. 2021 figures are through September.

2.5

5.0

7.5

10.0

12.5

2.5

5.0

7.5

10.0

12.5

2011 2013 2015 2017 2019 2021

Hu

nd

red

s

Hu

nd

red

s

3.2.1.10 Leveraged Loan Spreads

Source: S&P LCD


Note: Spread-to-maturity for syndicated loans

included in the S&P LCD Leveraged Loan Index.

Billions of US$

0

150

300

450

600

750

0

150

300

450

600

750

2006 2008 2010 2012 2014 2016 2018 2020

Institutional

3.2.1.11 Leveraged Loan IssuanceBillions of US$

Source: S&P LCD

As Of: 30-Sep-2021

Pro-Rata

Note: 2021 figures are through September.

Percent As Of: 30-Sep-2021

3.2.3.1 Performance of U.S. Stock Indices

-50

-25

0

25

50

75

100

-50

-25

0

25

50

75

100

Jan:2020 Jul:2020 Jan:2021 Jul:2021

Percent

Source: Bloomberg, L.P. Note: Indexed to 31-Dec-2019.

Nasdaq Composite

S&P 500

Russell 2000

P/E As Of: 30-Sep-2021

3.2.3.2 S&P 500 Forward Price-to-Earnings

10

15

20

25

30

10

15

20

25

30

2017 2018 2019 2020 2021

10-Year Average

Forward Price-to-Earnings

P/E


0

20

40

60

80

100

0

20

40

60

80

100

2006 2008 2010 2012 2014 2016 2018 2020

3.2.3.3 S&P 500 VolatilityIndex Index


As Of: 24-Sep-2021

Implied VolatilityRealized Volatility

Note: 30-day realized and implied volatility.

Billions of US$

0

50

100

150

200

250

300

0

20

40

60

80

100

120

2016 2017 2018 2019 2020 2021

Deal Value (left axis)

3.2.3.4 SPAC IssuancesCount


As Of: 2021 Q3

Deal Count (right axis)

YTD Since YE 2019 5 Year (Annualized)

U.S. Indices

S&P 500 14.7% 33.3% 14.7%

Nasdaq Composite 12.1% 61.0% 22.1%

Russell 2000 11.6% 32.1% 12.0%

Other Major Indices

Topix 12.5% 17.9% 8.9%

FTSE 100 9.7% -6.0% 0.5%

Euro Stoxx 50 13.9% 8.1% 6.2%

DAX 11.2% 15.2% 7.7%

Emerging Markets

MSCI Emerging Market Index -3.0% 12.4% 6.8%

Brazil (Bovespa) -6.8% -4.0% 13.7%

India (S&P BSE Sensex) 23.8% 43.3% 16.2%

MSCI China -17.4% 4.6% 7.3%

Onshore China (CSI 300) -6.6% 18.8% 8.4%

Taiwan (TAIEX) 14.9% 41.2% 13.1%

South Korea (KOSPI) 7.2% 39.6% 8.5%

3.2.3.5 Returns in Selected Equities Indices


As Of: 30-Sep-2021

-20

-15

-10

-5

0

5

10

-20

-15

-10

-5

0

5

10

1980 1990 2000 2010 2020 2030

3.3.1.1 Federal Budget Surplus/DeficitPercent of GDP Percent of GDP

Note: Data for fiscal years. Years after

2020 are projected as of July 2021.Source: CBO, Haver Analytics

Historical

Projected

0

25

50

75

100

125

150

0

25

50

75

100

125

150

1940 1950 1960 1970 1980 1990 2000 2010 2020 2030

CBO July 2021

Baseline ProjectionHistorical

3.3.1.2 Federal Debt Held by the PublicPercent of GDP Percent of GDP

Note: Data for fiscal years.

Years after 2020 are projected.Source: CBO, Haver Analytics

Billions of US$

3.3.1.3 Net Issuance of Treasury SecuritiesBillions of US$

Source: U.S. Department of the

Treasury, Bureau of the Fiscal

Service, SIFMA, Haver Analytics

As Of: 2021 Q3

Note: Includes marketable

securities only.

-1000

0

1000

2000

3000

-1000

0

1000

2000

3000

2015 2016 2017 2018 2019 2020 2021

Bills

Notes and Bonds

Net

Billions of US$ As Of: 29-Sep-2021

3.3.1.4 Treasury General Account Balance

0

250

500

750

1000

1250

1500

1750

2000

0

250

500

750

1000

1250

1500

1750

2000

2015 2016 2017 2018 2019 2020 2021

Billions of US$

Source: Federal Reserve, Haver Analytics


3.3.1.5 U.S. Treasury Yields

Source: U.S. Department of the Treasury

0

1

2

3

4

5

0

1

2

3

4

5

2010 2012 2014 2016 2018 2020

Percent

10-Year

2-Year


3.3.1.6 10-Year TIPS Yield and Breakeven

Source: U.S. Department

of the Treasury

-3

-2

-1

0

1

2

3

4

-3

-2

-1

0

1

2

3

4

2016 2017 2018 2019 2020 2021

Percent

10-Year Breakeven

Treasury Inflation-

Protected Securities

Note: Breakeven represents the difference

between the nominal and TIPS yield.

0

10

20

30

40

0

10

20

30

40

Jan:2020 Jun:2020 Nov:2020 Apr:2021 Sep:2021

3.3.1.7 Intraday Volatility for 10-Year Treasury YieldsBasis Points Basis Points


As Of: 24-Sep-2021

99th Percentile

95th Percentile

Intraday Volatility

Note: Intraday volatility calculated as daily high yield

minus daily low yield on 10-year Treasury notes.

Percentiles based on January 2005–September 2021.

Billions of US$

0

100

200

300

400

500

600

0

100

200

300

400

500

600

2006 2008 2010 2012 2014 2016 2018 2020

RevenueGeneral Obligation

3.3.2.1 Municipal Bond IssuanceBillions of US$

Source: Refinitiv,

SIFMA

As Of: Sep-2021

Note: Excludes maturities of less than 13

months. 2021 figures are through September.

-50

-40

-30

-20

-10

0

10

20

30

-50

-40

-30

-20

-10

0

10

20

30

2010 2012 2014 2016 2018 2020

3.3.2.2 Monthly Municipal Bond Mutual Fund FlowsBillions of US$ Billions of US$

Source: ICI, Haver Analytics

As Of: Sep-2021

Note: Net fund flows.

3.3.2.3 Municipal Bonds to U.S. Treasuries

Source: Municipal Market

Advisors, Bloomberg, L.P.

0

50

100

150

200

250

300

350

400

0

50

100

150

200

250

300

350

400

2015 2016 2017 2018 2019 2020 2021

Percent PercentAs Of: 30-Sep-2021

Note: Percentage of municipal yields against equivalent Treasury

yields. Bloomberg's BVAL AAA Benchmark replaced MMA as the

provider for municipal yields on September 1, 2010.

2005–Present Average

10-Year AAA

-10

-5

0

5

10

15

20

25

-10

-5

0

5

10

15

20

25

1998 2001 2004 2007 2010 2013 2016 2019

3.3.2.4 Changes in State and Local Government Tax Revenues

Percent Percent

Source: U.S. Census

Bureau, Haver Analytics

Note: Data represents year-over-year percentage

change. Revenue measures includes revenues from

property, individual income, corporate income, and sales

taxes. Gray bars signify NBER recessions.

As Of: 2021 Q2

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

2004 2008 2012 2016 2020

3.4.1.1 CP Outstanding by Issuer TypeTrillions of US$ Trillions of US$As Of: Sep-2021

Domestic Financial

Domestic Nonfinancial

Foreign Financial

ABCP

Other

Foreign Nonfinancial


Haver Analytics

Note: Not seasonally adjusted. Domestic includes

CP issued in the U.S. by entities with foreign parents.

0

20

40

60

80

100

0

20

40

60

80

100

1990 1994 1998 2002 2006 2010 2014 2018

Money Market Funds

3.4.1.2 CP InvestorsPercent PercentAs Of: 2021 Q2


Nonfinancial Corporates

State & Local Governments

Other

Funding Corporations

-1

0

1

2

3

4

-1

0

1

2

3

4

Jan:2020 Jul:2020 Jan:2021 Jul:2021

3.4.1.3 3-Month CP Interest Rate Spreads

Percent PercentAs Of: 30-Sep-2021

A2/P2-Rated Nonfinancial

AA-Rated ABCP

AA-Rated Financial

AA-Rated Nonfinancial


Bloomberg, L.P.

Note: Spread to 3-Month

Overnight Index Swap (OIS) rate.

-30

-20

-10

0

10

20

30

-30

-20

-10

0

10

20

30

2007 2009 2011 2013 2015 2017 2019 2021

3.4.1.4 Commercial Bank Deposit Growth

Percent PercentAs Of: Sep-2021

Total Deposits

Source: Federal Reserve Note: Year-over-year percentage change.

Large Time Deposits

0

300

600

900

1200

1500

0

300

600

900

1200

1500

Apr:2018 Apr:2019 Apr:2020 Apr:2021

SOFR

TGCR

3.4.2.1 Repo VolumesBillions of US$ Billions of US$As Of: 30-Sep-2021

Source: FRBNYNote: TGCR = Tri-Party General Collateral Rate;

SOFR = Secured Overnight Financing Rate.

Billions of US$

0

100

200

300

400

500

600

700

0

100

200

300

400

500

600

700

Jul:2019 Jan:2020 Jul:2020 Jan:2021 Jul:2021

AggregateRepo LendingRepo Borrowing

3.4.2.2 Sponsored Repo ActivityBillions of US$

Source: DTCC

As Of: Sep-2021

Note: Average daily volume. Breakdown of repo lending

and repo borrowing unavailable prior to April 2020.

