Chart 8. The title is "Bond Values Declined More Severely during Rising Rate Periods of 1994-95 than 1999-2000".

The median ratio of unrealized securities gains (losses)-to-amortized cost is shown between June 1994 and December 2003 and compared across various classes of debt securities. In June 1994, all types of securities showed a median unrealized loss. The median proportion of unrealized loss was 1.09% for U.S. Treasury securities, 1.22% for Pass-Through mortgage backed securities (MBS), 1.43% for U.S. Agency securities, and 2.39% for Non-Pass-Through MBS. Losses steepened by the end of 1994, reaching a low of 2.42% for U.S. Treasury securities, 3.61% for Pass-Through MBS, 3.41% for U.S. Agency securities, and 5.22% for Non-Pass-Through MBS. Losses moderated in subsequent periods, but generally one or more of these classes of securities experienced net unrealized losses through 1997, with Non-Pass-Through and U.S. Agency securities reporting relatively higher loss ratios. By yearend 1998 (following a brief period of declining interest rates), U.S. Treasury securities enjoyed a median unrealized gain-to-amortized cost ratio of 1.12%, Pass-Through MBS had a median gain of 0.62%, U.S. Agency securities had a median gain of 0.40%, and Non-Pass-Through MBS had neither gains nor losses. Securities losses occurred again during 1999 and 2000 (a period of rising interest rates) for these bond classes. The median ratio of net unrealized losses-to-amortized cost peaked in mid 2000 at 2.45% for U.S. Agency securities, 2.39% for Non-Pass-Through MBS, 2.07% for Pass-Through MBS, and 0.51% for U.S. Treasury securities. Net unrealized losses moderated subsequently, turning to net unrealized gains beginning in 2001 as interest rates declined. After peaking in late 2001 and early 2002, net unrealized gains shrank, and by fourth quarter 2003, the median ratio of net unrealized gains-to-amortized cost was zero for Non-Pass-Through MBS, and less than 1% each for U.S. Treasury, U.S. Agency, and Pass-Through MBS categories.