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Distance to Default by Sector
Median Merton distance to default by S&P 500 sector, latest, standard deviations
Plays the chart through its history. Pauses are where a new leader takes first place.
Palanor calculation: Merton distance to default from each company's SEC-filed debt (short-term debt plus half of long-term debt), its share price and volatility over the past year, and the 1-year Treasury yield. Financial companies are excluded. Today's index members are applied to past days.
Which sectors' companies sit closest to their default points. Utilities and real estate carry more debt by design; compare each with its own past too.
What this chart reads·10 series
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- S&P 500 Communication Services: Median Distance to Defaultas “Communication Services”latest 2026-10-22
- S&P 500 Consumer Discretionary: Median Distance to Defaultas “Consumer Discretionary”latest 2026-10-22
- S&P 500 Consumer Staples: Median Distance to Defaultas “Consumer Staples”latest 2026-10-22
- S&P 500 Energy: Median Distance to Defaultas “Energy”latest 2026-10-22
- S&P 500 Health Care: Median Distance to Defaultas “Health Care”latest 2026-10-22
- S&P 500 Industrials: Median Distance to Defaultas “Industrials”latest 2026-10-22
- S&P 500 Information Technology: Median Distance to Defaultas “Information Technology”latest 2026-10-22
- S&P 500 Materials: Median Distance to Defaultas “Materials”latest 2026-10-22
- S&P 500 Real Estate: Median Distance to Defaultas “Real Estate”latest 2026-10-22
- S&P 500 Utilities: Median Distance to Defaultas “Utilities”latest 2026-10-22
Sources·10 sources
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S&P 500 Communication Services: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Consumer Discretionary: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Consumer Staples: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Energy: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Health Care: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Industrials: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Information Technology: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Materials: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Real Estate: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
S&P 500 Utilities: Median Distance to Default. Source: Palanor calculation from SEC EDGAR XBRL filings (debt, public domain), licensed daily closes and the U.S. Treasury 1-year yield.
Charts are drawn from Palanor's signal library and recomputed from source data on every view. Transformations (changes, indexing, year-on-year rates) are Palanor's.