Release: ICE BofAML Indices
This data represents the semi-annual yield to worst of the ICE BofAML US Corporate BB Index, a subset of the ICE BofAML US High Yield Master II Index tracking the performance of US dollar denominated below investment grade rated corporate debt publically 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.
Yield to worst is the lowest potential yield that a bond can generate without the issuer defaulting. The standard US convention for this series is to use semi-annual coupon payments, whereas the standard in the foreign markets is to use coupon payments with frequencies of annual, semi-annual, quarterly, and monthly.
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 High Yield BB Semi-Annual Yield to Worst [BAMLH0A1HYBBSYTW], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/BAMLH0A1HYBBSYTW, December 10, 2018.