Systemic Risk Monitor
How we measure. Traders bet on the Fed through 30-day fed funds futures (CME). Each settles at 100 minus the average fed funds rate for its month, so 100 minus today’s price is the market’s expected rate for that month. We compare it with today’s effective fed funds rate: every 0.25 percentage points above it is one quarter-point hike, and the odds of at least one hike by then are that gap divided by 0.25, capped at 100%. This is the same idea as CME’s FedWatch, applied month by month rather than meeting by meeting. As a cross-check, the 2-year Treasury yield sits above fed funds when markets expect hikes.
Market value is the Wilshire 5000 full-cap index, which covers essentially every US stock, at about $1 billion per point. When headlines say “stocks lost a trillion dollars”, this is the number they mean.
Every trading day of the past two years by size of move in the whole US market. The highlighted bar is the latest session.
Composite stress, last 2 years
Average z-score of ten stress indicators, weekly. 0 is the two-year norm; shaded bands mark elevated (above +0.5) and high stress (above +1.5).
Stress heatmap by indicator
Each cell is one week. Red means the indicator is stressed relative to its own two-year history, blue means calmer than usual. Signs are flipped where low values are the risk (bank reserves, curve slope, bank stock drawdown).
Cross-asset market map
Price change by asset. Blue is up, red is down; color saturates at the scale shown in the key.
Correlation regime
Average 60-day correlation between stocks and commodities. When everything starts moving together, diversification fails and shocks spread; spikes have marked past sell-offs.
Mega-cap tech, last 12 months
Price rebased to 100 a year ago, all on one scale. The dashed line is the starting level.
Weekly returns heatmap
Last 26 weeks. Clusters of red across every name are the market-wide moves that matter for systemic risk.
Distance from 52-week high
How far each stock is below its highest close of the past year.
Volatility, 60 days
Annualised standard deviation of daily returns.
Tech performance table
Commodity prices, last 12 months
Front-month futures in their trading units, each on its own scale. The dashed line is the price a year ago; contract rolls can cause small jumps.
Weekly returns heatmap
Last 26 weeks. Energy shocks and a gold bid during equity sell-offs are the patterns to watch.
Distance from 52-week high
Volatility, 60 days
Annualised standard deviation of daily returns.
Commodity performance table
World market map
Stock indices in local currency, grouped by region. Blue is up, red is down.
BRICS and Southeast Asia
The largest BRICS economies, plus Singapore and Indonesia. Indonesia joined BRICS in 2025; Singapore isn’t a member but is Southeast Asia’s financial hub. Index moves are in local currency; the currency columns show how each currency moved against the US dollar, where below zero means it lost value.
Stock indices, last 12 months
Rebased to 100 a year ago, local currency, one scale.
Currencies against the dollar, last 12 months
A sliding currency makes dollar debts harder to repay and can force rate hikes; drops beyond 10% are shown in red.
Russia and Egypt appear through their currencies only: our data source has no daily stock index history for them, nor for Saudi Arabia or the UAE.
Major indices, last 12 months
Rebased to 100 a year ago in local currency, all on one scale. The dashed line is the starting level.
Moving with Wall Street
60-day correlation of daily returns with the S&P 500, now and six months ago. The higher it is, the more likely a US sell-off spreads there. Asian markets close before New York opens, so their same-day correlation reads lower than it really is.
10-year government bond yields
Monthly averages (OECD, via FRED). Japan is the one to watch: decades of near-zero yields there funded borrowing around the world.
Euro-area stress: Italy minus Germany
Extra yield on Italian 10-year bonds over German ones, monthly. Below 2 pp is normal, 2–3 pp is a watch zone, above 3 pp is danger; it passed 5 pp in the 2011 euro crisis.
The dollar against major currencies
Exchange rates over 12 months, as markets quote them. A fast-rising dollar squeezes countries and companies that borrowed in dollars.
Weekly returns heatmap
Last 26 weeks, local currency.
Foreign market performance
Bond risk check
Where each bond-market risk measure sits against what’s considered normal. The ranges are Canary’s rules of thumb from past cycles; the marker on each bar is today.
Treasury yield curve
Yield by maturity now, three months ago and a year ago. An inverted curve (short above long) has preceded every US recession since the 1970s.
Treasury yields, 3 years
2-, 10- and 30-year constant-maturity yields, daily.
