credit-market-scanner

/credit-market-scanner -- Credit Market Scanner

Scan HY bond markets and distressed debt for investment opportunities using credit spread analytics, BigData.com MCP, and spread monitoring.

Before executing, read _shared/plugin-context.md for Nexus plugin conventions.

Prerequisites

• Nexus MCP (optional): nexus_search_market for credit spread data
• BigData.com MCP (optional): bigdata_search for issuer news, bigdata_events_calendar for catalysts
• Manual fallback: Paste credit instrument data, spread sheets, or bond screener exports

When to Use

• Running daily/weekly HY credit spread monitoring sweeps
• Identifying distressed debt names for credit special situations fund
• Tracking spread widening signals for existing portfolio companies
• Screening new issuance calendar for relative value opportunities
• Monitoring covenant violations and credit event triggers
• Building a watchlist of stressed credits approaching distress thresholds

Credit Market Metrics Reference

Metric	Description	Distressed Threshold
OAS	Option-adjusted spread to benchmark (bps)	>1,000 bps
YTW	Yield to worst (worst-case redemption scenario)	>15%
Z-Score (Altman)	Composite default probability score	<1.81 (distressed zone)
DSCR	Debt service coverage ratio	<1.2x (stressed)
Leverage	Net debt / EBITDA	>7.0x (elevated)
Interest Coverage	EBITDA / interest expense	<2.0x (at risk)
Price	Bond price (cents on dollar)	<70 cents
Recovery Rate	Expected recovery in default	<40%

Spread Classification Bands

Band	OAS Range	Classification
Investment Grade	0-150 bps	IG
BB (Split IG)	150-300 bps	HY / Upper
B (Core HY)	300-600 bps	HY / Core
Stressed	600-1,000 bps	Stressed HY
Distressed	>1,000 bps	Distressed
Defaulted	Trading flat (accrued)	Default

Workflow

Step 1: Define Scan Criteria

Specify: sector, rating range (BB to CCC), OAS threshold (e.g., >500 bps), maturity range, issuer size (min $200M face value). Narrow or broaden based on mandate.

Step 2: Pull Universe Data

Use Nexus MCP nexus_search_market to pull credit spread data, or BigData.com bigdata_search for issuer research and bigdata_events_calendar for upcoming catalyst events (earnings, maturities, covenant tests). If MCP unavailable, provide data manually.

Step 3: Screen for Opportunities

Filter the universe by scan criteria. Sort by OAS (widest first). Flag any name crossing from "stressed" to "distressed" since the last scan.

Step 4: Compute Default Risk Signals

For each screened name, calculate Altman Z-Score components: working capital/assets, retained earnings/assets, EBIT/assets, market cap/liabilities, revenue/assets. Score < 1.81 triggers distress flag.

Step 5: New Issuance Monitoring

Scan the new issuance calendar for upcoming HY deals. Compare new-issue pricing vs. existing comps to identify day-1 concessions or pricing dislocations.

Step 6: Track Spread Movements

Compare current OAS to 30/90/365-day trailing averages. Flag names with >100 bps widening in the past 30 days as "spread expansion alerts."

Step 7: Rank and Output

Produce a ranked opportunity list sorted by risk-adjusted attractiveness: wide spread + improving fundamentals + near-term catalyst = highest priority. Include brief thesis for each name.

Sample Output

CREDIT MARKET SCAN -- HY Universe
Date: 2026-03-02 | Criteria: OAS >500 bps, BB/B/CCC, All Sectors

DISTRESSED (OAS >1,000 bps) -- 3 names
1. Riverside Retail 8.25% 2028   OAS: 1,842 bps  YTW: 24.1%  Price: $52  Z-Score: 1.12
   - NEW DISTRESSED: spread widened +680 bps in 30 days
   - Covenant test breach expected Q2 2026 (leverage 8.5x vs. 8.0x limit)
   Thesis: Potential distressed-for-control; EBITDA recovering post-restructuring

2. Summit Energy 9.0% 2027        OAS: 1,241 bps  YTW: 18.7%  Price: $71  Z-Score: 1.54
   - Spread widened +210 bps since last scan
   - Upcoming $180M maturity Aug 2026 -- refi risk elevated

STRESSED (OAS 600-1,000 bps) -- 7 names
3. Acme Logistics 7.5% 2029       OAS: 847 bps   YTW: 13.2%  Price: $79  Z-Score: 2.05
   - Leverage 6.8x (elevated); mgmt guidance implies improvement to 5.5x by YE

NEW ISSUANCE MONITORING
- Summit Healthcare $500M B+ 7-year: Pricing +275 bps SOFR (3 pts concession vs. comps)

SPREAD MOVEMENT ALERTS (>100 bps widening, 30 days)
- Riverside Retail: +680 bps (NEW DISTRESSED)
- Metro Networks: +145 bps (watch list)

Data Types Reference

interface CreditInstrument {
  issuer: string
  cusip: string
  coupon: number
  maturityDate: string
  rating: 'BB+' | 'BB' | 'BB-' | 'B+' | 'B' | 'B-' | 'CCC+' | 'CCC' | 'CCC-' | 'D'
  oasBps: number          // Option-adjusted spread in basis points
  ytw: number             // Yield to worst (%)
  pricePerDollar: number  // e.g. 82.5 = 82.5 cents on the dollar
  altmanZScore: number
  netDebtEbitda: number
  interestCoverage: number
}

interface ScanCriteria {
  minOasBps: number
  maxRating: string
  sectors?: string[]
  minFaceValueM?: number
}

interface ScanResult {
  instrument: CreditInstrument
  classification: 'stressed' | 'distressed' | 'defaulted'
  spreadChange30d: number   // bps change over 30 days
  isNewDistressed: boolean  // crossed threshold since last scan
  thesisBullets: string[]
}

Altman Z-Score Components

Component	Formula	Weight
X1	Working Capital / Total Assets	1.2
X2	Retained Earnings / Total Assets	1.4
X3	EBIT / Total Assets	3.3
X4	Market Cap / Total Liabilities	0.6
X5	Revenue / Total Assets	1.0

Zones: >2.99 = Safe, 1.81-2.99 = Grey, <1.81 = Distressed

Chain: credit-analysis

Position: Step 1 of 3 Next: /credit-stats-analyst -- passes screened universe for 5-year/8-quarter financial analysis Then: /covenant-extractor -- extracts loan covenants for highest-conviction names

Related Skills

• /credit-stats-analyst -- Credit statistics analysis: 5-year/8-quarter financials, EBITDA analysis
• /credit-restructuring-advisor -- Distressed debt workout scenarios and recovery estimates
• /covenant-extractor -- Extract loan covenants from credit agreements

Confidence Calibration

Apply three-pass calibration (conservative/neutral/optimistic) per _shared/plugin-context.md SteerConf protocol. Flag data gaps where live market pricing is unavailable.