List of Charts 209

Chart 4.1.1 Change in Real Gross Domestic Product...................................................................23

Chart 4.1.2 Change in Real Personal Consumption Expenditures..................................................24

Chart 4.1.3 Personal Saving Rate .............................................................................................24

Chart 4.1.4 Private Housing Starts............................................................................................24

Chart 4.1.5 Net Change in Payroll Employment...........................................................................26

Chart 4.1.6 Civilian Unemployment Rate ....................................................................................26

Chart 4.1.7 Labor Force Participation Rate ................................................................................26

Chart 4.1.8 Long-Term Unemployment......................................................................................27

Chart 4.2.1 Nonfinancial Corporate Credit Market Debt to Net Worth.............................................27

Chart 4.2.2 Financial Ratios for Nonfinancial Corporations............................................................27

Chart 4.2.3 Bond Issuance by Nonfinancial Firms .......................................................................28

Chart 4.2.4 Corporate Bond Spreads........................................................................................28

Chart 4.2.5 Bank Business Lending Standards and Demand........................................................28

Chart 4.2.6 Nonfinancial Corporate Bond Default Rate.................................................................29

Chart 4.2.7 Noncurrent Commercial & Industrial (C&I) Loans........................................................29

Chart 4.2.8 CMBS New Issuance..............................................................................................29

Chart 4.2.9 Noncorporate Assets..............................................................................................30

Chart 4.2.10 Noncorporate Credit Market Debt to Net Worth .........................................................30

Chart 4.2.11 Net Borrowing by Nonfinancial Noncorporate Businesses............................................30

Chart 4.2.12 Bank Business Lending Standards and Demand........................................................31

Chart 4.2.13 Small Businesses’ Difficulty Obtaining Credit .............................................................31

Chart 4.2.14 Household and Nonprofit Balance Sheets.................................................................31

Chart 4.2.15 Share of Owners’ Equity in Household Real Estate .....................................................32

Chart 4.2.16 Household Debt Service Ratio.................................................................................32

Chart 4.2.17 Household Financial Obligations Ratio ......................................................................32

Chart 4.2.18 Nonmortgage Consumer Credit Flows......................................................................33

Chart 4.2.19 Average Amount of Revolving Credit Available ...........................................................33

Chart 4.2.20 Credit Card Delinquency Rates by Credit Score..........................................................33

Chart 4.2.21 Applications for Credit ............................................................................................34

Chart 4.3.1 Net Debt Outstanding as a Percent of GDP ...............................................................34

Chart 4.3.2 Federal Unified Budget Surplus................................................................................34

Chart 4.3.3 Federal Debt Held by the Public...............................................................................35

Chart 4.3.4 Interest Outlays and Average Maturity of U.S. Public Debt ...........................................35

Chart 4.3.5 Change in State and Local Government Debt ............................................................35

Chart 4.3.6 Change in State Tax Revenue..................................................................................36

Chart 4.3.7 Change in Local Tax Revenue .................................................................................36

List of Charts
210 2012 FSOC // Annual Report

Chart 4.3.8 Municipal Bond Issuance by Type ............................................................................36

Chart 4.3.9 Municipal Tax-Exempt Bond Yield Ratios...................................................................37

Chart 4.3.10 ARS and VRDO Funding of Long-Term Muni Bonds....................................................37

Chart 4.4.1 Real GDP Growth ..................................................................................................38

Chart 4.4.2 Developed Market Economies GDP Growth...............................................................38

Chart 4.4.3 Euro Area GDP Growth...........................................................................................38

Chart 4.4.4 ECB Liquidity Providing Operations...........................................................................40

Chart 4.4.5 Euro-Dollar Implied FX Swap Basis ..........................................................................41

Chart 4.4.6 Total Swap Line Amount Outstanding .......................................................................41

Chart 4.4.7 Emerging Market Economies GDP Growth ................................................................42

Chart 4.4.8 Net International Financial Flows to EMEs..................................................................42

Chart 4.4.9 Change in Total Chinese Social Financing .................................................................43

Chart 5.1.1 Federal Debt Outstanding Held by Public..................................................................45

Chart 5.1.2 Yield Curve ...........................................................................................................45

Chart 5.1.3 Foreign Holders of U.S. Federal Debt .......................................................................45

Chart A.1 S&P Downgrade of U.S. Debt: Flight to Quality..........................................................46

Chart A.2 S&P Downgrade of U.S. Debt: Effect on Equities .......................................................46

Chart 5.1.4 Euro Area 10-Year Yield Spreads to German Debt......................................................47

