Source: Federal Reserve Bank of Cleveland  

Release: Cleveland Financial Stress Index  

Units:  Units of Stress, Not Seasonally Adjusted

Frequency:  Daily

In May of 2016, the source discovered errors in the calculation of the CFSI and began a detailed review of the index and its underlying model. Following that review, the source decided to discontinue the CFSI. https://www.clevelandfed.org/en/our-research/indicators-and-data/cleveland-financial-stress-index.aspx

The source has posted to their website a message regarding this release: Cleveland Financial Stress Index under review and a revised index expected in the fourth quarter of 2016. A thorough review of the index is being conducted to both simplify the index and enhance its robustness, while also taking into consideration changes in financial markets and institutions. This review and the revisions to the CFSI are expected to be completed sometime during the fourth quarter of this year, and additional details will be made available at that time. Thank you for your patience while we improve the CFSI.

This chart shows the contribution of the asset-backed security spread to CFSI. This spread is measured as the difference between the asset-backed bond yield and the 5-Year Treasury. It captures the ability of originators to raise capital and the relative riskiness of the securitized asset.