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S&P 500 Distance to Default: Typical Company vs Weakest Tenth
Merton distance to default of the median and the 10th-percentile non-financial S&P 500 company, standard deviations
Plays the chart through its history. Pauses are where the data set a record or moved most.
Median company · Continuation · the recent trend, flattening · 30 days
Weakest tenth (10th percentile) · Continuation · the recent trend, flattening · 30 days
Dashed: the projection from the latest reading. Shaded: the range about two in three outcomes land in. A projection, not a promise.
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.
How close the weaker large U.S. companies sit to their default points, beside the typical one. The gap widens when stress concentrates in a group of companies.
What this chart reads
- S&P 500 Median Distance to Default (Merton)as “Median company”latest 2026-10-23
- S&P 500 Distance to Default: Weakest Tenth (10th Percentile)as “Weakest tenth (10th percentile)”latest 2026-10-23
Sources
S&P 500 Median Distance to Default (Merton). 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 Distance to Default: Weakest Tenth (10th Percentile). 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.