-4

-2

0

2

4

-4

-2

0

2

4

2006 2007 2008 2009 2010 2011 2012

Source: BEA, Haver Analytics

Percent As Of: 2012 Q4

4.1.1 Change in Real Gross Domestic Product

Note: Annual changes are Q4/Q4.

Percent
-4

-2

0

2

4

-4

-2

0

2

4

2006 2007 2008 2009 2010 2011 2012

Source: BEA, Haver Analytics

Percent As Of: 2012 Q4

4.1.2 Change in Real Personal Consumption Expenditures

Note: Annual changes are Q4/Q4.

Percent
0.0

0.1

0.2

0.3

0.4

0.5

0.0

0.5

1.0

1.5

2.0

2002 2004 2006 2008 2010 2012

Source: Census Bureau, 

Haver Analytics

Millions of Units As Of: Feb-2013

4.1.3 Private Housing Starts

Note: Seasonally adjusted at an annualized 

rate. Gray bar signifies NBER recession.

Millions of Units

Multifamily

(right axis)

Single-family

(left axis)
-1000

-800

-600

-400

-200

0

200

400

600

-1000

-800

-600

-400

-200

0

200

400

600

2006 2007 2008 2009 2010 2011 2012 2013

Source: BLS, Haver Analytics

Thousands of Jobs As Of: Mar-2013

4.1.4 Net Change in Nonfarm Payroll Employment

Note: Gray bar signifies NBER recession.

Thousands of Jobs

Monthly Change

3-Month Moving 

Average
3

6

9

12

3

6

9

12

1982 1987 1992 1997 2002 2007 2012

Source: BLS, Haver Analytics

Percent As Of: Mar-2013

4.1.5 Civilian Unemployment Rate

Note: Gray bars signify NBER recessions.

Percent
0

10

20

30

40

50

0

10

20

30

40

50

1982 1987 1992 1997 2002 2007 2012

Source: BLS, 

Haver Analytics

Percent As Of: Mar-2013

4.1.6 Long-Term Unemployment

Note: Long-term unemployment as a 

percent of total unemployment. Gray 

bars signify NBER recessions.

Percent
63

64

65

66

67

68

63

64

65

66

67

68

1982 1987 1992 1997 2002 2007 2012

Source: BLS, Haver Analytics

Percent As Of: Mar-2013

4.1.7 Labor Force Participation Rate

Note: Gray bars signify NBER recessions.

Percent
4.5

5.0

5.5

6.0

6.5

22

24

26

28

30

2000 2003 2006 2009 2012

Source: Flow of Funds, 

Haver Analytics

Percent As Of: 2012 Q4

4.2.1 Financial Ratios for Nonfinancial Corporations

Note: Gray bars signify NBER recessions.

Percent

Debt to Total 

Assets (left axis)

Liquid Assets to 

Total Assets

(right axis)
-100

-50

0

50

100

-100

-50

0

50

100

2000 2002 2004 2006 2008 2010 2012

Source: SLOOS, 

Haver Analytics

Percent As Of: Jan-2013

4.2.2 Bank Business Lending Standards and Demand

Note: Gray bars signify NBER recessions. Data 

includes firms with annual sales of $50 million or more.

Percent

Reporting Stronger 

Demand from Large and 

Medium-Sized Firms

Reporting Tighter 

Standards for Large and 

Medium-Sized Firms
0

2

4

6

8

10

0

2

4

6

8

10

1981 1986 1991 1996 2001 2006 2011

4.2.3 Nonfinancial Corporate Bond Default Rate

Percent Percent

Source: Moody’s 

Investors Service

Note: Default rates are annual rates calculated on a 

quarterly basis. Gray bars signify NBER recessions.

As Of: 2012 Q4
0

1

2

3

4

0

1

2

3

4

2000 2002 2004 2006 2008 2010 2012

Source: FDIC, Haver Analytics

Percent As Of: 2012 Q4

4.2.4 Noncurrent Commercial and Industrial Loans

Note: Percent of total C&I loans. 

Gray bars signify NBER recessions.

Percent
0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

0.8

1.0

1990 1994 1998 2002 2006 2010

Source: Flow of Funds, Haver Analytics

Share of Total Assets As Of: 2012 Q4

4.2.5 Noncorporate Assets

Share of Total Assets

Other Assets

Cash and Securities

Nonresidential Real Estate

Accounts Receivable

Residential Real Estate
-400

-200

0

200

400

600

-400

-200

0

200

400

600

2000 2002 2004 2006 2008 2010 2012

Source: Flow of Funds, 

Haver Analytics

Billions of US$ As Of: 2012 Q4

4.2.6 Net Borrowing by Nonfinancial Noncorporate Businesses

Note: Seasonally adjusted at an annual rate. 

Gray bars signify NBER recessions.

Billions of US$
-100

-50

0

50

100

-100

-50

0

50

100

2000 2002 2004 2006 2008 2010 2012

Source: SLOOS, 

Haver Analytics

Percent As Of: Jan-2013

4.2.7 Bank Business Lending Standards and Demand

Note: Gray bars signify NBER recessions. Data includes 

firms with annual sales of less than $50 million.

Percent

Reporting Stronger 

Demand from Small Firms

Reporting Tighter 

Standards for Small Firms
0

4

8

12

16

0

4

8

12

16

2000 2002 2004 2006 2008 2010 2012

Source: NFIB, Haver Analytics

Percent As Of: 2012 Q4

4.2.8 Small Businesses' Difficulty Obtaining Credit

Note: Net Percent = small businesses reporting credit harder to get than three months prior minus those 

reporting credit easier to get than three months prior. For the population borrowing at least once every 

three months. Depicts quarterly averages of monthly data. Gray bars signify NBER recessions.

Percent

Net Percent of Small 

Businesses Reporting Credit 

Harder to Get than Three 

Months Prior
0

25

50

75

100

125

150

0

25

50

75

100

125

150

1992 1996 2000 2004 2008 2012

Consumer Debt

Mortgages

Other Household Debt

4.2.9 Household Debt as a Percent of Disposable Personal Income

Percent Percent

Source: BEA, Flow of Funds, 

Haver Analytics

As Of: 2012 Q4

Note: Other Household Debt includes 

debts of both households and nonprofits.
0

50

100

150

200

0

50

100

150

200

1992 1996 2000 2004 2008 2012

Source: BEA, Flow of Funds, 

Haver Analytics

Percent of Nominal GDP As Of: 2012 Q4

4.2.10 Private Nonfinancial Debt

Percent of Nominal GDP

Consumer and Other Household Debt

Nonfinancial Noncorporate Debt

Nonfinancial Corporate Debt

Mortgages

Note: Other Household Debt includes 

debts of both households and nonprofits.
10

11

12

13

14

15

10

11

12

13

14

15

1980 1985 1990 1995 2000 2005 2010

Source: Federal Reserve, 

Haver Analytics

Percent As Of: 2012 Q4

4.2.11 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 2006 2009 2012

Source: FRBNY Consumer Credit

Panel, Equifax, Haver Analytics

Percent As Of: 2012 Q4

4.2.12 Share of Household Debt by Delinquency Status

Note: Derogatory loans are loans for which 

there are reports of a repossession, 

charge off to bad debt, or foreclosure.

Percent

Derogatory

120+ Days Late

90 Days Late

60 Days Late

30 Days Late
-40

-20

0

20

40

60

80

100

-40

-20

0

20

40

60

80

100

2000 2002 2004 2006 2008 2010 2012

Source: Flow of 

Funds, Haver 

Analytics

Trillions of US$ As Of: 2012 Q4

4.2.13 Household and Nonprofit Balance Sheets

Note: *Noncorporate equities, mutual fund shares, security credit, life insurance and pension 

fund reserves, tangible assets excluding real estate, miscellaneous assets. **Security credit, 

trade payables, unpaid life insurance premiums, other credit market instruments.

Trillions of US$

Other Assets*

Equities

Credit Market Instruments

Cash Instruments

Real Estate

Mortgages

Consumer Credit

Other Debt**

Net Worth
30

40

50

60

70

30

40

50

60

70

2000 2002 2004 2006 2008 2010 2012

Source: Flow of Funds, 

Haver Analytics

Percent As Of: 2012 Q4

4.2.14 Share of Owners' Equity in Household Real Estate

Note: Gray bars signify NBER recessions.

Percent

1990-2005 

Average
0

200

400

600

800

1000

0

200

400

600

800

1000

2003 2006 2009 2012

Source: FRBNY Consumer Credit 

Panel, Equifax, Haver Analytics

Billions of US$ As Of: 2012 Q4

4.2.15 Components of Consumer Credit

Note: Gray bar signifies 

NBER recession.

Billions of US$

Credit Card Debt

Auto Loans

Student Loans

Other Household

Debt
100

150

200

250

300

100

150

200

250

300

2000 2002 2004 2006 2008 2010 2012

Source: FRBNY Consumer Credit 

Panel, Equifax, Haver Analytics

Millions of Inquiries As Of: 2012 Q4

4.2.16 Applications for Credit

Note: Number of Equifax inquiries within 6 

months. Gray bars signify NBER recessions.

