model-implied, not traded · recovery 40% · as of 2026-10-05 · published · volatile
Published volatile. The curve breached the smoothness band on a volatile tape and is published with that flag — inspect before use.
96.5 bp
-1 bp1d Δ 5Y
Par CDS curve (ISDA convention, bp)
tenor
spread
1Y
7.7
2Y
29.9
3Y
55.4
5Y
96.5
7Y
134.2
10Y
145.7
5Y spread — last 30 sessions
indexed to 100 at the 2026-09-30 methodology change — not comparable with the prior epoch · strip-era range 64.4–97.5 bp · latest 97.5 bp
5Y spread — trailing year
indexed to 100 at the 2026-09-30 methodology change — not comparable with the prior epoch · strip-era range 64.4–97.5 bp · latest 97.5 bp
History regime. legacy_flat discounting (flat SOFR at each date) through 2026-09-29; futures-strip curve from 2026-09-30 (3 of 252 days). These are different discount curves - do not compare levels across the break
Cite this: Basisline (2026). CITIGROUP INC bond-implied CDS, 5Y = 96.5 bp as of 2026-10-05. https://basisline.xyz/spreads/citi.html
Method. Daily public bond prints are cleaned (de-duplicated, volume-floored,
outlier-guarded), Z-spreads are solved against a SOFR discount curve, and a piecewise-flat hazard
curve is bootstrapped on the 1–10Y CDS tenor grid; par spreads are priced under ISDA conventions
with a 40% recovery assumption. These are model-implied spreads from bond markets, not traded CDS
quotes. Full method: /methodology.html.
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