Financial Stress Index Sources

Credit

Indicators Regions Sources Notes
BaML US Corporate Master (IG) (OAS) US Haver  
BaML US High Yield Corporate Master (HY) (OAS) US Haver  
BaML Euro Area Corp Bond Index (OAS) AE Bloomberg  
BaML Euro Area High Yield Bond Index (OAS) AE Haver  
BaML Japan Corporate (OAS) AE Haver  
JPMorgan CEMBI Strip Spread EM Bloomberg  
JPMorgan EMBI Global Strip Spread EM Bloomberg  

Equity Valuation

Indicators Regions Sources Notes
MSCI Emerging Markets Index (P/B Ratio) EM Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
MSCI Europe Index (P/B Ratio) AE Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
NIKKEI 225 Index (P/B Ratio) AE Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
S&P 500 Index (P/B Ratio) US Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.

Funding

Indicators Regions Sources Notes
2-Year EUR/USD Cross-Currency Swap Spread US, AE Bloomberg  
2-Year US Swap Spread US Bloomberg  
2-Year USD/JPY Cross-Currency Swap Spread US, AE Bloomberg  
3-Month EURIBOR - EONIA AE Bloomberg  
3-Month Japanese LIBOR - OIS AE Bloomberg  
3-Month LIBOR - OIS US Bloomberg  
3-Month TED Spread US Bloomberg  

Safe Assets

Indicators Regions Sources Notes
10-Year US Treasury Note (yield) US Bloomberg Computed as the difference of the indicator and its 250-trading day moving average.
10-Year German Bond (yield) AE Bloomberg Computed as the difference of the indicator and its 250-trading day moving average.
Gold/USD Real Spot Exchange Rate US, AE, EM Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
Japanese Yen/USD Spot Exchange Rate AE Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
Swiss Franc/USD Spot Exchange Rate AE Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.
US Dollar Index (DXY) US Bloomberg Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average.

Volatility

Indicators Regions Sources Notes
CBOE S&P 500 Volatility Index (VIX) US Bloomberg  
Dow Jones EURO STOXX 50 Volatility Index (V2X) AE Bloomberg  
ICE Brent Crude Oil Future (22-day realized volatility) US, AE, EM Bloomberg  
Implied Volatility on 6-Month EUR/USD Options US, AE Bloomberg  
Implied Volatility on 6-Month USD/JPY Options US, AE Bloomberg  
JPMorgan Emerging Market Volatility Index AE Bloomberg  
Merrill Lynch Euro Swaptions Volatility Estimate AE Bloomberg  
Merrill Lynch US Swaptions Volatility Estimate US Bloomberg  
NIKKEI Volatility Index AE Bloomberg  

Key

AE = Advanced economies ex-U.S., such as the eurozone and Japan
BaML = Bank of America Merrill Lynch
CBOE = Chicago Board Options Exchange
CEMBI = Corporate Emerging Markets Bond Index
EM = Emerging markets
EMBI = Emerging Market Bond Index
EONIA = Euro OverNight Index Average
EUR = Euro
EURIBOR = Euro InterBank Offered Rate

HY = High yield
IG = Investment grade
JPY = Japanese yen
LIBOR = London Interbank Offered Rate
MSCI = Morgan Stanley Capital International
OAS = Option-adjusted spread
OIS = Overnight indexed swap
P/B Ratio = Price-to-book ratio (value-weighted)
USD = U.S. dollar