Financial Indicators in the NFCI and ANFCI
Notes: All of the financial indicators are in basis points or percentages.
*The weights have been scaled to have a standard deviation of one for ease of presentation.
Financial Indicator
Repo Market Volume (Repurchases+Reverse Repurchases of primary dealers)
10-year/2-year Treasury yield spread
Commercial Paper Outstanding
2-year/3-month Treasury yield spread
3-month/1-week Treasury Repo spread
FDIC Volatile Bank Liabilities
Fed Funds/Overnight MBS Repo rate spread
Corporate Securities Repo Delivery Failures Rate
Trade-weighted US Dollar Value Index
Agency Repo Delivery Failures Rate
Fed Funds/Overnight Agency Repo rate spread
Total Money Market Mutual Fund Assets/Total Long-term Fund Assets
Treasury Repo Delivery Fails Rate
3-month Overnight Indexed Swap (OIS)/Treasury yield spread
Agency MBS Repo Delivery Failures Rate
Fed Funds/Overnight Treasury Repo rate spread
1-year/1-month LIBOR spread
3-month Financial commercial paper/Treasury bill spread
10-year Interest Rate Swap/Treasury yield spread
Citigroup Global Markets MBS/10-year Treasury yield spread
Citigroup Global Markets Financial/Corporate Credit bond spread
Counterparty Risk Index (constructed based on index formerly maintained by Credit Derivatives Research)
On-the-run vs. Off-the-run 10-year Treasury liquidity premium
3-month Eurodollar spread (LIBID-Treasury)
1-month Asset-backed/Financial commercial paper spread
3-month/1-week AA Financial commercial paper spread
3-month TED spread (LIBOR-Treasury)
3-month Merrill Lynch Swaption Volatility Expectations (SMOVE)
1-month Merrill Lynch Options Volatility Expectations (MOVE)
Bank of America/Merrill Lynch Home Equity ABS/MBS yield spread
2-year Interest Rate Swap/Treasury yield spread
CBOE S&P 500 Volatility Index (VIX)
Bank of America/Merrill Lynch 3-5 year AAA CMBS OAS spread
Citigroup Global Markets ABS/5-year Treasury yield spread
Transformations
LV: Level
LVMA: Level relative to moving average
DLV: First Difference
DLN: Log First Difference
DLNQ: 13-week Log First Difference
Transformation
DLNQ
LV
DLN
LV
LV
DLN
LV
DLNQ
DLN
DLNQ
LV
LV
DLNQ
LV
DLNQ
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
Frequency
W
W
W
W
W
Q
W
W
W
W
W
M
W
W
W
W
W
W
W
M
M
W
W
W
W
W
W
W
W
M
W
W
W
M
Haver/Bloomberg*/Call Report^ Mnemonic
FDFR+FDFV
FYCEPA-FYCEP2
FCPT
FYCEP2-FTBS3
USRGCGC*-USRGCGA *
RCON2604^+RCFN2200^+RCFD2800^+MAX(RCFD2890^,RCFD3190^)+RCFD3548^
R111RD-RPMB01D*
FDDC/(FDDC+FDTC)
FXTWM
FDDS/(FDDS+FDTS)
R111RD-RPAG01D*
ICABAAAA/ICAAAAAA
FDDG/(FDDG+FDTG)
T111W3M-R111G3M
FDDM/(FDDM+FDTM)
R111RD-RPGT01D*
FLOD1Y-FLOD1
FFP3-FTBS3
T111WA-R111GA
SYMT-FCM10
SYCF-SYCT
Various series from Bloomberg*
FYCEPA-FCM10
FDB3-FTBS3
FAB1M-FFP1M
FFP3M-FFP7D
FLOD3-FTBS3
SPMLSV3
SPMLV1
FMLSHM-FMLMGM
T111W2-R111G2
SPVIX
CB12*
SYCAAB-FCM5
Weights*
Start Date Subindex Category NFCI ANFCI
1994w40
Risk
-1.130 -0.505
1971w33
Risk
-0.663 -1.074
1995w45
Risk
-0.366 -0.115
1971w1
Risk
-0.155 0.253
1991w22
Risk
-0.164 0.568
1978w40
Risk
0.004 0.027
1991w22
Risk
