Credit Spread Monitor for US AI Capex ecosystem

Option-adjusted spreads (OAS — BDT lattice for callable HY, Z-spread for the rest) · 10 bonds · as of 12 Sep 2026 · empirical percentiles vs each bond's own history · 📖 How to read this › · 📁 Archive (last 130) ›

Basket avg OAS

207 bp

Avg level percentile

56 / 100

Widening — 1w top decile

0 / 10

Stale (no fresh trade)

0 / 10

Investment-Grade average OAS 63 bp (-6 bp since 31 Dec 2025)

Mean OAS of the 7 IG bonds — all names except CoreWeave & SpaceX · since 31 Dec 2025

← swipe the table sideways for changes, trend & history →

	CURRENT			LEVEL	1-DAY Δ		1-WEEK Δ		YTD	HISTORY
Issuer / coupon / maturity	Yrs	Yield %	OAS bp	%ile	Δbp	%ile	Δbp	%ile	Δbp	range bp	trend (last 90)	n
CoreWeave 9.75 Oct-31 HY	5.05	12.43	770	85	+1.3	46	-32.8	13	+228.2*	451–915		111
CoreWeave 9.0 Feb-31 HY	4.39	11.90	719	83	-3.6	40	-30.5	23	-31.2	416–856		291
Oracle 2.875 Mar-31 IG	4.53	6.20	149	89	-0.2	48	-11.0	6	+12.0	66–182		429
SpaceX 5.35 Jul-31 HY	4.84	6.12	139	29	-1.9	–	-3.0	–	+34.9*	104–177		60
Meta 4.55 Aug-31 IG	4.92	5.33	59	92	+0.6	62	-2.9	23	+20.1	26–78		429
Amazon 2.1 May-31 IG	4.66	5.25	53	92	-1.3	29	+1.1	60	+19.5	27–71		429
Digital Realty 3.6 Jul-29 IG	2.80	5.08	47	0	-15.5	0	-11.0	1	-15.6	47–112		429
Micron 2.703 Apr-32 IG	5.59	5.24	46	1	-13.6	0	-15.8	1	-25.3	29–160		429
Alphabet 4.1 Feb-31 IG	4.43	5.17	46	85	-2.0	23	-2.3	34	+4.9*	-9–51		152
Equinix 2.15 Jul-30 IG	3.84	5.10	43	0	-41.3	0	-37.3	0	-29.0	43–115		429

Level %ile tight wide (stress) Δ %ile widening tightening no trade Nd carried forward — no FINRA trade in N days ⚠ short history (n<60)* YTD since issue

Newsworthy — last 48h

CoreWeave IR / SEC Filing (EDGAR) · 2026-08-10

CoreWeave Closes $2.6 Billion DDTL 5.5 Facility Rated Ba2/BB+, Backing Shorter-Dated Enterprise Contracts

CoreWeave's fifth GPU-backed syndicated facility introduces a structural innovation—financing ~3-year customer contracts against ~5-year debt maturities—and was meaningfully oversubscribed at SOFR+550. Rated Ba2/BB+ by Moody's and Fitch, it signals lender willingness to underwrite renewal risk on short-dated AI contracts, lowering CoreWeave's cost of capital and setting a new template for neocloud debt at the riskier end of the AI-capex financing spectrum.

Financial Times / Bloomberg (via AI Weekly aggregation citing LSEG data) · 2026-08-10

Oracle Five-Year CDS Hits 18-Year High at 203 bps as Big Tech Posts Record $182 Billion in Bond Issuance YTD

Oracle's five-year CDS reaching 203 bps—an 18-year peak—alongside record $182 billion in YTD investment-grade tech bond supply signals acute credit-market anxiety about AI capex sustainability. Net notional CDS across major tech names has surged 500% since Q2 2025 to $12.5 billion, with Oracle alone accounting for $6.5 billion, while its Baa2/BBB- ratings (one notch above junk per S&P's July 2026 downgrade) make it the clearest stress indicator in the cohort.

S&P Global Ratings (via FactSet/Insight) / Moody's Investors Service (via CNBC) · 2026-07-23

S&P Downgrades Oracle to BBB- Stable; Moody's Warns AI Capex Threatens Credit Quality Across Six Hyperscalers Including CoreWeave

S&P's one-notch cut of Oracle to BBB- (one step above speculative grade) and Moody's sector-wide warning that $785 billion in 2026 combined capex—funded by $460 billion in direct debt and $1.2 trillion in lease commitments—threatens credit quality at Amazon, Alphabet, Meta, Oracle, and CoreWeave represent the most consequential dual rating-agency actions of the AI infrastructure financing cycle to date. The reports establish that free cash flow is turning negative even at large-cap names (Alphabet posted its first negative FCF quarter since its 2004 IPO in Q2 2026), materially raising refinancing risk across the group.

Method. OAS = option-adjusted spread over the bootstrapped US Treasury zero curve (from FRED CMT par yields) that reprices each bond's cash flows to its FINRA clean price. For the callable high-yield names (CoreWeave, SpaceX) the embedded call is valued on a Black-Derman-Toy short-rate lattice (CMT curve, lognormal vol per name) and its cost subtracted; the remaining bonds' calls are out-of-the-money (par-call near maturity) so their OAS equals the Z-spread to within a fraction of a bp. Illiquid bonds without a fresh TRACE print carry their last price forward, flagged no trade Nd. Level %ile = today's OAS within the bond's own history; Δ %ile = today's 1d/1w change within all historical same-horizon changes (100 = most extreme widening); PERCENTRANK.INC, suppressed below n=60. The trend sparkline spans each bond's last 90 sessions (shorter if its history is shorter) so all names cover a common window. Watch HY (CoreWeave, SpaceX) blowing out while IG (Meta, Oracle) holds — that divergence is the funding-stress tell.
Generated 2026-09-12T06:02:00.