For the complete documentation index, see llms.txt. This page is also available as Markdown.
Overview
Macro Credit Model Quick Specs
The Macro Credit Model evaluates the ICE BofA Option-Adjusted Spreads (OAS) directly from the Federal Reserve Economic Data (FRED) database. It tracks either the absolute High Yield spread or the "Excess Spread" (High Yield minus Investment Grade).
Instead of looking at the raw spread values, the indicator computes a rolling statistical Z-Score to normalize the data across different market environments. When the Z-Score spikes into "Stress" territory, it signifies that credit conditions are deteriorating rapidly (a strong "Risk-Off" signal). Conversely, when spreads are tight and Z-Scores drop into "Extreme Low" territory, it indicates a healthy, accommodating credit environment ("Risk-On").
