A.1 Global Economic Outlook

Sources: IMF World Economic Outlook, Haver Analytics

Notes: Real gross domestic product. Gray bars signify IMF forecasts. 
60

80

100

120

140

160

180

200

220

60

80

100

120

140

160

180

200

220

2018 2019 2020 2021 2022 2023

A.2 Chinese Real Estate Indicators

Millions of square meters As Of: Sep-2023 Millions of square meters

Sources: National Bureau of Statistics of China, Haver Analytics

Property sold

Note: Data are seasonally adjusted.

Property started
Note: Credit-to-GDP data are as of Q1 2023. Per capita GDP data are as of 2022. The dotted line 

represents the best linear fit.

China

0

50

100

150

200

250

300

350

400

450

0

50

100

150

200

250

300

350

400

450

0 20 40 60 80 100 120 140

Per Capita GDP (Thousands of US$)

A.3 Credit-to-GDP, Relative to Income

Credit-to-GDP (percent) Credit-to-GDP (percent)

Sources: Bank for International Settlements, World Bank

As Of: 2023 Q1

Advanced economy

Emerging market economy
0

2

4

6

8

10

0

2

4

6

8

10

2005 2008 2011 2014 2017 2020 2023

3.1.1.1 Conduit CMBS Delinquency and Foreclosure Rates

Percent Percent

Sources: JPMorgan, Trepp

As Of: Sep-2023

Note: 60+ Days Delinquent includes Foreclosure/Real Estate Owned.

Foreclosure / 

real estate owned

60+ days

delinquent
0

4

8

12

16

20

24

0

4

8

12

16

20

24

2005 2008 2011 2014 2017 2020 2023

3.1.1.2 Conduit CMBS Delinquency Rates by Property Type

Percent Percent

Sources: JPMorgan, Trepp

As Of: Sep-2023

Multifamily

Lodging

Industrial

Office

Retail
0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

2006 2009 2013 2016 2019 2023

Office

Industrial

Multifamily

Retail

3.1.1.3 Vacancy Rate by Property Type

Percent Percent

Sources: CoStar, Haver Analytics

As Of: 2023 Q3

Note: Gray bars signify NBER recessions.
3.1.1.4 Commercial Property Price Indexes

Index Index

Source: Green Street Advisors, LLC

As Of: Sep-2023

60

80

100

120

140

160

180

60

80

100

120

140

160

180

Mar 2020 Apr 2021 May 2022 Jun 2023

Multifamily

Lodging

Industrial

Shopping mall

Office

Note: Data are monthly indexed to 100 as of March 2020.
50

100

150

200

250

300

350

50

100

150

200

250

300

350

2000 2003 2006 2009 2012 2015 2018 2021

FHFA Home Price Index

Case-Shiller Home Price Index

3.1.2.1 House Price Indexes

Index Index

Sources: S&P CoreLogic Real Estate Data, FHFA, Haver Analytics

As of: Aug-2023

Note: Seasonally adjusted. Indexed to 100 as of Jan-2000. 
0

2

4

6

8

10

0

2

4

6

8

10

1999 2002 2005 2008 2011 2014 2017 2020 2023

Existing-home sales

New-home sales

3.1.2.2 New- and Existing-Home Sales

Millions of Sales Millions of Sales

Sources: U.S. Census Bureau, National Association of Realtors, Haver 

Analytics

As of: Sep-2023

Note: Seasonally adjusted annual rate
0

100

200

300

400

500

2

3

4

5

6

7

8

2015 2016 2017 2018 2019 2020 2021 2022 2023

30-year mortgage 

fixed-rate (left axis)

3.1.2.3 Residential Purchase and Refinance Levels

Percent Billions of US$

Sources: Fannie Mae, Freddie Mac, Ginnie Mae, Recursion

As Of: Sep-2023

Agency purchase (right axis)

Agency refinance (right axis)
30

32

34

36

38

40

60

65

70

75

80

85

2015 2016 2017 2018 2019 2020 2021 2022 2023

3.1.2.4 Average DTI and LTV Ratios at Origination

Percent As Of: Aug-2023 Percent

Source: Black Knight

Debt-to-income 

(right axis)

Note: Weekly averages. 

