Bloomberg U.S. Credit measures the investment grade, US dollar-denominated, fixed-rate, taxable corporate and government related bond markets. It is composed of the US Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities.
Bloomberg U.S. MBS Index measures the performance of the agency mortgage-backed pass-through securities (both fixed-rate and hybrid ARM) issued by Ginne Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac FHLMC).
Goldman Sachs U.S. Financial Conditions Index is a weighted average of riskless interest rates, the exchange rate, equity valuations, and credit spreads, with weights that correspond to the direct impact of each variable on GDP.
Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500 Index (SPX) call and put options.
ICE BofA U.S. Bond Market Option Volatility Estimate Index (MOVE) measures U.S. bond market yield volatility by tracking a basket of over the counter options on U.S. Treasury notes and bonds. The basket is comprised of a-the-money one month options on the current 2-year, 5-year, 10-year and 30-year Treasuries. The index value is equal to the average of the implied normal yield volatility of the four options, where the 10-year option is given a 40% weight and the other basket components each hold a 20% share.
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