The St. Louis Fed Financial Stress Index (STLFSI) fell slightly in the latest reporting week. For the week ending July 25, 2014, the STLFSI measured -1.340, down from the previous week’s revised value of -1.337.
Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the STLFSI, four more than the previous week. The largest negative contribution was made by the yield spread between 3-month commercial paper and 3-month Treasury bills (CPS_3mo), followed by yields on Baa-rated corporate bonds (BAA). Four of the 18 indicators contributed positively to the change in the STLFSI over the past week. The spread between high-yield corporate bonds and 10-year Treasury securities (HighYield_CRS) made the largest positive contribution over the past week, followed by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and 10-year Treasury securities (Mlynch_HighYld_MasterII).
Over the past 52 weeks, 17 of the 18 indicators contributed negatively to the change in the STLFSI, which was three more than the previous week. None of the 18 indicators made a positive contribution to the index. As in the previous week’s report, the largest negative contribution over the past year was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the yield spread between Baa-rated corporate bonds and 10-year Treasury securities (Corp_CRS).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.