Millions of Inquiries
0

3

6

9

12

15

0

3

6

9

12

15

2003 2006 2009 2012

Source: FRBNY Consumer Credit 

Panel, Equifax, Haver Analytics

Percent As Of: 2012 Q4

4.2.17 90+ Day Delinquency Rate by Loan Type

Note: Gray bar signifies NBER recession. Student loan 

delinquency rates in 2012 Q3 are inflated by the reposting 

of a large number of delinquent loans by a single servicer.

Percent

Mortgage 

Loans

HELOC Auto Loans

Credit Card Loans Student Loans
-12

-8

-4

0

4

-12

-8

-4

0

4

2000 2004 2008 2012 2016 2020

Source: CBO, 

Haver Analytics

Percent of GDP As Of: Feb-2013

4.3.1 Federal Unified Budget Surplus/Deficit

Note: Negative values denote a deficit. Data for 

fiscal years. Years after 2012 are projected.

Percent of GDP

CBO Baseline 

Projection
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

Percent of GDP As Of: Feb-2013

4.3.2 Federal Debt Held by the Public as a Percent of GDP

Note: Data for fiscal years. 

Years after 2012 are projected.

Percent of GDP

CBO Baseline 

Projection
40

44

48

52

56

60

64

68

72

1.0

1.4

1.8

2.2

2.6

3.0

3.4

1981 1986 1991 1996 2001 2006 2011

Source: BEA, OMB, 

Haver Analytics

Percent of GDP As Of: 2012 Q4

4.3.3 Interest Outlays and Average Maturity of U.S. Public Debt

Note: Gray bars signify NBER recessions.

Months

Average Maturity of 

Outstanding Debt 

(right axis)

Interest Outlays 

(left axis)
1.0

1.5

2.0

2.5

3.0

3.5

4.0

0

50

100

150

200

250

300

Mar:11 Jul:11 Nov:11 Mar:12 Jul:12 Nov:12 Mar:13

A.1 10-Year Treasury Yield and Corporate Bond Spreads

Basis Points Percent

Source: U.S. Department 

of Treasury, Barclays

As Of: 25-Mar-2013

U.S. Corporate 

Investment Grade - OAS 

(left axis)

Treasury 10Y Yield 

(right axis)

Debt ceiling 

increased

Debt ceiling 

temporarily suspended

Note: Debt ceiling increased on 2-Aug-2011 

and temporarily suspended on 4-Feb-2013. 
1.0

1.3

1.5

1.8

2.0

2.3

2.5

10

15

20

25

30

Jan:12 Apr:12 Jul:12 Oct:12 Jan:13

A.2 10-Year Treasury Yield and Market Volatility

Percent Percent

Source: U.S. Department of Treasury, Capital IQ

As Of: 25-Mar-2013

VIX 

(left axis)

Treasury 10Y Yield 

(right axis)
0.7

0.9

1.1

1.3

1.5

0.7

0.9

1.1

1.3

1.5

2000 2002 2004 2006 2008 2010 2012

4.3.4 State and Local Government Tax Revenues

Trillions of US$ Trillions of US$

Source: Census Bureau

As Of: 2012 Q4

Note: Gray bars signify NBER recessions. 

Revenue shown represents the trailing 4 quarters.
-15

-10

-5

0

5

10

15

-15

-10

-5

0

5

10

15

2007 2008 2009 2010 2011 2012 2013

Source: ICI, Haver Analytics

Billions of US$ As Of: Feb-2013

4.3.5 Long-Term Mutual Fund Flows: Municipal Bonds

Billions of US$
200

300

400

500

600

200

300

400

500

600

2000 2002 2004 2006 2008 2010 2012

Source: BEA, 

Haver Analytics

Billions of US$ As Of: 2012 Q4

4.3.6 Federal Grants-in-Aid to State and Local Governments

Note: Gray bars signify NBER recessions.

Billions of US$
200

250

300

350

200

250

300

350

2006 2007 2008 2009 2010 2011 2012 2013

Source: Census Bureau, 

Haver Analytics

Billions of US$ As Of: Feb-2013

4.3.7 Total Public Construction Spending

Note: Gray bar signifies NBER recession.

Billions of US$
0

100

200

300

400

500

600

0

100

200

300

400

500

600

2004 2005 2006 2007 2008 2009 2010 2011 2012

New Capital

Refunding

4.3.8 Municipal Bond Issuance

Billions of US$ Billions of US$

Source: Thomson 

Reuters, SIFMA

As Of: 2012

Note: Excludes maturities of 13 months 

or less and private placements.
60

100

140

180

220

260

60

100

140

180

220

260

2007 2008 2009 2010 2011 2012 2013

Source: Bloomberg, L.P.

Percent As Of: 25-Mar-2013

4.3.9 Municipal Tax-Exempt Bond Yield Ratios

Percent

Illinois

California

New York

Generic A-rated

Generic AAA-rated

Note: General obligation 10-year municipal 

bond yields to 10-year Treasury yields.
-6

-4

-2

0

2

4

6

8

10

-6

-4

-2

0

2

4

6

8

10

2000 2002 2004 2006 2008 2010 2012 2014

Source: IMF, Haver Analytics

Percent As Of: Jan-2013

4.4.1 Real GDP Growth

Note: IMF estimates are used when actual 

data is unavailable. Year-over-year percent 

change. Data after 2012 is projected.

Percent

Advanced 

Economies

Emerging

Economies
-6

-4

-2

0

2

4

6

-6

-4

-2

0

2

4

6

2000 2002 2004 2006 2008 2010 2012 2014

Source: IMF, Haver Analytics

Percent As Of: Jan-2013

4.4.2 Advanced Economies Real GDP Growth

Note: Year-over-year percent change. 

Data after 2012 is projected.

Percent

United States

Canada

United Kingdom

Euro Area

Japan
-6

-4

-2

0

2

4

6

-6

-4

-2

0

2

4

6

2002 2005 2008 2011 2014

Source: IMF, Haver Analytics

Percent As Of: Jan-2013

4.4.3 Euro Area Real GDP Growth

Note: Year-over-year percent change. 

Data after 2012 is projected.

Percent

Spain

France

Euro Area

Italy

Germany
0

40

80

120

160

200

0

40

80

120

160

200

2006 2008 2010 2012 2014 2016

Source: IMF, Haver Analytics

Percent of GDP As Of: Oct-2012

4.4.4 Peripheral Europe: Gross Public Debt

Note: Data after Oct-2012 is projected.

Percent of GDP

Greece

Italy

Portugal

Ireland

Spain
-10

-5

0

5

10

15

-10

-5

0

5

10

15

2005 2007 2009 2011 2013

Source: IMF, Haver Analytics

Percent As Of: Jan-2013

4.4.5 Emerging Market Economies Real GDP Growth

Note: Year-over-year percent change. 

Data after 2012 is projected.

Percent

China

Mexico

Brazil

India

Russia
-4

-2

0

2

4

6

-4

-2

0

2

4

6

2000 2002 2004 2006 2008 2010 2012

4.4.6 Contribution to World GDP Growth

Percent Percent

Source: IMF

As Of: Oct-2012

Advanced Economies Ex-US

BRIC

United States

Emerging Economies Ex-BRIC

Note: IMF estimates are used when actual data 

is unavailable. Data after Oct-2012 is projected.
-4

0

4

8

12

16

-4

0

4

8

12

16

2007 2008 2009 2010 2011 2012 2013

Source: Haver Analytics

Percent As Of: Feb-2013

4.4.7 BRIC and U.S. Inflation Rates

Percent

Brazil

United States

Russia

China

India
-400

-200

0

200

400

600

-400

-200

0

200

400

600

2006 2007 2008 2009 2010 2011 2012

Portfolio Flows

Loans and Other

FDI

4.4.8 Inflows to EMEs

Billions of US$ Billions of US$

Source: EMED

As Of: 2012 Q3
0

4

8

12

16

0

4

8

12

16

2006 2007 2008 2009 2010 2011 2012

4.4.9 China Real GDP Growth

Percent Percent

Source: CEIC Data

As Of: 2012 Q4

Note: Quarterly data. Percentage change 

on the same quarter of the previous year.
0

2

4

6

8

10

12

14

16

0

2

4

6

8

10

12

14

16

2005 2006 2007 2008 2009 2010 2011 2012

Additional Sources of Credit

Bank Loans

4.4.10 China: Annual Increases in Credit and GDP

Trillions of Renminbi Trillions of Renminbi

Source: Haver Analytics, 

CEIC Data

As Of: 2012

Note: Additional sources of credit include the following components 

of "total social financing" as reported by the People's Bank of 

China: trust loans, entrusted lending, undiscounted bankers' 

acceptances, and net new corporate bond issuance.

Incremental Increase in 

Nominal GDP
Percent As Of: 25-Mar-2013

5.1.1 Treasury Yields

Source: U.S. Department of Treasury

0

1

2

3

4

0

1

2

3

4

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

Percent

2Y

5Y

10Y
Basis Points

100

150

200

250

300

100

150

200

250

300

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

2Y/10Y Spread

5.1.2 Slope of the Treasury Yield Curve

As Of: 25-Mar-2013 Basis Points

Source: U.S. Department of Treasury
0

50

100

150

200

250

300

0

50

100

150

200

250

300

2006 2007 2008 2009 2010 2011 2012 2013

5.1.3 Realized and Implied Interest Rate Volatility

Basis Points Basis Points

Source: JP Morgan estimates

Option-Implied Volatility, 10-Year 

Swap Rate, 1-Year Expiry

Realized Volatility, 10-Year 

Swap Rate, 1-Year Forward

As Of: 25-Mar-2013
0

50

100

150

200

250

0

50

100

150

200

250

2005 2007 2009 2011 2013

Source: Bank of America Merrill 

Lynch, Haver Analytics

Points As Of: Feb-2013

5.1.4 Implied Volatility 

Note: MOVE and SMOVE are the yield curve 

weighted indices of the normalized implied 

volatility on 1-month interest rate options.

