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Finding Historical Corporate Bond Yield Data by Rating and Maturity

Article Quant Q&A · Author: Bogaso
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Summary

The note addresses where to find historical corporate bond yield series, especially across credit ratings and maturities. It identifies FRED as a free source for some ICE Bank of America credit index data, including a high-yield index series. Such index data may be useful for tracking broad credit markets, but may not offer the rating and maturity breakdowns the questioner seeks.

Bloomberg is mentioned as a provider of proprietary indices, though the response does not specify which rating and maturity combinations are available. The answer is therefore a starting point for sourcing data rather than a comprehensive catalog: it gives one example of publicly accessible data and notes the limits of free coverage, without detailing methodology, historical depth, or licensing terms.

Key ideas

  • FRED provides some historical ICE Bank of America corporate credit index series.
  • Free index data may lack the desired granularity across ratings and maturities.
  • Bloomberg offers proprietary indices, but the available combinations are not specified.

Tags

Fixed incomeStatisticsUS markets
Full text
# Market Data on Corporate bond yield


# Market Data on Corporate bond yield












I am looking for some historical data on the Corporate bond yield time series for different Credit ratings and maturities which typically S&P/Moody's offers.

Is there any possibilities to get such data available on free?

Does Bloomberg offer such data?

Thanks for your feedback.

## Answer by user42108 (score 0)

https://quant.stackexchange.com/a/68547

St. Louis Fed's FRED site has data for some of the ICE BoA credit indices, e.g. https://fred.stlouisfed.org/series/BAMLH0A0HYM2EY. Might not be as granular as you want as you mentioned both ratings and maturities - I'm not aware of any free sources for that. Bloomberg has their own indices though offhand I don't know what rating/maturity combinations they cover.

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