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List of Data Series Used to Construct the St. Louis Fed Financial Stress Index

  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
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.