Loan-to-value 

(left axis)
30

40

50

60

70

80

0

250

500

750

1000

1250

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Nonbank market 

share (right axis)

3.1.2.5 Mortgage Origination Volumes

Billions of US$ Percent

Source: Inside Mortgage Finance

As Of: 2023 Q2

Note: Includes top 100 originators.

Bank (left axis)

Nonbank (left axis)
8

8.5

9

9.5

10

8

8.5

9

9.5

10

2019 2020 2021 2022 2023

B.1 Household Debt Servicing to Disposable Income Ratio

Percent Percent

Sources: Federal Reserve Board, Haver Analytics

As Of: 2023 Q2

Note: Gray bars signify NBER recessions.
0

2

4

6

8

10

12

0

2

4

6

8

10

12

2019 2020 2021 2022 2023

B.2 Change in Median Weekly Real Earnings

Percent Percent

Sources: Bureau of Labor Statistics, Haver Analytics

As Of: 2023 Q3

Notes: CPI-adjusted dollars (1982-1984), seasonally adjusted. Gray bars signify NBER recessions.
0

2

4

6

8

10

12

0

2

4

6

8

10

12

2005 2008 2011 2014 2017 2020 2023

Total delinquent

30 days delinquent

60 days delinquent

90+ days delinquent

B.3 National Mortgage Delinquency Rates

Percent As Of: Jul-2023 Percent

Sources: Black Knight, Haver Analytics

Note: Gray bars signify NBER recessions.
20

30

40

50

60

20

30

40

50

60

1980 1985 1990 1995 2000 2005 2010 2015 2020

3.1.3.1 Nonfinancial Corporate Debt as a Percentage of GDP

Percent Percent

Sources: Federal Reserve, Haver Analytics

As Of: 2023 Q2

Note: Gray bars signify NBER recessions.
0

1

2

3

4

5

0

1

2

3

4

5

2000 2003 2006 2009 2012 2015 2018 2021

3.1.3.2 Interest Coverage Ratios

Ratio Ratio

Sources: S&P Global, Compustat, Federal Reserve Board of Governors

As Of: 2023 Q2

Notes: Federal Reserve Board staff calculations; the interest coverage ratio is calculated as earnings 

before interest and taxes divided by interest payments of nonfinancial publicly-traded firms. Firms with 

leverage less than 5 percent and interest payments less than $500,000 are excluded.

Median for all firms 

Median for all noninvestment-grade firms
0

3

6

9

12

0

3

6

9

12

2012 2014 2016 2018 2020 2022

3.1.3.3 Corporate Bond Yields

Sources: ICE Data Indices, LLC, FRED

Percent As Of: 30-Sep-2023 Percent

Investment-grade

High-yield

Note: Dotted lines represent 20-year average.
0

3

6

9

12

0

3

6

9

12

2012 2014 2016 2018 2020 2022

3.1.3.4 Corporate Bond Spreads

Sources: ICE Data Indices, LLC, FRED

Percent As Of: 30-Sep-2023 Percent

Investment-grade

High-yield

Note: Dotted lines represent 20-year average.
Trillions of US$

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

2012 2014 2016 2018 2020 2022

Investment-grade

High-yield

Leveraged loans

3.1.3.5 Gross Issuance of Corporate Debt

Trillions of US$

Sources: Refinitiv, SIFMA, LCD Pitchbook

As Of: Sep-2023

Notes: Investment-grade and high-yield include all nonconvertible corporate debt, MTNs, and Yankee 

bonds, but they exclude all issues with maturities of one year or less and CDs. Leveraged loans include 

institutional and pro rata loans. 2023 figures are through September.
Percent As Of: Sep-2023

3.1.3.6 Leveraged Loan Default Rates

0

10

20

30

40

50

60

70

0

2

4

6

8

10

12

14

2002 2005 2008 2011 2014 2017 2020 2023

Billions of US$

Source: LCD PitchBook

Percent (left axis)

