The Bloomberg U.S. Financial Conditions Index "combines yield spreads and indices from the Money Markets, Equity Markets, and Bond Markets into a normalized index. The values of this index are z-scores, which represent the number of standard deviations that current financial conditions lie above or below the average of the 1992 - June 2008 period."
MP: The chart above displays the Bloomberg U.S. Financial Conditions Index daily from May 1, 2008 through today (June 11, 2009), and shows that the index is now at the same level as June of last year. Based on this measure, financial conditions in the U.S. were at their worst in October 2008, and have been improving steadily for the last 8 months. The last time the index was at this level was June 19, 2008.