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NOTES

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

The ICE BofA 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 ICE BofA High Yield Master II OAS uses an index of bonds that are below investment grade (those rated BB or below).
This data represents the ICE BofA US High Yield Index value, which tracks the performance of US dollar denominated below investment grade rated corporate debt publicly issued in the US domestic market. To qualify for inclusion in the index, securities must have a below investment grade rating (based on an average of Moody's, S&P, and Fitch) and an investment grade rated country of risk (based on an average of Moody's, S&P, and Fitch foreign currency long term sovereign debt ratings). Each security must have greater than 1 year of remaining maturity, a fixed coupon schedule, and a minimum amount outstanding of $100 million. Original issue zero coupon bonds, "global" securities (debt issued simultaneously in the eurobond and US domestic bond markets), 144a securities and pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. DRD-eligible and defaulted securities are excluded from the Index.

ICE BofA Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of U.S. mortgage pass-throughs and U.S. structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for U.S. mortgage pass-through and U.S. structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA US High Yield Index Option-Adjusted Spread [BAMLH0A0HYM2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A0HYM2, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the Option-Adjusted Spread (OAS) of the ICE BofA BBB US Corporate Index, a subset of the ICE BofA US Corporate Master Index tracking the performance of US dollar denominated investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating BBB.
The ICE BofA 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. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA BBB US Corporate Index Option-Adjusted Spread [BAMLC0A4CBBB], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC0A4CBBB, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA US High Yield Index, which tracks the performance of US dollar denominated below investment grade rated corporate debt publicly issued in the US domestic market. To qualify for inclusion in the index, securities must have a below investment grade rating (based on an average of Moody's, S&P, and Fitch) and an investment grade rated country of risk (based on an average of Moody's, S&P, and Fitch foreign currency long term sovereign debt ratings). Each security must have greater than 1 year of remaining maturity, a fixed coupon schedule, and a minimum amount outstanding of $100 million. Original issue zero coupon bonds, "global" securities (debt issued simultaneously in the eurobond and US domestic bond markets), 144a securities and pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. DRD-eligible and defaulted securities are excluded from the Index.

ICE BofA Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of U.S. mortgage pass-throughs and U.S. structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for U.S. mortgage pass-through and U.S. structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA US High Yield Index Effective Yield [BAMLH0A0HYM2EY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A0HYM2EY, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

The ICE BofA 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 Corporate Master OAS uses an index of bonds that are considered investment grade (those rated BBB or better). 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.

This data represents the ICE BofA US Corporate Index value, which tracks the performance of US dollar denominated investment grade rated corporate debt publicly issued in the US domestic market. To qualify for inclusion in the index, securities must have an investment grade rating (based on an average of Moody's, S&P, and Fitch) and an investment grade rated country of risk (based on an average of Moody's, S&P, and Fitch foreign currency long term sovereign debt ratings). Each security must have greater than 1 year of remaining maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million. Original issue zero coupon bonds, "global" securities (debt issued simultaneously in the eurobond and US
domestic bond markets), 144a securities and pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. DRD-eligible and defaulted securities are excluded from the Index.

ICE BofA Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of U.S. mortgage pass-throughs and U.S. structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for U.S. mortgage pass-through and U.S. structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month
remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA US Corporate Index Option-Adjusted Spread [BAMLC0A0CM], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC0A0CM, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA BBB US Corporate Index, a subset of the ICE BofA US Corporate Master Index tracking the performance of US dollar denominated investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating BBB. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA BBB US Corporate Index Effective Yield [BAMLC0A4CBBBEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC0A4CBBBEY, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA US Corporate C Index, a subset of the ICE BofA US High Yield Master II Index tracking the performance of US dollar denominated below investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating CCC or below. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA CCC & Lower US High Yield Index Effective Yield [BAMLH0A3HYCEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A3HYCEY, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA US Corporate BB Index, a subset of the ICE BofA US High Yield Master II Index tracking the performance of US dollar denominated below investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating BB. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA BB US High Yield Index Effective Yield [BAMLH0A1HYBBEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A1HYBBEY, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA US Corporate B Index, a subset of the ICE BofA US High Yield Master II Index tracking the performance of US dollar denominated below investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating B. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA Single-B US High Yield Index Effective Yield [BAMLH0A2HYBEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A2HYBEY, August 9, 2020.

Source: U.S. Department of the Treasury  

Release: Corporate Bond Yield Curve  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Monthly

Notes:

The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market.

The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities.

Visit the Treasury for more information.

Suggested Citation:

U.S. Department of the Treasury, 10-Year High Quality Market (HQM) Corporate Bond Spot Rate [HQMCB10YR], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/HQMCB10YR, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA AAA US Corporate Index, a subset of the ICE BofA US Corporate Master Index tracking the performance of US dollar denominated investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating AAA. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA AAA US Corporate Index Effective Yield [BAMLC0A1CAAAEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC0A1CAAAEY, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the Option-Adjusted Spread (OAS) of the ICE BofA Euro High Yield Index tracks the performance of Euro denominated below investment grade corporate debt publicly issued in the euro domestic or eurobond markets. Qualifying securities must have a below investment grade rating (based on an average of Moody's, S&P, and Fitch). Qualifying securities must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of Euro 100 million. Original issue zero coupon bonds, "global" securities (debt issued simultaneously in the eurobond and euro domestic markets), 144a securities and pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. Defaulted, warrant-bearing and euro legacy currency securities are excluded from the Index.

ICE BofA Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of U.S. mortgage pass-throughs and U.S. structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for U.S. mortgage pass-through and U.S. structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until
the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

The ICE BofA 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. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA Euro High Yield Index Option-Adjusted Spread [BAMLHE00EHYIOAS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLHE00EHYIOAS, August 9, 2020.

Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

This data represents the effective yield of the ICE BofA AA US Corporate Index, a subset of the ICE BofA US Corporate Master Index tracking the performance of US dollar denominated investment grade rated corporate debt publicly issued in the US domestic market. This subset includes all securities with a given investment grade rating AA. 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.

Suggested Citation:

Ice Data Indices, LLC, ICE BofA AA US Corporate Index Effective Yield [BAMLC0A2CAAEY], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLC0A2CAAEY, August 9, 2020.

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