Chart B.1 Greece: Average Bond Price and CDS......................................................................48

Chart B.2 Greece: Debt Exchange..........................................................................................48

Chart 5.1.5 10-Year Sovereign Debt Yields ................................................................................51

Chart 5.1.6 Emerging Market Bond Spreads..............................................................................51

Chart 5.1.7 Price Changes in Selected Equities Indices................................................................52

Chart 5.1.8 Global Equities ......................................................................................................52

Chart 5.1.9 U.S. Corporate Bond Spreads—Investment Grade ....................................................52

Chart 5.1.10 U.S. Dollar Exchange Rates.....................................................................................53

Chart 5.1.11 Commodities.........................................................................................................54

Chart 5.1.12 Farm Land Prices and Value of Crop Yield ................................................................54

Chart 5.1.13 Agricultural Real Estate Debt Outstanding .................................................................54

Chart 5.1.14 Large Bank Holding Company Liability Structure........................................................55

Chart 5.1.15 Wholesale Cash Investors.......................................................................................55

Chart 5.1.16 Retail Deposits vs. Short-Term Wholesale Funding .....................................................55

Chart 5.1.17 Estimated Value of the Repo Market.........................................................................57

Chart 5.1.18 Tri-Party Repo Collateral Distribution ........................................................................58

Chart 5.1.19 Commercial Paper Outstanding ...............................................................................58

Chart 5.1.20 Value of Securities on Loan.....................................................................................59

Chart 5.1.21 Securities Lending Cash Reinvestment .....................................................................59

Chart 5.1.22 National Repeat Sales Home Price Indices................................................................60

Chart 5.1.23 Mortgages with Negative Equity...............................................................................60

Chart 5.1.24 Mortgage Delinquency and Foreclosure....................................................................60
List of Charts 211

Chart 5.1.25 Foreclosure Pipeline...............................................................................................61

Chart 5.1.26 Median Credit Score at Mortgage Origination ............................................................61

Chart 5.1.27 HARP Refinancings................................................................................................62

Chart 5.1.28 Mortgage Originations............................................................................................63

Chart 5.1.29 Issuance of RMBS .................................................................................................63

Chart 5.1.30 GSE Net Income and Losses...................................................................................63

Chart 5.2.1 Aggregate BHC Pre-Tax Income ..............................................................................64

Chart 5.2.2 Change in Tier 1 Common Ratios for Aggregate U.S. BHCs ........................................65

Chart 5.2.3 Change in Tier 1 Common Ratios for 19 Largest BHCs ..............................................65

Chart 5.2.4 U.S. Unemployment Rate: Actual vs. Stress Scenarios................................................65

Chart 5.2.5 Initial and Stressed Tier 1 Common Capital Ratios.....................................................66

Chart 5.2.6 Consolidated Liquidity Ratio for Top 50 BHCs............................................................66

Chart 5.2.7 Short-Term Wholesale Funding at Largest BHCs................................................66, 131

Chart 5.2.8 Change in Tier 1 Common Ratios for BHCs < $50B..................................................67

Chart 5.2.9 BHC Dividends and Repurchases.............................................................................67

Chart 5.2.10 Return on Average Assets.......................................................................................68

Chart 5.2.11 Price-to-Book Ratio of 6 Large Complex BHCs..........................................................69

Chart 5.2.12 CDS Spreads of 6 Large Complex BHCs .......................................................... 69, 128

Chart 5.2.13 FDIC-Insured Failed Institutions................................................................................69

Chart 5.2.14 Commercial Bank and Thrift Pre-Tax Income .............................................................70

Chart 5.2.15 Commercial Property Price Indices ..........................................................................70

Chart 5.2.16 Concentration of Credit Union Assets .......................................................................70

Chart 5.2.17 Federally Insured Credit Union Income......................................................................71

Chart 5.2.18 Credit Union Fixed Rate Real Estate and Long-Term Assets.........................................71

Chart 5.2.19 U.S. Branches and Agencies of Foreign Banks: Assets...............................................72

Chart 5.2.20 U.S. Branches and Agencies of Foreign Banks: Liabilities............................................72

Chart 5.3.1 Life and Other Insurance: Capital and Income............................................................73

Chart 5.3.2 Life Insurers: Impact of Low Rate Environment...........................................................73

Chart 5.3.3 Commercial Mortgage Origination by Lender Type .....................................................74

Chart 5.3.4 Property and Casualty Insurance: Capital and Income ................................................75

Chart 5.3.5 Money Market Mutual Fund Assets by Fund Type ......................................................75