0.045 0.329
2001w40
Risk
0.028 0.166
1973w2
Risk
0.073 0.116
1994w40
Risk
0.216 0.094
1991w22
Risk
0.035 0.507
1984w52
Risk
0.290 0.159
1994w40
Risk
0.182 0.405
2003w38
Risk
0.497 1.937
1994w40
Risk
0.437 0.243
1991w22
Risk
0.375 1.077
1986w2
Risk
0.459 0.095
1971w1
Risk
0.506 1.709
1987w13
Risk
0.792 1.572
1979w52
Risk
0.745 1.617
1979w52
Risk
1.002 1.440
2005w2
Risk
1.204 -0.220
1985w1
Risk
1.197 1.173
1971w1
Risk
1.324 2.914
2001w1
Risk
1.477 2.359
1997w2
Risk
1.528 1.833
1980w23
Risk
1.614 3.530
1996w49
Risk
1.824 0.983
1988w14
Risk
1.840 1.712
1991w27
Risk
1.978 0.742
1987w13
Risk
2.112 3.089
1990w1
Risk
2.232 1.759
1997w53
Risk
2.423 1.485
1989w52
Risk
2.609 2.745
Financial Indicators in the NFCI and ANFCI
Notes: All of the financial indicators are in basis points or percentages.
*The weights have been scaled to have a standard deviation of one for ease of presentation.
Transformations
LV: Level
LVMA: Level relative to moving average
DLV: First Difference
DLN: Log First Difference
DLNQ: 13-week Log First Difference
Financial Indicator
National Association of Credit Managers Index
UM Household Survey: Durable Goods Credit Conditions Good/Bad spread
UM Household Survey: Mortgage Credit Conditions Good/Bad spread
UM Household Survey: Auto Credit Conditions Good/Bad spread
Commercial Bank 24-month Personal Loan/2-year Treasury yield spread
Senior Loan Officer Opinion Survey: Willingness to Lend to Consumers
Commercial Bank 48-month New Car Loan/2-year Treasury yield spread
Finance Company Receivables Outstanding
S&P US Credit Card Quality Index Receivables Outstanding
S&P US Credit Card Quality Index Excess Rate Spread
Consumer Credit Outstanding
MZM Money Supply
Mortgage Bankers Association Serious Delinquencies
S&P US Credit Card Quality Index 3-month Delinquency Rate
American Bankers Association Value of Delinquent Noncard Revolving Credit Loans/Total Loans
Commercial Bank Noncurrent/Total Loans
American Bankers Association Value of Delinquent Consumer Loans/Total Loans
American Bankers Association Value of Delinquent Credit Card Loans/Total Loans
American Bankers Association Value of Delinquent Home Equity Loans/Total Loans
Moody's Baa corporate bond/10-year Treasury yield spread
20-year Treasury/State & Local Government 20-year General Obligation Bond yield spread
Bond Market Association Municipal Swap/20-year Treasury yield spread
30-year Conforming Mortgage/10-year Treasury yield spread
National Federation of Independent Business Survey: Credit Harder to Get
Markit Investment Grade (IG) 5-yr Senior CDS Index
Markit High Yield (HY) 5-yr Senior CDS Index
Senior Loan Officer Opinion Survey: Increasing spreads on Large C&I Loans
Senior Loan Officer Opinion Survey: Tightening Standards on Large C&I Loans
Merrill Lynch High Yield/Moody's Baa corporate bond yield spread
Senior Loan Officer Opinion Survey: Tightening Standards on RRE Loans
Senior Loan Officer Opinion Survey: Increasing spreads on Small C&I Loans
Senior Loan Officer Opinion Survey: Tightening Standards on CRE Loans
