National Financial Conditions Index (NFCI)

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The Chicago Fed’s National Financial Conditions Index (NFCI) provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and “shadow” banking systems. Because U.S. economic and financial conditions tend to be highly correlated, we also present an alternative index, the adjusted NFCI (ANFCI). This index isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to current economic conditions.
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Index Suggests Steady Financial Conditions in Week Ending February 24

The NFCI was unchanged at –0.41 in the week ending February 24. Risk indicators contributed –0.15, credit indicators contributed –0.14, and leverage indicators contributed –0.11 to the index in the latest week.

The ANFCI ticked up in the latest week to –0.41. Risk indicators contributed –0.16, credit indicators contributed –0.09, leverage indicators contributed –0.10, and the adjustments for prevailing macroeconomic conditions contributed –0.04 to the index in the latest week.

The NFCI and ANFCI are each constructed to have an average value of zero and a standard deviation of one over a sample period extending back to 1971. Positive values of the NFCI have been historically associated with tighter-than-average financial conditions, while negative values have been historically associated with looser-than-average financial conditions. Similarly, positive values of the ANFCI have been historically associated with financial conditions that are tighter than what would be typically suggested by prevailing macroeconomic conditions, while negative values have been historically associated with the opposite.


^ You can find the raw data and more detailed information on how the indexes are calculated on that page. You can find charts of the NFCI and ANFCI indices here:


 
Index Suggests Steady Financial Conditions in Week Ending March 3

The NFCI was unchanged at –0.38 in the week ending March 3. Risk indicators contributed –0.12, credit indicators contributed –0.14, and leverage indicators contributed –0.11 to the index in the latest week.


The ANFCI ticked up in the latest week to –0.39. Risk indicators contributed –0.13, credit indicators contributed –0.10, leverage indicators contributed –0.10, and the adjustments for prevailing macroeconomic conditions contributed –0.05 to the index in the latest week.
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Well these indices sure provided excellent guidance with respect to the banking sector, didn't it? I wonder what the indices are going to say come Wednesday morning when they release the update that covers through yesterday (when SVB imploded).
 
Numbers rising, conditions tightening...

Index Suggests Financial Conditions Tightened in Week Ending March 17​

The NFCI was –0.24 in the week ending March 17, up from a revised –0.27 (initially reported as –0.35). Risk indicators contributed –0.05, credit indicators contributed –0.10, and leverage indicators contributed –0.08 to the index in the latest week.

The ANFCI moved up in the latest week to –0.23 from a revised –0.27 (initially reported as –0.37). Risk indicators contributed –0.06, credit indicators contributed –0.07, leverage indicators contributed –0.06, and the adjustments for prevailing macroeconomic conditions contributed –0.03 to the index in the latest week.
 
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