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Weekly Market Summary
Apr 14 to Apr 18, 2025
Extra Credit*
- Option-adjusted-spread volatility has reached its highest level since the regional banking crisis. The six trading days ending April 9, 2025 have on average posted 7-basis-point moves between the intraday tights and wides, five times the average move in the six months prior.
- Since 2015, the only periods with this much volatility in credit spreads have been the regional banking/Credit Suisse crisis in March 2022 (beginning of Fed hiking cycle) and COVID. Spread volatility, calculated as the standard deviation of 20-day spread change, is up three-fold since mid-February. This spike in volatility is also coming after a period when spread volatility was the lowest since 2021.
- High-yield-bond option-adjusted spreads widened nearly 120 basis points following the April 2 tariff announcement and retraced only 27 basis points when the 90-day pause was announced the following week. The index is now around levels last reached in the fall of 2023.
- Oil-field services, E&P, autos, and consumer products widened the most following “Liberation Day,” while electric utilities, healthcare, building materials, and food and beverage widened the least.
- Bank-loan and high-yield bond default rates, excluding distressed exchanges, finished the month at 1.24% and 0.27%, down from 1.26% and flat from 0.27% in February. This is also well below the long-term historical default rate of 3% for loans and 3.4% for high yield, and the historical post-GFC default rates of 2.3% and 2.5%, respectively.
Sources: Bloomberg and JP Morgan as of 4/14/25.
Previous reports
*Source: Morningstar®, Bloomberg, Credit Suisse. OAS is Options Adjusted Spread. 4-year discount margin is used for spread for bank loans. Yield quoted is yield-to-worst or equivalent calculation. YTD Low / High for yields are based on end of week and not intraday movements. Indexes and sub-indexes: Investment-grade corporates represented by Bloomberg US Corporate Bond Index. High-yield bonds represented by Bloomberg US Corporate High Yield Index. Bank loans represented by Credit Suisse Leverage Loan Index. The red and green arrows depicted under Yields, Option Adjusted Spreads, and Prices indicate a higher or lower value from the previous week.
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