Macro Environment
Yield curves, credit spreads, labor market, and money supply from Federal Reserve Economic Data
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US Treasury Yield Curve
Current yield at each maturity vs 1 year ago
10-Year Treasury Yield
DGS10 — Benchmark long-term rate
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Current
2-Year Treasury Yield
DGS2 — Fed policy expectations
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Current
10Y-2Y Treasury Spread
T10Y2Y — Yield curve inversion indicator. Below zero signals potential recession
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Spread
Investment Grade Spread
ICE BofA US Corporate IG OAS (BAMLC0A0CM)
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bps
High Yield Spread
ICE BofA US HY OAS (BAMLH0A0HYM2)
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bps
IG vs HY Spread Differential
HY minus IG spread — widening signals increasing risk aversion
Bank C&I Loan Tightening Standards
DRTSCILM — Net % of banks tightening lending standards (leveraged lending proxy)
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Net %
Initial Jobless Claims
ICSA — Weekly new unemployment filings with 4-week moving average
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Weekly
Unemployment Rate
UNRATE — U-3 headline unemployment rate
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Rate
M2 Money Supply
M2SL — Broad money supply ($ trillions)
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$ Trillions
10-Year Breakeven Inflation
T10YIE — Market-implied inflation expectations
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Rate
ISM Manufacturing PMI
NAPM — Above 50 = expansion, below 50 = contraction. Has preceded every recession.
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Index
Chicago Fed National Activity Index
CFNAI — Composite of 85 indicators. Above 0 = above-trend growth. Cleanest cycle signal.
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Index
Federal Reserve Total Assets
WALCL — Fed balance sheet ($ trillions). QE expands, QT contracts.
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$ Trillions
Chicago Fed NFCI
NFCI — National Financial Conditions Index. Positive = tighter than average conditions.
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Index
St. Louis Financial Stress Index
STLFSI2 — Above 0 = above-average financial stress.
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Index
TED Spread
TEDRATE — Interbank lending stress. Spikes signal banking sector risk.
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Spread
HY Effective Yield
BAMLHE00EHYIEY — High yield bond effective yield. Higher = riskier credit environment.
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Yield
30-Year Mortgage Rate
MORTGAGE30US — Average 30-year fixed rate mortgage.
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Rate
Case-Shiller Home Price Index
CSUSHPINSA — National home price index (Jan 2000 = 100).
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Index
Existing Home Sales
EXHOSLUSM495S — Existing home sales (thousands, SAAR).
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Thousands
Building Permits
PERMIT — New building permits (thousands, SAAR). Leading housing indicator.
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Thousands