If you have a relatively safe investment, like a treasury note and a riskier investment, like a non-investment grade bond, you would expect a difference between the yields for each. Meaning, you would expect a higher yield (i.e. more return) for taking on a riskier investment than a less risky investment.
In times of stress, the difference between these two yields is exacerbated, as there can be a flight to quality. Thus, the high yield spread offers a useful indicator for overall market conditions:
And here is the metric on a change basis:
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