Finding Corporate Credit Curves by Rating in Market Data

Summary

The document asks how practitioners obtain corporate bond term structures grouped by credit rating, given that issuer-specific curves also reflect liquidity and other differences. The answer points to a Bloomberg curve-finding function that can display credit curves by region and by sector or rating bucket. It reports that the available rating categories appeared to extend only as low as single-B, leaving the questioner's CCC example unresolved.

The answer suggests that some banks may offer comparable curve data or analytics. It does not explain how the curves are constructed, how issuers are grouped, or how liquidity and other issuer-level effects are handled. The contributor also states that they cannot assess the data quality. Thus, the document offers a practical place to look for rating-based curves, but not a method for building or validating them, and its description of coverage is limited to the contributor's observation.

Key ideas

• Market data platforms may offer corporate credit curves grouped by region, sector, or rating bucket.
• The cited Bloomberg function was reported to provide ratings coverage only down to single-B.
• Bank providers may offer similar credit curve analytics.
• The document does not describe curve construction or adjustment for issuer-specific liquidity.
• The answer gives no assessment of the suggested curve data's quality.

Tags

# Term Structure of Corporate Bond


# Term Structure of Corporate Bond












I am looking for some clarity on data for `Corporate Bond term structure` based on `Credit Rating`. Let say, I need to get the Term Structure for Corporate Bonds with rating `CCC`, how can I get such information in reality? There would be thousands of such Issuers so for every case I will get little different Term structure based on Liquidity and other factors?

How practitioners actually get such Term structure? Does `Bloomberg` provide such data directly for various Ratings??

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/59243

On Bloomberg: `CRVF` ("Curve Finder"), pick your country/region then tab 12 for credit. This will give you curves by sector and/or by ratings bucket, though only down to single B from what I can see.

Not something we use so I can't comment on the quality of the curves.

I'd guess some banks (e.g. BAML) have similar data/analytics.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.