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

2014 2015 2016 2017 2018 2019 2020 2021

3.4.2.3 Primary Dealer Repo AgreementsTrillions of US$ Trillions of US$As Of: 29-Sep-2021

Source: FRBNY, Haver Analytics

Overnight/ContinuingTerm

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

2014 2015 2016 2017 2018 2019 2020 2021

3.4.2.4 Primary Dealer Repo CollateralTrillions of US$ Trillions of US$


As Of: 29-Sep-2021

Equities

Other

Corporates

Agency MBS

Agency Debt

U.S. Treasuries

Note: U.S. Treasuries includes

TIPS. Other includes ABS.

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

2014 2015 2016 2017 2018 2019 2020 2021

3.4.2.5 Primary Dealer Reverse Repo AgreementsTrillions of US$ Trillions of US$As Of: 29-Sep-2021


Overnight/ContinuingTerm

Billions of US$ As Of: 2021 Q1

3.4.2.6 Repo Borrowing of Qualifying Hedge Funds

250

500

750

1000

1250

1500

250

500

750

1000

1250

1500

2014 2015 2016 2017 2018 2019 2020

Billions of US$

Source: SEC Form PF

Statistics Report

Note: Repo borrowing as reported on

Question 43 of Form PF.

0

1

2

3

4

5

6

0

1

2

3

4

5

6

Jan:2019 Jul:2019 Jan:2020 Jul:2020 Jan:2021 Jul:2021

SOFR

TGCR

3.4.2.7 Repo RatesPercent Percent

Source: FRBNY

As Of: 30-Sep-2021

Note: TGCR = Tri-party General Collateral Rate;

SOFR = Secured Overnight Financing Rate.

0

300

600

900

1200

1500

1800

0

300

600

900

1200

1500

1800

2017 2018 2019 2020 2021

3.4.2.8 ON-RRP Participation

Billions of US$ Billions of US$

Source: FRBNY

As Of: 30-Sep-2021

Note: Overnight Reverse

Repurchase Agreement Facility.

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

2015 2016 2017 2018 2019 2020 2021

3.4.2.9 Value of Securities on LoanTrillions of US$ Trillions of US$

Source: Markit

As Of: 30-Sep-2021

Note: Data is based on a

survey of agent-based lenders.

Foreign MarketsU.S. Market

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

2015 2016 2017 2018 2019 2020 2021

3.4.2.10 Value of U.S. Securities on LoanTrillions of US$ Trillions of US$

Source: Markit

As Of: 30-Sep-2021



EquitiesCorporate Bonds

Government Debt

OtherETFs

25

30

35

40

45

50

25

30

35

40

45

50

2015 2016 2017 2018 2019 2020 2021

3.4.2.11 Securities Lending Cash CollateralPercent Percent

Source: Markit

As Of: 30-Sep-2021



0

50

100

150

200

250

300

0.0

0.4

0.8

1.2

1.6

2.0

2.4

2005 2007 2009 2011 2013 2015 2017 2019 2021

3.4.2.12 U.S. Securities Lending Cash ReinvestmentTrillions of US$ Days

Source: The Risk

Management Association

Mean WAM (right axis)

Median WAM (right axis)

As Of: 2021 Q2



Total Cash Reinvestment

(left axis)

0

20

40

60

80

100

0

20

40

60

80

100

2012 2014 2016 2018 2020

3.4.2.13 U.S. Securities Lending Cash Reinvestment Collateral

Percent of Total Percent of Total

Source: The Risk Management

Association, OFR

As Of: 2021 Q2

Note: Nongovernment repos have collateral of whole

loans, equity, and corporate debt. Other includes ABS,

funding agreements, other funds, and other vehicles.

Data is based on a survey of agent-based lenders.

Nongovernment Repo

Corporate Securities

Other

Government Repo

Money Market Funds

Commercial Paper

Bank Deposits

0

1

2

3

4

5

6

0

1

2

3

4

5

6

2016 2017 2018 2019 2020 2021

3.4.3.1 U.S. Futures Markets VolumeBillions of Contracts Billions of Contracts

Source: CFTC

As Of: 2021 Q3

Note: 2016–2020 figures represent full year

volumes. 2021 figure represents year-to-

date volume through September 30, 2021.

0

5

10

15

20

25

30

0

5

10

15

20

25

30

2016 2017 2018 2019 2020 2021

3.4.3.2 U.S. Futures Markets Open InterestTrillions of US$ Trillions of US$

Source: CFTC

As Of: 30-Sep-2021

Note: Open interest as of

September 30 for all years.

0

10

20

30

40

50

60

70

0

10

20

30

40

50

60

70

Gold Crude Oil S&P 500 Corn Silver Soybean

2021 Range

9/30/2021

5-Year Average

3.4.3.3 Futures 60-Day Historical VolatilityPercent Percent


As Of: 30-Sep-2021

0

1

2

3

4

5

0

1

2

3

4

5

2016 2017 2018 2019 2020 2021

CurrenciesEnergyMetalsStock IndicesTreasuries

3.4.3.4 Micro Futures Contracts Open InterestBillions of US$ Billions of US$

Source: CFTC

As Of: 30-Sep-2021

Note: Open interest as of September 30 for all years.

3.4.3.5 Futures Transaction Volume – Leaderboard

Source: CFTC

Futures ContractNumber of

Contracts (YTD)

1. 3-Month Eurodollars 439 Million

2. 10-Year Treasury Notes 357 Million

3. E-Mini S&P 500 Stock Index 300 Million

4. 5-Year Treasury Notes 209 Million

5. WTI Crude Oil 183 Million

6. Micro E-Mini NASDAQ 100 174 Million

7. Micro E-Mini S&P 500 Index 161 Million

8. E-mini NASDAQ 100 Index 103 Million

9. U.S. Treasury Bonds 86 Million

10. 2-Year U.S. Treasury Notes 82 Million

Note: Total futures volume through September 30, 2021.

12/29/2015 12/29/2016 12/29/2017 12/29/2018 12/29/2019 12/29/2020

-1000

-750

-500

-250

0

250

500

750

1000

-1000

-750

-500

-250

0

250

500

750

1000

2016 2017 2018 2019 2020 2021


3.4.3.6 U.S. Treasury Futures Open Interest: Asset Manager

Billions of US$

Source: CFTC,

Haver Analytics

Note: Note: Net notional amount of open interest. 10-Year

includes 10-Year and 10-Year Ultra Treasury Note Futures; 30-

Year includes Treasury Bond and Ultra Treasury Bond Futures.

5-Year2-Year

30-Year10-Year

12

/29/2

015

1/2

9/2

016

2/2

9/2

016

3/3

1/2

016

4/3

0/2

016

5/3

1/2

016

6/3

0/2

016

7/3

1/2

016

8/3

1/2

016

9/3

0/2

016

10

/31/2

016

11

/30/2

016

12

/31/2

016

1/3

1/2

017

2/2

8/2

017

3/3

1/2

017

4/3

0/2

017

5/3

1/2

017

6/3

0/2

017

7/3

1/2

017

8/3

1/2

017

9/3

0/2

017

10

/31/2

017

11

/30/2

017

12

/31/2

017

1/3

1/2

018

2/2

8/2

018

3/3

1/2

018

4/3

0/2

018

5/3

1/2

018

6/3

0/2

018

7/3

1/2

018

8/3

1/2

018

9/3

0/2

018

10

/31/2

018

11

/30/2

018

12

/31/2

018

1/3

1/2

019

2/2

8/2

019

3/3

1/2

019

4/3

0/2

019

5/3

1/2

019

6/3

0/2

019

7/3

1/2

019

8/3

1/2

019

9/3

0/2

019

10

/31/2

019

11

/30/2

019

12

/31/2

019

1/3

1/2

020

2/2

9/2

020

3/3

1/2

020

4/3

0/2

020

5/3

1/2

020

6/3

0/2

020

7/3

1/2

020

8/3

1/2

020

9/3

0/2

020

10

/31/2

020

11

/30/2

020

12

/31/2

020

1/3

1/2

021

2/2

8/2

021

3/3

1/2

021

4/3

0/2

021

5/3

1/2

021

6/3

0/2

021

7/3

1/2

021

8/3

1/2

021

-1000

-750

-500

-250

0

250

500

750

1000

-1000

-750

-500

-250

0

250

500

750

1000

2016 2017 2018 2019 2020 2021


3.4.3.7 U.S. Treasury Futures Open Interest: Leveraged Funds

Billions of US$

Note: Net notional amount of open interest. 10-Year includes

10-Year and 10-Year Ultra Treasury Note Futures; 30-Year

includes Treasury Bond and Ultra Treasury Bond Futures.

5-Year2-Year

30-Year10-Year

Source: CFTC,

Haver Analytics

0

15

30

45

60

75

90


3.4.3.8 CME Bitcoin Futures Open Interest Thousands of Bitcoin


As Of: 30-Sep-2021

Note: Includes Bitcoin Futures and Micro Bitcoin

Futures contracts. Open interest converted into Bitcoin

equivalents using respective futures contract units.

Thousands of Bitcoin

0

20

40

60

80

100

0

20

40

60

80

100


3.4.3.9 Bitcoin Futures and Reference Index Volume

Thousands of Bitcoin Thousands of Bitcoin

Source: Bloomberg L.P.,

Bitcoinity.org

As Of: Sep-2021

CME CF Bitcoin Real-Time Index

CME Futures Volume

Note: Average daily volume. Incudes CME Bitcoin and Micro

Bitcoin volumes converted into bitcoin equivalents. Spot volumes

are Bitcoin/USD pairs from underlying spot exchanges referenced

by the CME CF Bitcoin Real-Time Index.

