The Bond Tape — Breadth and Customer Flow
Credit Default Swaps
Credit is where stress prices first. This page is built from real CDS trades publicly disseminated under US swap-reporting rules (DTCC PPD): daily index spreads for CDX and iTraxx from the 5-year on-the-run bucket, and the single-name trade count as a stress gauge — when default protection on individual companies suddenly trades in volume, risk is being repriced.
Last data: — · Trades, not quotes: single names trade sporadically, so per-company spreads update on trade days only.
Names whose default protection moved
Credit Stress Regime
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| Component | Weight | Percentile today |
|---|---|---|
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- Extreme Stress — score at or above 75
- Rising Stress — above 45, above its own 50-day mean, and climbing
- Recovery — falling, below its mean, and recently stressed
- Normal — everything else
A level alone cannot tell “high and worsening” from “high but mending”, so each state needs a direction too. A new state must hold two days before it is accepted, which stops the label flickering when the score sits on a threshold.
Credit Spreads & Single-Name Activity
Index spreads are the daily median of disseminated trades in the 5-year on-the-run bucket. CDX.NA.HY quotes in price points and is converted to a spread with a flat RPV01 ≈ 4.4 approximation — the level is approximate, the moves are real. FRED cash-bond OAS series are available in the Show menu as a long-history cross-check.
Credit Stress Backbone — 30 Years of Context
The CDS data above is real and current, but public dissemination is only retained for about a year — so it can say what protection costs today and not whether that is cheap. Cash-bond option-adjusted spreads price the same credit risk in a different instrument and reach back to 1996. The percentile beside each level is the number that matters: it says where today sits in that entire history.
The Rating Ladder, AAA to CCC (log scale)
Logarithmic, because the ladder spans roughly 30 bps at AAA to over 2,000 bps for CCC in a crisis — on a linear axis the whole investment-grade half collapses onto the bottom of the chart. Widening that is uniform across the ladder is a rates or liquidity event; widening that is concentrated in the lower ratings is a credit event.
Today Against Every Stress Episode Since 1996
| Episode | AAA | AA | A | BBB | BB | HY | CCC |
|---|---|---|---|---|---|---|---|
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Single-Name CDS Monitor
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| Reference Entity | Ticker | Last Spread | Previously | Trade Date | Change | Trades 30d | Notional 30d ($M) | Flags |
|---|---|---|---|---|---|---|---|---|
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Sovereign Risk
What the market charges to insure a country against default, in basis points a year on the amount insured. These are actual DTCC-reported transactions, not quotes, so a thinly-traded sovereign can go weeks without a print — the trade count and the date say how much weight a row carries. Rows marked other tenor did not last trade in the 5-year bucket and are not comparable with the rest. Click a row for its history.
| Country | Protection Cost | Change | Last Trade | Tenor | Trades 30d | Notional 30d |
|---|---|---|---|---|---|---|
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Spread History: —
Weekly median of real trades in the 5-year bucket (3.5–6.5y). Steps, not interpolation — a flat stretch means no trades, not no movement.