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.
Release: Cleveland Financial Stress Index
Federal Reserve Bank of Cleveland, Contributions to the Cleveland Financial Stress Index: Interbank Liquidity Spread [IBLSD678FRBCLE], retrieved from FRED, Federal Reserve Bank of St. Louis https://research.stlouisfed.org/fred2/series/IBLSD678FRBCLE, February 11, 2016.