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

Observations

2016-05-05: 17.05

Updated: May 6, 2016 2:22 PM CDT

2016-05-05:	17.05
2016-05-04:	17.00
2016-05-03:	16.99
2016-05-02:	17.04
2016-04-29:	17.13

Units:

Units of Stress,

Not Seasonally Adjusted

Frequency:

Daily

Notes

Title	Release Dates

Contributions to the Cleveland Financial Stress Index: Residential Mortgage-Backed Security Spread	2014-02-17	2016-05-05
Contributions to the Cleveland Financial Stress Index: Residential 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 securitization of the residential mortgage-backed security spread to the CFSI. This spread is measured as the difference between the yield on residential mortgage-backed securities and 30-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 securitization of the residential mortgage-backed security spread to the CFSI. This spread is measured as the difference between the yield on residential mortgage-backed securities and 30-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