Points

MOVE Index SMOVE Index
5.1.5 U.S. Corporate Bond Spreads – Investment Grade

Basis Points As Of: 25-Mar-2013

Source: Barclays

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

Basis Points

Non-financials

Financials
0

300

600

900

1200

1500

0

300

600

900

1200

1500

High-Yield

Investment Grade

5.1.6 U.S. Corporate Bond Issuance

Billions of US$ Billions of US$

Source: Thomson 

Reuters, SIFMA

As Of: 2012

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

Yankee bonds, but excludes all issues with maturities of one 

year or less and CDs. 
-200

0

200

400

600

800

1000

1200

1400

1600

-50

0

50

100

150

200

250

300

350

400

1982 1986 1990 1994 1998 2002 2006 2010

5.1.7 High-Yield Bonds: Issuance and Market Size

Billions of US$ Billions of US$

Source: Bank of America Merrill 

Lynch Global Research, S&P LCD

Market Size 

(right axis)

As Of: 2012

Total Issuance (left axis)

Net Issuance (left axis)
-200

0

200

400

600

800

-100

0

100

200

300

400

1997 2001 2005 2009

5.1.8 Institutional Loans: Issuance and Market Size

Billions of US$ Billions of US$

Source: Bank of America Merrill 

Lynch Global Research, S&P LCD

Market Size 

(right axis)

As Of: 2012

Gross Issuance (left axis)

Net Issuance (left axis)
-75

0

75

150

225

300

375

-30

0

30

60

90

120

150

2005 2006 2007 2008 2009 2010 2011 2012

5.1.9 CLOs: Issuance and Market Size

Billions of US$ Billions of US$

Source: Bank of America Merrill 

Lynch Global Research, Intex

Outstanding 

(right axis)

As Of: 2012

Gross Issuance (left axis)

Net Issuance (left axis)
0

50

100

150

200

250

0

50

100

150

200

250

2006 2007 2008 2009 2010 2011 2012 2013

Source: Bloomberg, L.P.

Basis Points As Of: 25-Mar-2013

5.1.10 Agency MBS Spreads to Treasuries

Note: Fannie Mae 30-year MBS 

spreads to 10-year Treasuries.

Basis Points
0

3

6

9

12

15

0

3

6

9

12

15

2001 2003 2005 2007 2009 2011 2013

Source: U.S. Department of Treasury, 

Haver Analytics

Trillions of US$ As Of: Feb-2013

5.1.11 Publically Held Federal Debt Outstanding

Trillions of US$
0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

0.8

1.0

2000 2002 2004 2006 2008 2010 2012

5.1.12 Foreign Holders of U.S. Federal Debt

Share Share

Source: U.S. Department of Treasury, 

Haver Analytics

As Of: Feb-2013

China

Japan

Euro Area

Other
0

6

12

18

24

30

36

0

3

6

9

12

15

18

2010 2011 2012 2013

Source: Bloomberg, L.P.

Percent As Of: 25-Mar-2013

5.1.13 Euro Area 10-Year Yield Spreads to German Debt

Percent

Greece (right axis)

Portugal (left axis)

Spain (left axis)

Italy (left axis)

France (left axis)
0

200

400

600

800

1000

0

200

400

600

800

1000

Jul:08 Jul:09 Jul:10 Jul:11 Jul:12

Source: JP Morgan, 

Haver Analytics

Basis Points As Of: 25-Mar-2013

5.1.14 Emerging Market Bond Spreads

Note: JP Morgan EMBI+ Sovereign 

Spreads indices for each region.

Basis Points

Latin America

Europe

Asia
0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

Dec:11 Mar:12 Jun:12 Sep:12 Dec:12 Mar:13

5.1.15 Dollar Index Volatility

Percent Percent

Source: Bloomberg, L.P.

As Of: 25-Mar-2013

Note: Dollar index represents 

30-day historical volatility.
0

5

10

15

20

0

5

10

15

20

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

Source: Bloomberg, L.P.

Percent As Of: 25-Mar-2013

5.1.16 Currency Implied Volatility

Percent

Currency VIX

1-Month Dollar-Yen

1-Month Euro-Dollar
70

80

90

100

110

120

130

140

150

70

80

90

100

110

120

130

140

150

Jul:08 Jul:09 Jul:10 Jul:11 Jul:12

Source: Federal Reserve, 

Haver Analytics

Index As Of: 25-Mar-2013

5.1.17 U.S. Dollar Exchange Rates

Note: 1-Jul-2008 = 100. *Other Important Trading Partners –

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

OITP*

Yen-Dollar
Change from

25-Mar-2012 to 

25-Mar-2013

Change from 

5-Year Low to 

25-Mar-2013

Major Economies

U.S. (S&P) 11% 129%

Euro (Euro Stoxx) 5% 46%

Japan (Nikkei) 25% 78%

U.K. (FTSE) 9% 82%

Selected Europe

Germany (DAX) 13% 115%

France (CAC) 7% 48%

Italy (FTSEMIB) -5% 27%

Spain (IBEX) -2% 37%

Emerging Markets

Brazil (Bovespa) -17% 86%

Russia (RTS) -12% 193%

India (Sensex) 8% 129%

China (Shanghai SE) -1% 36%

Hong Kong (Hang Seng) 8% 102%

5.1.18 Returns in Selected Equities Indices

Source: Capital IQ
1.0

1.5

2.0

2.5

3.0

3.5

4.0

5

10

15

20

25

30

2002 2004 2006 2008 2010 2012

5.1.19 S&P 500 Key Ratios

Percent Percent

Source: Bloomberg, L.P.

P/B Ratio 

(right axis)

P/E Ratio 

(left axis)

As Of: 25-Mar-2013
40

60

80

100

120

140

40

60

80

100

120

140

Jul:08 Jul:09 Jul:10 Jul:11 Jul:12

Source: Haver Analytics

Index As Of: 25-Mar-2013

5.1.20 Selected Equities Indices

Note: 1-Jul-2008 = 100.

Index

S&P 500

MSCI EM

Euro Stoxx 50

Nikkei 225
0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

Dec:11 Mar:12 Jun:12 Sep:12 Dec:12 Mar:13

VIX

5.1.21 Market Volatility

Percent Percent

Source: Capital IQ 

As Of: 25-Mar-2013
-1500

-1000

-500

0

500

1000

1500

-1500

-1000

-500

0

500

1000

1500

2010 2011 2012 2013

Source: Bloomberg, L.P.

Basis Points As Of: 25-Mar-2013

5.1.22 VIX Term Premium

Basis Points

Spread between 8-Month 

and 1-Month Forward Rates
2

3

4

5

6

7

8

24

28

32

36

40

2002 2004 2006 2008 2010 2012

Source: Energy Intelligence, Haver Analytics

Millions of Barrels/Day As Of: Feb-2013

5.1.23 Oil Production

Millions of Barrels/Day

OPEC (left axis)

United States (right axis)

Iran (right axis)
500

550

600

650

700

750

500

550

600

650

700

750

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

5.1.24 S&P GSCI Unleaded Gasoline Index

Index Index

Source: Capital IQ 

As Of: 25-Mar-2013
0

20

40

60

80

100

120

140

0

20

40

60

80

100

120

140

Jul:08 Jul:09 Jul:10 Jul:11 Jul:12

Source: Energy Information Administration, 

S&P, Wall Street Journal, Haver Analytics

Index As Of: 25-Mar-2013

5.1.25 Commodities

Note: 01-Jul-2008 = 100.

Index

Agriculture (S&P GSCI Agricultural Spot Index)

Industrial Metals (S&P GSCI Industrial Metals Spot Index)

Crude Oil

Natural Gas
1200

1300

1400

1500

1600

1700

1800

1900

2000

1200

1300

1400

1500

1600

1700

1800

1900

2000

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

Source: Wall Street Journal, Haver Analytics

Dollars/Troy Oz. As Of: 25-Mar-2013

5.1.26 Gold Prices

Dollars/Troy Oz.
0

100

200

300

400

500

600

700

0

500

1000

1500

2000

2500

3000

1960 1968 1976 1984 1992 2000 2008

5.1.27 Farmland Prices and Value of Crop Yield

US$ Per Acre US$ Per Acre

Source: USDA, 

FSOC calculations

Farmland

(left axis)

Crop Yield*

(right axis)

As Of: 2012

Note: *US$ value of crops grown per 

acre for corn, wheat, and soybeans. 

Land values estimated as of Aug-2012.
0

200

400

600

800

0

200

400

600

800

2002 2004 2006 2008 2010 2012

Source: S&P, Haver Analytics

Index As Of: Feb-2013

5.1.28 Agricultural Prices

Index

S&P GSCI Soybean Spot Index

S&P GSCI Wheat Spot Index

S&P GSCI Corn Spot Index
0

50

100

150

200

250

300

350

0

50

100

150

200

250

300

350

1967 1975 1983 1991 1999 2007

Source: BLS, Federal Reserve, 

Haver Analytics

Billions of US$ As Of: 2012

5.1.29 Agricultural Real Estate Debt Outstanding

Note: Dollars are presented 

using 2011 prices.