30-year Jumbo/Conforming fixed rate mortgage spread
1-month Nonfinancial commercial paper A2P2/AA credit spread
Senior Loan Officer Opinion Survey: Tightening Standards on Small C&I Loans
Transformation
LV
LV
LV
LV
LV
LV
LV
DLN
DLN
LV
DLN
DLN
DLV
DLV
DLV
DLN
DLV
DLV
DLV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
LV
Frequency
M
M
M
M
Q
Q
Q
M
M
M
M
M
Q
M
M
Q
M
M
M
W
W
W
W
M
W
W
Q
Q
W
Q
Q
Q
W
W
Q
Haver/Bloomberg*/Call Report^ Mnemonic
CMI
Staff calculations based on data from the University of Michigan Survey of Consumers
Staff calculations based on data from the University of Michigan Survey of Consumers
Staff calculations based on data from the University of Michigan Survey of Consumers
FK24P-FYCEP2
FWILL
FK48NC-FYCEP2
FROT
CCQIO
CCQIX
FOTA
FMZM
USL14FA+USL149A
CCQID3
USREVDA
(RCFD1407^+RCFD1403^)/RCFD2122^
USSUMDA
USBKCDA
USHQODA
FBAA-FCM10
FSLB-FCM20
SBMAS-FCM20
FRM30F-FCM10
NFIB20
Various series from Bloomberg*
Various series from Bloomberg*
FSCIL
FTCIL
FMLPHM-FBAA
FTCNMH
FSCIS
FTCREH
ILMJNAVG*-ILM3NAVG*
FAP1M-FCP1M
FTCIS
Start
2002w9
1978w9
1978w9
1978w9
1972w5
1971w25
1972w5
1985w31
1992w9
1992w5
1971w25
1974w9
1972w26
1992w9
1999w8
1984w40
1999w8
1999w8
1999w8
1971w1
1971w1
1989w27
1971w13
1973w44
2005w2
2005w2
1990w13
1990w13
1986w45
1990w26
1990w13
1990w26
1998w24
1997w2
1990w13
Start
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Credit
Weights*
NFCI ANFCI
-2.084 -0.661
-1.335 -1.279
-1.309 -1.629
-1.184 -1.127
-0.851 -1.495
-0.614 -0.556
-0.340 -0.992
-0.171 0.089
-0.084 0.045
-0.467 -0.672
-0.037 0.049
-0.023 -0.067
0.028 0.063
0.132 0.076
0.128 0.202
0.147 0.155
0.212 0.140
0.213 0.135
0.241 0.161
0.190 0.629
0.572 0.209
0.533 1.494
0.628 0.929
1.121 0.371
1.945 0.021
1.965 0.099
2.066 1.430
2.113 1.604
2.146 1.101
2.163 1.979
2.154 1.522
2.162 1.719
2.262 1.454
2.140 2.304
2.263 1.617
Financial Indicators in the NFCI and ANFCI
Notes: All of the financial indicators are in basis points or percentages.
*The weights have been scaled to have a standard deviation of one for ease of presentation.
Financial Indicator
S&P 500 Financials/S&P 500 Price Index (Relative to 2-year MA)
3-month Eurodollar, 10-year/3-month swap, 2-year and 10-year Treasury Options and Futures Open Interest
Net Notional Value of Credit Derivatives
New US Corporate Debt Issuance (Relative to 12-month MA)
S&P 500, S&P 500 mini, NASDAQ 100, NASDAQ mini Options and Futures Open Interest
CMBS Issuance (Relative to 12-month MA)
Nonmortgage ABS Issuance (Relative to 12-month MA)
Broker-dealer Debit Balances in Margin Accounts
Federal Reserve Board Commercial Property Price Index
New State & Local Government Debt Issues (Relative to 12-month MA)
Total Assets of ABS issuers/GDP
Commercial Bank Consumer Loans/Total Assets
New US Corporate Equity Issuance (Relative to 12-month MA)
Loan Performance Home Price Index
Wilshire 5000 Stock Price Index
Commercial Bank Securities in Bank Credit/Total Assets
S&P 500, NASDAQ, and NYSE Market Capitalization/GDP
10-year Constant Maturity Treasury yield
