Charge-off and Delinquency Rates from the Fed

Third quarter shows a slowing in the rate of acceleration of real estate loan charge-offs and delinquencies - again, this plot is looking at the rate of change of the rate of change - what was the delta in CHGDEL over the starting number (going from 4% to 5% is +25%, going from 5% to 4% is -20%). The total percent of loans going bad will be going up until this plot crosses the zero line.

So the rate of charge offs and delinquencies for RE loans is still more than doubling on a YoY basis, but the good news appears to be that the rate loans are going bad stopped accelerating...the question being, is this a real trend change or hiccup (as CRE appears to be really hitting the wall in 4Q2008, spending declines by consumers, more layoffs, etc.)?

U-6 Redux: Casting the Unemployment Rate net a bit wider

U-6 is one of the Bureau of Labor Statistics alternative measures of unemployment, and I think a better reflection of what is happening in a consumer driven economy at large than the headline unemployment rate (U-3 in BLS speak). The plot above is the year over year rate of change: if we went from 4% to 5% over the course of a year, that would be a 25% increase; if it went from 5% to 4% that would be a -20%.

Here is the definition for U-6:

Marginally attached workers are persons who currently are neither working nor looking for work but indicate that they want and are available for a job and have looked for work sometime in the recent past. Discouraged workers, a subset of the marginally attached, have given a job-market related reason for not looking currently for a job. Persons employed part time for economic reasons are those who want and are available for full-time work but have had to settle for a part-time schedule. For more information, see "BLS introduces new range of alternative unemployment measures," in the October 1995 issue of the Monthly Labor Review. Updated population controls are introduced annually with the release of January data.

I like to look at the second derivative as it were - the rate of change of the rate of change - so for the U-6 unemployment rate to actually go down, the plot above would have to go below zero. Looking at the 2001 recession, U-6 unemployment did not begin to decrease until the first quarter of 2004.

For the August post on U-6

http://energyecon.blogspot.com/2008_08_01_archive.html

Can you say opportunity cost? I knew that you could!

Res ipsa loquitur.

http://jessescrossroadscafe.blogspot.com/2008/11/cost-of-irrational-greed.html

Changes in Marketable Treasury Debt Maturity 1997-2008

In the ongoing discussion of the term structure of with Calculated Risk community members PeakVT, MLM and Austin Tex the question of whether the dramatic increase in short term borrowing was a significant change or mere 'nothingburger' (paraphrase with liberties taken). I am grinding on a quarterly cumulative rollover but that might never get completed given RL demands, so I hit on an alternate route - what is the aggregate structure for the October report for as many years as electronic data is available for...The October report was taken from each year to remove any seasonality differences between years. The 1997-2008 period is used as that is the electronic dataset, there are .pdf's for earlier periods but I don't have the time (or motivation) to do the manual data grind...

Some interesting trends are apparent in the absolute amount of marketable Treasury debt in the different categories. Note in the 1997-2001 period the total US debt is declining (sigh). Also, the T Bills category is fairly constant, then both total debt and T Bills increase, then T Bills plateauing while total debt increases slowly but steadily...until this year. The rate of change for the total debt AND T Bills is nothing short of breathtaking. (NB: Y-axis scale is in USD millions, to 2008 tops out just short of $6 trillion - so far).

Also, it seemed to me a normalized view of the debt structure would be informative. Here is the percentage of the Treasury marketable debt for each component over the time series. Again, interesting trends emerge - the relative proportion of T Bills was falling in the October report 2002-2007 s total debt was steadily climbing - until 2008, with an explosion of short term debt.

(NB: The Treasury debt under consideration is the Marketable category, which the debt held by the public, other CB's etc. Hat tip to PeakVT for pointing that out. Also, some graph improvements done for today's post courtesy of Mel and Comrade Counterpointer's suggestion.)
(Addendum: MLM clarification - we are at a tipping point, some external event is needed to trigger the change from a 'status quo' approach to rollover in the Treasury market - then lookout.)

The World's Biggest ARM - Marketable US Treasury Debt

Ummm...wow. I was reading and commenting on my favorite blog, Calculated Risk and the issue of the maturity of the US debt came up. Hat tip to EvilHenryPaulson (raised the issue) and Plantagenet (for the link to the granular data) - here is the data before we roll in the longer term debt.

Res ipsa loquitur...

(Hat tip to PeakVT from the CR community for pointing out this is the publicly traded debt, in the Marketable category in the Treasury reports).

And now for something completely different...

This is a daily chart for the ETF for US Treasury long bonds (20+ years duration).


And the weekly chart for the same security.

Gasoline Stocks - Good news/Bad news...

Good news - national stocks increased slightly

Bad news - east coast stocks declined slightly

Bad news - production rates still down

Good news - imports up

Ruh Roh Redux

Stocks are now at their lowest level since 1967...I don't even want to figure out what the per capita for per vehicle story is - that is just too damn low.

Update on gasoline stocks

Well, the stocks are down regionally and prices are up - hope they can get the grid back to speed as that is what seems to be producing the kink in the hose.

Ruh Roh

This is the state of gasoline stocks BEFORE Hurricane Ike.

Res ipsa loquitur.

###########################################################

OK, a bit of elaboration since it probably is not as self-evident as it seems to me. See the links below about the Colonial pipeline being shut in, and the extensive damage to the backbone of the electrical grid by Hurricane Ike. That ties in with the gasoline distribution system being very near Minimum Operating Level (MOL).

This is the point where bits of the system for moving gasoline around start shutting down because there is not enough physically present to make it flow through the supply chain. That level is around 170 million barrels or so but that is at the national level - it is very large and complex and not in perfect balance, so we are going to be experiencing localized shut downs and gasoline shortages starting now...