0

5

10

15

20

25

0

5

10

15

20

25

2008 2010 2012 2014 2016 2018 2020

FuturesOptions

IndexSwaps

3.4.3.10 Growth of USD ESG and Emissions Derivatives Markets


Source: CFTC

As Of: 30-Sep-2021

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

Dec:2019 Dec:2020 Mar:2021 Jun:2021 Sep:2021

3.4.3.11 Growth of the ESG Indices Futures Markets


Source: CFTC

As Of: 30-Sep-2021

Millions of Contracts As Of: Sep-2021

3.4.3.12 Exchange-Traded Equity Option Volume

0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35


Millions of Contracts

Source: Options Clearing Corp.

Note: Average daily volume. Includes

FLEX, excludes index and ETF options.

Put Options

Call Options

0

10

20

30

40

50

60

0

10

20

30

40

50

60

2016 2017 2018 2019 2020 2021

3.4.3.13 Options on Futures: Open InterestTrillions of US$ Trillions of US$

Source: CFTC

As Of: Sep-2021

0

250

500

750

1000

1250

1500

0

250

500

750

1000

1250

1500

2015 2016 2017 2018 2019 2020 2021

3.4.3.14 Options on Futures: VolumeMillions of Contracts Millions of Contracts

Source: CFTC

Other Options

Eurodollar Options

As Of: Sep-2021

YTD

10

20

30

40

50

60

70

10

20

30

40

50

60

70C

orn

Wheat

So

yb

ea

n

Su

gar

Co

tto

n

Le

an

Ho

gs

WT

I

Co

pp

er

Gold

Silv

er

9/30/2021

5 Year Average 1 Year Range

3.4.3.15 3-Month Implied Volatility for Select Commodities Options

Percent Percent


As Of: 30-Sep-2021

Trillions of US$

0

10

20

30

40

0

200

400

600

800

1000

2000 2003 2006 2009 2012 2015 2018 2021

Notional Amounts

(left axis)

3.4.3.16 Global OTC Positions

Trillions of US$

Source: BIS, Haver Analytics

As Of: 2021 Q2

Gross Market Values

(right axis)

Gross Credit Exposures

(right axis)

Trillions of US$

0

2

4

6

8

10

12

0

2

4

6

8

10

12

2000 2003 2006 2009 2012 2015 2018 2021

3.4.3.17 Global OTC Equity Derivatives Outstanding

Trillions of US$

Source: BIS, Haver Analytics

As Of: 2021 Q2

Note: Gross notional amounts outstanding.

Other Equities

U.S. Equities

0

3

6

9

12

15

0.0

0.2

0.4

0.6

0.8

1.0

2015 2016 2017 2018 2019 2020 2021

3.4.3.18 Derivatives Notional VolumeTrillions of US$ Trillions of US$

Source: CFTC, ISDA

As Of: 24-Sep-2021

Note: 12-week moving-averages. Excludes security-

based swaps. ISDA adjusted numbers since Nov 2020.

Credit Default Swaps

(left axis)

Interest Rate Swaps

(right axis)

0

100

200

300

400

500

0

2

4

6

8

10

2014 2015 2016 2017 2018 2019 2020 2021

3.4.3.19 Derivatives Notional Amount OutstandingTrillions of US$ Trillions of US$

Source: CFTC

Interest Rate Swaps

(right axis)

Index CDS

(left axis)

As Of: 24-Sep-2021

Note: Weekly Swaps Report not issued between Dec. 22,

2018 and Jan. 26, 2019 due to a lapse in government

funding. Excludes security-based swaps.

0

100

200

300

400

500

600

700

0

100

200

300

400

500

600

700

2016 2017 2018 2019 2020 2021

3.4.3.20 Commodity Swaps: Open InterestBillions of US$ Billions of US$

Source: CFTC

As Of: Sep-2021

Note: Estimated notional value.

Figures as of end of September.

Agricultural

Energy

Soft

Metals

0

100

200

300

400

500

600

700

0

100

200

300

400

500

600

700

2016 2017 2018 2019 2020 2021

3.4.3.21 Commodity Index Swaps Gross Notional Value


Source: CFTC

As Of: Sep-2021

Note: Estimated notional value.

Figures as of end of September.

0

100

200

300

400

500

0

100

200

300

400

500

2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

3.4.3.22 Customer Margin Funds Held at FCMsBillions of US$ Billions of US$

Source: CFTC

Foreign FuturesSwaps

U.S. Futures

As Of: Sep-2021

Note: Includes CFTC registered FCMs.

3.4.3.23 FCM Concentration: Customer Futures Balances

Source: CFTC


Note: Represents total amount of funds that an FCM is

required to segregate on behalf of customers who are

trading futures and options on futures at US exchanges.

0

25

50

75

100

0

25

50

75

100

2014 2015 2016 2017 2018 2019 2020 2021

Top 5Top 3 Top 10

3.4.3.24 FCM Concentration: Customer Swap Balances

Source: CFTC

0

25

50

75

100

0

25

50

75

100

2014 2015 2016 2017 2018 2019 2020 2021

Percent Percent

As Of: 2021 Q3

Note: Represents the amount of funds an FCM is required

to segregate for customers who trade cleared swaps.

Top 5Top 3 Top 10

3.4.3.25 Concentration of Swap Positions for Registered SDs

Source: CFTC

0

10

20

30

40

50

60

70

0

10

20

30

40

50

60

70

Q32014

Q32015

Q32016

Q32017

Q32018

Q32019

Q32020

Q32021


Note: Positions between two Swap Dealers (SDs) in the same

category (e.g., Top 3 or Top 5) are double-counted (i.e., a trade

between the #1 SD and #3 SD would be counted twice).

Top 5Top 3 Top 10

Billions of US$ As Of: Sep-2021

3.4.3.26 SEF Trading Volumes: Interest Rate Swaps

Source: CFTC

Percent

Note: Average daily notional volume. Data have

been adjusted to correct a DDR data issue.

30

40

50

60

70

80

0

250

500

750

1000

1250

Jan:18 Jan:19 Jan:20 Jan:21

Share of Total Volume

(right axis)

On-SEF Interest Rate

Swap Volume (left axis)

Billions of US$ As Of: Sep-2021

3.4.3.27 SEF Trading Volumes: CDS Index

Source: CFTC

50

60

70

80

90

100

0

20

40

60

80

100

Jan:18 Jan:19 Jan:20 Jan:21

On-SEF CDS Index

Volume (left axis)

Share of Total Volume

right axis)

Percent

Note: Average daily notional volume. Excludes security-based

swaps. Data have been adjusted to correct a DDR data issue.

50

100

150

200

250

50

100

150

200

250

2016 2017 2018 2019 2020

3.4.4.1 Relative Performance of Commodity IndicesIndex Index

Source: S&P GSCI, Haver Analytics

Industrial Metals

Precious Metals

As Of: 24-Sep-2021

Agriculture & Livestock

Energy

Note: S&P GSCI Spot Indices.

Indexed to 100 as of January 1, 2016.

60

80

100

120

140

160

60

80

100

120

140

160

Sep:2020 Dec:2020 Mar:2021 Jun:2021 Sep:2021

3.4.4.2 Relative Performance of Precious MetalsIndex Index


As Of: 30-Sep-2021

Silver

Gold

Palladium

Platinum

Note: Indexed to 100 as of

September 30, 2020.

60

80

100

120

140

160

180

60

80

100

120

140

160

180

Jan:2020 Jul:2020 Jan:2021 Jul:2021

3.4.4.3 Relative Performance of Industrial MetalsIndex IndexAs Of: 30-Sep-2021

Aluminum

Copper

Zinc

Nickel

Source: S&P GSCI, Haver AnalyticsNote: S&P GSCI Spot Indices.


50

75

100

125

150

175

200

50

75

100

125

150

175

200

Jan:2020 Jul:2020 Jan:2021 Jul:2021

3.4.4.4 Relative Performance of Agriculture ProductsIndex Index

Source: S&P GSCI, Haver Analytics

As Of: 24-Sep-2021

Cotton

Wheat

Live Cattle

Coffee

Lean Hogs

Corn

Soybeans

Note: S&P GSCI Spot Indices.



3.4.4.5 U.S. Drought Conditions

0

10

20

30

40

50

60

70

80

0

10

20

30

40

50

60

70

80

2016 2017 2018 2019 2020 2021

Percent

Source: University of Nebraska-Lincoln

Moderate Drought

Abnormally Dry

Severe Drought Exceptional Drought

Extreme Drought

Note: Limited to Continental U.S.

0

500

1000

1500

2000

0

500

1000

1500

2000

Jan:2019 Jul:2019 Dec:2019 Jul:2020 Dec:2020 Jun:2021

3.4.4.6 CME Lumber Futures

Contract Price, US$ Contract Price, US$

Source: CME, Haver Analytics

As Of: 30-Sep-2021

Note: US$ per 1,000 Board Feed.

Millions of Barrels As Of: Aug-2021

3.4.4.7 U.S. Crude Oil Production & Inventories

4

6

8

10

12

14

16

900

1000

1100

1200

1300

1400

1500

2010 2012 2014 2016 2018 2020

Millions of Barrels

Source: EIA, Haver Analytics

Note: Crude oil production presented

as millions of barrels per day.