Billions of US$

Commercial Banks

Other

Life Insurance Companies

Farm Credit System
100

120

140

160

180

200

220

100

120

140

160

180

200

220

2000 2002 2004 2006 2008 2010 2012

Source: CoreLogic, FHFA, 

FSOC calculations

Index As Of: Jan-2013

5.1.30 National Repeat Sales Home Price Indices

Note: Gray bars signify NBER recessions.

Index

CoreLogic

(including 

distressed sales) CoreLogic

(excluding 

distressed sales)

FHFA
21

22

23

24

25

26

600

650

700

750

800

850

Mar:10 Sep:10 Mar:11 Sep:11 Mar:12 Sep:12

Value of Negative Equity in 

Residential Mortgages 

(left axis) 

Percent of 

Residential 

Mortgages with 

Negative Equity 

(right axis)

5.1.31 Mortgages with Negative Equity

Billions of US$ Percent

Source: CoreLogic

As Of: 2012 Q4
0

1

2

3

4

5

6

0

1

2

3

4

5

6

2000 2002 2004 2006 2008 2010 2012

Source: Mortgage Bankers Association, 

Haver Analytics

Percent As Of: 2012 Q4

5.1.32 Mortgage Delinquency and Foreclosure

Note: Percent of all mortgages.

Percent

Mortgage Foreclosure 

Inventory

Mortgage Payments

Past-Due 90+ Days
5.1.33 Mortgage Originations by Program

Share of Originations Share of Originations

Source: Inside Mortgage Finance

As Of: 2012

VA FHA

GSE

Private 

Portfolio and 

Securitized

0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

0.8

1.0

2002 2004 2006 2008 2010 2012
30

40

50

60

70

80

90

30

40

50

60

70

80

90

2007 2008 2009 2010 2011 2012

5.1.34 Mortgage Servicing Rights at U.S. Commercial Banks and Thrifts

Billions of US$ Billions of US$

Source: SNL Financial

As Of: 2012 Q4
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

2007 2008 2009 2010 2011 2012

Other Refinancing

FHA Streamline Refinancing

HARP Refinancing

Purchase

5.1.35 Mortgage Originations by Type

Trillions of US$ Trillions of US$

Source: Inside Mortgage 

Finance, HUD, CoreLogic

As Of: 2012
0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

0.8

1.0

2002 2004 2006 2008 2010 2012

5.1.36 Origination Volume by Credit Score

Share of Origination Volume Share of Origination Volume

Source: CoreLogic

As Of: 2012

Note: Includes first lien purchases only.

<600

600-660

660-700

700-720

720-760

>760
30

33

36

39

42

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

5.1.37 Average Debt-to-Income Ratio at Origination

Percent Percent

Source: CoreLogic

GSE

All Loans

Portfolio

GNMA

As Of: 2012

Note: Includes first lien purchases only.
5.1.38 Minimum Eligibility Standards for Government Purchase Loans

Source: HUD Handbook, Fannie Mae Eligibility Matrix

FHA FANNIE MAE

Minimum Manual 

Underwriting Standards

Minimum Manual 

Underwriting Standards

Purchase, 1-unit, Fixed-rate 

with No Minimum Reserves

Purchase, 1-unit, Fixed-rate 

with No Minimum Reserves

FICO* ≥ 580 FICO ≥ 620

Debt-toIncome ≤ 43% Debt-toIncome ≤ 36%

Loan-toValue ≤ 96.5% Loan-toValue ≤ 75%

*Required for a maximum LTV of 96.5%. FHA will accept FICO 

scores between 500 and 579 with a maximum LTV of 90%.
-35

-30

-25

-20

-15

-10

-5

0

5

10

-35

-30

-25

-20

-15

-10

-5

0

5

10

2006 2007 2008 2009 2010 2011 2012

Source: SNL Financial

Billions of US$ As Of: 2012 Q4

5.1.39 GSE Net Income

Billions of US$

Fannie Mae

Freddie Mac
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 2002 2004 2006 2008 2010 2012

Nonagency

Agency

5.1.40 Issuance of RMBS

Trillions of US$ Trillions of US$

Source: Thomson Reuters, Dealogic, 

Fannie Mae, Freddie Mac, SIFMA

As Of: 2012
0

50

100

150

200

250

0

50

100

150

200

250

2001 2003 2005 2007 2009 2011

Agency

Non-Agency

5.1.41 CMBS New Issuance

Billions of US$ Billions of US$

Source: Commercial Mortgage Alert

As Of: 2012
0

50

100

150

200

250

0

50

100

150

200

250

Mar:11 Jul:11 Nov:11 Mar:12 Jul:12 Nov:12 Mar:13

Non-Agency AAA 

CMBS Spread

5.1.42 CMBS Senior Debt Spreads

Basis Points Basis Points

Source: Barclays

As Of: 21-Mar-2013

Note: Spread of Non-Agency 3.0 

AAA 5-Year CMBS to Swaps.
0

100

200

300

400

500

600

0

100

200

300

400

500

600

2013 2014 2015 2016 2017 2018

Insurance Companies

CMBS

GSEs and Fed-Related Mortgage Pools

Commercial Banks and 

Savings Institutions

5.1.43 CRE Refinancing

Billions of US$ Billions of US$

Source: Flow of Funds, 

Barclays, Trepp

As Of: 2012

Note: Issuance and distribution of maturities for 

commercial banks and savings institutions, insurance 

companies, and GSEs and Fed-related mortgage 

pools are estimated.
20

30

40

50

60

70

80

90

100

110

20

30

40

50

60

70

80

90

100

110

Mar:08 Mar:09 Mar:10 Mar:11 Mar:12

5.1.44 Commercial Property Price Indices

Index Index

Source: Real Capital Analytics, 

Moody’s Investors Service

Moody’s/RCA CPPI – Non-Distressed, National

Moody’s/RCA CPPI – National

Moody’s/RCA CPPI – Non-Distressed, Major Markets

Note: Mar-2008 = 100.

Moody’s/RCA CPPI – Major Markets

As Of: Oct-2012
0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

BAC C JPM WFC GS MS Comm.

Banks

5.2.1 Large Bank Holding Company Liability Structure

Source: FDIC, 

FR Y-9C

Share of Total Share of Total

Capital

Debt >1yr

Insured Deposits

Uninsured Domestic Deposits

Foreign Deposits

Debt <1yr

Repo

Other*

As Of: 2012 Q4

Note: *Other = commercial paper, derivative payables, securities sold 

short and everything categorized as “Other” reported in FR Y-9C.
0

1000

2000

3000

4000

5000

6000

7000

0

10

20

30

40

50

1990 1994 1998 2002 2006 2010

Source: Flow of Funds, ICI, U.S. 

Department of Treasury, Haver Analytics

Percent As Of: 2012 Q4

5.2.2 Wholesale Cash Investors

Billions of US$

Long-Term Mutual Funds

Securities Lending Reinvestments

Nonfinancial Corporations

Money Market Mutual Funds

Wholesale Cash Pools 

as a Percent of GDP

(left axis)

right axis
40

60

80

100

120

140

160

4

5

6

7

8

9

10

2003 2005 2007 2009 2011

Source: FDIC, Federal Reserve, 

Haver Analytics

Trillions of US$ As Of: 2012 Q4

5.2.3 Composition of Bank Short-Term Funding

Percent

Short-Term 

Wholesale Funding 

(left axis)

Wholesale as a Percent 

of Retail Deposits 

(right axis) Retail Deposits 

(left axis)
0

20

40

60

80

100

120

0

20

40

60

80

100

120

5.2.4 Premium for Borrowing Dollars for 1 Year

Basis Points Basis Points

Source: Bloomberg, L.P.

vs. Euros

vs. Yen

As Of: 25-Mar-2013
0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

2005 2006 2007 2008 2009 2010 2011 2012 2013

Source: Federal Reserve, Haver Analytics

Trillions of US$ As Of: Feb-2013

5.2.5 Commercial Paper Outstanding

Trillions of US$

Corporate Issuers

Financial Issuers

ABCP
Trillions of US$

0

1

2

3

4

5

0

1

2

3

4

5

2002 2004 2006 2008 2010 2012

5.2.6 Value of the Repo Market

Trillions of US$

Note: Limited data were provided by clearing 

banks prior to April 2008. These figures are 

estimates based on the data provided. Gray bar 

signifies NBER recession.

