Financial System Vulnerabilities Monitor

Macroeconomic Risk

Inflation risk

Indicators Sources Notes
U.S. core inflation Haver Core personal consumption expenditure inflation. Measured as absolute distance from 2 percent year-on-year change.
U.S. consumer inflation expectations Haver University of Michigan survey. Consumer-expected average rate over next five years, measured as absolute distance from 2 percent year-on-year change.

Fiscal risk

Indicators Sources Notes
U.S. federal government fiscal balance/GDP Haver Fiscal balance measured as four-quarter sum.
U.S. federal government debt/GDP Haver Federal government debt measured as marketable U.S. Treasury debt held by public.
U.S. federal government interest/revenues Haver Interest and revenues measured as four-quarter sums.

External balance risk

Indicators Sources Notes
U.S. current account balance/GDP Haver Current account balance measured as four-quarter sum.
U.S. cross-border financial liabilities/GDP Haver Ratio measured as difference from ten-year moving average.

Market Risk

Valuations/risk premiums

Indicators Sources Notes
U.S. equity valuations Haver Valuation measured as Cyclically-Adjusted Price/Earnings: the ratio of the monthly S&P 500 price level to trailing ten-year average earnings (inflation adjusted).
U.S. Treasury term premium Bloomberg Ten-year term premium. Adrian-Crump-Moench model.
U.S. corporate bond spread Haver Option-adjusted spread on Bank of America Merrill Lynch investment grade corporate bond index.
U.S. mortgage-backed security spread Bloomberg Option-adjusted spread on 30-year Fannie Mae and Freddie Mac mortgage-backed securities.
U.S. house price/rent ratio Haver House prices measured by CoreLogic national house price index. Rent measured by owners' equivalent rent on residence, as reported by the Bureau of Labor Statistics. Both series seasonally adjusted.
U.S. house price/income ratio Haver House prices measured by CoreLogic national house price index. Income measured by U.S. disposable personal income per capita. Both series seasonally adjusted.
U.S. CRE capitalization spread Bloomberg Weighted average of CRE capitalization rates for the multifamily, industrial, office, retail, and hotel markets. Weighted by market capitalization. Spread over ten-year U.S. Treasury yield.

Financial risk taking/appetite

Indicators Sources Notes
U.S. bond investor duration Bloomberg Modified adjusted duration of the Barclay's U.S. Aggregate bond index.
U.S. equity market volatility Bloomberg Measured by the VIX index.

Credit Risk

Household credit risk

Indicators Sources Notes
U.S. consumer debt/income Haver Consumer debt is non-mortgage household debt. Income measured as household disposable income. Ratio measured as difference from ten-year moving average.
U.S. consumer debt/GDP growth Haver Consumer debt is non-mortgage household debt.
U.S. consumer debt service ratio Haver Consumer debt is non-mortgage household debt.
U.S. mortgage debt/income Haver Income measured as household disposable income. Ratio measured as difference from ten-year moving average.
U.S. mortgage debt/GDP growth Haver  
U.S. mortgage debt service ratio Haver  

Nonfinancial business credit risk

Indicators Sources Notes
U.S. nonfinancial business debt/GDP Haver Ratio measured as difference from ten-year moving average.
U.S. nonfinancial business debt/GDP growth Haver  
U.S. nonfinancial business debt/assets Compustat Median ratio of nonfinancial businesses. Four-quarter moving average.
U.S. nonfinancial business debt/earnings Compustat Median ratio of nonfinancial businesses. Four-quarter moving average. Earnings measured as EBITDA.
U.S. nonfinancial business earnings/interest expense Compustat Median ratio of nonfinancial businesses. Four-quarter moving average. Earnings measured as EBITDA.

Real economy borrowing levels and terms

Indicators Sources Notes
Lending standards for nonfinancial business Haver As reported in Federal Reserve Senior Loan Officer Opinion Survey. Business lending is defined as commercial and industrial loans.
Lending standards for residential mortgages Haver Median credit score of new U.S. residential mortgages, as reported in FRBNY Consumer Credit panel.

Solvency/Leverage Risk

Financial institution solvency

Indicators Sources Notes
Median U.S. BHC risk-based capital Federal Reserve FR Y-9C Tier 1 capital divided by risk-weighted assets. Median ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Aggregate U.S. BHC risk-based capital Federal Reserve FR Y-9C Tier 1 capital divided by risk-weighted assets. Aggregate ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Median U.S. commercial bank risk-based capital FFIEC Call Report Tier 1 capital divided by risk-weighted assets. Median ratio of institutions filing Call Reports.
Aggregate U.S. commercial bank risk-based capital FFIEC Call Report Tier 1 capital divided by risk-weighted assets. Aggregate ratio of institutions filing Call Reports.