Crude Oil Production

(right axis)

Crude Oil Inventories

(left axis)

Price Per Barrel ($)

3.4.4.8 WTI Crude Oil Futures Curve

30

40

50

60

70

80

30

40

50

60

70

80

1 7 13 19 25 31 37 43 49 55

Price Per Barrel ($)

Source: Bloomberg, L.P.Note: CME WTI Crude Oil Futures. X axis

represents the number of months until expiry.

9/30/2020

9/30/2019

9/30/2021

US$ Per MMBtu

3.4.4.9 Natural Gas Futures Curve

1.5

2.5

3.5

4.5

5.5

6.5

1.5

2.5

3.5

4.5

5.5

6.5

1 6 11 16 21 26 31 36 41 46 51 56

9/30/2019

US$ Per MMBtu


9/30/2020

9/30/2021

Note: NYMEX Henry Hub Natural Gas Futures. X

axis represents the number of months until expiry.

0

5

10

15

20

25

0

5

10

15

20

25

Sep:2020 Dec:2020 Mar:2021 Jun:2021 Sep:2021

3.4.4.10 U.S. Natural Gas Prices

Contract Price, US$ Contract Price, US$


As Of: 30-Sep-2021

Front Month Future

Spot Price

0

5

10

15

20

25

30

0

5

10

15

20

25

30

2000 2003 2006 2009 2012 2015 2018 2021

3.4.4.11 European & U.S. Natural Gas Prices

US$ Per MMBtu US$ Per MMBtu

Source: World Bank Group, Bloomberg, L.P.

As Of: Sep-2021

Europe

United States

Index As Of: Aug-2021

3.4.5.1 House Prices by Census Division

Source: FHFA

0

100

200

300

400

500

600

0

100

200

300

400

500

600

1991 1995 1999 2003 2007 2011 2015 2019

Index

Mountain

Pacific

West South Central

South Atlantic

West North Central

Total U.S.

New England

East South Central

Middle Atlantic

East North Central

Note: Purchase-only, seasonally adjusted, nominal,

constant-quality price index. Indexed to January 1991.

3.0

4.0

5.0

6.0

7.0

8.0

0.0

0.3

0.6

0.9

1.2

1.5

2005 2008 2011 2014 2017 2020

Existing Home Sales (right axis)

New Home Sales (left axis)

3.4.5.2 Home SalesMillions of Units Millions of Units

Source: NAR, Census Bureau,

Haver Analytics

As Of: Sep-2021

Note: Series are seasonally adjusted annual rates and

are expressed in millions of single-family housing units.

-20

-10

0

10

20

301/1/2000 1/1/2003 1/1/2006 1/1/2009 1/1/2012 1/1/2015 1/1/2018 1/1/2021

0.0

0.5

1.0

1.5

2.0

2.5

2000 2003 2006 2009 2012 2015 2018 2021

House Price Changes(right axis)

3.4.5.3 New Housing Starts and Price ChangesMillions of Housing Units Percentage Change

Source: U.S. Census Bureau,

FHFA, Haver Analytics

As Of: Aug-2021

Note: Data are seasonally adjusted annual rates. House

Price Changes series is the year-over-year percentage

change of the FHFA National House Price Index.

Housing Starts(left axis)

5.0

5.5

6.0

6.5

7.0

7.5

8.0

8.5

62

63

64

65

66

67

68

69

2015 2016 2017 2018 2019 2020 2021

Homeownership Rate(left axis)

Rental Vacancy Rate(right axis)

3.4.5.4 Homeownership and Vacancy RatesPercent Percent

Source: U.S. Census Bureau, Current

Population Survey/Housing Vacancy Survey

As Of: 2021 Q3

Note: Data are non-seasonally

adjusted quarterly percentages.

0

1

2

3

4

5

6

7

8

0

1

2

3

4

5

6

7

8

2005 2007 2009 2011 2013 2015 2017 2019 2021

30-Year Fixed Rate

Mortgage Average

Spread to 10-Year

Treasury

3.4.5.5 30-Year Fixed Rate Mortgage Rate and Spread

Percent Percent

Source: Bankrate.com, Bloomberg, L.P.

As Of: 24-Sep-2021

0

300

600

900

1200

1500

2.5

3.0

3.5

4.0

4.5

5.0

2015 2016 2017 2018 2019 2020 2021

30-Year Mortgage Rate

(left axis)

3.4.5.6 Mortgage Originations and RatesPercent Billions of US$

Source: NMDB®,

Bankrate.com

As Of: 2021 Q1

Refinance (right axis)Purchase (right axis)

Note: Quarterly originations represent all 1-4 family

homes with first-lien, closed-end residential mortgages.

0

20

40

60

80

100

0

20

40

60

80

100

2001 2004 2007 2010 2013 2016 2019

3.4.5.7 Purchase Origination Volume by Credit ScorePercent of Originations Percent of Originations

Source: NMDB®

As Of: 2021 Q2

Note: Based on all-borrower VantageScore 3.0 for first-lien,

closed-end residential purchase mortgages; excludes territories.

<601

601-660

661-780

>780

0

20

40

60

80

100

0

20

40

60

80

100

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

3.4.5.8 Shares of Mortgages by Equity PercentagePercent Percent

Source: NMDB®

As Of: 2021 Q2

Note: Quarterly percentage of all mortgage

loans that are not closed or terminated.

Percentage of mortgages with

20% or more equity

5 to <20%

0 to <5%

<0%

0

1

2

3

4

5

6

0

1

2

3

4

5

6

2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

3.4.5.9 Mortgage DelinquencyAs Of: 2021 Q2Percent Percent

Note: Quarterly percentage of all mortgage

loans that are not closed or terminated.Source: NMDB®

In process of

foreclosure,

bankruptcy or

deed-in-lieu

90 to 180 Days

Past Due30 or 60 Days

Past Due

0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

Mar:2020 Jun:2020 Sep:2020 Dec:2020 Mar:2021 Jun:2021

3.4.5.10 Forbearance Rates by Investor Type

As Of: Aug-2021Percent Percent

Note: Rates are the weekly percentage of servicing

portfolio volume in forbearance by investor type over time.Source: NMDB®

FHA, VA, and RHS

Total

GSE

Other (PLS, Portfolio, etc.)

-10

-5

0

5

10

15

20

25

-10

-5

0

5

10

15

20

25

2012 2014 2016 2018 2020

Case-Shiller Home Price Index

FHFA Home Price Index

B.1 House Price GrowthPercent Percent

Source: S&P CoreLogic Real Estate

Data, FHFA, Haver Analytics

As of: Aug-2021

Note: Year-over-year

percentage change.

0

500

1000

1500

2000

2500

0

500

1000

1500

2000

2500

2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

New Listings

Total Inventory

B.2 Inventory of Homes Listed for SaleThousands Thousands

Source: Redfin, Haver Analytics

As of: Aug-2021

Note: Seasonally adjusted.

80

100

120

140

160

180

200

80

100

120

140

160

180

200

1996 2001 2006 2011 2016 2021

B.3 Price-to-Rent RatiosIndex Index

Source: S&P CoreLogic Real Estate

Data, FHFA, BLS, Haver Analytics

As of: Aug-2021

Note: Seasonally adjusted; indexed

to January 1996. Rental data are

owners’ equivalent rent.

Case-Shiller Home Price Index

FHFA House Price Index

0

20

40

60

80

100

0

20

40

60

80

100

1998 2001 2004 2007 2010 2013 2016 2019

3.4.5.11 Mortgage Originations by ProductPercent of Originations Percent of OriginationsAs Of: 2020 Q4

FHA, VA & RHS

GSE

Private Portfolio

and Securitized

Note: Quarterly data for first-lien,

closed-end residential mortgages.Source: NMDB®

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

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

3.4.5.12 RMBS Issuance

Trillions of US$ Trillions of US$

Source: FHLMC, FNMA, GNMA, NCUA,

FDIC, Bloomberg, L.P., Dealogic,

Thomson Reuters, SIFMA

As Of: Sep-2021

Non-AgencyAgency

Note: 2021 figures are

through September.

YTD

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

Mar:2020 Jul:2020 Nov:2020 Mar:2021 Jul:2021

3.4.5.13 Cumulative MBS Purchases by the Federal Reserve


Source: FRBNY

As Of: 24-Sep-2021

UMBSGNMA

Note: Cumulative purchases beginning in March 2020. Weekly series

are aggregated from daily Agency MBS operations in the TBA pool.

-30

-20

-10

0

10

20

30

-30

-20

-10

0

10

20

30

2005 2008 2011 2014 2017 2020

3.4.6.1 Commercial Property Price GrowthPercent Percent

Source: Real Capital Analytics,

Bloomberg, L.P.

Retail

Industrial

National

As Of: Sep-2021

Note: Year-over-year price change.

Office: Central Business District

Apartment

Office

0

2

4

6

8

10

0

2

4

6

8

10

2005 2007 2009 2011 2013 2015 2017 2019 2021

3.4.6.2 Conduit CMBS Delinquency and Foreclosure Rate

As Of: Sep-2021Percent Percent

Source: JPMorgan, Trepp

Foreclosure /

Real Estate

Owned

60+ Days

Delinquent

Note: 60+ Days Delinquent includes

Foreclosure/Real Estate Owned.

0

2

4

6

8

10

12

0

2

4

6

8

10

12

2001 2004 2007 2010 2013 2016 2019

National Cap Rate

National Cap Rate Spread

3.4.6.3 Average Capitalization Rates and SpreadsPercent Percent

Source: Real Capital Analytics,

Bloomberg, L.P.

As Of: Sep-2021

Note: Dotted lines represent

2001–present averages.

