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Using Moody’s Seasoned Corporate Bond Yields to Measure Credit Spreads

Article Quant Q&A · Author: DVCITIS
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Summary

The document considers whether Moody’s seasoned corporate bond yield series, published by the Federal Reserve, represents only long-term debt. It cites a secondary source describing minimum and average maturities of twenty and twenty-eight years, respectively, and asks whether those figures can be verified. It also asks whether free short- and medium-term corporate yield data are available.

The intended analysis is to compare corporate yields with Treasury yields to estimate credit spreads across maturities. The document identifies a key limitation: if the seasoned series covers only long maturities, it cannot support a full short-to-long comparison on its own. It supplies no verified maturity definition, alternative data source, or spread results, so it is a research question rather than a completed method.

Key ideas

  • The author questions whether the seasoned corporate yield series represents only long-term bonds.
  • The cited maturity figures are presented as unverified claims from another source.
  • Comparing corporate and Treasury yields can be used to assess credit spreads.
  • A long-maturity-only series would leave short- and medium-term spreads unmeasured.

Tags

Fixed incomeUS markets
Full text
# Moody's seasoned corporate bond yields


# Moody's seasoned corporate bond yields












The Fed publishes Moody's seasoned corporate bond yields here.

These yields are not broken out by maturity.

According to this website, the yields represent "long-term" bonds, with minimum and average maturities of 20 and 28 years, respectively. First of all, can anyone validate this?

Second - are there short/medium term 'Moody's seasoned corporate bond yields' published for free anywhere.

If not - where can I find a free data source for short term, medium and long term corporate bond yields?

I want to compare corporate bond yields against the treasury yield curve to assess credit spreads. Unfortunately, if the above is true, I only have data for the long end.

Thanks,

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.