Skip to content

Home / Gauges

Credit gauges

The plumbing, straight from the Fed’s own data.

Credit stress (OFR)

−0.87calm

Oct 22 · +0.32 vs 3 mo

The credit part of the Treasury’s OFR Financial Stress Index, built from corporate bond spreads in the US, Europe, Japan and emerging markets. Zero is an average day; above zero is more stress than usual. Daily. Details

Corporate bond spread (Fed)

93bpcalm

Sep 1 · +7bp vs 3 mo

What US companies pay over Treasurys on their bonds, averaged by Fed economists across thousands of issues (the Gilchrist–Zakrajšek spread). Monthly. Details

Bond fear premium (Fed)

-38bpcalm

Sep 1 · −11bp vs 3 mo

The part of corporate bond spreads that default risk doesn’t explain: what investors charge just for being nervous. Above zero is more nervous than usual. Monthly. Details

Recession odds (Fed model)

9%calm

Sep 1 · −2.4 pts vs 3 mo

The chance of a US recession within 12 months that the Fed staff’s bond premium model gives. Monthly. Details

Banks tightening loans

0.0%calm

Jul 1 · −8.1 pts vs 3 mo

Net share of banks making business loans harder to get, from the Fed’s quarterly loan officer survey. Details

Bank loans to nonbanks

+19.6%calm

Oct 14 · −1.3 pts vs 3 mo

What banks lend to private credit funds and other nonbanks (Fed H.8). Growth means more back-leverage. A drop means banks are pulling it. Details