Figures are number of standard deviations or an unspecified index. All series are not seasonally adjusted (NSA). The series start at March 24, 2008.
The series reside in the historical catalog (United States » Cyclical indicators » Regional Federal Reserve Bank surveys » Cleveland » Systemic risk indicators) and are:
- XD4FSRIADDD.IUSA = Average distance-to-default [ADD], (Standard deviations)
- XD4FSRIPDDD.IUSA = Portfolio distance-to-default [PDD], (Standard deviations)
- XD4FSRIAPSD.IUSA = PDD-ADD spread, (Standard deviations)
- XD4FSRIETFD.IUSA = State Street Global Advisors' SPDR S&P Bank ETF [KBE ETF], (Index)
Because catalog locations are subject to change, the upper-right search box on DataBuffet.com provides a "find in catalog" mode that accepts a mnemonic.
About the dataset:
- A falling PDD converging towards ADD indicates increasing fragility in the banking system.
- ADD, PDD, and PDD-ADD spread are measured in standard deviations. The standard deviations represent the amount a firm's asset value must fall for the firm to reach insolvency.
- The KBE ETF is an index that corresponds to the SPDR S&P Bank exchange traded fund. It is currently composed of 64 U.S. financial institutions at approximately equal weights and is used to calculate ADD and PDD.
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