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Show/Hide section   CISS - Composite Indicator of Systemic Stress

 
ADMINISTRATIVE INFORMATION
  Title Composite indicator of systemic stress (CISS)
  Data source ECB
  Contact email address Statistical Information Request form
 
TECHNICAL INFORMATION
  Dataset last update in SDW 2023-06-09 12:48:57
  Catalog Download the series catalogue of the dataset CISS in CSV format, i.e. full list of series and associated metadata: Excel 2013 (zipped) or the earlier Excel versions.
 
SCOPE
  Data presentation - Summary description The CISS is computed for the Euro Area as a whole. It includes 15 raw, mainly market-based financial stress measures that are split equally into five categories, namely the financial intermediaries sector, money markets, equity markets, bond markets and foreign exchange markets. For further details, see Holló, D., Kremer, M. and Lo Duca, M., "CISS - A Composite Indicator of Systemic Stress in the Financial System" , Working Paper Series, No 1426, ECB, March 2012.

The CISS is also available for the United States of America, following a computation analogous to the Euro Area definition described above. The US CISS is comprised of the appropriate sub-indices for the United States financial system.

 

The SovCISS measures stress in sovereign debt markets in the Euro Area as a whole and in several Euro Area and non-Euro Area EU countries. The methodology is described in Garcia-de-Andoain, C. and Kremer, M., "Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area", Working Paper Series, No 2185, ECB, October 2018.

 

The New CISS is computed for four countries for which the Euro Area, the US and the UK use 15 raw indicators and China 16. It maintains the CISS"es scheme of using inputs from different market segments but employs a revised and equal weighting scheme of the raw indicators. It is calculated on a daily basis.
 
METHODOLOGICAL INFORMATION
  Time period Daily (New CISS), Weekly (CISS), Monthly (SovCISS)
  Statistical concepts and definitions For information about the naming convention (series key dimensions and metadata), refer to the CISS underlying DSD (ECB_FMD2) maintained by the ECB.
 
QUALITY
  Timeliness The CISS data for the Euro Area and the US is updated weekly on Monday with the figures for the previous week.

The SovCISS data is updated monthly on the first Monday of the month with the figures for the previous month.

The New CISS is updated daily with the data of the previous day with the exception of the Chinese CISS. It is updated weekly on Monday.
 