Par amount (right axis)

Note: Par amount and percent of Morningstar LSTA Index Loans in payment default or bankruptcy.
0

200

400

600

800

1000

1200

1400

1600

0

200

400

600

800

1000

1200

1400

1600

2000 2003 2006 2009 2012 2015 2018 2021

3.1.3.7 Global Private Debt AUM

Billions of US$ Billions of US$

Source: Preqin

As Of: 2022

Dry powder (committed but uncalled capital)

Unrealized value
0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

Jan 2004 Oct 2007 Jul 2011 Apr 2015 Jan 2019 Oct 2022

3.1.4.1 CP Outstanding by Issuer Type

Trillions of US$ As Of: Sep-2023 Trillions of US$

Domestic financial

Domestic nonfinancial

Foreign financial

ABCP

Other

Foreign nonfinancial

Sources: Federal Reserve, Haver Analytics

Notes: Not seasonally adjusted. Domestic includes CP issued in the U.S. by entities with 

foreign parents. ABCP represents Asset-Backed Commercial Paper.
0

20

40

60

80

100

0

20

40

60

80

100

1990 1995 2000 2005 2010 2015 2020

3.1.4.2 CP Investors

Percent As Of: 2023 Q2 Percent

Sources: Federal Reserve, Haver Analytics

Nonfinancial corporates

State & local governments

Other

Funding corporations

Money market funds
-1

0

1

2

3

4

-1

0

1

2

3

4

Jan 2020 Jan 2021 Jan 2022 Jan 2023

3.1.4.3 One-Month CP Interest Rate Spreads

Percent As Of: 29-Sep-2023 Percent

A2/P2-rated nonfinancial 

AA-rated ABCP

AA-rated financial

AA-rated nonfinancial

Sources: Federal Reserve, Refinitiv, Haver Analytics

Note: Spread to 1-Month Overnight Index Swap (OIS) rate.
0

1

2

3

4

5

6

0

1

2

3

4

5

6

Jan 2019 Oct 2019 Jul 2020 Apr 2021 Jan 2022 Oct 2022 Jul 2023

SOFR

TGCR

3.1.4.4 Repo Rates

Percent Percent

Source: Federal Reserve Bank of New York

As Of: 30-Sep-2023

Notes: TGCR = Tri-party General Collateral Rate; SOFR = Secured Overnight Financing Rate
0

1

2

3

4

5

6

7

8

0

1

2

3

4

5

6

7

8

2012 2014 2016 2018 2020 2022

3.1.4.5 Repo Borrowing Outstanding

Trillions of US$ As Of: 2023 Q2 Trillions of US$

Federal Reserve

Other

Sources: Federal Reserve, Haver Analytics

Note: Federal Reserve repo borrowing primarily consists of ON-RRP facility. 
0

400

800

1200

1600

2000

0

400

800

1200

1600

2000

Jan 2019 Jan 2020 Jan 2021 Jan 2022 Jan 2023

SOFR 

TGCR

3.1.4.6 Repo Volumes

Billions of US$ As Of: 30-Sep-2023 Billions of US$

Source: Federal Reserve Bank of New York

Notes: TGCR = Tri-Party General Collateral Rate; SOFR = Secured Overnight Financing Rate
Billions of US$

0

100

200

300

400

500

600

700

800

0

100

200

300

400

500

600

700

800

Jul 2019 Jul 2020 Jul 2021 Jul 2022 Jul 2023

Aggregate

Repo lending

Repo borrowing 

3.1.4.7 Sponsored Repo Activity

Billions of US$

Source: DTCC

As Of: Sep-2023

Notes: Average daily volume of sponsoring members. Breakdown of repo lending and repo 

borrowing unavailable prior to April 2020. 
0

500

1000

1500

2000

2500

3000

0

500

1000

1500

2000

2500

3000

2019 2020 2021 2022 2023

3.1.4.8 ON RRP Balance

Billions of US$ Billions of US$

Sources: Federal Reserve Bank of New York, Haver Analytics

As Of: 29-Sep-2023
0

40

80

120

160

200

0

40

80

120

160

200

2018 2019 2020 2021 2022 2023

3.1.5.1 Thirty-Day Volatility for Selected Digital Assets

Source: Bloomberg, L.P.

