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.
Daily (New CISS), Weekly (CISS), Monthly (SovCISS)
For information about the naming convention (series key dimensions and metadata), refer to the CISS underlying DSD (ECB_FMD2) maintained by the ECB.
Composite indicator of systemic stress (CISS)
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.
Download the series catalogue containing a full list of series and associated metadata of the dataset CISS in CSV format (zipped)