Release: ICE BofAML Indices
The ICE BofAML Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization. The US Corporate 15+ Year OAS is a subset of the ICE BofAML US Corporate Master OAS, BAMLC0A0CM. This subset includes all securities with a remaining term to maturity of greater than or equal to 15 years. When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.
The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates, ("ICE") and/or its Third Party Suppliers and has been licensed for use by the Federal Reserve Bank of St. Louis. ICE, its affiliates and Third Party Suppliers accept no liability in connection with its use.
Copyright, 2017, ICE Benchmark Administration. Reprinted with permission."
ICE Benchmark Administration Limited (IBA), ICE BofAML US Corporate 15+ Year Option-Adjusted Spread [BAMLC8A0C15PY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC8A0C15PY, July 18, 2018.