Graphic produced by Energy Information Administration
EIA Petroleum Week in Review: Gasoline

Dow Jones Newswire report on Ike related transmission line damage
Ike Leaves Widespread Power Outages; Review Begins

Reuters report on Colonial Pipeline closure
Colonial says oil product pipelines shut due to Ike

Alternative Measures of Unemployment: U-6

The BLS data series that gets most of the press is the headline unemployment rate, or U-3 (seasonally adjusted). With the structural changes in the economy which would seem to result in undercounting issues in how U-3 is calculated, many folks have started giving U-6 some attention(U-6 casts the net very broadly, in particular folks who are involuntarily part time).

This plot is based on U-6 unadjusted, the year over year percent change in the value - so if the value in July, 2007 was 5% and then the value in July, 2008 was 6% this would be a 20% increase on this plot - declines in the unemployment rate would be a negative value. On a rate of change basis, we are where we were at around September, 2001 only with a U-6 value that is 10.8%(7/2008) instead of 8.2%(9/2001). The Federal Funds rate in 9/2001 started the month at 3.5%, ended the month at 3% on the way to 1%...

Riddle me this...

I have links below to source the material but here is one that might have kept the Sphinx whole...

The nominal GDP growth for 1Q2008 was $119.6 billion, represented as a real annualized GDP growth rate of 0.9%.

The nominal growth for 2Q2008 was $105.7 billion, represented as a real annualized GDP growth rate of 1.9%.

A nominal decline QoQ of 11.6% is equal to a real annualized QoQ increase in rate of 111% - that is some change in deflator kids! Can anyone clearly define what state change occurred to make that kind of change in the deflator? Anyone? Buehler?


http://www.bea.gov/newsreleases/national/gdp/gdpnewsrelease.htm
GROSS DOMESTIC PRODUCT: Second Quarter 2008 (Advance)
[snip]
Current-dollar GDP
Current-dollar GDP -- the market value of the nation's output of goods and services -- increased 3.0 percent, or $105.7 billion, in the second quarter to a level of $14,256.5 billion. In the first quarter,current-dollar GDP increased 3.5 percent, or $119.6 billion.
[snip]

http://www.bea.gov/newsreleases/national/gdp/2008/tech208a.htm
Technical Note Gross Domestic Product, Second Quarter of 2008 (Advance), July 31, 2008
[snip]
Real GDP
Real GDP increased 1.9 percent (annual rate) in the second quarter (that is, fromthe first quarter to the second), following an increase of 0.9 percent (revised) inthe first quarter.
[snip]

Real Estate Loan Delinquency Rates - CHGDEL update on rate of change

This is another bit of Fed data, though this is from the main FRB web site. This update is looking at the rate of change of the percent of real estate loans that are delinquent on a year over year basis...so if we go from 2% to 4% YoY that would be a 100% rate of change.

What we see is continued acceleration from the very low base we started from - the question is once this has been underway for awhile when will it start to slow down? If we get to 6% and a year later the rate is 9% that would be 50% on the plot, the rate of delinquency won't actually be improving until the line goes under the 0% baseline.

The Employment Spread Trade - CIVPART - EMRATIO update

What has happened in the last quarter is a continuation of the trend of a wider spread between the civilian participation rate (CIVPART from FRED) and the employed ratio of the population (EMRATIO again courtesy of FRED).



I am curious if there is a secular change in the works, as the spread since about 1980 has bottomed at a lower point in each expansion until the latest one...maybe related to the reduction in labor force participation by women that is occuring (no value judgement there, just the observation).

Modern American Patriots!

This video of citizens in action is downright INSPIRING!http://www.youtube.com/watch?v=EUpQ_EJMdGs

Local Minima in the CIVPART-EMRATIO Spread (with thanks to the St Louis Fed -I like FRED!)

Here is another look at yet more data suggesting that we are indeed entering a recession - just in case the most recent new claims report has you questioning whether that is the case or no - I welcome speculation on the explanatory side of this...

I got to fiddling around with data series from FRED, the St Louis Fed online data source and got curious about the spread between the CIVPART series, which is the labor participation rate, and the EMRATIO series, which is the employed as a percent of the population. I eyeballed the recession bands and layered them in, I need to learn how my infoporn hero CR does his recession bands... in any case, it seems whenever this spread is coming off of a local minima we are going into a recession, period. How much and how long... quien sabe?

One more unnecessary recession indicator post

Well today we had the third job loss month in a row, with some material revisions to the previous two months numbers - downward - which got me curious about the FRED plots from the St Louis Fed...

Here is the USPRIV, which is from the same source and plots the total of all private sector employees % change year over year:


Here is the UNEMPLOY series plot of the % change over year ago - we have just breached a level that appears to be associated with recessions when coming from a bottom in the unemployment rate - there is one time we reached it back in the late '60s without a breach that did not result in a recession...take a look and draw your own conclusions.

Seems to me the question now, as so many others have also posed is which mix of short/long and shallow/deep are we going to have with this recession? Talk amongst yourselves.

Real Esate Loan Delinquency Rates - Rate of Change

From the Federal Reserve Board Statistics and Releases - Bank Asset Quality - Charge Off and Delinquency Rates: This is a plot of the rate of change of the quarterly data year over year (YoY) from 1992 through 4Q2007.

The yellow line is Commercial Real Estate, ex-farmland. The base data is the delinquency rate, and the rate of change of the delinquency rate is what we are looking at YoY

I ginned up the plot in OpenOffice and had some problems getting the dates on the bottom axis to display correctly in the image I uploaded, and this is a first feeble attempt to get a plot online to share it with Stagflationary Mark at http://illusionofprosperity.blogspot.com/

Hopefully I will get better at this with time!