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 are expected to be discontinued in 1H 2026. The tables below are J.P. Morgan’s own published comparison of the two methods, reproduced as a static reference.
| 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.
Source: Cboe delayed quotes (15-minute delay), Yahoo Finance for VIX history.