Baa Credit Spreads Hit 6.16 Points in 2008: What They Show

On 4 December 2008, the Moody's Baa corporate bond yield stood 6.16 percentage points above the 10-year Treasury yield. That gap is a credit spread. It was the highest of 8,435 daily readings, from 29 January 1993 to 26 October 2026. On 26 October 2026 it was 1.45.

A credit spread is the extra yield a company bond pays over a Treasury. In all seven falls of 15% or more in SPY (the S&P 500 exchange-traded fund, or ETF) since 1993, the spread was wider at the low than at the high. All SPY returns here include dividends, which the fund pays out and we count as reinvested.

A bond is a loan. The borrower pays interest and returns the money on a set date. The yield is the annual return a lender earns at the bond's current price.

A Treasury is a bond the US government issues. A corporate bond is a bond a company issues.

A credit spread is the corporate yield minus the Treasury yield. It is a gap in percentage points. A percentage point is one unit on a rate, so a yield of 6.45% is 1.45 points above one of 5.00%.

A company can fail to repay. The spread reflects that risk and other differences between the two bonds. Our explainer on bond prices and yields covers how yields and prices move.

This guide uses two daily measures. The first is the Moody's Baa spread. Moody's, a credit rating agency, publishes a daily yield on bonds it rates Baa, one of its rating grades, with maturities of 20 years and above.

The Federal Reserve Bank of St. Louis subtracts the 10-year Treasury yield, published by the Federal Reserve Board. Our readings run from 29 January 1993 to 26 October 2026.

On 26 October 2026 the Baa yield was 6.45% and the 10-year yield was 5.00%. The spread was 1.45 percentage points. Our guide to the yield curve covers yields by maturity.

The maturities differ, 20 years and above against 10 years. The Baa spread therefore includes the gap between them as well as the risk of non-payment.

The second measure is the ICE BofA US High Yield spread, from ICE Data Indices, an index provider.

High yield bonds are those rated BB or below. BB is a rating grade. Investment grade is the group above it. ICE weights each bond's spread over the Treasury curve by market value.

The Federal Reserve Bank of St. Louis publishes only the latest three years of this series. Our 784 readings run from 30 October 2023 to 26 October 2026. They cannot reach 2008 or 2020, so the Baa spread carries the long history.

Chart 1 plots the Baa spread for every reading from 29 January 1993 to 26 October 2026. We searched that whole window for each high and low.

The median reading was 2.18 percentage points, the middle reading once all 8,435 are in order. The lowest was 1.22, on 6 January 1995. The highest was 6.16, on 4 December 2008.

The spread was 1.90 on 9 October 2007, the day SPY closed at its high before the 2007 to 2009 fall. It was 5.40 on 9 March 2009, the day SPY closed at its low.

In 2020 the spread went from 2.05 on 19 February, SPY's high, to 4.31 on 23 March, SPY's low.

On 26 October 2026 the spread was 1.45. It was lower on 178 of the 8,435 days, 2.1% of them.

We tested this on every large SPY fall since 1993. A SPY high is the highest close so far. A fall runs from a high to the lowest close before SPY makes a new high. A fall is also called a drawdown.

We kept falls of 15% or more. We used that one threshold and tried no other. It gives seven falls. The table shows the Baa spread on the day of each high and each low.

Closes, with dividends counted for SPY. Spread is the Moody's Baa yield minus the 10-year Treasury yield, in percentage points. Source: YX Insights price data; Moody's; Federal Reserve Board H.15; Federal Reserve Bank of St. Louis calculation

The spread was wider on the SPY low than on the SPY high in all seven falls. The widest rise was in 2007 to 2009, from 1.90 to 5.40.

The timing varied. In five of the seven, the highest spread before SPY made a new high came on or before the SPY low. In 2007 to 2009 it came 95 calendar days before the low, on 4 December 2008.

In two falls the spread peaked after the low. In 1998 it reached 2.77 on 16 October. In 2018 it reached 2.48 on 3 January 2019.

Chart 2 uses every day instead of seven falls. For each day we measured how far SPY closed below its highest close so far. We then averaged the Baa spread within four ranges. The 8,424 days are those with both readings.

The mean spread rose from 2.04 points on days under 5% below a high to 3.14 on days 20% or more below one. The median rose too, from 1.93 to 2.94.

We split the days at 1 January 2010 to check. In each half, both the mean and the median rose from each range to the next.

The days are not independent. Neighbouring days share one episode, so the 1,414 days in the last range are not separate tests.

The ICE BofA US High Yield spread covers one of the seven falls. SPY fell 18.8% from its close on 19 February 2025 to its close on 8 April 2025. Chart 3 shades that fall.

The spread was 2.68 points on 19 February and 4.57 on 8 April, a rise of 1.89 points. Its highest reading in the three years was 4.61, on 7 April 2025, the day before the SPY low. Its lowest was 2.59, on 22 January 2025.

The Baa spread rose less over the same dates, from 1.46 to 2.00 (0.54 points).

A spread shows the yield gap on one day. It does not show how many borrowers fail to repay.

The Baa spread rests on one rating group and a maturity of 20 years and above, set against a 10-year Treasury yield. The high yield spread covers 784 readings and one SPY fall. The tests show that spreads and SPY moved together in these falls. They do not show cause.

Our guide to recession indicators covers other gauges. For the mechanics, see our explainer on bond prices and yields.

A credit spread is the extra yield on company bonds over Treasuries. The Baa spread reached 6.16 points in 2008 and 4.31 in 2020. It was wider at the SPY low than at the high in all seven falls of 15% or more since 1993.

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This explainer is part of the YX Insights Academy. Each one takes a single idea and checks it against real data.

The same approach runs through everything else we publish:

Good places to start on the website:

A credit spread is the yield on a corporate bond minus the yield on a Treasury. It is quoted in percentage points. On 26 October 2026 the Moody's Baa yield was 6.45% and the 10-year Treasury yield was 5.00%, so the spread was 1.45 points. The extra yield reflects the risk of non-payment and other differences between the bonds.

A widening credit spread means company bonds yield more compared with Treasuries than before. In our data it came with every SPY fall of 15% or more since 1993. The Baa spread rose from 1.90 percentage points at the 2007 SPY high to 5.40 at the 2009 low. That shows a link. It does not show cause.

Across 8,435 daily readings from 29 January 1993 to 26 October 2026, the Moody's Baa spread had a median of 2.18 percentage points. The lowest reading was 1.22 and the highest was 6.16. It was 1.45 on 26 October 2026. One reading says little without that history.

The high yield spread is the extra yield on bonds rated below investment grade over Treasuries. ICE sets that at BB or below. The ICE BofA US High Yield spread was 3.30 percentage points on 26 October 2026. Its highest reading in the three years we hold was 4.61, on 7 April 2025.

DISCLAIMER: This article is intended for educational purposes only. Any information or analysis in this note does not constitute an offer to sell or a solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice, nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.