As Of: 29-Sep-2023

Ethereum

Bitcoin

Percent Percent
3.1.6.1 Transmission Channels Linking Climate Risks to 

Financial Stability 

Source: Figure created by FSOC
0

50

100

150

200

250

300

350

400

450

0

5

10

15

20

25

30

1980 1985 1990 1995 2000 2005 2010 2015 2020

3.1.6.2 Billion-Dollar Weather and Climate Events

Number of Events Billions of US$

Source: NOAA National Centers for Environmental Information (NCEI)

As Of: 8-Nov-2023

Total cost (right axis)

Number of events (left axis)
4

6

8

10

12

14

16

4

6

8

10

12

14

16

2001 2004 2007 2010 2013 2016 2019 2022

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.1.1 Common Equity Tier 1 Ratios

Percent of RWA As Of: 2023 Q2 Percent of RWA

Sources: FR Y-9C, Haver Analytics

Notes: Tier 1 common capital is used as the numerator of the CET1 ratio prior to 2014:Q1 for GSIBs 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.
-1

0

1

2

3

-1

0

1

2

3

2010 2012 2014 2016 2018 2020 2022

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.1.2 Return on Assets

Percent Percent

Sources: FR Y-9C, Haver Analytics

As Of: 2023 Q2

Note: Gray bars signify NBER recessions.
0

1

2

3

4

5

6

0

1

2

3

4

5

6

2014 2015 2017 2018 2020 2021 2023

Fed funds rate

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.1.3 Bank Funding Rates

Percent Percent

Sources: FR Y-9C, Haver Analytics

As Of: 2023 Q2

Note: Gray bars signify NBER recessions.
0

2

4

6

8

10

12

14

16

18

0

2

4

6

8

10

12

14

16

18

2001 2003 2006 2009 2011 2014 2017 2019 2022

C&I

RRE

CRE

3.2.1.1.4 Delinquency Rates on Selected Loans

Percent Percent

Sources: FR Y-9C, Haver Analytics

As Of: 2023 Q2

Notes: Includes all loans in foreign and domestic offices. Gray bars signify NBER 

recessions.
-0.5

0.0

0.5

1.0

1.5

-0.5

0.0

0.5

1.0

1.5

2007 2009 2012 2015 2017 2020 2023

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.1.5 Ratios of Provisions to Total Loans

Percent Percent

Sources: FR Y-9C, Haver Analytics

As Of: 2023 Q2

Note: Gray bars signify NBER recessions.
80

100

120

140

160

180

200

80

100

120

140

160

180

200

2016 2017 2018 2019 2020 2021 2022 2023

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.1.6 Total Deposit Growth

Index Index

Sources: Call Report, Haver Analytics

As Of: 2023 Q2

Notes: Domestic deposits; indexed to 100 as of Q2 2016. Gray bars signify NBER recessions.
-4

-3

-2

-1

0

1

-4

-3

-2

-1

0

1

2017 2019 2021 2023

G-SIBs

Large non-G-SIBs

Regional banks

3.2.1.2.1 Unrealized Gains (Losses) on AFS and HTM Securities

Percent Percent

Sources: FR Y-9C, Haver Analytics

As Of: 2023 Q2

Notes: AFS and HTM are securities designated as available for sale or held to maturity, 

respectively; values shown as a percent of total assets. Gray bars indicate NBER recessions.
0

20

40

60

80

100

120

0

20

40

60

80

100

120

Feb 1 Feb 8 Feb 15 Feb 23 Mar 2 Mar 9 Mar 16 Mar 23 Mar 30 Apr 6 Apr 14 Apr 21

Mar 8

C.1 Bank Stock Prices and Stock Indexes

Index Index

Source: Bloomberg, L.P.