As Of: Feb-2013

Tri-Party Repo 

Market

FR 2004 Primary 

Dealer Repo

Source: FRBNY, Haver Analytics
0

1

2

3

4

5

0

1

2

3

4

5

1995 1997 1999 2001 2003 2005 2007 2009 2011 2013

Primary Dealer Overnight/Continuing 

Repo Agreements

Primary Dealer Term Repo 

Agreements

5.2.7 Primary Dealer Repo Agreements

Trillions of US$ As Of: 20-Mar-2013 Trillions of US$

Source: FRBNY
5.2.8 Tri-Party Repo Collateral Distribution 

Source: FRBNY, 

Haver Analytics

Treasury STRIPS 

(2.4%)

Agency MBS 

(38.2%)

Treasuries

(32.4%)

Equities (6.0%)

ABS (2.2%)

Private Label CMOs 

(1.9%)

Corporate Debt 

(3.6%)

Other 

(2.3%)

Agency 

CMOs 

(5.6%)

Agency Debt 

(5.4%)

As Of: Feb-2013
5.2.9 Securities Lending Loans by Industry

Source: Markit 

Group Limited

Central Banks 

(13%)

Other 

(19%)

Mutual Funds 

(18%)

As Of: 25-Mar-2013

Pension Funds 

(12%)

Public Pension 

Funds 

(9%)

Insurance 

Companies 

(8%)

Banks 

(10%)

U.S. Public 

Funds (6%)

Quasi-Government 

Bodies (5%)
0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

2008 2009 2010 2011 2012 2013

5.2.10 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: 25-Mar-2013
0

50

100

150

200

250

0.0

0.3

0.6

0.9

1.2

1.5

1.8

2000 2002 2004 2006 2008 2010 2012

5.2.11 Securities Lending Cash Reinvestment

Trillions of US$ Days

Source: The Risk Management Association

Mean WAM 

(right axis)

Median WAM 

(right axis)

As Of: 2012 Q4

Note: WAM = Weighted 

Average Maturity.

Total Cash Reinvestment 

(left axis)
-1200

-900

-600

-300

0

300

600

900

1200

-1200

-900

-600

-300

0

300

600

900

1200

2006 2007 2008 2009 2010 2011 2012

Source: FR Y-9C

Billions of US$ As Of: 2012

5.3.1 Aggregate BHC Pre-Tax Income

Billions of US$

Noninterest Income

Net Interest Income

Total Pre-Tax Income

Provisions

Noninterest Expense

Realized Gains/Losses on Investments
-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

1996 1998 2000 2002 2004 2006 2008 2010 2012

Source: FR Y-9C

Percent As Of: 2012 Q4

5.3.2 Return on Average Assets for BHCs > $10B

Percent

1996-2012 Average
2.0

2.4

2.8

3.2

3.6

4.0

2.0

2.4

2.8

3.2

3.6

4.0

2000 2002 2004 2006 2008 2010 2012

5.3.3 Net Interest Margins for BHCs > $10B

Percent Percent

2000-2012 Average

Net Interest Margin

As Of: 2012 Q4

Source: FR Y-9C
5.3.4 Maturity Gap at Large Banks

Density

Source: Federal 

Reserve 

As Of: 2012 Q4

0.00

0.05

0.10

0.15

0.20

0.25

0.00

0.05

0.10

0.15

0.20

0.25

-5 0 5 10 15

2010: Q4

2012: Q4

2003: Q3

Years

Note: Large banks are defined as those with assets exceeding $50 billion. 

Approximations are based on the midpoint of the ranges available on Call 

Reports. Liquid deposits are assumed to have a maturity of 1 year.

Density
5.3.5 Maturity Gap at Small Banks

Density

Source: Federal 

Reserve

As Of: 2012 Q4

0.00

0.05

0.10

0.15

0.20

0.25

0.00

0.05

0.10

0.15

0.20

0.25

-5 0 5 10 15 20

Years

2010: Q4

2012: Q4

2003: Q3

Density

Note: Small banks are defined as those with assets less than $50 billion. 

Approximations are based on the midpoint of the ranges available on Call 

Reports. Liquid deposits are assumed to have a maturity of 1 year.
40

45

50

55

60

10

20

30

40

50

5.3.6 KBW Bank Index and Implied Volatility

Index Percent

Source: Bloomberg, L.P.

KBW Bank Index 

(left axis)

30-Day Implied Volatility 

of KBW Bank Index 

(right axis)

As Of: 25-Mar-2013
5.3.7 Average P/B and P/E Ratios of 6 Large Complex BHCs

Source: Bloomberg, L.P.

0

10

20

30

40

50

60

70

0

1

2

3

4

5

6

2000 2002 2004 2006 2008 2010 2012

P/B Ratio As Of: 25-Mar-2013 P/E Ratio

P/B Ratio 

(left axis)

Long-Term 

Average P/E 

(right axis)

Long-Term 

Average P/B 

(left axis)

P/E Ratio 

(right axis)

Note: Market-cap weighted average 

of BAC, C, GS, JPM, MS, WFC.
Basis Points

0

100

200

300

400

0

100

200

300

400

Jul:09 Jan:10 Jul:10 Jan:11 Jul:11 Jan:12 Jul:12 Jan:13

5.3.8 CDS Spreads of 6 Large Complex BHCs

As Of: 25-Mar-2013 Basis Points

Source: Markit Group Limited

Note: Equal-weighted average 

of BAC, C, GS, JPM, MS, WFC.
0

10

20

30

40

50

60

0

10

20

30

40

50

60

Feb:05 Feb:07 Feb:09 Feb:11 Feb:13

5.3.9 Systemic Risk Measures

Source: Federal Reserve, Markit Group 

Limited, Bloomberg, L.P., Compustat

As Of: Feb-2013

CoVaR

SES

DIP

Index Index

Note: Measures are standardized 

by their historical volatility.
10.67

11.46

0.19

0.63

0.78

7

8

9

10

11

12

13

14

7

8

9

10

11

12

13

14

Tier1 Common

(4Q11)

RWA Change

Impact

Net Issuance

of Stock

Retained

Earnings

Other

Adjustments

Tier1 Common

(4Q12)

Source: FR Y-9C

Percent of RWA As Of: 2012 Q4

5.3.10 Change in Tier 1 Common Ratios for Aggregate U.S. BHCs

Note: Domestically owned BHCs.

Percent of RWA

(0.80)
10

15

20

25

10

15

20

25

1995 1998 2001 2004 2007 2010

Source: FR Y-9C, SNL Financial, FSOC calculations

Percent As Of: 2012 Q4

5.3.11 Consolidated Liquidity Ratio* for Top 50 BHCs

Note: *Liquidity Ratio = sum of Cash & Due From, FFS, Repos, U.S. Treasuries, U.S. Gov. Agencies 

and U.S. Gov. Sponsored Agencies divided by Total Assets. Top 50 BHCs by asset size.

Percent

+2 Standard Deviation

+1 Standard Deviation

Average (17.3%)

-1 Standard Deviation

Liquidity Ratio*
0

20

40

60

80

100

0 20 40 60 80 100

5.3.12 Non-Core Funding* Relative to Liquid Assets**

*Non-core funding includes time deposits > $100K, foreign deposits, brokered deposits < 100K, 

CP, other borrowed money, FF and repo, other liabilities. **Liquid assets includes cash and cash 

equivalents, trading assets, Treasury and Agency HTM and AFS securities, FF and reverse repo.

As Of: 2012 Q4

WFC

Source: FR Y-9C

Non-Core Funding as a % of Total Liabilities

Liquid Assets as a % of Total Assets

Percent

Percent

BAC

JPM C

MS

GS
5.3.13 Nonperforming Loans (30-89 Days)

Source: FR Y-9C

0

1

2

3

4

0

1

2

3

4

Mar:09 Dec:09 Sep:10 Jun:11 Mar:12 Dec:12

Percent Percent

Residential

As Of: 2012 Q4

Other Consumer

C&I

Credit Card

Total NPLs

CRE
5.3.14 Nonperforming Loans (90+ Days and Nonaccrual)

Source: FR Y-9C

0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

Mar:09 Dec:09 Sep:10 Jun:11 Mar:12 Dec:12

Percent Percent

Residential

As Of: 2012 Q4

Other Consumer

C&I

Credit Card

Total NPLs

CRE
5.3.15 Allowance for Loan/Lease Losses as a Multiple of Charge-offs

Source: FR Y-9C

0

2

4

6

8

10

0

2

4

6

8

10

2009 2010 2011 2012

Multiple of Charge-offs Multiple of Charge-offs

Allowance as a 

Multiple of Quarterly 

Charge-offs

Allowance as a 

Multiple of Peak 

Charge-offs

As Of: 2012 Q4

Note: Charge-offs are quarterly. Peak charge-offs are 

from 2010 Q1. Data pertains to the 18 CCAR BHCs.
5.3.16 U.S. Unemployment Rate: Actual vs. Stress Scenarios

Source: BLS, 

Federal Reserve

0

3

6

9

12

15

0

3

6

9

12

15

2007 2009 2011 2013 2015

Percent As Of: 2012 Q4 Percent

Note: Actual unemployment rate is quarterly average of 

monthly data. The remaining series are unemployment 

rate trajectories in the respective stress scenarios.

Actual Unemployment Rate

SCAP

CCAR 2011

CCAR 2012

CCAR 2013
0

2

4

6

8

10

12

0

2

4

6

8

10

12

Actual Q3:12 Stressed Q4:14 Stressed Q4:14

5% CCAR 

Target DFAST

CCAR 2013

5.3.17 Initial and Stressed Tier 1 Common Capital Ratios

Percent Percent

Source: Federal 

Reserve, FRBNY

As Of: 25-Mar-2013

Note: Aggregate ratios of 18 participating BHCs. 

