Risk Indicators in the NFCI and ANFCI

Risk Indicators in the NFCI and ANFCI Weight3 Financial Indicator1 Start Date Transformation2 Frequency NFCI ANFCI ICE BofAML ABS/5-yr Treasury yield spread 01-Feb-1991 LV M 3.54 3.53 BofAML 3-5 yr AAA CMBS OAS spread4 02-Jan-1998 LV W 3.53 3.12 2-yr Interest Rate Swap/Treasury yield spread7 03-Apr-1987 LV W 3.00 3.42 ICE BofAML Financial/Corporate Credit bond spread 31-Jan-1997 LV M 2.94 3.44 CBO. [...] TED spread (LIBOR-Treasury) 06-Jun-1980 LV W 2.15 2.75 Counterparty Risk Index (formerly maintained by Credit Derivatives Research)5 13-Sep-2002 LV W -2.12 -1.16 3-mo./1-wk AA Financial commercial paper spread 10-Jan-1997 LV W 2.05 2.91 10-yr Interest Rate Swap/Treasury yield spread6 03-Apr-1987 LV W 2.05 2.14 3-mo. [...] O-the-run 10-yr Treasury liquidity premium 20-Aug-1971 LV W -0.46 0.37 Total Money Market Mutual Fund Assets/Total Long-term Fund Assets 28-Dec-1984 LV M 0.39 0.18 Agency Repo Delivery Failures Rate 07-Oct-1994 DLNQ W 0.28 -0.04 Treasury Repo Delivery Fails Rate 07-Oct-1994 DLNQ W 0.27 -0.06 3-mo./1-wk Treasury Repo spread 24-May-1991 LV W -0.27 1.22 Fed Funds/Overnight Agency Repo rate spread 24-. [...] Nonnancial commercial paper A2P2/AA credit spread 10-Jan-1997 LV W 3.20 2.48 30-yr Jumbo/Conforming xed rate mortgage spread 12-Jun-1998 LV W 3.15 3.22 FRB Senior Loan Ocer Survey: Tightening Standards on Small C&I Loans 13-Jul-1990 LV Q 3.12 1.83 NACM Survey of Credit Managers: Credit Manager's Index 15-Feb-2002 LV M -3.10 -1.78 FRB Senior Loan Ocer Survey: Tightening Standards on CRE Loans 12-Oc. [...] New Car Loan/2-yr Treasury yield spread 05-May-1972 LV Q -0.39 -0.93 UM Household Survey: Auto Credit Conditions Good/Bad spread4 24-Feb-1978 LV M -0.35 -0.25 NFIB Survey: Credit Harder to Get 02-Nov-1973 LV M 0.33 0.28 ABA Value of Delinquent Bank Card Credit Loans/Total Loans 26-Feb-1999 DLV M 0.30 0.28 S&P US Bankcard Credit Card: Excess Rate Spread 28-Feb-1992 DLVSA M -0.26 -0.29 ABA Value of.