some index

notes for index.
generally, people like to quote the index, but to explain them. some index explanation. FYI

EXPLANATORY NOTES
CENTRAL BANKS
Federal Reserve
TAFs: The Term Auction Facilities (TAFs) were introduced by the Fed on 12 Dec 2007 to get around the stigma banks associated with accessing the
Discount Window. They are normally auctions of one-month money with a minimum bid rate set by the prevailing 1M OIS and use the same collateral
requirements of the Discount Window (incl. ABCP, CDOs etc). Recently, the Fed also introduced longer dated auctions for 84-day money.
TSLF: Under the Term Securities Lending Facility (TSLF) the Fed lends Treasury securities to primary dealers for 28 days in exchange for other
securities. The range of acceptable securities was widened in mid-September to include all investment grade debt. In addition, the frequency and the
size of the operations were increased.
Expanded OMOs: On Mar 7, the Fed introduced a new type of 28-day term repurchase transactions in addition to its regular operations. These
repos are virtually identical to the Fed's normal open market operations (OMOs) in terms of collateral requirements and are open to primary dealers
only. It is noticeable that the bid/cover ratios for the OMOs are higher than that for the TAFs even though both are basically auctions for 28-day cash.
The explanation for this probably lies in the fact that the TAFs are only open to depository institutions while the OMOs are only open to primary
dealers (mainly investment banks) and the latter group have the more constrained balance sheets at the moment.
ECB
The ECB's Open Market Operations are shown as a proportion of 'autonomous factors' (structural demand for funds) and minimum reserve
requirements. This filters out changes in liquidity provision due to time-varying changes in demand or changes in reserve requirements. As a result,
the ratio typically reverts to 100% at month-end. The amount of USD liquidity provided under the FX swap agreement concluded with the Fed in Dec
07 and widened later is also shown.
BoE
The chart shows the secured overnight rate which is the rate on overnight gilt repos. Spikes in the rate over Bank Rate indicate short term funding
pressures in the sterling market. We also show the amount of USD liqudity provided under an FX swap agreement with the Fed from Sep 08.
MONEY MARKETS
TED spread: The 3M Libor rate over the 3M T-bill rate. This spread gives an indication of the interbank risk premium as it filters out the risk-free
Treasury rate.
3M Libor over OIS: 3-month rates are the Libors in the respective currency. The Overnight Indexed Swap is an interest rate swap with the fixed leg
the quoted rate and the floating leg computed using a published overnight rate. The floating leg for the USD OIS is the Effective Fed Funds rate while
for GBP it is SONIA and for EUR it is EONIA. It is therefore a useful although not precise indicator of market expectations of future policy rates.
Commercial Paper Outstanding: The chart indicates the stock of outstanding ABCP and unsecured CP in the US. The data is updated on a weekly
basis (Thu).
US Commercial Paper Yields: Yields on Top Tier (A1+/P1/F1+) US Commercial Paper based on a composite index published by Bloomberg.
CREDIT
High grade credit default swap index: The European index is the 5yr iTraxx High Grade index which is composed of 125 investment grade entities,
distributed among nine sectors. The index is expressed in basis points. The US index is the CDX North America Investment Grade Index published
by Markit, which is composed of 125 entities, distributed over six sectors and expressed in bps.
30yr Mortgage Rate: US Home Mortgage 30 yr fixed, national average, with a one-day delay from bankrate.com
ABX: The ABX index is a synthetic index comprising of 20 equally weighted constituents of ABS in 5 rating categories (AAA, AA, A, BBB, BBB-). The
ABS themselves reference Home Equity Loans (HEL) with a minimum deal size of $500mn and an average life of between 4-6 years. Hence, the
index has been used considerably in the past in an attempt to hedge exposures on subprime loans. The ABX index trades on the basis of price rather
than spread, as the possibility of prepayment on the loans makes it difficult to devise accurate duration estimates.
Emerging Markets: The Global Emerging Market Sovereign Bond Index (ESBI) is a proprietary Citi index. We show it expressed as an optionadjusted
spread over US Treasuries. The MSCI Emerging Markets Equity Index is a local currency index of global emerging markets.
OTHER
Crude oil: shows the generic 1-month rolling contract of WTI as published by Bloomberg.
Gold: is the spot price of gold in USD/Oz.
Citi Economic Surprise Index: The Citigroup ESIs are weighted historical standard deviations of data surprises (actual releases vs Bloomberg
survery median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance been beating consensus. The
indices are calculated daily in a rolling three-month window. The weights of economic indicators are derived from relative high-frequency spot FX
impacts of 1 standard deviation data surprises. The indices also employ a time decay function to replicate the limited memory of markets. They can
be accessed on Bloomberg via GO.
VIX: The CBOE's Volatility Index reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide
range of strikes. 1st and 2nd month expirations are used until 8 days from expiration, then the 2nd and 3rd are used.
S&P 500: is a capitalisation-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic US economy
through changes in the aggreate market value of 500 stocks representing all major industries.
S&P 500 Financials Index: is a market cap-weighted index consisting of the 90 biggest financial stocks in the US