As Of: 21-Apr-2023

S&P 500 Index

KBW Nasdaq Regional 

Banking Index

KBW Nasdaq Bank Index

Credit Suisse

Signature Bank

Silicon Valley Bank

First Republic

Note: Data are indexed daily to 100 as of Feb 1, 2023.
0

10

20

30

40

0

10

20

30

40

Macro Relative

Value

Managed 

Futures/

CTA

MultiStrategy

Inv. In

Other

Fund

Other Credit Equity Event 

Driven

3.2.2.1 Hedge Fund Leverage Ratios: GNE/NAV

Leverage Leverage

Source: SEC Private Fund Statistics Report

As Of: 2023 Q1
0

2

4

6

8

0

2

4

6

8

Macro Relative

Value

Managed 

Futures/

CTA

MultiStrategy

Inv. In 

Other

Funds

Other Credit Equity Event 

Driven

3.2.2.2 Hedge Fund Leverage Ratios: GAV/NAV

Leverage Leverage

Source: SEC Private Fund Statistics Report

As Of: 2023 Q1
0

20

40

60

80

100

0

20

40

60

80

100

Net Asset

Value

Gross Asset

Value

Gross

Notional

Borrowing Derivative

Value

3.2.2.3 Hedge Fund Industry Concentration

Percent Percent

Source: SEC Private Fund Statistics Report

As Of: 2023 Q1

Top 10 Top 11-25 Top 26-50 Other

Note: Values represent the aggregate industry concentration of top hedge 

funds sorted by each category.
Billions of US$ As Of: 26-Sep-2023

3.2.2.4 Treasury Futures Positioning

Sources: CFTC, Haver Analytics

-200

0

200

400

600

800

-200

0

200

400

600

800

2013 2015 2017 2019 2021 2023

Billions of US$

Asset managers (net long)

Leveraged funds (net short)
Billions of US$ As Of: 27-Sep-2023

3.2.2.5 Repo Volumes & Primary Dealer Treasury Inventory

Sources: Federal Reserve Bank of New York, Haver Analytics

0

100

200

300

400

600

900

1200

1500

1800

2018 2019 2020 2021 2022 2023

Treasury inventory (right axis)

Repo volume (left axis)

Billions of US$

Notes: Overnight Treasury repo volume includes published volumes for SOFR; 

Treasury inventory excludes FRNs and TIPs.
0

1

2

3

4

5

6

0

1

2

3

4

5

6

2013 2015 2017 2019 2021 2023

3.2.2.6 MMFs Total Net Assets by Fund Type

Trillions of US$ Trillions of US$

Sources: SEC Form N-MFP, OFR Analysis

As Of: Sep-2023

Prime

Tax-exempt

Government & Treasury
0

20

40

60

80

100

0

20

40

60

80

100

2013 2015 2017 2019 2021 2023

3.2.2.7 MMF Asset Composition

Percent As Of: Sep-2023 Percent

Sources: SEC Form N-MFP, OFR Analysis

Other repo

Government & Agency repo Other non-repo investments

Treasury repo
0

10

20

30

40

50

60

0

10

20

30

40

50

60

2018 2019 2020 2021 2022 2023

3.2.2.8 MMF Weighted Average Maturity

Days Days

Sources: SEC Form N-MFP, OFR Analysis

As Of: Sep-2023

Treasury

Government

Prime retail

Prime institutional
0

5

10

15

20

25

0

5

10

15

20

25

2010 2013 2016 2019 2022

3.2.2.9 Mutual Fund AUM

Trillions of US$ As Of: Sep-2023 Trillions of US$

Global equity

Hybrid

Taxable bond

Domestic equity

Sources: ICI, Haver Analytics
-400

-300

-200

-100

0

100

200

-400

-300

-200

-100

0

100

200

2017 2018 2019 2020 2021 2022 2023

3.2.2.10 Monthly Mutual Fund Flows

Billions of US$ Billions of US$

Sources: ICI, Haver Analytics

As Of: Sep-2023

Fixed income

Equity

Note: Net fund flows.

