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  • IG Z-Scores

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    CreditTrader
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    This chart shows two indicators of credit risk over time: the 50-day Z-score, which measures how many standard deviations a bond's yield has moved from its average, and the on-the-run adjusted investment grade 5-year bond spread in basis points. Both indicators peaked around late 2008, suggesting credit markets were under significant stress during the financial crisis, before declining in 2009 as conditions improved.

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    Investment Grade credit spreads at extreme levels of richness.

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    This chart shows two indicators of credit risk over time: the 50-day Z-score, which measures how many standard deviations a bond's yield has moved from its average, and the on-the-run adjusted investment grade 5-year bond spread in basis points. Both indicators peaked around late 2008, suggesting credit markets were under significant stress during the financial crisis, before declining in 2009 as conditions improved.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    42 views1 page

    IG Z-Scores

    Uploaded by

    CreditTrader
    This chart shows two indicators of credit risk over time: the 50-day Z-score, which measures how many standard deviations a bond's yield has moved from its average, and the on-the-run adjusted investment grade 5-year bond spread in basis points. Both indicators peaked around late 2008, suggesting credit markets were under significant stress during the financial crisis, before declining in 2009 as conditions improved.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    250 4

    3
    200
    2

    1
    150

    100
    -1

    -2
    50

    50-day Z-Score -3

    On-The-Run Adjusted IG 5Y Spread (bps)


    0 -4
    Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09

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