Credit Spread Intensity Index
The price of credit risk, normalized.
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.
The Credit Spread Intensity Index (CRSI) measures how much extra yield investors are demanding above risk-free rates to hold corporate debt. When CRSI is high, credit spreads are wide — investors are pricing in elevated default risk or economic uncertainty. When CRSI is low, spreads are compressed and corporate borrowing conditions are easier. CRSI describes the current state of credit pricing; it is not a forecast of returns.
CRSI aggregates normalized credit-market inputs spanning high-yield, investment-grade, and broader risk markets, with more weight toward the higher-yield end because it tends to move earlier and by more when credit stress builds. Each input is normalized before aggregation. The exact inputs and the formula are published on the CRSI methodology page.
MarketSchema classifies CRSI above 65 as 'Credit Stress' — spreads have widened materially beyond normal volatility by this measure. Readings above 80 have coincided with acute distress episodes comparable to late 2008/early 2009, March 2020, and Q4 2022. Readings below 35 indicate a benign credit environment with compressed spreads. These are classifications of the current reading, not predictions.
Credit spreads and equity prices have a broadly inverse relationship: spreads tend to be wide when equity risk is elevated and compressed when it is not. CRSI measures where credit spreads sit today relative to their own history. MarketSchema does not publish equity return forecasts or trade timing derived from CRSI — the index is objective context on credit pricing, and any investment decision is the reader's to make with their own advisor.
Yes, and the divergence is itself informative. When HY spreads are wide but IG spreads remain contained, stress is typically concentrated in lower-quality borrowers rather than systemic. When IG begins to widen alongside HY, the stress is broader. CRSI captures the composite; the MarketSchema methodology page details the component-level breakdown.
Credit spreads tend to compress during expansions and widen around downturns, and credit markets often reprice risk on a different cadence than equities. CRSI is a measurement of where corporate-credit pricing sits in that cycle today. MarketSchema does not claim a fixed lead or lag versus equities or the economy, and does not present CRSI as a signal to buy or sell — it is published as objective context.