N.Y. Federal Reserve Launches Corporate Bond Distress Index (1)

The Federal Reserve Bank of New York on Wednesday launched its Corporate Bond Market Distress Index, a metric that aims to track the health of the $8 trillion US corporate bond market just as financial conditions tighten.

The bank will track indicators including secondary market trading volume, liquidity, duration-matched and default adjusted spreads, primary market issuance, the spread between quoted and traded prices, and the spread between primary and secondary market pricing.

The new index will then identify “distressed” periods as times when “a large number of individual measures of market functioning indicate deteriorating conditions in both the primary …