CRSI: Frequently Asked Questions
Credit Spread Intensity Index
The price of credit risk in real time.
CRSI measures the intensity of credit spread widening across the US corporate bond market, combining investment grade spreads, high yield spreads, leveraged loan prices, and CDS indices into a normalized regime indicator.
What does the CRSI measure?
The Credit Spread Intensity Index (CRSI) measures how stressed the corporate bond market is — specifically, how much extra yield investors are demanding above risk-free rates to hold corporate debt. When CRSI is high, credit spreads are wide, meaning investors are pricing in elevated default risk or economic uncertainty. When CRSI is low, credit markets are relaxed and companies can borrow cheaply.
What inputs does CRSI use?
CRSI aggregates several credit market indicators: the ICE BofA Investment Grade Corporate OAS (option-adjusted spread), the ICE BofA High Yield OAS, the Markit CDX North America IG and HY CDS indices, and leveraged loan price indices. Each is normalized and weighted by market depth before aggregation. High yield receives higher weight because it provides an earlier and larger signal of credit stress.
What CRSI reading indicates credit stress?
MarketSchema classifies CRSI above 65 as 'Credit Stress,' indicating spreads have widened materially beyond normal volatility. Readings above 80 correspond to acute distress — conditions comparable to late 2008, early 2009, March 2020, or Q4 2022. Readings below 35 indicate a benign credit environment where spreads are compressed and corporate borrowing conditions are favorable.
How does CRSI relate to equity market returns?
CRSI and equity markets have a well-documented inverse relationship. Credit spreads tend to widen before equity prices fall, making CRSI a useful leading indicator for equity risk. Historically, sustained CRSI readings above 60 have corresponded with negative equity returns over the following 4-8 weeks roughly 65% of the time. Periods where CRSI normalizes from elevated levels (trending down from >65 toward <45) have historically been strong buying windows for equities.
Can investment grade and high yield diverge?
Yes, and the divergence is itself a signal. When HY spreads are wide but IG spreads remain contained, it typically indicates stress concentrated in lower-quality borrowers rather than systemic risk — a more contained environment. When IG begins to widen alongside HY, the stress is broader and more concerning. CRSI captures the composite signal, but the MarketSchema methodology page details the component-level breakdown.
What does CRSI tell us about the economic cycle?
Credit spreads tend to compress during economic expansions and widen ahead of and during recessions. CRSI typically peaks 2-6 months after an equity market trough, as credit markets reprice risk more slowly than equities. Sustained CRSI normalization from elevated levels is historically one of the more reliable signals that a credit-driven economic shock is in its healing phase — even if the fundamental data hasn't yet confirmed recovery.