Hybrid
0

2

4

6

8

10

0

2

4

6

8

10

2010 2013 2016 2019 2022

3.2.2.11 ETF AUM

Trillions of US$ As Of: Sep-2023 Trillions of US$

Global equity

Hybrid

Bond

Domestic equity

Commodity

Sources: ICI, Haver Analytics
-100

-50

0

50

100

150

200

-100

-50

0

50

100

150

200

2017 2018 2019 2020 2021 2022 2023

Fixed income

Hybrid

3.2.2.12 Monthly ETF Fund Flows

Billions of US$ Billions of US$

Sources: ICI, Haver Analytics

As Of: Sep-2023

Note: Net fund flows

Equity

Commodities
0

1

2

3

4

5

6

0

1

2

3

4

5

6

2005 2008 2011 2014 2017 2020

3.2.2.13 Collective Investment Funds AUM: by Sector

Trillions of US$ As Of: 2022 Trillions of US$

Short-term investments

Fixed income

Domestic equities

International equities

Stock/bond blend

Source: FFIEC Call Report

Specialty

Note: Limited to funds managed by institutions reporting CIF and CIT assets on Call Report 

Form RC-T.
0

10

20

30

40

50

60

0

10

20

30

40

50

60

2016 2017 2018 2019 2020 2021 2022 2023

3.2.3.1 DTCC Clearing Fund Requirements

Billions of US$ Billions of US$

Sources: PFMI Quantitative Disclosures, Clarus Financial Technology

FICC: MBSD

NSCC

FICC: GSD

As Of: 2023 Q2
0

100

200

300

400

0

100

200

300

400

2016 2017 2018 2019 2020 2021 2022 2023

3.2.3.2 Initial Margin: U.S. Exchange-Traded Derivatives

Billions of US$ Billions of US$

ICE Clear US

Options Clearing Corp.

CME

As Of: 2023 Q2

Sources: PFMI Quantitative Disclosures, Clarus Financial Technology

Notes: 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 2022 2023

3.2.3.3 Initial Margin: Centrally Cleared OTC Derivatives

Billions of US$ Billions of US$

Sources: PFMI Quantitative Disclosures, Clarus Financial Technology

Credit default swaps

Interest rate swaps

As Of: 2023 Q2

Notes: Initial margin required as reported in quantitative disclosures; includes house and client accounts. 

Interest rate swaps margin includes LCH Ltd. and CME. CDS margin includes CME, ICC, ICEU, and LCH 

SA. CME and ICEU ceased clearing CDS in March 2018 and October 2023, respectively.
0

20

40

60

80

100

0

20

40

60

80

100

2016 2017 2018 2019 2020 2021 2022 2023

3.2.3.4 Initial Margin Account Daily Breach Likelihood at IRS 

Central Counterparties

Percent As Of: 2023 Q2 Percent

CME IRS

Eurex Clearing-OTC IRS

JSCC IRS

LCH SwapClear Ltd

Sources: PFMI Quantitative Disclosures, Clarus Financial Technology

Notes: Eurex is a Germany-based derivatives clearing organization registered with 

the CFTC. JSCC is a Japan-based clearinghouse exempt from registration with the 

CFTC as a derivatives clearing organization.
Apartment or 

multifamily, 

$195.01, 31%

Industrial, 

$105.21, 17%

Lodging, 

$21.42, 3%

Medical or health 

care, $3.85, 1%

Mixed use, 

$12.37, 2%

Office, 

$136.78, 22%

Other, 

$64.99, 10%

Retail, $95.77, 

15%

3.2.4.1 Insurance Sector CRE Portfolio By Property Type

Billions of US$ As Of: 2022 Billions of US$

Source: S&P Capital IQ
20

25

30

35

40

45

50

2.0

2.5

3.0

3.5

4.0

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

3.2.4.2 L&H Insurance Sector BBB-Rated Bond Exposure

Multiple Percent

Source: S&P Capital IQ

As Of: 2022

BBB bonds / total bonds (right axis)

