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Brian Chappatta

Bond Market’s Scariest Gauge Is Worse Than Ever

Corporate credit markets are more exposed to duration risk than at any other time in history.

This could be a credit investor.

This could be a credit investor.

Photographer: Gabriel Bouys/AFP/Getty Images

Around this time a year ago, I ruffled a few feathers among bond traders with the headline “This Is the Scariest Gauge for the Bond Market.” The upshot was that when looking at the ratio of yields on corporate debt relative to its duration, investors were more susceptible to losses from a move higher in interest rates than at any time in history.

Well, if that gauge was scary in January 2020, it’s downright terrifying now.