Impacted by bets on the Federal Reserve raising interest rates, the deterioration of the U.S. market's credit panic index hit a two-month high.

A core indicator measuring expected credit risk in North America recorded its largest deterioration in over two months. Previously, the strong job growth in the United States in May exceeded all economists' forecasts, leading to an increase in bond yields. The CDX investment-grade index of S&P Dow Jones Indices rose by 1.58 basis points to 52.479. On a basis adjusted for rollover, this marked the largest single-day increase in basis points since March 27. A similar index for junk bonds fell by 0.32 points to 107.82, marking the largest single-day drop in points since May 15. With interest rate traders starting to fully digest expectations of rate hikes by the end of the year, market credit panic sentiment has significantly increased.