A gauge of distress in the U.S. corporate debt market from the Federal Reserve Bank of New York has risen over the past month but remains below its historic median, an indication of a still-healthy market despite recent rises in yields, according to data published Wednesday.
The Fed bank's Corporate Bond Market Distress Index, which measures bond market strain on a scale from 0 to 1, edged up to 0.20 from 0.15 in the month through June 24. The investment grade market segment registered more strain, scoring higher on the scale at 0.36, compared to the high yield market, which came in at 0.22 -- a trend also seen in previous tightening cycles.
The index is intended to give an early warning signal of financial market distress by gauging what's driving price swings based on seven subindices looking at spreads and issuances, the New York Fed said.
It began the year at historically low levels but spiked following the invasion of Ukraine as average grade size declined and secondary market turnover increased. It has since retraced to normal levels.
The index is updated weekly and published once a month.