Source: Office of Financial Research (OFR FSI — Credit pillar)
Data through: Oct 14, 2026 · updated Oct 16 · Updates: Daily (business days)
WThe three bars show the last 3 weeks for this indicator, oldest left to newest right. Bar height reflects each reading relative to the other two — the tallest is the highest of the three, the shortest the lowest.
Historical context: Currently in the 19th percentile — near historically low/favorable levels.
What this means right now: Below-average credit stress — credit markets are functioning, as on about half of all days since 2000 (50%).
OFR FSI — Credit Pillar · Daily · 2000–2026
NBER recessions
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Monthly values
OFR FSI — Credit Pillar — the last 12 months
Every month's reading, with the band the heatmap gives it. The chart above shows the same series in full.
Month
Value
Band
Oct 2026
−0.97
Healthy reading
Sep 2026
−1.03
Healthy reading
Aug 2026
−1.16
Healthy reading
Jul 2026
−1.13
Healthy reading
Jun 2026
−1.17
Healthy reading
May 2026
−1.20
Healthy reading
Month-end readings of the same series the chart shows, from ofr_fsi_credit. Values are the current record, not point-in-time: a month that has since been revised shows its revised value.
What is the OFR FSI Credit?
This series isolates the Credit category of the OFR Financial Stress Index. It is the contribution of credit-market variables (corporate and sovereign credit spreads across the US, advanced economies and emerging markets) to the headline FSI. Like the aggregate, it is signed: zero is the historical-average credit-stress contribution, positive means credit markets are adding more stress than usual, negative means credit conditions are calmer than usual.
Credit has its own cell because it feeds most directly into the real economy: wider spreads raise what companies, households and governments pay to borrow. On this site's data it has also been the sharper OFR pillar. Since 2000 it has crossed 1.0 4 times. A crossing counts once the pillar has fallen back below zero since the last one. The headline index has crossed its own line, 2.5, 10 times since 2000, and the emerging-markets pillar its line, 0.25, 11 times.
Reading it beside the headline index tells you what kind of episode is under way. In October 2008 the credit pillar alone reached 8.62, above the whole index's peak in every other episode except March 2020. COVID pushed it to 2.38 while the headline passed 10, and the 2023 bank failures lifted it only to 0.66.
How We Color-Code the OFR FSI Credit
Our heatmap colors this indicator against historically significant thresholds:
Below −1.50
Exceptionally easy credit — spreads near their tights, reached on about 1 day in 13 since 2000, all of them in 2004–07
−1.50 – 0.00
Below-average credit stress — functioning, confident credit markets (50% of all days)
0.00 – 1.00
Above-average — above zero, the pillar's own long-run average, with spreads widening but within their ordinary range
1.00 – 3.00
Significant credit stress — spreads widening well beyond their ordinary range, as in 2000–03, 2007–09, 2011–12 and 2020
Above 3.00
Credit crisis — the 2008 class: 2008–09 (peak 8.62) and 23 days in 2000–02
Historical Extremes — What Happened Next?
When this indicator reaches extreme levels, history shows consistent patterns:
Oct 24, 2008GFC Credit Blowout
+8.62
The all-time high. The pillar stayed above 3 until May 2009, six months after the VIX peaked in November 2008.
Oct 4, 2011Eurozone Sovereign Credit Peak
+1.66
The peak of the euro-area sovereign credit autumn. The pillar stayed above 1.0 from September 6, 2011 to the end of January 2012, about five months.
Mar 23, 2020COVID Credit Peak
+2.38
The pandemic credit shock peaked on March 23, 2020, the day the Fed announced unlimited bond buying. The pillar fell to 1.86 within four days but stayed above 1.0 until May 20.
Mar 9, 2005Pre-Crisis Credit Euphoria
−2.42
The all-time low, with credit spreads near their tightest. The worst credit crisis in the series followed 3.5 years later.
Feb 11, 2016Energy / China Credit Scare
+0.89
Oil near $26 and China fears pressed on emerging-market credit, but the pillar never passed 1.0 (peak 0.89). It graded the episode a sector credit event; the S&P 500's low of the episode came the same day.
Jun 25, 2021Post-COVID Spread Compression
−0.74
The pillar's lowest reading since February 2018, fifteen months after the COVID peak — calm, though far above its 2005 record low of −2.42. It rose through 2022's rate rises to 0.93 by October 2022, short of the 1.0 line.
Frequently Asked Questions
What exactly does the Credit pillar contain?
The credit-category variables of the OFR FSI: corporate credit spreads (investment-grade and high-yield), sovereign spreads, and related credit-risk pricing across the US, other advanced economies, and emerging markets. Each variable's contribution is weighted by its time-varying correlation with the overall system, so globally-correlated credit widening counts far more than an isolated sector move. Methodology: OFR Working Paper 17-04.
Why read the credit pillar separately from the headline FSI?
Because the two cross their own lines at different rates: since 2000 the headline has crossed its own line, 2.5, 10 times and this pillar its line, 1.0, 4 times. In 2008 the credit pillar alone (8.62) topped the whole index's peak in every other episode except March 2020 (10.27).
How does this differ from just watching HY spreads?
HY spreads, on this site since May 2023, are one US market. The credit pillar combines credit pricing across ratings, sovereign borrowers and three regions, weighted by correlation, so it includes stress that starts outside US high yield, such as Europe's sovereigns in 2011. Since 2023 their daily changes correlate 0.71.
What did this pillar say in the 2023 SVB episode?
Little. The pillar peaked at 0.66 on March 20, 2023, below the 1.0 line, while the headline index reached 2.43. Unlike 2008, the episode stayed out of corporate credit on this measure.
How are this page's colour levels set?
Zero is the pillar's own long-run average — the OFR builds the index that way — so it divides calmer-than-average credit markets from stressed ones. Below −1.50 is exceptionally easy credit, spreads near their tights, as in 2004–07. From −1.50 to zero is below-average credit stress, functioning credit markets. From zero to 1.00 is above average, spreads widening but within their ordinary range. Above 1.00 is significant credit stress, the line whose crossings this page counts, as in 2007–09, 2011–12 and 2020, and above 3.00 is a credit crisis, the 2008 class. They are fixed levels, set in July 2026 with the series' whole history in view, and they do not move as new data arrives. A given reading gets the same colour in 2008 as today, so a change of colour is a change in credit stress, never in the yardstick.