Asset Risks Dashboard
Our surveillance risk scores across Equities, Interest Rates, Credit and FX aim to track market conditions and gauge risk sentiments.
Welcome to our macro risk dashboard page. In the interactive visualisations below, you can toggle across time series representations of risk assessment under each of four key asset classes. Full description of how the composite risk scores are calculated is provided below, along with a short commentary on the underlying drivers and developments.
Latest update: 29 June 2026
Equities
Risk score based on weighted average 5-year rolling Z-scores of the following indicators : S&P 500 Volatility (50%) and Valuation (50%).
The equities risk score remains benign, balancing the start of US-Iran negotiations following the signing of an interim peace deal, and the US Fed’s June meeting, which was interpreted as hawkish. US equities continue to hover near record highs, while the VIX has stayed contained. Optimism driven by the artificial intelligence boom, strong US corporate earnings, and stabilising labour market has supported US stocks, even as inflation has risen due to higher energy prices due to the Iran war. The risk score could rise into stress levels if Middle East tensions were to re-escalate, the AI rally were to falter, US tariff risks were to re-emerge convincingly, and/or unforeseen risks were to appear.
Interest Rates
Risk score based on weighted average 5-year rolling Z-scores of the following indicators : 3M/10Y US Treasury yield spread (30%), 10Y US real yield (15%), 5Y5Y inflation swap (10%), 10Y US swaption volatility (15%) and 10Y Italy BTP - German Bund yield spread (30%).
The interest rate risk score remains benign, and is now balancing de-escalated US-Iran tensions following the interim peace deal with a hawkish US Fed stance, having eased from the cyclical high sparked by the onset of the Middle East conflict. US rate volatility is range-bound, the steepening of the US 10-year/3-month spread has halted, but the US real yield has risen further. The Italy-Germany bond yield spread is contained, as Italy’s fiscal concerns have eased. The risk score could be biased much higher should severe stress conditions were to emerge from mounting expectations of US Fed rate hike, even as global oil prices ease, and/or unexpected financial instability events.
Credit
Risk score based on weighted average 5-year rolling Z-scores of the following indicators : USD Libor-OIS spread (25%), US High Yield spread (25%), Europe High Yield spread (25%) and Emerging Markets Sovereign Credit spread (25%).
The credit risk score remains benign, and has declined further following news of a US-Iran interim peace deal on June 14, extending the easing that followed an earlier spike triggered by the onset of the Middle East conflict. The score has fallen as US High Yield, Euro High Yield, and EM sovereign credit spreads have narrowed amid improved risk sentiment, with the US-Iran interim peace deal marking the most positive development since a ceasefire was reached on April 8. As global crude oil prices pull back amid lower geopolitical risk premium, the risks from an energy price shock to corporates have diminished, although it will take time for oil & gas flows to normalise to pre-war levels. US dollar liquidity has stabilised at tight levels, last seen since the pandemic crisis, with the US Federal Reserve ending quantitative tightening on December 1. The risk score would be biased higher if Middle East tensions were to re-escalate, if there were an unexpected deterioration in US and DM growth, alongside intensifying financial stability risks, and/or if EM stress were to mount unexpectedly.
Foreign Exchange
Risk score based on weighted average 5-year rolling Z-scores of the following indicators : Broad US Dollar (70%), EUR-USD xccy basis swap Measure of USD funding premium/discount relative to EUR (15%) and JPY-USD xccy basis swap (15%).
The FX risk score has edged higher in May and June, but remains below the cyclical high reached during the flight to safety into the US dollar triggered by the onset of the Middle East conflict. While US-Iran tensions have de-escalated following the signing of an interim peace deal and the commencement of negotiations, the US dollar has strengthened in response to a hawkish market interpretation of the first US Fed meeting under new Chair Kevin Warsh in June. That said, the USD’s appeal continues to be challenged by investor concerns over US exceptionalism, long-term fiscal sustainability, and ongoing policy uncertainties. US funding conditions remain comfortable in the Euro and Japanese markets, albeit with a slight tightening bias.
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