0

50

100

150

200

250

300

350

400

0

50

100

150

200

250

300

350

400

2004 2006 2008 2010 2012 2014 2016 2018 2020

3.4.6.4 CMBS IssuanceBillions of US$ Billions of US$

Source: Inside

Mortgage Finance

As Of: Sep-2021

Agency

Non-Agency

Note: 2021 figures are through September.

Agency includes multifamily CMBS.

3.5.1.1 Categorization of Large U.S. BHCs

Source: Federal Reserve

Description U.S. Domestic Banking Org.

Category I

(U.S. G-SIBs)

Bank of America JPMorgan Chase

Bank of New York Mellon Morgan Stanley

Citigroup State Street

Goldman Sachs Wells Fargo

Category II

(Large complex, ≥$700b Total assets, or ≥

$75b in Cross-Jurisdictional Activity)

Northern Trust

Category III

(Large complex, ≥$250b Total assets or ≥ $75b

in NBA, wSTWF, or Off-balance sheet exposure)

Capital One Truist Financial

Charles Schwab U.S. Bancorp

PNC Financial

Category IV

(Large noncomplex, other firms with $100b

to $250b Total assets)

Ally Financial Huntington

American Express KeyCorp

Citizens Financial M&T Bank

Discover Regions Financial

Fifth Third

Note: Northern Trust is in Category II due to its cross-jurisdictional activity.

Synchrony Financial dropped out of Category IV in 2021:Q2 and did not participate

in the 2020 or 2021 stress tests.

0

2

4

6

8

10

12

14

16

0

2

4

6

8

10

12

14

16

G-SIBs LargeComplex

LargeNoncomplex

Other IHCs

3.5.1.2 Total Assets by BHC Type/IHCTrillions of US$ Trillions of US$

Source: FR Y-9C

As Of: 2021 Q2

4

6

8

10

12

14

16

4

6

8

10

12

14

16

2001 2004 2007 2010 2013 2016 2019

3.5.1.3 Common Equity Tier 1 RatiosPercent of RWA Percent of RWAAs Of: 2021 Q2

Source: FR Y-9C,

Haver Analytics

Note: Tier 1 common capital is used as the numerator of the CET1 ratio

prior to 2014:Q1 for G-SIBs and large complex BHCs, and prior to

2015:Q1 for large noncomplex and other BHCs. The denominator is

risk-weighted assets (RWA). Shaded areas indicate NBER recessions.

G-SIBsLarge ComplexLarge NoncomplexOther

0

4

8

12

16

20

0

4

8

12

16

20

BAC BK C GS JPM MS STT WFC

2021 Q1

2021 minimum including U.S.

G-SIB surcharge

Source: FR-Y9C

2020 Q2

3.5.1.4 Common Equity Tier 1 Ratios at U.S. G-SIBs

Percent of RWA Percent of RWAAs Of: 2021 Q2

2021 Q2

3.5.1.5 Payout Rates at U.S. G-SIBs

Source: FR Y-9C

0

50

100

150

200

0

50

100

150

200

2014 2015 2016 2017 2018 2019 2020 2021

Billions of US$Percent of NIAC As Of: 2021 Q2

NIAC (right axis)

Note: Net income available to common shareholders

(NIAC) is net income minus preferred dividends.

2021 data represents YTD data through Q2.

Common Stock Cash Dividends

(left axis)

Stock Repurchases

(left axis)

0

2

4

6

8

10

0

2

4

6

8

10


3.5.1.6 Supplementary Leverage Ratios at U.S. G-SIBsPercent PercentAs Of: 2021 Q2

Source: FR Y-9C,

Call Report

Note: Enhanced SLR is only required for the G-SIBs. The ratio is equal to tier 1

capital divided by total assets plus off-balance sheet exposures. The ratio

excludes Treasury securities and reserves from the denominator during

2020:Q2 and 2021:Q1, reflecting a temporary change to the SLR rule to ease

strains in the Treasury market resulting from the COVID-19 pandemic.

2021 Q1

2020 Q2

Minimum

2021 Q2

-1

0

1

2

3

-1

0

1

2

3

2010 2012 2014 2016 2018 2020

3.5.1.7 Return on AssetsPercent PercentAs Of: 2021 Q2

Source: FR Y-9CNote: Quarterly, seasonally-adjusted annual rate. Return on

assets is equal to net income divided by average assets.

Other

Large Noncomplex

Large Complex

G-SIBs

1

2

3

4

5

6

1

2

3

4

5

6

2010 2012 2014 2016 2018 2020

Other

Large Noncomplex

Large Complex

G-SIBs

3.5.1.8 Net Interest MarginsPercent PercentAs Of: 2021 Q2

Source: FR Y-9C

Note: Quarterly, seasonally-adjusted annual rate. Net

interest margin is equal to net interest income divided

by the quarterly average of interest-earning assets.

0

10

20

30

40

50

60

70

0

10

20

30

40

50

60

70

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

3.5.1.9 Sources of Funding at G-SIBs and Large-Complex

Percent of Total Liabilities Percent of Total LiabilitiesAs Of: 2021 Q2

Long-Term Funding

Core Deposits

Source:

FR Y-9C

Note: ST funding: liabilities with maturities =< 1 yr, trading liabilities, repos, CP, and foreign deposits.

LT funding: other borrowed money, subordinated notes and large time deposits with maturities > 1

yr. Core deposits: demand deposits, noninterest-bearing balances, transaction accounts, money

market deposits and time deposits <$250,000. Gray bars signify NBER recessions.

Short-Term Funding

0

5

10

15

20

25

0

5

10

15

20

25

2001 2004 2007 2010 2013 2016 2019

3.5.1.10 Deposit Growth, All Commercial BanksPercent PercentAs Of: Jun-2021


Haver Analytics

Note: Statistical Release H.8, “Assets and Liabilities of

Commercial Banks in the United States.” Seasonally adjusted

values. Year-over-year percentage change.

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

2010 2012 2014 2016 2018 2020

3.5.1.11 Effective Deposit Rates by BHC Category

Rates RatesAs Of: 2021 Q2

Source: Call Report

Note: Effective deposit rates are defined as the ratio of the

annualized quarterly-average interest expense on deposits and the

one-quarter lag of the quarterly-average deposit balances.

Other

Large Noncomplex

Large Complex

G-SIBs

0

4

8

12

16

20

0

4

8

12

16

20

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

3.5.1.12 Delinquency Rates on Real Estate LoansPercent PercentAs Of: 2021 Q2

Source: FR Y-9CNote: Includes all loans in domestic and foreign

offices. Gray bars signify NBER recessions.

Commercial

Real Estate

Residential

Real Estate

0

2

4

6

8

0

2

4

6

8

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021

3.5.1.13 Delinquency Rates on Selected LoansPercent PercentAs Of: 2021 Q2

Source: FRY-9C,

Call Report

Note: Seasonally adjusted. Includes all loans in domestic

and foreign offices. Auto loans became available in 2011

Q1. Gray bars signify NBER recessions.

Credit Card

Auto

C&I

0

2

4

6

8

10

12

0

2

4

6

8

10

12

2013 2014 2015 2016 2017 2018 2019 2020 2021

3.5.1.14 Provisions to Loans Ratios at BHCsPercent PercentAs Of: 2021 Q2

Credit Cards

Other Consumer

Residential Real Estate

Commercial Real Estate

C&I

Source: FR Y-9CNote: Excludes Barclays, Credit

Suisse, Deutsche Bank, and UBS.

-30

-20

-10

0

10

20

30

40

-30

-20

-10

0

10

20

30

40

2001 2004 2007 2010 2013 2016 2019

3.5.1.15 C&I Loan Growth, All Commercial BanksPercent PercentAs Of: Jun-2021


Haver Analytics

Note: Statistical Release H.8, “Assets and Liabilities

of Commercial Banks in the United States.” Year-

over-year percentage change.

0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

2010 2012 2014 2016 2018 2020

3.5.1.16 Loans to Nondepository Financial InstitutionsPercent of Total Loans Percent of Total Loans

Source: FR Y-9C

As Of: 2021 Q2

Other

Large Noncomplex

Large Complex

G-SIBs

5

10

15

20

25

30

35

5

10

15

20

25

30

35

2010 2012 2014 2016 2018 2020

3.5.1.17 High-Quality Liquid Assets by BHC TypePercent of Assets Percent of Assets

Source: FR Y-9C

As Of: 2021 Q2

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.

Other

Large Noncomplex

Large Complex

G-SIBs

0

3

6

9

12

15

0

3

6

9

12

15

2010 2012 2014 2016 2018 2020

3.5.1.18 Selected Liquid Assets at All BHCs Percent of Assets Percent of Assets

Source: FR Y-9C, FR 2900

As Of: 2021 Q2

Reserve Balances

Fannie Mae and Freddie Mac MBS

Treasury Securities

Ginnie Mae MBS

Note: Not seasonally adjusted.

0

50

100

150

200

0

50

100

150

200


3.5.1.19 Liquidity Coverage Ratios at U.S. G-SIBsPercent PercentAs Of: 2021 Q2

Source: LCR Disclosures

from each banks’ websitesNote: The solid line represents the

regulatory minimum.

2021 Q12021 Q2

2020 Q2

0

10

20

30

40

50

60

0

10

20

30

40

50

60

2010 2012 2014 2016 2018 2020

3.5.1.20 Held-to-Maturity Securities Percent of Investment

Securities

Percent of Investment

SecuritiesAs Of: 2021 Q2

Source: Call Report,

Haver AnalyticsNote: Investment securities are held-to-maturity

securities plus available-for-sale securities.