Stressed estimates are supervisory estimates. 
0

1

2

3

4

5

0

100

200

300

400

500

600

1980 1985 1990 1995 2000 2005 2010

Source: BEA, FDIC, 

Haver Analytics

Number of Institutions As Of: 2012

5.3.18 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

2006 2007 2008 2009 2010 2011 2012

5.3.19 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: 2012

Noninterest Income

Net Interest Income

Noninterest Expense

Provisions

Realized Gains/Losses on Investments

Total Pre-Tax Income
0

10

20

30

40

50

60

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

1984 1988 1992 1996 2000 2004 2008 2012

Source: FDIC, Haver Analytics

Percent As Of: 2012 Q4

5.3.20 Net Charge-offs and Noncurrent Loans

Note: All FDIC-insured institutions.

Percent

Net Charge-offs to 

Loans and Leases 

(left axis)

Noncurrent Loans and Leases to 

Tier 1 Capital and Reserves 

(right axis)
63

66

69

72

75

78

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

1990 1994 1998 2002 2006 2010

Source: FDIC, Haver Analytics

Percent As Of: 2012 Q4

5.3.21 Risk-Weighted Assets and Return on Assets

Note: All FDIC-insured institutions.

Percent

Risk-Weighted Assets as a Percent of 

Total Assets (right axis)

Return on Assets (left axis)
5.3.22 Concentration of Credit Union Assets

Source: NCUA

0

100

200

300

400

500

0

10

20

30

40

50

2005 2006 2007 2008 2009 2010 2011 2012

Percent As Of: 2012 Q4 Billions of US$

Assets of 100 

Largest CUs 

(right axis)

Assets of 10 

Largest CUs 

(right axis)

Assets of 10 Largest CUs 

as a Percent of Total 

(left axis)

Assets of 100 Largest 

CUs as a Percent of Total 

(left axis)

Note: Largest by asset size.
-60

-45

-30

-15

0

15

30

45

60

-60

-45

-30

-15

0

15

30

45

60

2006 2007 2008 2009 2010 2011 2012

Noninterest Income

Net Interest Income

Noninterest Expense

Provisions

Realized Gains/Losses on Investments

Net Income

5.3.23 Federally Insured Credit Union Income

Billions of US$ Billions of US$

Source: NCUA

As Of: 2012
45

50

55

60

65

70

20

25

30

35

5.3.24 Credit Union Deposits

Percent Percent

Source: NCUA

Interest Sensitive 

Deposit Share 

(left axis)

Money Market and 

IRA Deposit Share 

(right axis)

As Of: 2012 Q4
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

2004 2005 2006 2007 2008 2009 2010 2011 2012

Source: Federal Reserve, 

Haver Analytics

Trillions of US$ As Of: 2012 Q3

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

Note: *Includes government securities, assetbacked securities, and other trading assets.

Trillions of US$

Non C&I Loans

C&I Loans

Net Due From Related 

Depository Institutions

Other Assets*

Securities Purchased 

with Repurchase 

Agreements & Fed 

Funds Sold
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

2004 2005 2006 2007 2008 2009 2010 2011 2012

Source: Federal Reserve, 

Haver Analytics

Trillions of US$ As Of: 2012 Q3

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

Note: *Includes transaction accounts, nontransaction accounts, and other borrowed money.

Trillions of US$

Deposits & Credit Balances

Net Due to Related 

Depository Insitutions

Other Liabilities*

Securities Sold with 

Repurchase 

Agreements & Fed 

Funds Purchased
-100

0

100

200

300

400

500

600

700

-100

0

100

200

300

400

500

600

700

2001 2003 2005 2007 2009 2011

Trading/Investment 

Gains/Losses

Underwriting Revenue

Mutual Fund Sale Revenue

Commissions

Asset Management Fees

Other Securities 

Business Revenue

Other Revenue

Margin Interest

5.4.1 Broker-Dealer Revenues

Billions of US$ Billions of US$

Source: SIFMA DataBank, FINRA

As Of: 2012
15

20

25

30

35

40

45

0

1

2

3

4

5

6

7

8

2001 2003 2005 2007 2009 2011

Total Assets (left axis)

5.4.2 Broker-Dealer Assets and Leverage

Trillions of US$ Leverage Ratio

Source: SIFMA DataBank, FINRA

Note: Leverage is total assets 

as a multiple of equity.

Leverage 

(right axis)

As Of: 2012 Q4
-200

-100

0

100

200

300

400

Jul:01 Jul:03 Jul:05 Jul:07 Jul:09 Jul:11

-200

-100

0

100

200

300

400

5.4.3 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: 20-Mar-2013
240

270

300

330

360

-60

-40

-20

0

20

40

60

2006 2007 2008 2009 2010 2011 2012

5.4.4 Life and Other Insurance: Capital and Net Income

Billions of US$ Billions of US$

Source: NAIC

Capital (right axis)

Net Income (left axis)

Note: Includes accident and health.

As Of: 2012
4.0

4.5

5.0

5.5

6.0

6.5

0.5

0.7

0.9

1.1

1.3

1.5

5.4.5 Life Insurers: Impact of Low Rate Environment

Percent Percent

Source: NAIC, SNL Financial

Investment Yield

(left axis)

Required Interest Rate

(left axis)

Investment Yield Minus 

Required Interest Rate

(right axis)

As Of: 2012
0

20

40

60

80

400

450

500

550

600

650

5.4.6 Property and Casualty Insurance: Capital and Net Income

Billions of US$ Billions of US$

Source: NAIC

Capital 

(right axis) Net Income 

(left axis)

As Of: 2012
0.4

0.6

0.8

1.0

1.2

1.4

0.4

0.6

0.8

1.0

1.2

1.4

2001 2003 2005 2007 2009 2011 2013

Source: Federal Reserve, 

Haver Analytics

Trillions of US$ As Of: Feb-2013

5.4.7 Consumer Loans Outstanding

Note: Loans owned and securitized. Series break in December 2010 

for consumer loans outstanding at finance companies due to change 

in data collection methodology. Gray bars signify NBER recessions.

Trillions of US$

Commercial Banks

Finance Companies
0.0

0.3

0.6

0.9

1.2

1.5

1.8

0.0

0.3

0.6

0.9

1.2

1.5

1.8

2001 2003 2005 2007 2009 2011 2013

Source: Federal Reserve, 

Haver Analytics

Trillions of US$ As Of: Feb-2013

5.4.8 Business Loans Outstanding

Trillions of US$

Commercial Banks

Finance Companies

Note: Loans owned and securitized. Series break in December 2010 

for business loans outstanding at finance companies due to change 

in data collection methodology. Gray bars signify NBER recessions.
0

50

100

150

200

250

0

50

100

150

200

250

2008 2009 2010 2011 2012

Credit Card

Student Loans

Auto

Home Equity

Other

Equipment

5.4.9 ABS Issuance

Billions of US$ Billions of US$

Source: Thomson Reuters, SIFMA

As Of: 2012
C.1 Convexity Risk

Note: At low yields (relative to the coupon), MBS display negative convexity because price increases are 

more limited as market yields fall, due to borrowers’ prepayment options being “in the money.” This 

contrasts with the positive convexity of non-callable bonds, for which price gains increase as market 

yields fall.

Yield

Price

Positive Convexity

Negative Convexity

Mortgage Treasury
C.2 Outstanding Agency MBS by Holders

Source: Fannie Mae, 

Freddie Mac, SIFMA, 

Federal Reserve, FSOC 

calculations

Federal Reserve 

(15.5%)

Depository 

Institutions* 

(24.3%)

Mutual Funds 

(17.0%) Foreign 

(13.9%)

Pension Funds

(5.5%)

Agency REITs 

(4.8%)

Insurance 

(6.1%)

Other 

(4.6%)

Note: *Includes foreign 

banking offices in the 

U.S. and banks in U.S.-

affiliated areas.

State and 

Local Gov’t 

(4.2%)

GSEs 

(4.1%)

As Of: 2012 Q3
180

200

220

240

260

280

0

1

2

3

4

5

Jan:03 Mar:03 May:03 Jul:03 Sep:03 Nov:03

Treasury 10Y Yield 

(left axis)

Treasury 2Y Yield 

(left axis)

10Y/2Y Spread 

(right axis)

C.3 2003 Convexity Event

Basis Points

Source: U.S. Department of Treasury

Percent As Of: 31-Dec-2003
0

50

100

150

200

250

300

0

50

100

150

200

250

300

Jan:10 Jul:10 Jan:11 Jul:11 Jan:12 Jul:12 Jan:13

5.4.10 Selected ABS Spreads

Basis Points Basis Points

Source: Barclays

Auto Fixed 

BBB 3-Year

Credit Card Fixed 

BBB 3-Year

Auto Fixed 

AAA 3-Year

Credit Card Fixed AAA 3-Year

As Of: 21-Mar-2013

Note: Spreads to Treasury securities.
As Of: 2012 Q4

0

5

10

15

20

0

50

100

150

200

250

300

350

400

2001 2003 2005 2007 2009 2011

5.4.11 Total Agency REIT Assets

Billions of US$ Percent

Source: Bloomberg, L.P.

Assets to Equity Ratio* 

(right axis)

Total Assets (left axis)

Note: *Weighted by market capitalization.
-100

0

100

200

300

-1

0

1

2

3

2001 2003 2005 2007 2009 2011

5.4.12 Agency REITs: Return on Assets

Percent Basis Points

2Y/10Y Treasury Spread 

(right axis)

Average ROA* 

(left axis)

As Of: 2012 Q4

Source: Bloomberg, L.P. Note: *Weighted by market capitalization.
0.0

0.4

0.8

1.2

1.6

2.0

0.0

0.4

0.8

1.2

1.6

2.0

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

5.5.1 MMF Assets by Fund Type

Trillions of US$ Trillions of US$

Source: SEC

Prime

Government 

and Treasury

Tax-Exempt

As Of: Feb-2013
20

25

30

35

40

45

50

20

25

30

35

40

45

50

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

5.5.2 Prime Funds Liquidity

Percent of Total Assets Percent of Total Assets

Source: SEC 

As Of: Feb-2013

Daily Liquidity

Weekly Liquidity
Note: *Weighted average lives, weighted by size of fund.

