Skip to content

List of Data Series Used to Construct the St. Louis Fed Financial Stress Index (STLFSI) (Discontinued)

NOTE: The series STLFSI is discontinued and has been replaced with STLFSI2. Details about the series STLFSI2 are available in The FRED Blog.

STLFSI Key
  Label in Chart Series
FedFund Effective federal funds rate
Treas2y 2-year Treasury
Treas10y 10-year Treasury
Treas30y 30-year Treasury
BAA Baa-rated corporate
Mlynch_HighYld_MasterII Merrill Lynch High-Yield Corporate Master II Index
Mlynch_BBBAA Merrill Lynch Asset-Backed Master BBB-rated
YieldCurve_10yr3mo Yield curve: 10-year Treasury minus 3-month Treasury
Corp_CRS Corporate Baa-rated bond minus 10-year Treasury (corporate credit risk spread)
HighYield_CRS Merrill Lynch High-Yield Corporate Master II Index minus 10-year Treasury (high-yield credit risk spread)
LiborOIS_3mo 3-month London Interbank Offering Rate–Overnight Index Swap spread (3-month LIBOR-OIS spread)
TED 3-month Treasury-Eurodollar spread (TED spread)
CPS_3mo 3-month commercial paper minus 3-month Treasury bill (commercial paper spread (3-month))
EMBI J.P. Morgan Emerging Markets Bond Index Plus
VIX Chicago Board Options Exchange Market Volatility Index (VIX)
Mlynch_ BMVI_1mo Merrill Lynch Bond Market Volatility Index (1-month)
BIR_10yr 10-year nominal Treasury yield minus 10-year Treasury Inflation Protected Security yield (breakeven inflation rate (10-year))
SP500_FI S&P 500 Financials Index

Note from http://research.stlouisfed.org/fred2/series/STLFSI:
As of 07/15/2010 the Vanguard Financial Exchange-Traded Fund series has been replaced with the S&P 500 Financials Index. This change was made to facilitate a more timely and automated updating of the FSI. Switching from the Vanguard series to the S&P series produced no meaningful change in the index.

Print-friendly version of the Key (pdf)