Corporate Bond Market Distress Index: Investment Grade (NY Fed)

## What this measures

The New York Fed's Corporate Bond Market Distress Index for investment-grade corporate bonds: one number between 0 and 1 that combines measures of primary-market issuance and pricing, secondary-market prices and liquidity, and the relative pricing of traded and nontraded bonds. Weekly (week ending Friday) since January 2005; the New York Fed publishes the update on the last Wednesday of each month.

## Why it matters

Spreads alone can widen because default risk rose while markets still work. The CMDI is built to show when the market itself is not functioning: when companies cannot issue and dealers cannot make prices. It is the closest public answer to "is the bond market broken?"

## How to read it

Higher is more distress. The New York Fed shows each reading against the distribution of its own history; compare the level with the series' own past: its highest readings came in late 2008 and early 2009, and the next highest in 2020.

## What it does not say

It does not say why the market is stressed or which issuers are affected. It is published monthly, so the last few weeks arrive together and can be revised.

## Source

Federal Reserve Bank of New York, Corporate Bond Market Distress Index, https://www.newyorkfed.org/research/policy/cmdi. © Federal Reserve Bank of New York. Content from the New York Fed subject to the Terms of Use at newyorkfed.org.