BofAML GFSI™ X-Asset Risk Landscape
GFSI below ‘normal’ for longest period since summer 2014
The GFSI continued its decline last week, falling to -0.21 as of 2-Jun from -0.17 a week prior. The indicator last spent a significant proportion of time below -0.2 back in summer 2014, when cross asset volatility recorded long term lows.
+ Equity risks led the broad based decline in stress across asset classes (Chart 2 and Chart 3), led by equity skew.
¢ While most stresses fell, crude oil volatility was among the top gainers (Chart 2) as oil continued its slide despite the May OPEC meeting seeing agreement for extending production cuts.
- Also, Euro member bond spreads recorded a historically significant move higher (Chart 5) as the potential for early Italian elections causing political instability amidst ECB tapering revived concerns about European sovereign risk
Chart 1: Latest* stress across GFSI sub-components 2.0 4
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