Using a large cross-section of corporate bond returns around the world, we construct a novel global credit factor that prices international corporate bonds in both the time-series and the cross-section. We estimate the global credit factor as a function of both the VIX and U.~S. credit spreads, and show that incorporating information from nonlinearities and from interactions between the two is important for the forecasting performance of the global credit factor. In the cross-section, riskier bonds and bonds of issuers in riskier countries have a higher loading on the global credit factor. Periods of tight credit conditions correspond not only to larger probabilities of negative bond returns and higher future bond return volatility but, importantly, to a persistent deterioration in firms' credit risk and increases in credit spreads, especially for riskier firms. This suggests that increases in the global price of credit risk have real consequences for corporate bond borrowers.