The chartpack quotes STW (spread over the Treasury zero curve at the to-worst date) and YTW (yield to worst). The free ICE BofA series on FRED publish OAS (option-adjusted spread) and effective yield instead — the same family of conservative measures, but OAS additionally strips out the value of embedded call options, so high-yield OAS prints somewhat tighter than STW. Levels differ slightly; percentile and regime behaviour track closely. FRED publishes no index durations, so duration columns and charts are omitted here.
J.P. Morgan is reframing EM credit index spreads and yields: from the legacy “superbond” method (all constituent cashflows aggregated and discounted as one instrument, priced at offer) to duration-weighted averages (market value × duration weights, priced at mid), rolled out across the EMBI/CEMBI/JACI families in 2025. The official superbond statistics were slated for discontinuation during 1H 2026, so the tables below — J.P. Morgan’s own published comparison of the two methods, as of 30 Sep 2024 — are reproduced here as an archival reference to the transition rather than a live comparison.
| STW (bps) | Yield to Worst | Average Life to Worst | |||||||
|---|---|---|---|---|---|---|---|---|---|
| Superbond | Dur-Wgt | Diff (bps) | Superbond | Dur-Wgt | Diff (bps) | Superbond | Mkt Val-Wgt | Diff (yrs) | |
| EMBIG Div | 361 | 254 | -107 | 7.49 | 6.45 | -104 | 11.23 | 11.27 | 0.04 |
| EMBIG Div IG | 115 | 116 | 1 | 5.12 | 5.12 | 0 | 13.73 | 13.04 | -0.69 |
| EMBIG Div HY | 660 | 447 | -213 | 10.4 | 8.3 | -210 | 9.25 | 9.54 | 0.29 |
| EMBIG Div ex Default | 254 | 219 | -35 | 6.45 | 6.11 | -34 | 11.85 | 11.46 | -0.39 |
| EMBIG Div ex Default HY | 422 | 370 | -52 | 8.07 | 7.56 | -51 | 10.11 | 9.78 | -0.33 |
| EMBIG | 322 | 228 | -94 | 7.11 | 6.2 | -91 | 11.61 | 11.53 | -0.08 |
| STW (bps) | Yield to Worst | Average Life to Worst | |||||||
|---|---|---|---|---|---|---|---|---|---|
| Superbond | Dur-Wgt | Diff (bps) | Superbond | Dur-Wgt | Diff (bps) | Superbond | Mkt Val-Wgt | Diff (yrs) | |
| CEMBI Broad Div | 214 | 205 | -9 | 5.92 | 5.83 | -9 | 6.51 | 6.04 | -0.47 |
| CEMBI Broad Div IG | 127 | 131 | 4 | 5.11 | 5.14 | 3 | 7.32 | 6.96 | -0.36 |
| CEMBI Broad Div HY | 384 | 361 | -23 | 7.54 | 7.31 | -23 | 5.2 | 4.71 | -0.49 |
| CEMBI Div | 210 | 205 | -5 | 5.88 | 5.82 | -6 | 6.5 | 5.87 | -0.63 |
| CEMBI Broad | 210 | 194 | -16 | 5.9 | 5.74 | -16 | 6.76 | 6.27 | -0.49 |
| CEMBI | 206 | 197 | -9 | 5.84 | 5.76 | -8 | 6.6 | 5.9 | -0.7 |
The full gap ledger vs the reference chartpack lives in DIFFERENCES.md in the repo.
S&P 500 sectors via the SPDR sector ETFs — the closest free proxy for sector index performance.
Source: Yahoo Finance. Index and stock quotes may be delayed by up to 15 minutes.
Return columns are total returns (dividend-adjusted) where Yahoo provides adjusted closes; levels and 52-week stats are price.
Source: Cboe delayed quotes (15-minute delay), Yahoo Finance for VIX history.
Format replica of the portfolio-positioning chartpack (“Corp RPs” page): a model portfolio built from ETF sleeves is compared against a benchmark ETF, entirely from free price data. Holdings-level sections of the original (key-rate durations, issuer concentration, bonds bought/sold, credit curves, ex-ante VaR) need portfolio holdings and a risk model — impossible from public data, so this page works in return space instead. Edit the sleeves below; everything recomputes. Saved in this browser.
Source: Yahoo Finance daily dividend-adjusted closes via the app’s own relay, so all returns here are total returns. Portfolio series assumes daily rebalancing to the target weights; stress windows are buy-and-hold. This is a strategy sandbox, not an accounting of real holdings.