Financial Stress Index Sources
| Indicators |
Regions |
Notes |
| ICE BofA US Corporate Master (IG) (OAS) |
US |
Option Adjusted Spread (OAS) |
| ICE BofA US High Yield Corporate Master (HY) (OAS) |
US |
Option Adjusted Spread (OAS) |
| ICE BofA Euro Area Corp Bond Index (OAS) |
AE |
Option Adjusted Spread (OAS) |
| ICE BofA Euro Area High Yield Bond Index (OAS) |
AE |
Option Adjusted Spread (OAS) |
| ICE BofA Japan Corporate (OAS) |
AE |
Option Adjusted Spread (OAS) |
| JPMorgan CEMBI Strip Spread |
EM |
Blended Spread (BSPRD) |
| JPMorgan EMBI Global Strip Spread |
EM |
Blended Spread (BSPRD) |
| Indicators |
Regions |
Notes |
| MSCI Emerging Markets Index (P/B Ratio) |
EM |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| MSCI Europe Index (P/B Ratio) |
AE |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| NIKKEI 225 Index (P/B Ratio) |
AE |
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 |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| Indicators |
Regions |
Notes |
| 2-Year EUR/USD Cross-Currency Swap Spread |
US, AE |
Average of the bid rate and the offered rate |
| 2-Year US Swap Spread |
US |
Bid rate |
| 2-Year USD/JPY Cross-Currency Swap Spread |
US, AE |
Average of the bid rate and the offered rate |
| 3-Month EURIBOR - EONIA |
AE |
|
| 3-Month Japanese LIBOR - OIS |
AE |
|
| 3-Month LIBOR - OIS |
US |
|
| 3-Month TED Spread |
US |
|
| Indicators |
Regions |
Notes |
| 10-Year US Treasury Note (yield) |
US |
Computed as the difference of the indicator and its 250-trading day moving average. |
| 10-Year German Bond (yield) |
AE |
Computed as the difference of the indicator and its 250-trading day moving average. |
| Gold/USD Real Spot Exchange Rate |
US, AE, EM |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| Japanese Yen/USD Spot Exchange Rate |
AE |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| Swiss Franc/USD Spot Exchange Rate |
AE |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| US Dollar Index (DXY) |
US |
Computed as the logarithm of the ratio of the indicator to its 250-trading day moving average. |
| Indicators |
Regions |
Notes |
| CBOE S&P 500 Volatility Index (VIX) |
US |
|
| Dow Jones EURO STOXX 50 Volatility Index (V2X) |
AE |
|
| ICE Brent Crude Oil Future (22-day realized volatility) |
US, AE, EM |
|
| Implied Volatility on 6-Month EUR/USD Options |
US, AE |
|
| Implied Volatility on 6-Month USD/JPY Options |
US, AE |
|
| JPMorgan Emerging Market Volatility Index |
EM |
|
| Refinitiv Euro Swaptions Volatility Estimates Average |
AE |
Weighted average of the 2 years, 5 years, 10 years, and 30 years Refinitiv Euro 3M ATM Swaption volatility estimates |
| Merrill Lynch US Swaptions Volatility Estimate |
US |
|
| NIKKEI Volatility Index |
AE |
|
AE = Advanced economies ex-U.S., such as the eurozone and Japan
BoA = Bank of America
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
ICE = Intercontinental Exchange
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
Note: All series are pulled from Datastream by Refinitiv.
