Credit Conditions
Where credit stress shows up first: what risky borrowers pay over safe rates, and whether banks are lending.
No call. High yield pays 323bp over Treasuries. The gap to investment grade has widened by 43bp over the last three weeks. Risky borrowers pay 8.08% while cash earns 3.88%, a carry of 4.20 points. As of 2026-10-16.
What banks say they are doing
What this measures
Credit Conditions tracks what borrowers pay over what savers get, at five horizons at once: daily high-yield and investment-grade spreads over Treasuries, monthly Moody's corporate yields reaching back about forty years, two weekly Fed financial-conditions gauges, and the quarterly bank lending survey. The distance between high yield and investment grade is the price of default risk itself.
How to read it
Narrow is calm; a fast widening is the market repricing default risk, and the speed matters more than the level. Positive and rising on the two bank gauges means tightening. A separate monthly regime reading places today against decades of the slower series only.
Method
Credit comes first because a spread is the market's clearing price for default risk and bank surveys measure the quantity of credit extended; neither needs a forecast. The regime runs on monthly data because comparing today with how often each corner preceded a downturn needs decades of history, which the daily window lacks; mixing the two would let a three-year sample pose as a fifty-year one.
Data timing
What this page will not tell you
It will not convert spreads into an implied default rate, because recovery and default-incidence assumptions are not published free. It will not average its two gauges into one score, because the case for any weighting would be invented.
Related reading: Germany Is Not the "Sick Man of Europe", which points to this page for the financing conditions behind Germany's own investment and debt-capacity debate.