Credit & Financial Stress
Credit spreads, financial stress indexes, and default risk indicators. Monitor high-yield spreads, the TED spread, and systemic risk gauges in real time.
Credit markets are often the first to signal trouble. Widening high-yield spreads and rising financial stress indexes have historically led equity drawdowns by weeks or months. Tracking these gauges helps identify when risk appetite is contracting and defensive positioning is warranted.
HY Credit Spread (OAS)
dailyICE BofA High Yield Option-Adjusted Spread — the market's price of default risk.
IG Credit Spread (OAS)
dailyICE BofA Investment Grade OAS — credit stress in high-quality corporate bonds.
HY Effective Yield
dailyHY corporate bond effective yield — total return required by junk bond investors.
IG Effective Yield
dailyIG corporate bond effective yield — cost of investment-grade corporate borrowing.
BBB Credit Spread
dailyBBB-rated corporate bond OAS — the lowest rung of investment grade.
AAA Credit Spread
dailyAAA-rated corporate bond OAS — flight-to-quality indicator.
Aaa-10Y Treasury Spread
dailyMoody's Aaa corporate minus 10Y Treasury — credit risk premium for top-rated corporates.
Baa-10Y Treasury Spread
dailyMoody's Baa minus 10Y Treasury — a wider measure of corporate credit risk.
Financial Conditions (NFCI)
weeklyChicago Fed National Financial Conditions Index — positive = tighter than average.
Adjusted NFCI
weeklyNFCI adjusted for prevailing economic conditions — isolates financial stress from the cycle.
Financial Stress Index (StL)
weeklySt. Louis Fed Financial Stress Index — below zero = below-average stress.
SLOOS: C&I Loan Tightening
quarterlySenior Loan Officer Survey — net % of banks tightening standards on C&I loans.
SLOOS: Credit Card Tightening
quarterlyNet % of banks tightening credit card lending standards.
Credit Card Delinquency Rate
quarterlyDelinquency rate on credit card loans — consumer stress indicator.
Convex Macro Stress Index
dailyConvex Macro Stress Index — composite of VIX, HY spreads, NFCI, StL Financial Stress & credit delinquencies. 0-100 scale.
High Yield Credit (HYG)
dailyiShares iBoxx High Yield Corporate Bond ETF.
IG Credit (LQD)
dailyiShares iBoxx Investment Grade Corporate Bond ETF.
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Data sourced from FRED, CoinGecko, CBOE, CFTC, and EIA. Updated at varying frequencies. This page is for informational purposes only and does not constitute financial advice.