Historical Corporate Bond Spread Data by Rating and Duration

Summary

The document asks where to obtain historical bond index yields or asset swap spreads across major currencies, grouped by investment grade and high yield ratings and by duration. It notes that a commercial index provider offers the desired information but is considered too expensive by the questioner. The practical need is historical data for statistical analysis rather than real-time quotes.

The sole response points to Federal Reserve Economic Data series for US corporate bond option-adjusted spreads, naming one high-yield series and one BBB investment-grade series. These are potential low-cost substitutes for some US spread analysis, but the document does not establish that they match the requested index construction, duration buckets, asset swap spread measure, currency coverage, or full rating segmentation. It contains no comparison of historical coverage, methodology, licensing, or data quality, so researchers would need to check whether these series fit their specific study.

Key ideas

• The data request is for historical bond yields or asset swap spreads segmented by rating and duration.
• Commercial index data is described as costly for the questioner.
• The response identifies US high-yield and BBB option-adjusted spread series as accessible alternatives.
• The suggested series may not match the requested currencies, duration buckets, or spread definition.
• The document provides no comparative assessment of source coverage or quality.

Tags

# Bond indices : where to find yields and asset swap spreads by rating and average duration?


# Bond indices : where to find yields and asset swap spreads by rating and average duration?












I am looking for alternatives or relatively similar information about historical data for yields and/or asset swap spreads for bond indices in major currency. I would like to gather the info by rating (IG and HY) and per duration bucket. I am not looking for real time data, but historical series for statistical analysis.

I know that Markit provides these infos and much more for iboxx indices but at very expansive prices. Are there alternative sources cheaper to that ?

Thank you very much in advance for any suggestion

## Answer by DataAdventurer (score 2)

https://quant.stackexchange.com/a/77957

As always the question for free available, good quality and highly technical data series is a tough one.

You can find OAS Spreads for US Corporate Bonds on FRED Database: For HY: https://fred.stlouisfed.org/series/BAMLH0A0HYM2

For BBB IG Corporate Bonds: https://fred.stlouisfed.org/series/BAMLC0A4CBBB

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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