HY OAS and VIX showed a high rolling correlation — between 0.7 and 0.85 depending on the window — over 2003-2022. Since late 2023, that correlation has collapsed. Two competing interpretations coexist; no publicly available data lets us arbitrate between…
Between July 2007 and November 2008, the HY OAS moved from 280 to roughly 2,020 basis points — the sharpest widening on record since the series began in 1997. This chronology aggregates four rarely simultaneous dynamics: bank-liquidity stress, realized defaults,…
The observation that HY OAS widens before the S&P 500 is documented empirically across six episodes 1997-2025. Three concrete channels articulate this mechanism: refinancing cost, covenant triggers, equity-credit arbitrage. Their relative weights shift by regime. TL;DR Three channels carry HY…
HY OAS (BAMLH0A0HYM2) and IG OAS (BAMLC0A4CBBB) track the same macro cycle but do so with neither the same amplitude nor the same timing. The amplitude gap — typically 3 to 5 times larger on the HY side — and…
FRED ticker BAMLH0A0HYM2 publishes the daily Option-Adjusted Spread of the ICE BofA US High Yield index. Behind the code sits a defined issuer scope, a standardized calculation methodology, and a governance history worth unpacking. TL;DR FRED's BAMLH0A0HYM2 publishes the daily…
The HY OAS — published by FRED under code BAMLH0A0HYM2 — bundles three risk premia (perceived default, liquidity, aggregate risk aversion) that have historically reacted ahead of equities. Its sub-300-basis-point compression in late 2025 puts that canonical reading under interrogation.…
The primary residence is often classed among assets. In reality, it is a hybrid good — consumption, conditional store of value and liquidity constraint — whose valuation only crystallises through sale, with frictions and life consequences attached.
The buy-or-rent decision is not simply about monthly payment versus rent. The classic calculation overlooks opportunity cost, mobility, taxation and rate dynamics — variables that can shift the patrimonial balance by tens of thousands of euros.
Mortgage-financed real estate is not an ordinary asset. Under monetary tightening, leverage amplifies risk and reframes the patrimonial reading. Real cost of debt and illiquidity, not headline mortgage rates, become the central variables.
Monetary policy effectiveness depends less on the level of rates than on actual credit availability. Lending criteria and bank balance sheets often weigh more than funding cost.