Chart 5.3.6 Institutional vs. Retail Money Market Fund Assets......................................................75

Chart 5.3.7 Prime Funds Liquidity.....................................................................................76, 134

Chart 5.3.8 MMF WAL ............................................................................................................76

Chart 5.3.9 Gross Yield of 5 Outlier MMF Families......................................................................76

Chart 5.3.10 Aggregate Broker-Dealer Assets and Leverage..........................................................77

Chart 5.3.11 Broker-Dealer Revenues.........................................................................................77

Chart 5.3.12 Consumer Loans Outstanding .................................................................................77

Chart 5.3.13 Business Loans Outstanding ...................................................................................80

Chart 5.3.14 Real Estate Investment Trust (REIT) Assets................................................................80
212 2012 FSOC // Annual Report

Chart 5.3.15 Mutual Fund Flows by Asset Class (2011 to 2012 Q1)................................................80

Chart 5.3.16 Mutual Fund Taxable Bond Flows (2011 to 2012 Q1) .................................................81

Chart 5.3.17 Retirement Funds by Type.......................................................................................81

Chart 5.3.18 Public and Private Pension Funding Level..................................................................81

Chart 5.3.19 U.S. Private Equity AUM .........................................................................................82

Chart 5.3.20 U.S. Private Equity AUM by Strategy ........................................................................82

Chart 5.3.21 Change in Hedge Fund AUM...................................................................................82

Chart 5.3.22 Hedge Fund Performance by Strategy......................................................................83

Chart 5.3.23 Growth in ETF Assets and Number of Funds .............................................................83

Chart E.1 TARP Bank Support Program Status........................................................................84

Chart E.2 AIG Investments Committed and Returned................................................................85

Chart 5.4.1 Average Trade Size—U.S. Equities..........................................................................86

Chart 5.4.2 Average Daily Volume Shares by Venue ....................................................................87

Chart 5.4.3 U.S. Equities Share Volume.....................................................................................87

Chart 5.4.4 Regional Market Share of Trades.............................................................................87

Chart F.1 HFT % Use in Various Asset Classes........................................................................88

Chart 5.4.5 Annual Payment Clearing Volumes...........................................................................90

Chart 5.4.6 Annual Payment Clearing Values..............................................................................90

Chart 5.4.7 Fedwire Funds Daylight Overdrafts...........................................................................90

Chart 5.4.8 Deciles of Fedwire Value Time Distribution ................................................................91

Chart 5.4.9 Reserve Balances..................................................................................................91

Chart 5.4.10 Global OTC and Exchange-Traded Derivatives Growth.................................................91

Chart 5.4.11 Global Exchange-Traded Derivatives.........................................................................92

Chart 5.4.12 Exchange-Traded Derivatives Globalization ................................................................92

Chart 5.4.13 SwapClear Volume.................................................................................................92

Chart 5.4.14 Outstanding SwapClear Volumes .............................................................................93

Chart 5.4.15 ICE Clear Credit .....................................................................................................93

Chart 5.4.16 ICE Clear Europe ...................................................................................................93

Chart 5.4.17 Interest Rate Derivatives .........................................................................................94

Chart 5.4.18 CDS and Other Credit Derivatives.............................................................................94

Chart 7.2.1 Sovereign Yields.................................................................................................. 124

Chart 7.2.2 U.S. MMF Exposure to Europe ..............................................................................125

Chart 7.2.3 Large U.S. Banks’ Exposure to Europe ...................................................................125

Chart 7.2.4 Insurance Industry Exposure to Europe...................................................................125

Chart 7.2.5 Real Private Residential Investment ........................................................................126

Chart 7.3.1 Aggregate BHC Capital Ratios...............................................................................127

Chart 7.3.2 Core Deposits as a Percent of Total Liabilities..........................................................127

Chart 7.3.3 Short-Term Wholesale Funding..............................................................................127

Chart 7.4.1 Less-Stable Funding Sources at 6 Largest BHCs.....................................................131

Chart H.1 Prime Fund Bank Holdings....................................................................................135
List of Charts 213

Chart H.2 Prime Fund Portfolio Composition..........................................................................135

Chart 7.4.2 Credit Quality of High-Yield New Issues...................................................................140

Chart 7.4.3 Complex Financial Institutions in 2012....................................................................141

Chart 7.4.4 Assets of the 10 Largest Depository Institutions.......................................................142

Chart 7.4.5 Moody’s BHC Systemic Support Uplift....................................................................143

Chart 7.4.6 S&P Current Actual Rating & Market Derived Signal.................................................143