Other

Large Noncomplex

Large Complex

G-SIBs

3.5.1.21 Duration Gap

Source: Call Report,

Haver Analytics

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

2001 2004 2007 2010 2013 2016 2019

Years YearsAs Of: 2021 Q2

Note: Duration gap is the approximate weighted-average

time of cash inflows less the approximate weighted-average

time of cash outflows. Gray bars signify NBER recessions.

Other

Large Noncomplex

Large Complex

G-SIBs

Index As Of: 29-Jun-2021

3.5.1.22 Bank Stock Performance

Source: Yahoo! Finance,

Bloomberg, L.P.

50

75

100

125

150

175

200

50

75

100

125

150

175

200

Jan:2019 Jun:2019 Dec:2019 Jun:2020 Dec:2020 Jun:2021

Large Noncomplex

Large Complex

G-SIBs

Index

Note: January 2, 2019 = 100. EU Bank Stock Index created from

stock prices for the following banks: BCS, BNPQY, CS, ACA, DB,

SAN, UBS. All indexes are created by equally weighting banks.

S&P 500

EU Bank Stock Index

Other

Percent As Of: Jun-2021

3.5.1.23 Price-to-Book for Select U.S. G-SIBs

Source: SNL

0

50

100

150

200

250

300

0

50

100

150

200

250

300

2008 2010 2012 2014 2016 2018 2020

Percent

Note: Month-end values.

Wells Fargo

JPMorgan Chase

Morgan Stanley

Goldman Sachs

Citigroup

Bank of America

Basis Points As Of: Jun-2021

3.5.1.24 5-Year CDS Premiums Select U.S. G-SIBs

Source: Markit

0

100

200

300

400

500

0

100

200

300

400

500

2010 2012 2014 2016 2018 2020

Basis Points

Note: Monthly averages.

Wells Fargo

JPMorgan Chase

Morgan Stanley

Goldman Sachs

Citigroup

Bank of America

Basis Points As Of: Jun-2021

3.5.1.25 5-Year CDS Premiums Select Foreign Banks

Source: Markit

0

100

200

300

400

500

0

100

200

300

400

500

2010 2012 2014 2016 2018 2020

Basis Points

Santander

Credit Suisse

Barclays

Note: Monthly averages.

Deutsche Bank

Société Générale

BNP Paribas

0

4

8

12

16

0

4

8

12

16

201318

201430

201531

201633

201734

201835

201918

202033

202123

Post-Stress DFASTPre-Stress

3.5.1.26 Initial and Stressed Capital Ratios

Percent of RWA Percent of RWA

Source: Federal

Reserve

Note: Regulatory minimum is 5% pre-2016 and 4.5% from 2016

onwards. For DFAST 2013-2015, bars show Tier 1 Common Capital

Ratio. DFAST 2016-2021 bars show Common Equity Tier 1 Ratio. The

x-axis labels represent the number of banks tested within a given year.

Post-Stress CCAR

Regulatory Minimum

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0

30

60

90

120

150

180

2005 2008 2011 2014 2017 2020

3.5.1.27 FDIC-Insured Failed Institutions As Of: 2020Number of Institutions Percent

Note: No FDIC-insured institutions

failed during 2005, 2006, and 2018.Source: BEA, FDIC,

Haver Analytics

Number of Institutions (left axis)

Assets of Failed Institutions as a

Percent of Nominal GDP (right axis)

-1200

-800

-400

0

400

800

1200

-1200

-800

-400

0

400

800

1200

2006 2008 2010 2012 2014 2016 2018 2020

Noninterest IncomeNet Interest Income

Noninterest ExpenseProvisions

3.5.1.28 Commercial Bank and Thrift Net IncomeBillions of US$ Billions of US$

Source: FDICNote: Includes all commercial banks and

thrift institutions. All items are annualized.

As Of: 2021 Q2

Realized Gains/Losses

Net Income

0

5

10

15

20

25

0

5

10

15

20

25

1984 1989 1994 1999 2004 2009 2014 2019

Number of Insured

Depository Institutions

(right axis)

3.5.1.29 Total Assets of Largest Insured Depository Institutions

Trillions of US$ Count (‘000s)

Source: FFIEC Call Report

As Of: 2021 Q2

Top 11-100 IDIs (left axis)

Other IDIs (left axis)

Top 10 IDIs (left axis)

Note: Fourth quarter data was used for years 1984-

2020 and second quarter data was used for 2021.

0

1

2

3

4

0

1

2

3

4

2004 2006 2008 2010 2012 2014 2016 2018 2020

3.5.1.30 U.S. Branches and Agencies of Foreign Banks: Assets



Haver Analytics

As Of: 2021 Q2

Reserve Balances

Net Due from Related Institutions

Securities Purchased with Repos &

Fed Funds Sold

Cash and Balances Due from

Depository Institutions (Excluding

Reserve Balances)

Other Assets

Non-C&I Loans

C&I Loans

Note: Other assets includes government

securities, ABS, and other trading assets.

0

1

2

3

4

0

1

2

3

4

2004 2006 2008 2010 2012 2014 2016 2018 2020

3.5.1.31 U.S. Branches and Agencies of Foreign Banks: Liabilities



Haver Analytics

As Of: 2021 Q2

Deposits & Credit Balances

Securities Sold with Repos & Fed Funds Purchased

Other Liabilities

Net Due to Related Depository Institutions

Note: Other liabilities includes transaction accounts,

non-transaction accounts, and other borrowed money.

-100

-50

0

50

100

-100

-50

0

50

100

2006 2008 2010 2012 2014 2016 2018 2020

Net Income

3.5.1.32 Credit Union IncomeBillions of US$ Billions of US$

Source: NCUA

As Of: 2021 Q2

Noninterest IncomeNet Interest Income

Note: Federally-insured credit

unions. Values are annualized.

Noninterest ExpenseProvisions Realized Gains/Losses

on Investments

50

60

70

80

90

100

50

60

70

80

90

100

2006 2008 2010 2012 2014 2016 2018 2020

3.5.1.33 Loans as a Percent of Total DepositsPercent of Total Assets Percent of Total Assets

Source: NCUA

As Of: 2021 Q2

3000

3500

4000

4500

5000

3000

3500

4000

4500

5000

2009 2011 2013 2015 2017 2019 2021

3.5.2.1 Number of Broker-Dealers

Number of Firms Number of FirmsAs Of: 2021 Q2

Source: FINRA

0

100

200

300

400

500

0

100

200

300

400

500

2009 2011 2013 2015 2017 2019 2021

3.5.2.2 Broker-Dealer Revenues and Net IncomeBillions of US$ Billions of US$

Source: FINRA

As Of: 2021 Q2

Net Income

Total Revenue

0

2

4

6

8

2005 2007 2009 2011 2013 2015 2017 2019 2021

5

10

15

20

25

3.5.2.3 Broker-Dealer Assets and LeverageTrillions of US$ Ratio

Source: FINRA

As Of: 2021 Q2

Note: Leverage is the ratio of total

assets to total regulatory capital.

Total Assets (left axis) Leverage (right axis)

0

5

10

15

20

25

0

1

2

3

4

5

2009 2011 2013 2015 2017 2019 2021

BHC Leverage (right axis)

FBO Leverage (right axis)

3.5.2.4 Broker-Dealer Assets and Leverage by Affiliation

Trillions of US$ Ratio

Source: FINRA

As Of: 2021 Q2

FBO Total Assets (left axis)

BHC Total Assets (left axis)

Note: Data covers BHC and FBO-affiliated

broker-dealers that are among the 25 largest

broker-dealers by assets at year-end 2020.

0

200

400

600

800

0

200

400

600

800

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

3.5.2.5 mREIT Financial AssetsBillions of US$ Billions of US$


Haver Analytics

As Of: 2021 Q2

Agency & GSE-Backed Securities

Mortgages

Other

Index As Of: 30-Sep-2021

3.5.2.6 REIT Stock Performance

25

50

75

100

125

150

175

25

50

75

100

125

150

175

Jan:2020 Jun:2020 Nov:2020 Apr:2021 Sep:2021

Index

Source: NAREIT,

Bloomberg, L.P.

Note: Indexed to 100 as of year-end 2019; mREITs represents the FTSE

Nareit Mortgage REITs Index; Equity REITs represents the FTSE Nareit

Equity REITs Index; Financials represents the S&P 500 Financials Subindex.

S&P 500

Financials

Equity REITs

mREITs

0

1

2

3

4

5

6

0

1

2

3

4

5

6

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

3.5.2.7 MMF Assets by Fund TypeTrillions of US$ Trillions of US$

Source: SEC

As Of: Sep-2021

PrimeTax-ExemptGovernment

10

20

30

40

50

60

70

10

20

30

40

50

60

70

2017 2018 2019 2020 2021

3.5.2.8 Liquid Asset Shares of Prime MMFsPercent of Total Assets Percent of Total Assets

Source: SEC

As Of: Sep-2021

Daily Liquid - Retail

Weekly Liquid - Retail

Daily Liquid - Institutional

Weekly Liquid - Institutional

10

20

30

40

50

60

10

20

30

40

50

60

2011 2013 2015 2017 2019 2021

3.5.2.9 Weighted Average Maturities by Fund TypeDays Days

Source: SEC

Government

Prime

Tax-Exempt

As Of: Sep-2021

Note: Weighted by fund size.

0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

1980 1985 1990 1995 2000 2005 2010 2015 2020

3.5.2.10 Net Assets of the Investment Company Industry

Trillions of US$ Trillions of US$As Of: 2021 Q3

Closed-End Funds

ETFs

Equity Mutual Funds

Bond/Hybrid Mutual Funds

MMFs

Source: ICI, Federal Reserve, SEC

UITs

Note: Excludes non ’40 Act ETPs.

