GZ Credit Spread

The extra yield that corporate borrowers pay above Treasuries reveals how nervous credit investors are about defaults. When spreads widen, lenders are pricing in rising default risk — often 6 to 12 months before that stress shows up in hard economic data. The Excess Bond Premium overlay isolates pure investor sentiment from fundamental default risk: when EBP widens before fundamentals deteriorate, it's been one of the most reliable recession warnings on record. If the yield curve tells you whether a recession is coming, this tells you whether credit markets are already feeling it.