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.
62 bp
-0.5 bp1d Δ 5Y
Par CDS curve (ISDA convention, bp)
tenor
spread
1Y
41.4
2Y
43
3Y
48.1
5Y
62
7Y
108.3
10Y
139.2
5Y spread — last 30 sessions
indexed to 100 at the 2026-09-30 methodology change — not comparable with the prior epoch · strip-era range 62.6–65.7 bp · latest 62.6 bp
5Y spread — trailing year
indexed to 100 at the 2026-09-30 methodology change — not comparable with the prior epoch · strip-era range 62.6–65.7 bp · latest 62.6 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). JPMORGAN CHASE & CO bond-implied CDS, 5Y = 62 bp as of 2026-10-05. https://basisline.xyz/spreads/jpm.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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