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Contributions to the Cleveland Financial Stress Index: Interbank Liquidity Spread (DISCONTINUED) (IBLSD678FRBCLE)


2016-05-05: 1.44 (+ more)   Updated: May 6, 2016 2:22 PM CDT
2016-05-05:  1.44  
2016-05-04:  1.43  
2016-05-03:  1.41  
2016-05-02:  1.41  
2016-04-29:  1.41  
View All


Units of Stress,
Not Seasonally Adjusted




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 interbank liquidity spread to the CFSI. The interbank liquidity spread is measured as the difference between the 3-Month LIBOR and the 3-Month US Treasury Yield. The spread reflects the perception of counterparty risk in interbank lending by measuring the risk premium associated with lending to commercial banks. The spread increases when either market liquidity is scarce or when counterparty default risk increases, both of which are associated with increasing financial stress.

Suggested Citation:

Federal Reserve Bank of Cleveland, Contributions to the Cleveland Financial Stress Index: Interbank Liquidity Spread (DISCONTINUED) [IBLSD678FRBCLE], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/IBLSD678FRBCLE, June 15, 2024.


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