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Stress in the high-yield bond market on a 0 to 100 scale: the higher the value, the more issuers miss bond payments, the wider the yield gap to government bonds and the further prices lag.
The mapping to the 0–100 scale is the same for every component. The rank of the current value among its own values in a window of 504 observations (a percentile); at least 252 observations are required.
| Component | What it measures | Direction | Weight, % |
|---|---|---|---|
| Issuers with missed payments | The number of issuers that disclosed missed bond payments over 90 days | A rise in the measure increases the pressure | 33.3 |
| Yield spread over government bonds | The yield of the high-yield bond index minus the yield of the government bond index | A rise in the measure increases the pressure | 33.3 |
| Price lag behind the market | The price change of corporate bonds minus the price change of high-yield bonds over 63 trading days | A rise in the measure increases the pressure | 33.3 |
The indicator is the average of the scores of all available components: each carries the same weight.
A value is published when at least 2 of the 3 components are available. Otherwise there is no value for the day: the middle of the scale is never substituted for it.
The result is stored to three decimal places; the page shows one.
| Zone | Value |
|---|---|
| Calm | 0–25 |
| Low pressure | 25–45 |
| Moderate pressure | 45–55 |
| High pressure | 55–75 |
| Extreme pressure | 75–100 |
The lower bound belongs to the zone: a value of 75 is already “extreme pressure”.
Each component is compared with its own two-year history, so a value shows how high the current stress is by the standards of the past two years.
An issuer is counted if over 90 days it disclosed at least one missed bond obligation — a technical default, a default or an unpaid early redemption. Repeated messages about the same event do not increase the count.
The yield of the high-yield bond index is an average across bonds, and a single bond on the eve of default can push it to thousands of per cent. Values above 60% a year are therefore taken as 60%: on such days the spread counts as the widest rather than dropping out of the calculation.
The indicator has been calculated daily since 5 October 2026. Values for earlier dates were reconstructed with the same rules from the disclosure archive and index history; each date is calculated only from messages disclosed by it.
The indicators section publishes the indicator value and the component scores on the 0–100 scale — these are the results of our calculation. The underlying values the scores are derived from (yields and exchange index values) are not included. The events the indicator is built from are shown as a separate list with a link to every notice.
Each version of the method is described on its own page, and that page does not change. If the calculation changes, a new version gets its own page and this one stays at its address.
The indicator reflects market statistics and does not constitute individual investment advice.