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FinObservatory

Corporate credit

Compare today's credit spreads with past crises

What investors charge US companies for default risk, on the longest yardstick available anywhere: Moody's seasoned Baa and Aaa long-bond yields, monthly since 1919. The quality spread between them prices the crossing from sturdy balance sheets into fragile ones through the Depression, the war, Volcker, 2008, and Covid; the same Baa yield against the 10-year Treasury (monthly since 1953, daily since 1986) prices corporate risk against the risk-free curve. Every level, extreme, and percentile on this page is computed from the data at build. Current option-adjusted spreads are cited from FRED below, at the source.

0.43 pp
Baa-Aaa quality spread
2nd pctile since 1919
1.67 pp
Baa minus 10Y Treasury
18th pctile since 1986
5.64 pp
Quality-spread record
May 1932, the Depression
6.16 pp
Baa-Treasury record (daily)
Dec 4, 2008, the GFC

Data as of monthly through Jul 2026, daily through Aug 13, 2026 (Moody's and H.15 via FRED)

What this page publishes. The Moody's spread exhibits, with the Moody's notice carried verbatim below (the conditions stress panel already displays the same Baa-Treasury series, BAA10Y). The ICE BofA option-adjusted spread family is different: FRED's series notes provide those index values for internal use and restrict publishing or redistributing them, so this page charts none of them and computes no statistics over them. It quotes the latest published IG and HY readings once, with attribution, and links every OAS series to FRED directly. The reasoning is on the methodology page.

Corporate credit risk

The Baa-Aaa spread is near the bottom of its century record

Monthly US corporate credit spreads in percentage points from 1919 to 2026; the Baa-Aaa quality spread is the longest continuously published credit spread in US markets: 1,291 monthly observations. Its record is 5.64 pp in May 1932, the debt-deflation floor of the Depression; the GFC peak of 3.38 pp (Dec 2008) reached 60% of that, and the Covid peak 1.70 pp (Apr 2020). Measured against Treasuries instead of Aaa peers, the Baa spread's record over the 880 months the 10Y Treasury series covers (1953-present) is 6.01 pp in Dec 2008; the Depression is outside that window. Today the quality spread stands at 0.43 pp, the 2nd percentile of its 1919-present history.

Why watch compression as closely as blowouts: Lopez-Salido, Stein and Zakrajsek (QJE 132(3), 2017) show that when credit-market sentiment is elevated, with spreads compressed toward the bottom of this chart, spreads systematically widen and real activity weakens over the following two years; tight spreads are a predictor of reversal, not a certificate of safety.

Baa minus Aaa (quality spread) BAA-AAABaa minus 10Y Treasury BAA-GS10
Hover for values

Source: FRED, Moody's Seasoned Baa and Aaa corporate bond yields; 10-Year Treasury (H.15) | Lopez-Salido, Stein and Zakrajsek, Quarterly Journal of Economics 132(3), 2017 Monthly averages throughout; the two spreads are computed from the published component series, never spliced with the daily series. Shaded bands are the 1929-33 contraction, the GFC, and the 2020 recession (NBER reference dates), for orientation. Moody's yields are for seasoned bonds with 20+ years to maturity, so the Treasury comparison carries a maturity mismatch; FRED's own BAA10Y series uses the same construction. Methodology

Corporate credit risk

The daily Baa-Treasury spread is close to its all-time tight

Daily US Baa minus 10-year Treasury spreads in percentage points from 1986 to present, covering 10,154 trading days. The record is 6.16 pp on Dec 4, 2008, deep in the post-Lehman freeze; the Covid peak is 4.31 pp (Mar 23, 2020); the tightest print is 1.16 pp (Mar 20, 1989). As of Aug 13, 2026 the spread sits at 1.67 pp, the 18th percentile of the full daily history: +0.51 pp off the all-time tight.
Baa minus 10Y Treasury (daily) DBAA-DGS10
Hover for values

Source: FRED, Moody's Seasoned Baa and Aaa corporate bond yields; 10-Year Treasury (H.15) Chart decimated to the per-bucket extremes (801 of 10,154 real observations kept, nothing interpolated); the statistics above are computed from the full daily series. The recomputed spread matches FRED's published BAA10Y on every common date except a single 0.02 pp source revision on Jan 29, 1991 (verified at every data refresh). Methodology

Option-adjusted spreads, at the source

The modern per-rating view of corporate credit is the ICE BofA option-adjusted spread family: each index's constituent bonds are priced against the spot Treasury curve with embedded options adjusted out, and the market-capitalization-weighted spread is published daily on FRED for investment grade and high yield in total, by rating bucket, and for EM corporate and Euro high yield.

As published by FRED on Aug 13, 2026, the ICE BofA US Corporate Index OAS (BAMLC0A0CM) stood at 0.79 pp and the ICE BofA US High Yield Index OAS (BAMLH0A0HYM2) at 2.71 pp.

FinObservatory does not chart these series or compute statistics over them: the FRED series notes provide the index values for internal use and restrict publishing or redistributing them, and the notes also state: "Starting in April 2026, this series will only include 3 years of observations. For more data, go to the source." The full charts live on FRED:

Source: Federal Reserve Bank of St. Louis (FRED), ICE BofA index OAS series The quoted readings are a single cited current fact, refreshed at each build; the series themselves are read at FRED. Methodology

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Related: the risk-free curve these spreads price over, on Treasury rates; high-yield OAS as one input to the composite on financial conditions. See the methodology for series definitions, the publication boundary, the issuance-data decision, and every limitation.