Fixed Income Credit Monitor

🌍 Credit Spreads by Market

IG vs HY Credit Spreads (Current vs Historical)

Source: Federal Reserve Economic Data (FRED)

Spread Z-Scores by Market

Source: FRED data vs 20-year historical averages

Current Spread by Rating Category

Source: ICE BofA US High Yield Index by Rating

Rating Z-Scores vs History

Source: FRED data vs 20-year historical averages

Market/Rating	Current Spread	1M Change	3M Change	1Y Change	Hist. Avg	Z-Score	Status	Data Source	As Of
Global Investment Grade (US Proxy)	85bp	+5bp	+0bp	+3bp	155bp	-1.4σ	Significantly Tight	FRED/BAMLC0A0CM + estimate	2026-07-28
Global High Yield (US Proxy)	307bp	+6bp	+0bp	+0bp	520bp	-1.1σ	Significantly Tight	FRED/BAMLH0A0HYM2 + estimate	2026-07-28
US Investment Grade	81bp	+5bp	+0bp	+3bp	145bp	-1.4σ	Significantly Tight	FRED/BAMLC0A0CM	2026-07-28
US High Yield	284bp	+6bp	+0bp	+0bp	485bp	-1.1σ	Significantly Tight	FRED/BAMLH0A0HYM2	2026-07-28
Europe Investment Grade (est.)	93bp	N/A	N/A	N/A	165bp	-1.3σ	Significantly Tight	Estimated from US spreads	2026-07-28
Europe High Yield (est.)	318bp	N/A	N/A	N/A	540bp	-1.1σ	Significantly Tight	Estimated from US spreads	2026-07-28
A (IG Upper)	68bp	+4bp	+1bp	+4bp	85bp	-0.7σ	Tight	FRED/BAMLC0A3CA	2026-07-28
BBB (IG Lowest)	100bp	+4bp	-1bp	+2bp	185bp	-1.4σ	Significantly Tight	FRED/BAMLC0A4CBBB	2026-07-28
BB (High Yield)	173bp	+0bp	-1bp	+9bp	310bp	-1.4σ	Significantly Tight	FRED/BAMLH0A1HYBB	2026-07-28
B	298bp	-6bp	-7bp	+8bp	525bp	-1.3σ	Significantly Tight	FRED/BAMLH0A2HYB	2026-07-28
CCC & Below	1005bp	+32bp	+97bp	+178bp	1150bp	-0.3σ	Tight	FRED/BAMLH0A3HYC	2026-07-28