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St. Louis Fed Financial Stress Index Rises by a Hair

6/9/2016

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

Financial market stress inched up in the latest reporting week but still remains low – near levels last seen in August. For the week ending June 3, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.007, little changed from the previous week’s revised value of -1.008.

STLFSI Weekly Change graph

Over the past week, 13 of the 18 indicators contributed negatively to the change in the index, four more than in the previous week. The two largest negative contributions were made by the yield on corporate Baa-rated bonds (BAA) and by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). Five of the 18 indicators contributed positively to the weekly change in the index, two fewer than in the previous week. The two largest positive contributions were made by the difference between the three-month Libor rate and the three-month overnight index swap rate (Libor_OIS­_3mo) and by the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED).

STLFSI Yearly Change Graph

Over the past year, 12 of the 18 indicators made a positive contribution to the index, one fewer than in the previous week. For the 18th consecutive week, the two largest positive contributions over the past year were made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS) and by the index itself (Mlynch_HighYld_MasterII). Six indicators made a negative contribution to the index, one more than in the previous week. For the 16th consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). The next-largest negative contribution over the past year was made by the Baa-rated bond yield (BAA).

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.