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.
Lastest update: 17 July 2023.
Risk score based on weighted average 5-year rolling Z-scores of the following indicators : S&P 500 Volatility (50%) and Valuation (50%).
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 German Bund-Italy BTP yield spread (30%).
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.
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%).
GENERAL DISCLOSURE/ DISCLAIMER (For Macroeconomics, Currencies, Interest Rates)
The information herein is published by DBS Bank Ltd and/or DBS Bank (Hong Kong) Limited (each and/or collectively, the âCompanyâ). It is based on information obtained from sources believed to be reliable, but the Company does not make any representation or warranty, express or implied, as to its accuracy, completeness, timeliness or correctness for any particular purpose. Opinions expressed are subject to change without notice. This research is prepared for general circulation. Any recommendation contained herein does not have regard to the specific investment objectives, financial situation and the particular needs of any specific addressee. The information herein is published for the information of addressees only and is not to be taken in substitution for the exercise of judgement by addressees, who should obtain separate legal or financial advice. The Company, or any of its related companies or any individuals connected with the group accepts no liability for any direct, special, indirect, consequential, incidental damages or any other loss or damages of any kind arising from any use of the information herein (including any error, omission or misstatement herein, negligent or otherwise) or further communication thereof, even if the Company or any other person has been advised of the possibility thereof. The information herein is not to be construed as an offer or a solicitation of an offer to buy or sell any securities, futures, options or other financial instruments or to provide any investment advice or services. The Company and its associates, their directors, officers and/or employees may have positions or other interests in, and may effect transactions in securities mentioned herein and may also perform or seek to perform broking, investment banking and other banking or financial services for these companies. The information herein is not directed to, or intended for distribution to or use by, any person or entity that is a citizen or resident of or located in any locality, state, country, or other jurisdiction (including but not limited to citizens or residents of the United States of America) where such distribution, publication, availability or use would be contrary to law or regulation. The information is not an offer to sell or the solicitation of an offer to buy any security in any jurisdiction (including but not limited to the United States of America) where such an offer or solicitation would be contrary to law or regulation.
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DBS Bank Ltd., 12 Marina Boulevard, Marina Bay Financial Centre Tower 3, Singapore 018982. Tel: 65-878-9999. Company Registration No. 196800306E.
DBS Bank Ltd., Hong Kong Branch, a company incorporated in Singapore with limited liability. 18th Floor, The Center, 99 Queenâs Road Central, Central, Hong Kong SAR.
DBS Bank (Hong Kong) Limited, a company incorporated in Hong Kong with limited liability. 11th Floor, The Center, 99 Queenâs Road Central, Central, Hong Kong SAR.