Media Advisory

New York Fed to Launch Regular Publication of New Corporate Bond Market Functioning Measure

June 17, 2022

On Wednesday, June 29 at 10:00 am EDT, the Federal Reserve Bank of New York will begin monthly publication of a new research product focused on identifying periods of widespread distress in the U.S. corporate bond market.

The Corporate Bond Market Distress Index (CMDI) is a unified measure that uses weekly metrics to construct an aggregate index of corporate bond market conditions for both the primary and the secondary markets. The CMDI incorporates a wide range of indicators, including measures of primary market issuance and pricing, secondary market pricing and liquidity conditions, and the relative pricing between traded and nontraded bonds.

The CMDI was first introduced through a New York Fed Staff Report in January 2021, and a subsequent Liberty Street Economics blog post in February 2021. While there are a variety of measures for capturing aspects of corporate bond market functioning, there has been little consensus on how to use those measures to identify periods of widespread distress in the market and on how to weight different measures. The CMDI correctly identifies periods of dislocations and predicts future realizations of commonly used measures of market distress, such as those around the global financial crisis peaking in late 2008 and early 2009, as well as during COVID-19-related market stress in 2020.

The CMDI will be updated at 10:00am ET on the last Wednesday of each month.

In conjunction with the new product, the New York Fed will publish a Liberty Street Economics blog post describing what constitutes corporate bond market distress and the motivations behind the construction of the CMDI.  

Press Call on the Corporate Bond Market Distress Index: Economists will host a deep background press call on Wednesday, June 29 at 9:30am EDT to provide further context on the CMDI. Journalists interested in participating should RSVP to Mariah Measey at

Mariah Measey
(347) 978-3071 
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