Signals › Credit & Financial Conditions
Credit spread net of expected default. With the term spread, AUROC ~0.88. The most valuable single factor in this registry.
Percentage points · observation 2026-07-01, published —
Last 24 observations.
Inside the normal range. Not a strong reading either way.
Credit & Financial Conditions: Measure the price and availability of credit — the best-performing partner to the term spread in published out-of-sample work. The model averages the standardised signals in each block into a block score, then combines the twelve block scores in a probit. Today the 12-block model reads 1.6%.