Release: Cleveland Financial Stress Index
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 commercial paper -T-Bill Spread to the CFSI. This spread measures the difference between the 90-Day financial commercial paper rate and the 90-Day US Treasury Yield. It captures the short-term risk premium on financial companies' debt. A widening spread signals increases in the underlying risk of financial companies' operations.
Federal Reserve Bank of Cleveland, Contributions to the Cleveland Financial Stress Index: Commercial Paper minus T-Bill Spread (DISCONTINUED) [CPTBSD678FRBCLE], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CPTBSD678FRBCLE, July 7, 2020.