Financial institution leverage

Indicators Sources Notes
Median U.S. BHC leverage Federal Reserve FR Y-9C Tangible equity divided by tangible assets. Median ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Aggregate U.S. BHC leverage Federal Reserve FR Y-9C Tangible equity divided by tangible assets. Aggregate ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Median U.S. commercial bank leverage FFIEC Call Report Tangible equity divided by tangible assets. Median ratio of institutions filing Call Reports.
Aggregate U.S. commercial bank leverage FFIEC Call Report Tangible equity divided by tangible assets. Aggregate ratio of institutions filing Call Reports.
Median U.S. life insurer leverage Bloomberg Total assets divided by total equity, per GAAP accounting. Median ratio of publicly-traded U.S. life insurers. Four quarter moving average.
Median U.S. non-life insurer leverage Bloomberg Total assets divided by total equity, per GAAP accounting. Median ratio of publicly-traded U.S. insurers other than life insurers. Four quarter moving average.

Funding/Liquidity Risk

Funding risk

Indicators Sources Notes
Ted Spread Bloomberg Spread between three-month U.S. dollar LIBOR and three-month U.S. Treasury bill rate.
U.S. financial commercial paper spread Bloomberg Spread between 90-day financial firm commercial paper rate and three-month U.S. Treasury bill rate.

Trading liquidity risk

Indicators Sources Notes
Dealer positions in U.S. Treasuries Haver Net broker-dealer position in U.S. Treasury securities, as reported in U.S. Financial Accounts. Indexed to marketable U.S. Treasury securities held by public.
Dealer positions in U.S. Agency-backed securities Haver Net broker-dealer position in U.S. Agency-backed securities, as reported in U.S. Financial Accounts. Indexed to U.S. Agency-backed securities.
U.S. Treasury bond turnover Haver Turnover measures trading volume divided by tradeable securities outstanding. Ratio measured as difference from one-year moving average.
U.S. equity turnover Bloomberg Turnover measures trading volume divided by tradeable securities outstanding. Ratio measured as difference from one-year moving average.

Financial institution liquidity risk

Indicators Sources Notes
Median U.S. commercial bank loans/deposits FFIEC Call Report Median ratio of institutions filing Call Reports.
Aggregate U.S. commercial bank loans/deposits FFIEC Call Report Aggregate ratio of institutions filing Call Reports.
Median U.S. BHC wholesale funding Federal Reserve FR Y-9C Measured as nondeposit liabilities divided by total liabilities. Median ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Aggregate U.S. BHC wholesale funding Federal Reserve FR Y-9C Measured as nondeposit liabilities divided by total liabilities. Aggregate ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars).
Median U.S. BHC net stable funding Federal Reserve FR Y-9C Ratio of estimated available stable funding/required stable funding. Median ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars). Available stable funding measured as the sum of the following (weights in parentheses): Tier 1 capital, Tier 2 capital, other capital, total deposits, borrowing with remaining maturity of one year or more (100%), borrowing with remaining maturity of less than one year (50%). Required stable funding measured per Fire-Sale Spillovers and Systemic Risk, Fernando Duarte and Thomas M. Eisenbach, Federal Reserve Bank of New York Staff Reports, no. 645 October 2013.
Aggregate U.S. BHC net stable funding Federal Reserve FR Y-9C Ratio of estimated available stable funding/required stable funding. Aggregate ratio of reporting bank holding companies with $1 billion or more in assets (2015 dollars). Available stable funding measured as the sum of the following (weights in parentheses): Tier 1 capital, Tier 2 Capital, other capital, total deposits, borrowing with remaining maturity of one year or more (100%), borrowing with remaining maturity of less than one year (50%). Required stable funding measured per Fire-Sale Spillovers and Systemic Risk, Fernando Duarte and Thomas M. Eisenbach, Federal Reserve Bank of New York Staff Reports, no. 645 October 2013.

Contagion Risk

Cross-institution contagion risk

Indicators Sources Notes
Asset fire-sale risk SNL Estimates the share of equity capital lost due to fire sale spillovers following for an indicative one percent decline in all asset prices. Aggregate for largest 100 U.S. bank holding companies, by assets. Methodology from Fire-Sale Spillovers and Systemic Risk, Fernando Duarte and Thomas M. Eisenbach, Federal Reserve Bank of New York Staff Reports, no. 645 October 2013, revised February 2015.
U.S. systemic capital shortfall estimate (SRISK)/GDP The Volatility Laboratory of the NYU Stern Volatility Institute Measured as the sum of positive SRISK values of 97 large U.S. financial institutions.

Financial sector concentration risk

Indicators Sources Notes
U.S. banking industry concentration Federal Reserve FR Y-9C Herfindahl-Hirschman index of reporters, measured by assets.
U.S. life insurance industry concentration SNL Herfindahl-Hirschman index of reporters, measured by assets.
U.S. mutual fund industry concentration Morningstar Herfindahl-Hirschman index of reporters, measured by assets.

Cross-border contagion risk

Indicators Sources Notes
U.S. cross-border financial assets/GDP Haver Ratio measured as difference from ten-year moving average.
U.S. bank cross-border claims/total assets Haver, Federal Reserve FR Y-9C, FFIEC Call Report Cross-border claims measured on immediate counterparty basis. Divided by total assets for banks and bank holding companies reporting cross-border claims.

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