Curve slope
10-year minus 2-year and 10-year minus 3-month, in percentage points. Below zero is inverted.
Corporate credit spreads
Option-adjusted spread over Treasuries (ICE BofA). Widening spreads mean lenders are pricing in defaults.
MOVE index, bond-market volatility
Implied volatility of Treasury options. Readings above 140 coincided with the 2023 bank failures.
Overnight funding
SOFR, the rate banks pay to borrow cash overnight against Treasuries. Spikes signal funding-market strain.
Bond ETF performance
Bank stocks against the market
Regional banks (KRE), all banks (KBE) and the S&P 500, rebased to 100 two years ago. Regional banks lagging the market is the early sign of balance-sheet worries.
Distance from 52-week high
Weekly returns heatmap
Last 26 weeks.
Deposits at commercial banks
Weekly, seasonally adjusted, trillions of dollars. Sharp outflows preceded the 2023 failures.
Bank reserves at the Fed
Weekly, trillions of dollars. Falling reserves tighten the cushion banks hold against outflows.
Discount window borrowing
Primary credit from the Fed, weekly, billions of dollars. Banks borrow here when they cannot fund themselves elsewhere.
Loan delinquency rates
Share of loans 30+ days past due at all commercial banks, quarterly.
Bank performance table
The 27 largest US-listed banks, scored against each other. Balance-sheet figures come from each bank’s FDIC call report for its main insured bank, quarter ending ; stock signals use the last 60 trading days.
Bank health scorecard
Each cell shows the bank’s figure; its color shows how it compares with the other 26 (red is weaker than peers, blue is stronger). The health score averages those comparisons, so above 0 is weaker than the typical bank. Sorted weakest first; click a header to re-sort. Card lenders (Capital One, Synchrony) naturally run higher loss rates, and deposit jumps often reflect acquisitions.
Health score ranking
Above +0.5 (red) marks a bank that is consistently weaker than its peers across many measures.
Run-risk map
Uninsured deposits (money most likely to flee) against unrealized securities losses (what selling assets to pay depositors would cost). Silicon Valley Bank sat far in the top right before it failed in 2023. Bubble size is total assets.
Bank detail
Quarterly trends from FDIC call reports since mid-2023. The dashed line is the median of all 27 banks (for the stock, the regional bank index, KRE).
CET1 capital ratio
Noncurrent loans
Uninsured share of deposits
Total deposits
Unrealized securities losses, % of Tier 1
Stock vs regional banks, 1 year
Cross-asset correlation matrix
Correlation of daily returns over 60 trading days. Blue is positive (move together), red is negative. "Change" shows how much each pair has tightened since six months ago.
Correlation within and across sectors
Average pairwise 60-day correlation, every week for the last year.
Stocks and bonds moving together
60-day correlation with long Treasuries (TLT). Above zero, bonds stop hedging equity losses, as in 2022. Regional banks tied to bond prices point to interest-rate risk on bank balance sheets.
How the bank health score works. Thirteen measures per bank (CET1 and leverage capital ratios, noncurrent loans, net charge-offs, return on assets, uninsured deposit share, unrealized securities losses and commercial real estate loans as a share of Tier 1 capital, loans to deposits, deposit growth over a year, brokered deposits, stock distance from its 52-week high and 60-day stock volatility) are each converted to a z-score against the 27 banks, signed so positive means weaker, and capped at ±3. The score is their average. Figures are for each holding company’s main FDIC-insured bank, so for Goldman Sachs and Morgan Stanley they cover only the bank, not the whole firm.
How the composite works. Ten indicators (VIX, MOVE, high-yield and investment-grade spreads, St. Louis Fed stress index, Chicago Fed conditions index, 10y–3m slope, discount window borrowing, bank reserves and regional-bank drawdown) are sampled weekly and turned into z-scores against their own two-year history. Signs are flipped so positive always means more stress. The composite is their simple average. Bands: below −0.5 calm, −0.5 to +0.5 normal, +0.5 to +1.5 elevated, above +1.5 high.
Sources. Daily closes from Yahoo Finance (stocks, ETFs, front-month futures, VIX, MOVE, dollar index); yields, spreads, stress indices and banking data from FRED (Federal Reserve Bank of St. Louis); bank balance sheets from FDIC call reports via the FDIC BankFind API. Not investment advice.