Save US Credit Spread vs. S&P 500

MM CCC credit spread = Merrill Lynch CCC-grade high-yield bond yield - US 10-year government bond yield (risk-free interest rate)
It reflects the market's expectations for future corporate default risk.

High-yield bonds are bonds issued by companies with low credit ratings. They have higher credit risk, so the yield will be higher than that of general investment-grade bonds. When the issuer's business is in good condition, the future cash flow will grow and the risk of bankruptcy will decrease. The yield will consequently lower. Possessing such bonds is like trading stocks, investors need to weigh on expectations for the corporate's business outlook.

The credit risk spread goes the opposite direction to that of the stock market, and the credit risk spread is less volatile than the stock market, thus making it easier for investors to grasp the overall condition of the financial market.