-300

-200

-100

0

100

200

-300

-200

-100

0

100

200

2017 2018 2019 2020 2021

3.5.2.11 Monthly Bond Mutual Fund FlowsBillions of US$ Billions of US$


As Of: Sep-2021

Tax-ExemptTaxable


-100

-75

-50

-25

0

25

50

-100

-75

-50

-25

0

25

50

2017 2018 2019 2020 2021

3.5.2.12 Monthly Equity Mutual Fund FlowsBillions of US$ Billions of US$


As Of: Sep-2021


-30

-20

-10

0

10

20

-30

-20

-10

0

10

20

2017 2018 2019 2020 2021

3.5.2.13 Monthly Bank Loan and High-Yield Mutual Fund Flows


Source: Morningstar, Inc.

As Of: Sep-2021


High-YieldBank Loan

-2000

-1000

0

1000

2000

-2000

-1000

0

1000

2000

2016 2017 2018 2019 2020 2021

3.5.2.14 Cumulative Equity Fund FlowsBillions of US$ Billions of US$


As Of: Sep-2021

Passively Managed ETPs

Actively Managed ETPs

Passively Managed Mutual Funds

Actively Managed Mutual Funds

Note: Cumulative net fund flows. Includes U.S.,

international, sector, and nontraditional equity funds.

-250

0

250

500

750

1000

1250

-250

0

250

500

750

1000

1250

2016 2017 2018 2019 2020 2021

3.5.2.15 Cumulative Fixed Income Fund Flows



As Of: Sep-2021

Note: Cumulative net fund flows. Includes

taxable and municipal bond funds.

Passively Managed ETPs

Actively Managed ETPs

Passively Managed Mutual Funds

Actively Managed Mutual Funds

0

2

4

6

8

0

2

4

6

8

2009 2011 2013 2015 2017 2019 2021

3.5.2.16 ETP Assets by Category of InvestmentTrillions of US$ Trillions of US$


As Of: Sep-2021

Equity

Fixed Income

CommoditiesOther

-40

-20

0

20

40

-40

-20

0

20

40

2017 2018 2019 2020 2021

3.5.2.17 Monthly ETP Flows: Fixed Income FundsBillions of US$ Billions of US$


As Of: Sep-2021

Tax-ExemptTaxable


-100

-60

-20

20

60

100

-100

-60

-20

20

60

100

2017 2018 2019 2020 2021

3.5.2.18 Monthly ETP Flows: Equity FundsBillions of US$ Billions of US$


As Of: Sep-2021


-10

-5

0

5

10

-10

-5

0

5

10

2017 2018 2019 2020 2021

3.5.2.19 Monthly Inverse and Leveraged ETP FlowsBillions of US$ Billions of US$


As Of: Sep-2021

InverseLeveraged


1.0

1.2

1.4

1.6

1.8

2.0

2.2

2.4

0

2

4

6

8

10

2013 2014 2015 2016 2017 2018 2019 2020 2021

Leverage: GAV/NAV

(right axis)

3.5.2.20 Hedge Fund Gross and Net AssetsTrillions of US$ Leverage

Source: SEC Form PF, OFR

As Of: 2021 Q1

Net Assets (left axis)

Gross Assets (left axis)

Note: Qualifying Hedge Fund gross and net assets

as reported on Form PF Questions 8 and 9.

0

500

1000

1500

2000

2500

3000

0

500

1000

1500

2000

2500

3000

2005 2008 2011 2014 2017 2020

3.5.2.21 Private Equity AUM


Source: Preqin

As Of: 31-Dec-2020

Unrealized ValueDry Powder

0

50

100

150

200

250

0

50

100

150

200

250

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021YTD

3.5.2.22 M&A Loan Volume for Private Equity-Backed Issuers


Source: S&P LCD

As Of: 30-Sep-2021

LBONon-LBO

US$

0

40

80

120

160

0

40

80

120

160

Share Price at Inception $40 Increase in Share Price

Position size: $100

Initial margin$20 = 14.3%

Initial margin$20 = 20%

Position size: $140

$40 variation margin paid

Financed: $120Financed: $80

D.1 Static Margin Model Example

US$

0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

2002 2005 2008 2011 2014 2017 2020

3.5.2.23 Public Plan Allocation to Alternative AssetsPercent PercentAs Of: 2020

Source: publicplansdata.org

Real EstateOther Alternative

Private EquityHedge Fund

Note: Includes public plans that reported investment

allocations from 2002-2020. Simple average.

0

20

40

60

80

100

0

20

40

60

80

100

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

3.5.2.24 Insurance Industry Net IncomeBillions of US$ Billions of US$

Source: NAIC

As Of: 2020

HealthLifeP&C

0.0

0.5

1.0

1.5

2.0

0.0

0.5

1.0

1.5

2.0

2001 2004 2007 2010 2013 2016 2019

3.5.2.25 Consumer Loans and Leases Outstanding

Trillions of US$ Trillions of US$As Of: Aug-2021


Haver Analytics

Note: Loans and leases owned and securitized. Series breaks

in December 2010 and December 2015 due to change in data

collection methodology. Gray bars signify NBER recessions.

Commercial Banks

Finance Companies

0.0

1.0

2.0

3.0

4.0

0.0

1.0

2.0

3.0

4.0

2001 2004 2007 2010 2013 2016 2019

3.5.2.26 Business Loans and Leases Outstanding

Trillions of US$ Trillions of US$As Of: Aug-2021


Haver Analytics

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

50

100

150

200

250

300

350

0

50

100

150

200

250

300

350

Jan:2018 Jan:2019 Jan:2020 Jan:2021

3.5.2.27 AAA Securitization SpreadsBasis Points Basis Points

Source: JPMorgan

As Of: 30-Sep-2021

Private Student Loan 3-Year

Equipment 3-Year

Subprime Auto 2-Year

Prime Auto 3-Year

Credit Card 3-Year

0

50

100

150

200

250

300

350

0

50

100

150

200

250

300

350

2006 2008 2010 2012 2014 2016 2018 2020

3.5.2.28 ABS IssuanceBillions of US$ Billions of US$

Source: Thomson Reuters, SIFMA

As Of: Sep-2021

Credit Card

Auto

Equipment

Note: Figures are as of year end through 2020.

2021 figures are through September.

Student LoansOther

0

10

20

30

40

50

60

0

10

20

30

40

50

60

2016 2017 2018 2019 2020 2021

3.6.1.1 DTCC Clearing Fund RequirementsBillions of US$ Billions of US$

Source: PFMI Quantitative

Disclosures, Clarus FT

FICC: MBSDNSCC

FICC: GSD

As Of: 2021 Q2

0.0

0.5

1.0

1.5

2.0

0.0

0.5

1.0

1.5

2.0

DTCC GSD DTCC MBSD DTCC NSCC

3.6.1.2 Maximum Uncovered Exposure for DTCC Billions of US$ Billions of US$

2020 Q1

2015 - 2019

As Of: 2021 Q1

Note: Peak uncovered exposure for

preceding 12 months as reported on

question 6.5.4 of PFMI quarterly disclosures.

2021 Q1

PFMI Quantitative


0

100

200

300

400

0

100

200

300

400

2016 2017 2018 2019 2020 2021

3.6.1.3 Initial Margin: U.S. Exchange Traded DerivativesBillions of US$ Billions of US$

ICE Clear USOptions Clearing Corp.

CME

As Of: 2021 Q2


Disclosures, Clarus FTNote: Initial margin required as reported in quantitative

disclosures; includes house and client accounts.

0

100

200

300

400

0

100

200

300

400

2016 2017 2018 2019 2020 2021

3.6.1.4 Initial Margin: Centrally Cleared OTC Derivatives




Credit Default SwapsInterest Rate Swaps

As Of: 2021 Q2

Note: Initial margin required as reported in quantitative disclosures;

includes house and client accounts. Interest rate swaps margin

includes LCH Ltd. and CME. CDS margin include CME, ICC,

ICEU, and LCH SA). CME ceased clearing CDS in March 2018.

0

100

200

300

400

500

600

700

800

0

200

400

600

800

2016 2017 2018 2019 2020 2021

3.6.1.5 Initial Margin by Segregation Type


House

Customer

As Of: 2021 Q2



Note: Initial margin required as reported in quantitative disclosures;

includes exchange-traded derivatives (Options Clearing Corp., CME,

and ICUS), interest rate swaps (LCH Ltd. and CME), and CDS (CME,

ICC, ICEU, and LCH SA). CME ceased clearing CDS in March 2018.

50

60

70

80

90

100

50

60

70

80

90

100

2014 2015 2016 2017 2018 2019 2020 2021

3.6.1.6 Average Clearing Rates for OTC TradingPercent Percent

Source: CFTC

As Of: 2021 Q3

Note: Gross notional of new transactions.

Excludes security-based swaps.

Index CDSInterest Rate Swaps

0

2

4

6

8

0

1

2

3

4

May:2018 Feb:2019 Nov:2019 Aug:2020 May:2021

As a Percent of Eurodollar

Volume (right axis)

E.1 SOFR Futures VolumeMillions of Contracts Percent

Source: CME, Bloomberg, L.P.

As Of: Sep-2021

3-Month SOFR Futures

(left axis)


(left axis)

0

2

4

6

8

10

0

250

500

750

1000

1250

May:2018 Feb:2019 Nov:2019 Aug:2020 May:2021

As a Percent of Eurodollar

Open Interest (right axis)

E.2 SOFR Futures Open InterestMillions of Contracts Percent

Source: CME, Bloomberg, L.P.