Total MBS Issuance (Relative to 12-month MA)
Total Assets of Insurance Companies/GDP
Commercial Bank Real Estate Loans/Total Assets
Total Assets of Pension Funds/GDP
Total Assets of Broker-dealers/GDP
Total REIT Assets/GDP
Fed funds and Reverse Repurchase Agreements w/ Nonbanks and Interbank Loans/Total Assets of Commercial Banks
Commercial Bank Total Unused C&I Loan Commitments/Total Assets
Total Assets of Finance Companies/GDP
Federal, state, and local debt outstanding/GDP
Total Assets of Funding Corporations/GDP
Nonfinancial business debt outstanding/GDP
Household Mortgage and Consumer Credit Oustanding/PCE Durables and Residential Investment
Total Agency and GSE Assets/GDP
Commercial Bank C&I Loans/Total Assets
CME Eurodollar/CBOT T-Note Futures Market Depth
CME E-mini S&P Futures Market Depth
COMEX Gold/NYMEX WTI Futures Market Depth
Transformations
LV: Level
LVMA: Level relative to moving average
DLV: First Difference
DLN: Log First Difference
DLNQ: 13-week Log First Difference
Transformation
LVMA
DLNQ
DLN
LVMA
DLNQ
LVMA
LVMA
DLN
DLN
LV
DLN
DLN
LVMA
DLN
DLN
DLN
DLN
DLV
LVMA
DLN
DLN
DLN
DLN
DLN
DLN
DLN
DLN
DLN
DLN
DLN
LV
DLN
DLN
LV
LV
LV
Frequency
W
W
W
M
W
M
M
M
Q
M
Q
M
M
M
M
M
Q
W
M
Q
M
Q
Q
Q
M
Q
Q
Q
Q
Q
M
Q
M
W
W
W
Haver/Bloomberg*/Call Report^ Mnemonic
S5N40I/SPN5COM
COPED3P+COPTN2P+COPT10P
D001TOTH
FNSIPB
COPSPMP+COPSP5P+COPNAMP+(pre-6/10 COPNASP, post-6/10 COPCNAP)
Staff calculations based on data from CRE Finance Council and Inside Mortgage Finance
Staff calculations based on data from Inside Mortgage Finance
SPMD
FRBCREPI
FNSIS
(OA67TAO5-OA67AGI3+OA61CNC5+OA76CNC0)/GDP
FABWQA/FAA
FNSIPS
USLPHPIS
SPWIE
FABYA/FAA
(SPSP5CAP+SPNYCAPH+SPNACAP)/GDP
FCM10
Staff calcuations based on data from Inside Mortgage Finance
(OA51TAO5+OA54TAO5)/GDP
FABWRA/FAA
OA57TAO5/GDP
OA66TAO5/GDP
OA64TAO5/GDP
(FAIFFA+FABWORA)/FAA
RCON3423^/RCON2170^
(OA61TAO5-OA61CNC5)/GDP
(XL31CRE5+XL21TCR5)/GDP
OA50TAO5/GDP
XL14TCRE5/GDP
(XL15HOM5+XL15CNC0)/(CD+FR)
(OA40MOR5+OA41MOR5+OA67AGI3)/GDP
FABWCA/FAA
Staff calculations based on data provided by the CME
Staff calculations based on data provided by the CME
Staff calculations based on data provided by the CME
Start
1989w37
1995w25
2008w45
1987w52
1999w38
1990w52
2000w52
1971w21
1971w25
2004w8
1983w52
1973w13
1987w52
1976w13
1971w4
1973w13
1971w12
1971w1
2000w52
1971w12
1973w13
1971w12
1971w12
1971w25
1973w13
1984w40
1971w12
1971w25
1971w12
1971w12
1971w25
1983w52
1973w13
2008w5
2008w1
2008w1
Subindex
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Leverage
Weights*
NFCI ANFCI
-2.058 -1.826
-0.910 -0.791
-0.125 -0.304
-0.155 -0.217
-0.054 -0.069
-0.161 -0.176
-0.109 -0.002
-0.090 -0.174
0.000 -0.016
-0.062 -0.080
-0.020 0.018
-0.062 -0.067
-0.050 0.017
-0.053 -0.162
-0.045 -0.100
-0.040 -0.123
-0.032 -0.069
-0.020 -0.181
0.003 -0.186
-0.020 -0.051
-0.006 0.007
-0.003 -0.019
-0.007 -0.027
-0.010 0.060
-0.006 -0.063
-0.010 -0.007
-0.001 0.013
0.010 -0.009
0.019 0.018
0.021 0.090
0.032 0.010
0.043 0.088
0.046 0.181
1.483 1.361
0.932 1.282
1.703 1.157