5.5.3 MMF Weighted Average Life*

Source: SEC

60

65

70

75

80

85

60

65

70

75

80

85

Jan:11 May:11 Sep:11 Jan:12 May:12 Sep:12 Jan:13

Days Days

Prime

All Funds

As Of: Feb-2013
0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

2000 2002 2004 2006 2008 2010 2012

Source: ICI, Haver Analytics

Trillions of US$ As Of: Feb-2013

5.5.4 Total Assets of Mutual Funds

Trillions of US$

Hybrid Funds

Total Bond Funds

Money Market Funds

Equity Funds
-100

-50

0

50

100

150

200

250

300

-100

-50

0

50

100

150

200

250

300

5.5.5 Mutual Fund Flows by Asset Class (Mar-2012 to Feb-2013)

Billions of US$ Billions of US$

Source: Morningstar

As Of: Feb-2013

Note: *Includes sector stock 

funds with int’l exposure.
-25

0

25

50

75

100

125

-25

0

25

50

75

100

125

5.5.6 Mutual Fund Taxable Bond Flows (Mar-2012 to Feb-2013)

Billions of US$ Billions of US$

Source: Morningstar

As Of: Feb-2013
Billions of US$

-550

-300

-50

200

450

700

950

1200

-550

-300

-50

200

450

700

950

1200

2008 2009 2010 2011 2012

Fixed Income

Money Market

Other

Equity

5.5.7 Annual Net Worldwide Fund Flows

Billions of US$

Source: Morningstar

As Of: 2012
800

1000

1200

1400

1600

1800

0

50

100

150

200

250

300

2009 2010 2011 2012

5.5.8 Mutual Fund Holdings

Billions of US$ Billions of US$

Source: Flow of Funds, S&P LCD, Lipper

Corporate and Foreign Bonds (right axis) 

As Of: 2012

High-Yield Bonds (left axis)

Institutional Loans (left axis)
0

4

8

12

16

20

0

4

8

12

16

20

Dec:06 Dec:07 Dec:08 Dec:09 Dec:10 Dec:11

Source: Flow of Funds, Haver Analytics

Trillions of US$ As Of: 2012 Q3

5.5.9 Retirement Fund Assets by Plan Type

Trillions of US$

Private Defined Benefit Plans

Individual Accounts

Private Defined Contribution Plans

State and Local

Federal
5.5.10 Public and Private Pension Funding Level

Source: Goldman Sachs Asset Management, 

Public Fund Survey, NASRA, NCTR

60

70

80

90

100

110

120

2002 2004 2006 2008 2010 2012

Percent Percent

Public Defined 

Benefit Plans

Private Defined 

Benefit Plans

As Of: 2012

Note: 2012 figures 

are preliminary.
0.0

0.5

1.0

1.5

2.0

0.0

0.5

1.0

1.5

2.0

2000 2002 2004 2006 2008 2010 2012

Existing Investments

Undeployed Capital

5.5.11 U.S. Private Equity AUM

Trillions of US$ Trillions of US$

Source: Preqin

As Of: 2012 Q3

YTD
5.5.12 U.S. Private Equity AUM by Strategy 

Source: Preqin

Venture Capital 

(13%)

Leveraged 

Buyouts 

(39%)

Real Estate 

(17%) As Of: 30-Sep-2012.

Distressed 

Capital 

(10%)

Infrastructure 

(5%)

Mezzanine 

(5%)

Other 

(9%)

Growth 

(1%)
-500

-250

0

250

500

-500

-250

0

250

500

2003 2005 2007 2009 2011

Net Inflows

Performance Return

5.5.13 Change in Hedge Fund AUM

Billions of US$ Billions of US$

Source: Hedge Fund Research, Inc.

As Of: 2012
-2.5

0

2.5

5

7.5

10

12.5

-500

0

500

1000

1500

2000

2500

Number of Funds 

(right axis)

Estimated Assets (left axis)

Net Asset Flows (left axis)

5.5.14 Hedge Fund Assets and Net Asset Flows

Billions of US$ Thousands of Funds

Source: Hedge Fund Research, Inc.

As Of: 2012
-10

-5

0

5

10

15

20

25

-10

-5

0

5

10

15

20

25

$1-5 Billion

>$5 Billion

<$1 Billion

5.5.15 Hedge Fund Net Asset Flows by AUM

Billions of US$ Billions of US$

Source: Hedge Fund Research, Inc.

As Of: 2012 Q4
-3

0

3

6

9

12

15

-3

0

3

6

9

12

15

2012 Return

2012 Sharpe Ratio

5.5.16 Hedge Fund Performance by Strategy

Percent Percent

Source: Hedge Fund Research, Inc. 

As Of: 2012
0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

2002 2004 2006 2008 2010 2012

5.5.17 ETP Net Assets by Product Type

Trillions of US$ Trillions of US$

Source: Morningstar

As Of: Feb-2013

Exchange-Traded Fund

Exchange-Traded Vehicle

Exchange-Traded Note
-20

-10

0

10

20

30

40

50

60

-20

-10

0

10

20

30

40

50

60

2002 2004 2006 2008 2010 2012

Exchange-Traded Note

Exchange-Traded Vehicle

Exchange-Traded Fund

5.5.18 ETP Net Flows by Product Type

Billions of US$ Billions of US$

Source: Morningstar

As Of: Feb-2013
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

Source: BIS, Haver Analytics

Trillions of US$ As Of: 2012 Q2

5.6.1 Global OTC Derivatives Market

Trillions of US$

Credit Default Swaps

FX Contracts

Equity-linked Contracts

Commodity Contracts

Interest Rate Contracts

Unallocated

Note: Notional values.
0

20

40

60

80

100

0

20

40

60

80

100

2000 2002 2004 2006 2008 2010 2012

Source: BIS, Haver Analytics

Trillions of US$ As Of: 2012 Q4

5.6.2 Global Exchange-Traded Derivatives

Note: Notional values.

Trillions of US$

Equity Linked Contracts

Foreign Exchange Contracts

Interest Rate Contracts
0

200

400

600

800

1000

0

200

400

600

800

1000

1998 2002 2006 2010

Source: BIS, Haver Analytics

Indexed Growth As Of: 2012 Q4

5.6.3 Global OTC and Exchange-Traded Derivatives Growth

Note: Notional values, indexed 

such that 1998 Q2 = 100.

Indexed Growth

OTC

Exchange Traded
0

5

10

15

20

25

30

0

5

10

15

20

25

30

2006 2007 2008 2009 2010 2011 2012

North America

Rest of World

5.6.4 Exchange-Traded Derivatives Globalization

Billions of Contracts Traded Billions of Contracts Traded

Source: Futures Industry Association

As Of: 2012
5.6.5 Credit Derivatives Market

Source: DTCC

Non Dealer vs 

Non Dealer

(1%)

Dealer vs Dealer

(61%)

Dealer vs Non Dealer 

(38%)

As Of: 22-Mar-2013

Note: Percentages based off 

of total notional outstanding.

Total = $23.7 Trillion
Total = $536.8 Trillion

5.6.6 Interest Rate Derivatives Market

Source: DTCC

Dealer vs 

Non Dealer 

(27%)

Dealer vs CCP

(58%)

Dealer vs Dealer 

(15%)

As Of: 22-Mar-2013

Note: Percentages based off 

of total notional outstanding.
5.6.7 Notional Amounts Outstanding on CCPs by Asset Class

Notional Amounts Outstanding on CCPs

(as reported by CCPs participating in FSB survey)

(USD equivalents, in billions)

ASSET CLASS 31-Dec-2010 31-Dec-2011 30-June-2012

Credit 1,231 1,645 1,800

Commodities 25 17 13

Equity 11 2.8 2.4

FX 73 93 124

Interest Rates 124,398 142,088 152,972

TOTAL 125,738 143,846 154,911

Source: FSB

Note: Not all CCPs participating in survey provided data for all time 

periods. Where conversion to USD was necessary, exchange rates for 

a given currency on 31-Dec-2010, 31-Dec-2011, and 30-June-2012 

were used.
0

50

100

150

200

250

300

350

400

0

25

50

75

100

125

150

175

200

225

2007 2008 2009 2010 2011 2012 2013

Open Interest (right axis)

5.6.8 SwapClear Volume

Thousands of Trade Sides Trillions of US$

Source: LCH.Clearnet

Monthly Registration (left axis)

As Of: Feb-2013
0

200

400

600

800

1000

0

5

10

15

20

25

Mar:09 Mar:10 Mar:11 Mar:12 Mar:13

Source: ICE, Bloomberg, L.P., 

FSOC calculations

Thousands of Trades As Of: 25-Mar-2013

5.6.9 ICE Clear Credit

Note: Only trading days shown. Nondollar denominated contracts converted 

using end of day exchange rates.