As Of: Sep-2021


(left axis)


(left axis)

0

100

200

300

400

500

0

100

200

300

400

500

Jan:20 Apr:20 Jul:20 Oct:20 Jan:21 Apr:21 Jul:21

3.7.1.1 Federal Reserve Swap LinesBillions of US$ Billions of US$

Source: Federal Reserve

As Of: 29-Sep-2021

Note: Wednesday levels.

3.7.1.2 Nominal U.S. Dollar Trade-Weighted IndexIndex Index


As Of: 30-Sep-2021

98

99

100

101

102

103

104

105

98

99

100

101

102

103

104

105

Jan:2021 Mar:2021 May:2021 Jul:2021 Sep:2021

Emerging Markets

Broad

Advanced

-20

-15

-10

-5

0

5

10

-20

-15

-10

-5

0

5

10

3.7.1.3 YTD Change in USD Exchange Rates, EMEsPercent Percent

Source: Federal

Reserve, Wall Street

Journal, Haver Analytics

As Of: 30-Sep-2021

Note: Percent change relative to end-2020. Chinese renminbi (RMB), Korean

won (KRW), Indian rupee (INR), Indonesian rupiah (IDR), Mexican peso (MXN),

South African rand (ZAR), Russian ruble (RUB), Argentine peso (ARS), Turkish

lira (TRY), Brazilian real (BRL). Positive indicates appreciation of listed currency.

3.7.1.4 Real U.S. Dollar Trade-Weighted IndexIndex Index


Haver Analytics

As Of: Sep-2021

Note: Index shown as a share of its 20-year average. Real USD

Trade-Weighted Index is a weighted average of the FX value of

the USD against the currencies of a broad group of major U.S.

trading partners. Gray bars signify NBER recessions.

80

90

100

110

120

80

90

100

110

120

2001 2004 2007 2010 2013 2016 2019

Percent As Of: Oct-2021

3.7.2.1 Advanced Economies Real GDP Growth

-12

-8

-4

0

4

8

-12

-8

-4

0

4

8

2005 2008 2011 2014 2017 2020 2023

Percent

Source: IMF WEO,

Haver AnalyticsNote: Annual change in GDP, constant prices. Dotted lines

represent the October 2021 projections for 2021-2023.

Euro Area

Japan

United States

United Kingdom

0

10

20

30

40

0

10

20

30

40

USA CAN GBR FRA DEU ITA JPN AEs

3.7.2.2 Discretionary Fiscal Response to the COVID-19 Pandemic

Percent of GDP Percent of GDP

Source: IMF

Equity, Loans, and GuaranteesAdditional Spending &

Foregone Revenue

As Of: Oct-2021

Note: IMF Database of Country Fiscal Measures

in Response to the COVID-19 Pandemic.

1.0

1.5

2.0

2.5

3.0

3.5

40

60

80

100

120

140

2007 2009 2011 2013 2015 2017 2019 2021

3.7.2.3 Advanced Economy Interest Expense and Government Debt

Percent of GDP Percent of GDP

Source: IMF Fiscal Monitor

Interest Expense

(right axis)

Government Debt

(left axis)

As Of: Apr-2021

Note: 2021 projected.

-4

-2

0

2

4

6

8

-4

-2

0

2

4

6

8

2011 2013 2015 2017 2019 2021

3.7.2.4 Advanced Economy Headline Inflation RatePercent Percent


As Of: Sep-2021

Note: Data represents year-over-year

percentage change in headline inflation.

Euro Area

Japan

United States

United Kingdom

Percent As Of: Sep-2021

3.7.2.5 Euro Area Business and Consumer Surveys

Source: European

Commission, Haver Analytics

60

70

80

90

100

110

120

130

-40

-30

-20

-10

0

10

20

30

2013 2014 2015 2016 2017 2018 2019 2020 2021

Index

Economic Sentiment (right axis)

Industrial Confidence (left axis)

Consumer Confidence (left axis)

Note: Confidence surveys calculated by subtracting

the percentage of negative responses from the

percentage of favorable responses. For economic

sentiment index, 100 = long-term average.

Index As Of: 2021 Q3

3.7.2.6 Real GDP for Select Euro Area Economies

Source: European Commission,

Haver Analytics

75

80

85

90

95

100

105

75

80

85

90

95

100

105

2019:Q4 2020:Q2 2020:Q4 2021:Q2

Index

Germany

France

Italy

Spain

Note: Seasonally adjusted real GDP.

Indexed to 100 as of 2019:Q4.


3.7.2.7 Euro Area 10-Year Sovereign Yields

Source: Reuters, Haver Analytics

-1

0

1

2

3

4

5

-1

0

1

2

3

4

5

Jan:2018 Jan:2019 Jan:2020 Jan:2021

Percent

Spain

France

Germany

Greece

Italy

Portugal

-3

-2

-1

0

1

2

3

-3

-2

-1

0

1

2

3

2005 2008 2011 2014 2017 2020

3.7.2.8 Japanese Consumer Price InflationPercent Percent

Source: Bank of Japan,

Haver Analytics

As Of: Sep-2021

Note: Data represents year-over-year percentage

change. CPI excludes fresh food and is adjusted for the

consumption tax increase that took effect in April 2014.

-40

0

40

80

120

160

-40

0

40

80

120

160

2010 2012 2014 2016 2018 2020

3.7.2.9 Japan 10-Year Government Bond YieldBasis Points Basis Points


As Of: 30-Sep-2021

0

2

4

6

8

10

0

2

4

6

8

10

Aggregate Asia Europe LatinAmerica

Middle East Africa

3.7.3.1 EME GDP Growth

Percent Percent

Source: IMF WEO

As Of: Oct-2021

2010–2019 Average

2021 Projected

3.7.3.2 Emerging Market Sovereign Bond Spreads

Source: JP Morgan, Haver Analytics

0

200

400

600

800

1000

0

200

400

600

800

1000

2013 2014 2015 2016 2017 2018 2019 2020 2021

Basis Points Basis PointsAs Of: 30-Sep-2021

Latin America

Europe

Asia

Note: JP Morgan EMBI+ Sovereign

Spreads indices for each region.

0

150

300

450

600

750

900

0

150

300

450

600

750

900

2005 2007 2009 2011 2013 2015 2017 2019 2021

YTD

3.7.3.3 Emerging Market Non-Local Bond IssuanceBillions of US$ Billions of US$

Source: Dealogic

As Of: 30-Sep-2021

Note: Bonds have maturities greater than one-year and have been

internationally marketed or placed. “Public” includes issuance by municipal

and state-owned enterprises. 2021 figures are through September.

PrivatePublic

Sovereign

-300

-150

0

150

300

450

600

-300

-150

0

150

300

450

600

2011 2013 2015 2017 2019 2021

Other

3.7.3.4 Foreign Investor Inflows to EMEsBillions of US$ Billions of US$

Source: IMF, Haver Analytics

As Of: 2021 Q2

Portfolio FlowsForeign Direct Investment Net Flows

-150

-75

0

75

150

225

300

-150

-75

0

75

150

225

300

2011 2013 2015 2017 2019 2021

3.7.3.5 Foreign Investor Portfolio Inflows to EMEs, by Region


Source: IMF, Haver Analytics

As Of: 2021 Q2

Emerging Markets (ex-China)

China

Percent As Of: 2021 Q3

3.7.3.6 Chinese Real GDP Growth and its Components

Source: China National Bureau

of Statistics, Haver Analytics

-20

-10

0

10

20

30

-20

-10

0

10

20

30

2016 2017 2018 2019 2020 2021

Agriculture

Services

Manufacturing

Total

Percent

Note: Year-over-year percentage change.

0

50

100

150

200

250

0

50

100

150

200

250

2008 2010 2012 2014 2016 2018 2020

3.7.3.7 Credit to the Chinese Nonfinancial Private Sector

Percent of GDP Percent of GDPAs Of: 2021 Q1

Source: China National Bureau of

Statistics, BIS, Haver Analytics Note: Rolling 4-quarter sum of GDP.

Nonbank Lending

Bank Lending

Percent As Of: Sep-2021

3.7.3.8 Chinese Credit Growth

Source: PBOC, CCDC,

Haver Analytics, Staff

Calculations

5

10

15

20

25

5

10

15

20

25

2013 2014 2015 2016 2017 2018 2019 2020 2021

Total Social Financing (New Definition)

Total Social Financing (Old Definition)

Percent

Note: Calculated as the year-over-year percentage change in total

social financing (TSF) flows since 2002. TSF refers to the total volume

of financing provided by the financial system to the real economy. TSF

(old definition) excludes loan write-offs, ABS of depository institutions,

and local government special bonds.

0

10

20

30

40

50

0

10

20

30

40

50

2020 2030 2040 2050

Percent Change

F.1 Annual Expected Damage from Tropical Cyclones

Percent Change

Source: NGFS CA

Climate Impact ExplorerNote: Percent change in annual damages under

NGFS current policies scenario; relative to 2020.

97.5th Percentile

Median

As Of: Jun-2021

0

5

10

15

20

25

0

5

10

15

20

25

2020 2030 2040 2050

Percent Change

F.2 Fraction of Population Exposed to Heatwaves

Percent Change

Source: NGFS CA

Climate Impact Explorer

Note: Change in fraction of U.S. population annually

exposed to heatwaves under NGFS current policies

scenario. Percent change relative to 1986-2006 average.

97.5th Percentile

Median

As Of: Jun-2021

Documents

3.1.1 Household Debt as a Percent of Disposable Personal