BBB bonds / capital & surplus (left axis)
0.0

0.4

0.8

1.2

1.6

20

25

30

35

40

45

50

2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

3.2.4.3 L&H Insurance Sector Private Credit Exposure

Percent Billions of US$

Sources: S&P Capital IQ

As Of: 2022

Private bonds (right axis)

Private bonds / total bonds (left axis)
Index As Of: 29-Sep-2023

3.3.1.1 Interest Rate Volatility & Treasury Liquidity Indexes

Source: Bloomberg, L.P.

0

1

2

3

4

5

0

50

100

150

200

250

2018 2019 2020 2021 2022 2023

Index

Treasury liquidity (right axis)

Implied interest rate volatility (left axis)

Notes: Implied interest rate volatility = MOVE Index; Treasury liquidity = Bloomberg US 

Govt Securities Liquidity Index.
Basis Points As Of: 29-Sep-2023

3.3.1.2 Intraday Volatility for 10-Year Treasury Yields

Source: Bloomberg, L.P.

0

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

2019 2020 2021 2022 2023

99th percentile

Basis Points

Notes: 5-day moving average. Intraday volatility calculated as daily high yield minus daily 

low yield on 10-year Treasury notes. Percentiles based on January 2005–September 2023. 

Intraday volatility

95th percentile
Percent As Of: 29-Sep-2023

3.3.1.3 U.S. Treasury Yields

Source: U.S. Department of the Treasury

0

1

2

3

4

5

6

0

1

2

3

4

5

6

2018 2019 2020 2021 2022 2023

Percent

2-year

10-year

30-year 
Basis Points As Of: 29-Sep-2023

3.3.1.4 U.S. Treasury Yield Curve Spreads

Source: U.S. Department of the Treasury

-200

-100

0

100

200

300

-200

-100

0

100

200

300

2018 2019 2020 2021 2022 2023

Basis Points

30-year – 3-month spread

30-year – 2-year spread

30-year – 5-year spread
D.1 U.S. Treasury (UST) Liquidity Index vs. Implied Volatility: 2-Year Tenor

Index Index

Sources: U.S. Department of Treasury, Bloomberg L.P.

As Of: 29-Sep-2023

Notes: UST Liquidity Index is based on the average of 3-year rolling z-scores for bid-ask 

spreads, depth, and price impact; volatility is implied by 3-month into 2-year swaptions.

-2

0

2

4

6

8

-2

0

2

4

6

8

0 50 100 150 200 250 300

Volatility (basis points, annualized)

2019

2020

2021

2022

2023
D.2 U.S. Treasury (UST) Liquidity Index vs. Implied Volatility: 10-Year Tenor

Index Index

Sources: U.S. Department of Treasury, Bloomberg L.P.

As Of: 29-Sep-2023

Notes: UST Liquidity Index is based on the average of 3-year rolling z-scores for bid-ask 

spreads, depth, and price impact; volatility is implied by 3-month into 10-year swaptions. 

-2

0

2

4

6

8

10

12

-2

0

2

4

6

8

10

12

40 60 80 100 120 140 160

Volatility (basis points, annualized)

2019

2020

2021

2022

2023
0

300

600

900

1200

1500

0

300

600

900

1200

1500

Jan 2019 Dec 2019 Nov 2020 Oct 2021 Sep 2022 Aug 2023

D.3 Total TRACE U.S. Treasury Average Daily Volume by Week

Billions of US$ As Of: 30-Sep-2023 Billions of US$

Source: FINRA
0

20

40

60

80

100

0

20

40

60

80

100

Apr 2019 Apr 2020 Apr 2021 Apr 2022 Apr 2023

PTFs

Dealers

Other

D.4 Share of Participant Activity in the Interdealer Electronic Market

Source: FINRA

Percent As Of: 29-Sep-2023 Percent

Note: Activity based on TRACE U.S. Treasury interdealer electronic market volume 

over the last five days.
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