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S&P 500 Distance to Default
Median Merton distance to default across non-financial S&P 500 companies, standard deviations
Plays the chart through its history. Pauses are where the data set a record or moved most.
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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 far the typical large U.S. company sits from the point where its assets would not cover its debt, read from the stock market and SEC filings. Lower means thinner cushions.
What this chart reads
- S&P 500 Median Distance to Default (Merton)as “Median company”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.
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.