Graph and download economic data for ICE BofA US Corporate Index Option-Adjusted Spread (BAMLC0A0CM) from 1996-12-31 to 2026-03-25 about option-adjusted spread, corporate, and USA.

View market daily updates and historical trends for US High Yield Master II Option-Adjusted Spread. from United States. Source: Bank of America Merrill Ly…

View the spread between a computed option-adjusted index of all BBB-rated bonds and a spot Treasury curve.

View market daily updates and historical trends for US Corporate BBB Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tr…

Graph and download economic data for Moody's Seasoned Baa Corporate Bond Yield Relative to Yield on 10-Year Treasury Constant Maturity (BAA10Y) from 1986-01-02 to 2026-03-24 about Baa, spread, 10-year, maturity, bonds, Treasury, yield, corporate, interest rate, interest, rate, and USA.

United States - ICE BofA AA US Corporate Index Option-Adjusted Spread was 0.48% in February of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA AA US Corporate Index Option-Adjusted Spread reached a record high of 5.15 in November of 2008 and a record low of 0.36 in October of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA AA US Corporate Index Option-Adjusted Spread - last updated from the United States Federal Reserve on February of 2026.

View market daily updates and historical trends for US High Yield CCC or Below Option-Adjusted Spread. from United States. Source: Bank of America Merrill…

Graph and download economic data for ICE BofA BB US High Yield Index Option-Adjusted Spread (BAMLH0A1HYBB) from 1996-12-31 to 2026-03-26 about BB, option-adjusted spread, yield, interest rate, interest, rate, and USA.

View market daily updates and historical trends for US Corporate AA Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tra…

United States - ICE BofA Single-B US High Yield Index Option-Adjusted Spread was 3.52% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA Single-B US High Yield Index Option-Adjusted Spread reached a record high of 20.84 in November of 2008 and a record low of 2.36 in June of 2007. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA Single-B US High Yield Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread was 0.72% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread reached a record high of 6.49 in December of 2008 and a record low of 0.48 in October of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA Single-A US Corporate Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

Option-adjusted spread of the ICE BofA US High Yield Master II Index, a broad measure of the US high yield corporate bond market. Daily frequency, published by FRED.

View market daily updates and historical trends for US High Yield BB Option-Adjusted Spread. from United States. Source: Bank of America Merrill Lynch. Tr…

United States - ICE BofA BB US High Yield Index Option-Adjusted Spread was 1.95% in March of 2026, according to the United States Federal Reserve. Historically, United States - ICE BofA BB US High Yield Index Option-Adjusted Spread reached a record high of 14.68 in December of 2008 and a record low of 1.36 in August of 1997. Trading Economics provides the current actual value, an historical data chart and related indicators for United States - ICE BofA BB US High Yield Index Option-Adjusted Spread - last updated from the United States Federal Reserve on March of 2026.

View market daily updates and historical trends for 10-2 Year Treasury Yield Spread. from United States. Source: Department of the Treasury. Track economi…

Option-adjusted spread of the ICE BofA BBB US Corporate Index, tracking investment-grade BBB-rated corporate bonds. Daily frequency, published by FRED.

Graph and download economic data for ICE BofA Euro High Yield Index Option-Adjusted Spread (BAMLHE00EHYIOAS) from 1997-12-31 to 2026-03-26 about option-adjusted spread, Euro Area, Europe, yield, interest rate, interest, rate, and indexes.

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide. Recent papers suggest by their empirical research set-up that they do, or at least that defaults and credit spreads tend to co-move with macroeconomic variables. If true, this is important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1933-1997 US data on real GDP, credit spreads and business failure rates to shed new light on the empirical evidence. We use a multivariate unobserved components framework to disentangle credit and business cycles. We distinguish two types of cycles in the data, corresponding to periods of around 6 and 11-16 years, respectively. Cyclical co-movements between GDP and business failures mainly arise at the longer frequency. At the higher frequency of 6 years, co-cyclicality is less clear-cut. We also show that spreads reveal a positive and negative co-cyclicality with failure rates and GDP, respectively. This pattern disappears, however, if we concentrate on the post World War II period. We comment on the implications of our findings for credit risk management.

We investigate the effectiveness of the Bank Recovery and Resolution Directive (BRRD) in mitigating the transmission of credit risk from banks to their sovereign, using CDS spreads to capture bank and sovereign credit risk for a sample of 43 banks in 8 Euro Area countries over the period 2009–2020. If the BRRD bail-in framework is credible, changes in bank default risk should not be transmitted to sovereign risk. In a novel approach we use banks earnings announcements to identify exogenous shocks to bank credit risk and investigate to what extent bank risk is transmitted to sovereign risk before and during the BRRD era. We find that bank-to-sovereign risk transmission has diminished after the introduction of the BRRD, suggesting that financial markets judge the BRRD framework as credible. The decline in bank-sovereign risk transmission is particularly significant in the periphery Euro Area countries, especially Italy and Spain, where the bank-sovereign nexus was most pronounced during the sovereign debt crisis. We report that the lower bank-to-sovereign credit risk transmission is associated with the parliamentary approval of the BRRD and not with the OMT program launched by the ECB to affect sovereign yield spreads, nor with specific bail-in or bailout cases which occurred during the BRRD era. Finally, we document that the reduction in risk transmission is most pronounced for banks classified as a Global Systemically Important Bank (G-SIB), stressing the importance of additional capital buffers imposed by Basel III.

Graph and download economic data for ICE BofA CCC & Lower US High Yield Index Option-Adjusted Spread (BAMLH0A3HYC) from 1996-12-31 to 2026-03-26 about CCC, option-adjusted spread, yield, interest rate, interest, rate, and USA.