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HY OAS

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In plain English

High-yield (junk) bonds pay extra over Treasuries for default risk. OAS is that extra spread after adjusting for call options.

When the spread blows out, markets are pricing more fear of bankruptcy and/or less appetite for risk. Tight spreads are a reach-for-yield tape. Widening (up) is the bad direction for risk assets.

Math and metrics

FRED BAMLH0A0HYM2, daily, percent. ICE BofA US HY option-adjusted spread.

y_t = published OAS_t. we do not invert to a default probability.