93% probability the ICE BofA US High Yield option-adjusted spread ends 2026 at or below 600 basis points — against roughly 275bp in late August. Clearing this ceiling would mean the credit market had more than doubled its risk premium in four months.
The ICE BofA US High Yield Index option-adjusted spread stood at 275 basis points on 20 August 2026, averaging 2.73% (273bp) across the month. The OAS measures the yield premium of below-investment-grade corporate bonds over equivalent-maturity Treasuries. Our ceiling sits more than double that level.
We lock a binary: the ICE BofA US High Yield Index option-adjusted spread at year-end 2026 is at or below 600 basis points. Confidence 93%.
High-yield spreads were at roughly 275 basis points in late August, historically a tight level indicating a market comfortable with corporate default risk. Our ceiling requires them to more than double. That does happen — spreads reached about 600bp during the 2022 rate shock and well beyond 1,000bp in 2020 and 2008 — but each instance required a systemic trigger rather than gradual deterioration. Spreads also widen with a characteristic lag: they grind rather than gap, absent a shock. Confidence 93% and not higher precisely because the historical episodes show this is a series that can gap violently, and because a tight starting point means there is far more room to widen than to compress. Scored on the published index OAS, not on a single issuer or on the CCC-only sub-index, which trades much wider.
RAOSCAFF locks P-206 on 2026-08-25. Scored against the ICE BofA US High Yield Index option-adjusted spread at the final 2026 reading versus a 600 basis point ceiling.
A tight 275bp start means far more room to widen than compress, and this series gaps rather than grinds when a systemic trigger arrives.