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Excess Bond Premium

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Excess Bond Premium

What it is

Excess Bond Premium β€” registry key ebp.

Federal Reserve Excess Bond Premium ingested from the monthly FEDS Notes CSV and persisted on daily_signals for future scoring / matcher use. NOT yet a health-score or alignment component β€” the score wiring is a later, separately-gated step.

Data-pyramid tier

T1 β€” Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs β†’ T5 actionable read). The tier reflects how far the value is from a raw measurement β€” not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

Horizon: 40-60d β€” the window this metric’s measured skill speaks to. A horizon stamp is an evidence claim, not a trading signal.

Evidence: Macro drawdown-lens leg: forward-maxdd correlation grows with horizon and peaks at 40-60d (breakeven_10y +0.28@20d -> +0.42@60d; ofr_fsi_funding ~+0.278, highest tested). FAILS clean walk-forward (single 2022 bear, in-sample; RT-3 falsifier open). Weak - ships labeled, never as a standalone forecast.

Source

Source module: ebp
Data source: back_fillable

Fetched directly from app/sources/ebp.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

Gilchrist-ZakrajΕ‘ek (2012) Excess Bond Premium: the residual of the GZ corporate credit spread after removing the component predicted by expected default risk (firm-level distance-to-default and bond characteristics). A positive EBP means investors demand compensation above expected credit losses (risk aversion / tighter credit supply); a negative EBP means credit is priced cheap relative to fundamentals. Sourced verbatim from the Fed’s monthly FEDS Notes ebp_csv.csv ebp column (percentage points), last row. See app/sources/ebp.py.

Where it surfaces

Health-score / alignment role

Data carrier β€” no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

Federal Reserve FEDS-notes monthly Excess Bond Premium CSV (ebp_csv.csv); the Fed refreshes the file roughly once per month, last row is the latest month dated YYYY-MM-01.

See also