MISCELLANEOUS
  Metadata last update 14/SEP/2020 13:22:47

Show/Hide section   Series Level

Show/Hide section  CISS - Composite Indicator of Systemic Stress

Title Complement Austria, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.AT.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Austria (AT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Belgium, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.BE.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Belgium (BE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement China, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.CN.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-05 11:46:09.0
Unit Pure number
Reference area China (CN)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Germany, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.DE.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Germany (DE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Spain, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.ES.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Spain (ES)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Finland, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.FI.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Finland (FI)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement France, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.FR.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area France (FR)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement United Kingdom, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.GB.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area United Kingdom (GB)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Ireland, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.IE.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Ireland (IE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Italy, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.IT.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Italy (IT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Netherlands, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.NL.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Netherlands (NL)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Portugal, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.PT.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Portugal (PT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Bond Market - realised volatility of the German 10-year benchmark government bond index, yield spread between A-rated non-financial corporations and government bonds (7-year maturity bracket), and 10-year interest rate swap spread, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_BM.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from bond market subindex
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), Systemic Stress Composite Indicator, Index
Series Key CISS.D.U2.Z0Z.4F.EC.SS_CI.IDX
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS - Composite Indicator of Systemic Stress
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.U2.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Cross-subindex correlation, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_CO.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from cross-subindex correlations
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Equity Market - realised volatility of the Datastram non-financial sector stock market index, CMAX for the Datastream non-financial sector stock market index, and stock-bond correlation, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_EM.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from equity market subindex
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Fin. Interm. - realised volatility of the idiosyncratic equity return of the Datastream bank sector stock market index over the total, yield spread btw A-rated fin. & non-fin. corp. (7y), CMAX for the Datastream non-fin. sector stock market index interacted with the inverse price-book ratio for the fin. sector eqty. market index, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_FI.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from financial intermediaries subindex
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Foreign Exchange Market - realised volatility of the euro exchange rate vis-a-vis the US dollar, the Japanese Yen and the British Pound, respectively, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_FX.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from foreign exchange market subindex
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement Euro area (changing composition), Stress subindice - Money Market - realised volatility of the 3-month Euribor rate, interest rate spread between 3-month Euribor and 3-month French T-bills, and monetary Financial Institutions (MFI) emergency lending at Eurosystem central banks, Contribution
Series Key CISS.D.U2.Z0Z.4F.EC.SS_MM.CON
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS contribution from money market subindex
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Daily
Title Complement United States, Systemic Stress Composite Indicator, Index
Series Key CISS.D.US.Z0Z.4F.EC.SS_CI.IDX
ECB Last update 2023-06-09 12:48:40.0
Unit Pure number
Reference area United States (US)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement United States, New Composite Indicator of Systemic Stress (CISS), Index
Series Key CISS.D.US.Z0Z.4F.EC.SS_CIN.IDX
ECB Last update 2023-06-07 19:51:39.0
Unit Pure number
Reference area United States (US)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title NEW CISS - Composite Indicator of Systemic Stress
Frequency Daily
Title Complement Austria, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.AT.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Austria (AT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Austria
Frequency Monthly
Title Complement Belgium, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.BE.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Belgium (BE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Belgium
Frequency Monthly
Title Complement Czech Republic, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.CZ.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Czech Republic (CZ)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Czech Republic
Frequency Monthly
Title Complement Germany, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.DE.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Germany (DE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Germany
Frequency Monthly
Title Complement Denmark, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.DK.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Denmark (DK)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Denmark
Frequency Monthly
Title Complement Spain, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.ES.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Spain (ES)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Spain
Frequency Monthly
Title Complement Finland, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.FI.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Finland (FI)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Finland
Frequency Monthly
Title Complement France, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.FR.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area France (FR)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) France
Frequency Monthly
Title Complement United Kingdom, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.GB.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area United Kingdom (GB)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) United Kingdom
Frequency Monthly
Title Complement Greece, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.GR.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Greece (GR)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Greece
Frequency Monthly
Title Complement Hungary, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.HU.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Hungary (HU)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Hungary
Frequency Monthly
Title Complement Ireland, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.IE.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Ireland (IE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Ireland
Frequency Monthly
Title Complement Italy, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.IT.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Italy (IT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Italy
Frequency Monthly
Title Complement Netherlands, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.NL.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Netherlands (NL)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Netherlands
Frequency Monthly
Title Complement Poland, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.PL.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Poland (PL)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Poland
Frequency Monthly
Title Complement Portugal, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.PT.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Portugal (PT)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Portugal
Frequency Monthly
Title Complement Sweden, Sovereign Systemic Stress Composite Indicator, Index
Series Key CISS.M.SE.Z0Z.4F.EC.SOV_CI.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Sweden (SE)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Sweden
Frequency Monthly
Title Complement Euro area (changing composition), Sovereign Systemic Stress Composite Indicator (equal weights), Index
Series Key CISS.M.U2.Z0Z.4F.EC.SOV_EW.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Euro area, correlation and equal-country weights
Publications ESRB Risk Dashboard: Table in chapter 01, section 01 (T0101)
Frequency Monthly
Title Complement Euro area (changing composition), Sovereign Systemic Stress Composite Indicator (GDP weights), Index
Series Key CISS.M.U2.Z0Z.4F.EC.SOV_GDPW.IDX
ECB Last update 2023-05-29 17:28:54.0
Unit Pure number
Reference area Euro area (changing composition) (U2)
Collection indicator Other (V)
Decimals Four (4)
Source agency European Central Bank (ECB) (4F0)
Title Composite Indicator of Sovereign Stress (SovCISS) Euro area, correlation and real GDP-country weights
Frequency Monthly