Financial Stress Index Sources

Credit

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)

Equity Valuation

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.

Funding

Indicators Regions Notes
2y EUR/USD Swap Spread (Euribor v LIBOR) US, AE Average of the bid rate and the offered rate. Included in FSI before 2022-01-01.
2y EUR/USD Swap Spread (ESTR v SOFR) US, AE Average of the bid rate and the offered rate. Included in FSI beginning on 2022-01-01.
2y USD/JPY Swap Spread (LIBOR) US, AE Average of the bid rate and the offered rate. Included in FSI before 2022-01-01.
2y USD/JPY Swap Spread (SOFR v TONAR) US, AE Average of the bid rate and the offered rate. Included in FSI beginning on 2022-01-01.
3m Euribor - EONIA OIS AE Included in FSI before 2022-01-01.
3m Euribor - ESTR OIS AE Included in FSI beginning on 2022-01-01.
3m JPY LIBOR - OIS AE Included in FSI before 2022-01-01.
3m TIBOR- TONAR OIS AE Included in FSI beginning on 2022-01-01.
3m USD LIBOR - OIS US Included in FSI before 2022-01-01.
3m Commercial Paper - SOFR OIS US Included in FSI beginning on 2022-01-01.
TED Spread US Included in FSI before 2022-01-01.
3m Commercial Paper - 3m Treasury US Included in FSI beginning on 2022-01-01.
USD LIBOR Swap Spread, 2y US Bid rate. Included in FSI before 2022-01-01.
SOFR Swap Spread, 2y US Bid rate. Included in FSI beginning on 2022-01-01.

Safe Assets

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.

Volatility

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  

Key

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.