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Contributions to the Cleveland Financial Stress Index: Commercial Mortgage-Backed Security Spread (DISCONTINUED) (CMBSSD678FRBCLE)

Observations

2016-05-05: 0.51
Updated: May 6, 2016 2:23 PM CDT
2016-05-05:  0.51  
2016-05-04:  0.50  
2016-05-03:  0.49  
2016-05-02:  0.49  
2016-04-29:  0.50  

Units:

Units of Stress,
Not Seasonally Adjusted

Frequency:

Daily

Fullscreen

Notes

Title Release Dates
Contributions to the Cleveland Financial Stress Index: Commercial Mortgage-Backed Security Spread 2014-02-17 2016-05-05
Contributions to the Cleveland Financial Stress Index: Commercial Mortgage-Backed Security Spread (DISCONTINUED) 2016-05-06 2016-05-06
 
Source    
Federal Reserve Bank of Cleveland 2014-02-17 2016-05-06
 
Release    
Cleveland Financial Stress Index 2014-02-17 2016-05-06
 
Units    
Units of Stress 2014-02-17 2016-05-06
 
Frequency    
Daily 2014-02-17 2016-05-06
 
Seasonal Adjustment    
Not Seasonally Adjusted 2014-02-17 2016-05-06
 
Notes    
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 mortgage-backed security spread to CFSI. This spread is measured as the difference between the yield on commercial mortgage-backed securities and 5-Year Treasury. It captures the ability of originators to raise capital and the relative riskiness of the securitized asset

2014-02-17 2016-05-05
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 mortgage-backed security spread to CFSI. This spread is measured as the difference between the yield on commercial mortgage-backed securities and 5-Year Treasury. It captures the ability of originators to raise capital and the relative riskiness of the securitized asset

2016-05-06 2016-05-06

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Cleveland Financial Stress Index Financial Stress Index Mortgage-Backed Cleveland Fed Spread Commercial Securities Discontinued Daily Copyrighted: Citation Required Nation Not Seasonally Adjusted United States of America