US yield curve

The gap between 10-year and 2-year US Treasury yields. A “flattening” curve is often considered a portent of slowing economic activity, an “inverted” curve always a portent of recession.


The Japanese yen’s exchange rate against the US dollar. In times of market stress or financial stress, the yen often strengthens, pushing dollar/yen lower.


The benchmark measure of US stock market volatility, sometimes referred to as “the fear index”.

Euro zone spreads

The premium investors demand for holding Spanish or Italian sovereign bonds over benchmark German debt. Wider spreads indicate a greater degree of risk aversion.

Itraxx crossover

An index of sub-investment grade – or “junk” rated - European credit default swaps, effectively a measure of investors’ perception of credit risk and corporate borrowing costs.

Global high yield bond market

Merrill Lynch’s global index of high-yield bonds, reflecting credit risk in the so-called “junk” market, a sector that will attract huge inflows of cash in good times but often one of the first sectors investors will flee from in bad.

Libor/OIS spreads

The gap between short-term U.S. interbank lending rates and overnight money market rates, reflecting perceived stress in the banking system and the corporate world.

TED spread

The gap between short-term interbank lending rates and comparable “risk-free” US Treasury rates , reflecting perceived stress in the banking system and the corporate world.

Financials CDS

An index of credit default swaps in the European financial sector, the cost of insuring against default on “junior” bank debt and effectively a measure of counterparty risk and stress in the banking system.


A measure of cash holdings in U.S. retail investors’ portfolios, according to the American Association of Individual Investors monthly asset allocation surveys. High cash balances reflect investors’ preference for safety over risk.

Source: Thomson Reuters Datastream
By Stephen Culp and Matthew Weber | REUTERS GRAPHICS