Billions of US$

Open Interest (right axis)

Monthly Registration 

(left axis)
0

150

300

450

600

750

0

5

10

15

20

25

Jul:09 Mar:10 Nov:10 Jul:11 Mar:12 Nov:12

Source: ICE, FSOC calculations

Thousands of Trades As Of: 25-Mar-2013

5.6.10 ICE Clear Europe

Note: Only trading days shown.

Billions of Euros

Open Interest (right axis)

Monthly Registration 

(left axis)
Note: Data for government and corporate debt are as of 2011 Q2. 

Data for supranational debt, covered bonds, and gold are as of end2010. Data for U.S. agency debt and securitization are as of 2011 Q3.

D.1 Outstanding Amounts of Marketable Potentially Safe Assets

Source: IMF citing BIS, 

Dealogic, ECBC, SIFMA, S&P, 

WGC, IMF staff estimates

Supranational Debt 

(1%)

AAA/AA OECD 

Government 

Securities 

(45%)

A/BBB OECD 

Government 

Securities (7%)

U.S. Agency 

Debt (3%)

Covered Bonds 

(4%)

Corporate Debt 

(Investment Grade) 

(11%)

ABS, MBS, Other 

Securitization 

(17%)

Gold 

(11%)

Total = $74.4 Trillion
D.2 Compilation of Potential Impact on Global Eligible Collateral

Regulatory Change

Estimate

(in trillions 

of US$)

Proportion of 

Global 

Collateral 

Stock ($74T) Comments

1

CCP Swap Market –

Incremental Initial 

Margin

-$0.3 -0.3%

Incremental cleared swaps $252T. Initial 

margin on cleared derivatives equals roughly 

0.1% of gross against $252T newly clearable 

derivatives.

2 Non-Centrally Cleared 

– New Initial Margin -$0.9 -1.3%

Based on survey of 2012 Q2 and future state. 

Future non-centrally cleared, globalized 

equals $295T. Compiled where thresholds are 

€50 million. Initial margin estimate based on 

modeled calculations and as if all non-cleared 

came under margin immediately. 

3 Basel III LCR Liquidity 

– Needs -$2.3 -3.1%

Available regulatory 30-Jun-2011 estimate of 

dollar impact would overestimate eventual 

application of January 2013 revised LCR. 

Ongoing new QIS.

Compilation of 

Incremental 

Collateral Needs – A 

Net Use

-$3.5 -4.8%

Margin assumes a short range future state 

with zero thresholds and rule applied at once. 

This LCR overestimates eventual impact of 

January 2013 revisions and is applied at once.

Source: FSB, 

BIS, IOSCO

Note: Negative numbers indicate uses, or 

demands, of collateral. $1.32 = €1 at 31-Dec-2012.
0

100

200

300

400

500

600

700

0

100

200

300

400

500

600

700

7.1.1 Total MMF Repo Holdings

Billions of US$ Billions of US$

Source: Flow of Funds, Haver Analytics

As Of: 2012 Q4
0

5

10

15

20

25

30

0

5

10

15

20

25

30

7.1.2 Repo Funding by MMFs

Percent Percent

Source: Flow of Funds, Haver Analytics

Share of MMF Funding 

of Dealer Repo

Share of Repo in 

Total MMF Assets

As Of: 2012 Q4
0

4

8

12

16

20

0

4

8

12

16

20

1920 1930 1940 1950 1960 1970 1980 1990 2000 2010

Source: Federal Reserve, Haver Analytics

Percent As Of: Feb-2013

7.4.1 Historical Bond Yields

Percent

Moody's Seasoned Baa

Moody's Seasoned Aaa

10-Year Constant Maturity Treasury

3-Month Treasury Bills, Secondary 

Market
0

1

2

3

4

5

6

7

0

1

2

3

4

5

6

7

2000 2002 2004 2006 2008 2010 2012 2014 2016

7.4.2 Federal Funds Rate

Percent Percent

Implied Rate

Effective Rate

As Of: 25-Mar-2013

Source: Federal Reserve, 

Haver Analytics

Note: Implied Federal Funds 

Rate derived from OIS quotes.
0

4

8

12

16

-1

0

1

2

3

4

5

6

1962 1972 1982 1992 2002 2012

7.4.3 Interest Rate Risk Premium Indicators

Percent Percent

1-Year Rate 9 

Years Forward 

(right axis)

10-Year Treasury 

Term Premium 

(left axis)

As Of: 1-Mar-2013

Source: FRBNY calculations, Blue 

Chip Consensus, Federal Reserve
-100

300

700

1100

1500

1900

-100

300

700

1100

1500

1900

1954 1964 1974 1984 1994 2004

Source: Bank of America Merrill Lynch, 

Federal Reserve, Haver Analytics

Basis Points As Of: Feb-2013

7.4.4 Historical Credit Spreads

Note: Spread to 10-Year CMT.

Basis Points

BAML High-Yield Spread

Moody’s Seasoned Baa Spread

Moody’s Seasoned Aaa Spread
Source: Moody’s, FRBNY calculations

0

2

4

6

8

0

2

4

6

8

2005 2006 2007 2008 2009 2010 2011 2012 2013

7.6.1 Moody’s BHC Systemic Support Uplift

Notches Notches

C

BAC

JPM

MS

WFC

GS

As Of: 27-Mar-2013
7.6.2 Number and Distribution of Subsidiaries: Selected Top 50 BHCs

BHC 

Rank Name Total Foreign

% of Assets

Outside Domestic 

Commercial 

Banks

Consolidated 

Total Assets 

(Billions of US$)

1.. JPMorgan Chase 3,409 449... 14.1%........... 2,359.1......

2.. Bank of America 1,838 429... 25.1%........... 2,212.0......

3.. Citigroup 1,642 682... 29.5%........... 1,864.7......

4.. Wells Fargo 1,331 90... 6.4%........... 1,423.0......

5.. Goldman Sachs Group 3,124 1,683... 87.4%........... 938.8......

6.. Morgan Stanley 3,093 1,398... 87.6%........... 781.0......

10.. Capital One Financial 115 14... 0.0%........... 313.0......

20.. Regions Financial 39 4... 0.8%........... 121.3......

30.. BBVA USA Bancshares 44 0... 0.0%........... 69.1......

40.. BOK Financial 35 0... 0.7%........... 28.1......

50.. Webster Financial 19 0... 0.2%........... 20.2......

Total 19,743 5,859... 24.9%........... 14,274.0......

Note: Subsidiary data are as of 2-Apr-2013. Financial data are as of 

2012 Q4. Capital One % of assets set to zero; raw figure is negative 

due to netting of related party transactions. Excludes data on SLHCs.

Source: National Information 

Center, FR Y-9C, FR Y-6, 

FR Y-10, FFIEC 031, FFIEC 041

Count
0

1000

2000

3000

4000

5000

6000

0

1000

2000

3000

4000

5000

6000

Funds, trusts,

and other

financial

vehicles

Securities,

commodity

contracts, and

other

Management

of companies

and

enterprises

Health care

and social

assistance

Credit

intermediation

and related

activities

Real estate

and rental

and leasing

Other

7.6.3 BHC Subsidiaries by Industry

Source: National Information Center, FR Y-6, FR Y-10

Number of Subsidiaries Number of Subsidiaries

Bank of America

JPMorgan Chase

Citigroup

Wells Fargo

Goldman Sachs

Morgan Stanley

Remaining Top 50 BHCs

As Of: 2-Apr-2013
10

20

30

40

50

60

10

20

30

40

50

60

2005 2006 2007 2008 2009 2010 2011 2012

G.1 Asset Shares of U.S. Financial Institutions

Percent of Total Assets Percent of Total Assets

Source: FR Y-9C, FR Y-9SP, SLHC, Call Reports, SEC 10Qs

Top 10

Top 11-50

Below Top 50

As Of: 2012 Q4

Note: Includes U.S.-chartered independent banks and BHCs, SLHCs, independent thrifts, ILCs, credit card 

banks, FBO edge corporations, FBO nonbank affiliates, and FBO branches. Assets are adjusted to account 

for acquisitions and charter changes. Assets are as of 2012 Q4 except small-parent BHCs (2012 Q2), 

certain FBO nonbank affiliates that file annually (2011 Q4), and all other FBO nonbank affiliates (2012 Q3).
G.2 Asset Shares of the Top 10 U.S. Financial Institutions

Share of U.S. Assets Assets

Percent Billions of US$

JPMorgan Chase 10.5 2,359

Bank of America 9.8 2,212

Citigroup 8.3 1,865

Wells Fargo 6.3 1,423

Goldman Sachs 4.2 939

Morgan Stanley 3.5 781

Credit Suisse (U.S.) 2.6 575

Deutsche Bank (U.S.) 2.3 509

Barclays (U.S.) 2.2 501

BoNY Mellon 1.6 359

Source: FR Y-9C, FR Y-9SP, SLHC, Call Reports, SEC 10Qs

As Of: 2012 Q4

Note: Includes U.S.-chartered independent banks and BHCs, SLHCs, independent thrifts, ILCs, credit card 

banks, FBO edge corporations, FBO nonbank affiliates, and FBO branches. Assets are adjusted to account 

for acquisitions and charter changes. Assets are as of 2012 Q4 except small-parent BHCs (2012 Q2), 

certain FBO nonbank affiliates that file annually (2011 Q4), and all other FBO nonbank affiliates (2012 Q3).