Credit Spread Monitor: HY & IG vs US10Y📉 Credit Spread Monitor: HY & IG vs US10Y
This indicator provides a dynamic and visual way to monitor credit spreads relative to the US Treasury benchmark. By comparing High Yield (HY) and Investment Grade (IG) corporate bond yields to the 10-Year US Treasury Yield (US10Y), it helps assess market stress, investor risk appetite, and potential macro turning points.
🔍 What It Does
-Calculates credit spreads:
HY Spread = BAMLH0A0HYM2EY − US10Y
IG Spread = BAMLC0A0CMEY − US10Y
-Detects macro risk regimes using statistical thresholds and yield curve signals:
🔴 HY Spread > +2σ → Potential financial stress
🟠 Inverted Yield Curve + HY Spread > 2% → Recession risk
🟢 HY Spread < 1.5% → Risk-on environment
-Visually highlights conditions with intuitive background colors for fast decision-making.
📊 Data Sources Explained
🔴 High Yield (HY): BAMLH0A0HYM2EY → ICE BofA US High Yield Index Effective Yield
🔵 Investment Grade (IG): BAMLC0A0CMEY → ICE BofA US Corporate Index Effective Yield
⚪ Treasury 10Y: US10Y → 10-Year US Treasury Yield
⚪ Treasury 2Y: US02Y → 2-Year US Treasury Yield (used to detect curve inversion)
✅ This Indicator Is Ideal For:
Macro traders looking to anticipate economic inflection points
Portfolio managers monitoring systemic risk or credit cycles
Fixed-income analysts tracking the cost of corporate borrowing
ETF/Asset allocators identifying shifts between risk-on and risk-off environments
🧠 Why It's Useful
This script helps visualize how tight or loose credit conditions are relative to government benchmarks. Since HY spreads typically widen before major downturns, this tool can provide early warning signals. Similarly, compressed spreads may indicate overheating or complacency in risk markets.
🛠️ Practical Use Case:
You’re managing a multi-asset portfolio. The HY spread jumps above +2σ while the yield curve remains inverted. You decide to reduce exposure to equities and high-yield bonds and rotate into cash or Treasuries as recession risk rises.
📎 Additional Notes
Sourced from FRED (Federal Reserve Economic Data) and TradingView’s bond feeds.
Designed to work best on daily resolution, using open prices to ensure consistency across series with different update timings.
This script is original, not based on built-in or public templates, and intended to offer educational, statistical, and visual insights for serious market participants.
Bondmarket
Commitment of Traders ~ TREASURIESMy intention was to create 1 script for the Commitment of Traders report but I wasn't not aware there is a limit on how many instrument calls can be made in PineScript so I had no choice but to divide the script into instrument categories. So far I have created 4 of them: Forex, Indexes & Metals/ Commodities & Treasuries which is the one presented here. If you are interested in the other ones, feel free to do a search.
Available Instruments: Ultra(25-35yrs), Bonds(15-25yrs), 10yrs, 5yrs, 2yrs & 3 Month EuroDollar
The script calculates the ZScore of both Net Long (Money Managers / Asset Managers) and Net Long (Dealers / Swap) In some instrument categories you will also see Open Interest. It depends on whether I was maxed out or not on making security calls.
If you are not familiar with ZScore, it basically calculates the distance of price from a mean average in units of Standard Deviation. In theory when price reaches +2 it signifies overbought while if it reaches -2 is oversold. However just because it's hitting an extreme in one particular average doesn't necessarily mean it will reverse as the position of price in relation with the next longer average might not be so out of range.
Must be attached to weekly chart.
If you have any questions/suggestions, feel free to add them in the comments below
