Corporate Credit Methodology

How the /corporate-credit module is built: the exact FRED series, the publication boundary that keeps the ICE BofA series off the page, the century-series construction and its no-splice rule, every computed statistic's definition, the issuance-data decision, and the license notices carried verbatim. All displayed numbers are computed from data/parquet/corporate_credit.parquet at build time; nothing on the page is typed by hand.

Sources and series

One fetch script (scripts/fetch_fred_corporate_credit.py, FRED API, raw JSON kept under data/raw/fred_corporate/), one build script (scripts/build_corporate_credit.py), one parquet. Seventeen series:

The Moody's spreads on this module are plain yield differences (Baa minus Aaa, Baa minus 10Y Treasury), not option-adjusted. OAS = option-adjusted spread over the spot Treasury curve, market-capitalization weighted across each index's constituents (ICE's construction, described in full in the FRED series notes).

The publication boundary

The two source families carry different terms, and the page treats them differently (owner ruling, 2026-07-18):

ICE BofA OAS series: acquired for internal use, not republished. The FRED series notes provide the index values "for your internal use only" and state that users are "not authorized or permitted to publish, distribute or otherwise furnish" them to third parties (the full paragraph is quoted in the license section below). FinObservatory therefore renders no chart and no statistic computed over these series. The parquet copy exists for internal analysis only, inside the private, gitignored data estate. What the page does carry is a single cited quotation of the latest published IG and HY readings (series ids and observation date stated, ICE attribution carried verbatim beside it), which is a referenced current fact rather than a re-served series, plus direct links to every OAS series on FRED, where the full charts live.

Moody's series: displayed, with the notice verbatim. The Moody's exhibits (the monthly Baa-Aaa and Baa-GS10 spreads, the daily DBAA-DGS10 spread) are published on the page with the Moody's notice carried verbatim. Precedent: the live /conditions module already displays the same Baa-Treasury data as FRED's BAA10Y series, both in its stress panel and as the FCI's credit-spread channel (see the conditions methodology), under the same source notice at FRED.

The FRED truncation of the ICE BofA history

Separately from the publication terms, FRED's series notes for every ICE BofA index now open with this sentence:

Starting in April 2026, this series will only include 3 years of observations. For more data, go to the source.

Verified consequences (2026-07-18, recorded in data/raw/fred_corporate/SOURCE.md):

• The FRED API serves only a trailing ~3-year window for these series (2023-07-18 onward at acquisition), whatever observation_start is requested.
• ALFRED, FRED's own vintage archive, applies the same floor: vintage queries with realtime_start set to 2026-03-01 and 2024-06-03 return the same window start, and a 2020 realtime returns no series at all. The pre-2023 OAS history, including the 2008 and 2020 crisis peaks, is no longer available from FRED at any vintage.
• The crisis record on this module therefore lives entirely in the Moody's and Treasury series, which are unaffected by the truncation.

The century series and the no-splice rule

The century chart uses the monthly series throughout: Baa minus Aaa from 1919 (Moody's seasoned yields, monthly averages), Baa minus GS10 from 1953 (the earliest 10Y constant-maturity Treasury on FRED). No daily observations are spliced in; the daily Baa minus 10Y Treasury spread (DBAA minus DGS10, 1986-present) is computed and displayed as its own exhibit with its own span. The Baa-Treasury spread before 1953 is not shown at all rather than being proxied: FRED carries no 10Y constant-maturity series before April 1953.

Continuity check across the monthly/daily pair: the build script recomputes the daily spread (DBAA minus DGS10) and compares it against FRED's own published spread series BAA10Y on every common date. Result on acquisition: 10,134 common dates, exact agreement on 10,133 of them, one 0.02 pp exception (1991-01-29, a source-side revision between the H.15 vintage inside BAA10Y and DGS10). The build asserts this bound and fails on any new drift.

Known basis facts, stated rather than hidden:

• Moody's seasoned yields cover bonds with 20+ years to maturity, so the Baa-Treasury comparison carries a maturity mismatch. FRED's own BAA10Y series uses the identical construction.
• Monthly Moody's values are monthly averages of daily figures; the monthly and daily series therefore differ at month ends by construction, which is one reason they are never spliced.

Computed statistics

• Percentile: the share of a series' observations at or below the latest value, over the full published history of that series (1919-present for the monthly quality spread, 1953-present for monthly Baa-GS10, 1986-present for the daily spread), stated next to every figure.
• Extremes: located by query (arg_max / arg_min over the series), never typed. Crisis-window peaks use the NBER reference dates stated on the chart (1929-08 to 1933-03, 2007-12 to 2009-06, 2020-02 to 2020-04) plus calendar-year windows for the 2007-2009 and 2020 callouts.
• Chart decimation: the daily chart keeps each bucket's minimum and maximum real observations (plus boundaries), never averaging or interpolating; all statistics are computed from the full series before decimation.
• Spread arithmetic: Baa minus Aaa and Baa minus Treasury are computed from same-date values of the named component series.

Issuance data: evaluated and skipped

The module was scoped to include US corporate bond issuance (investment grade vs high yield, annual) from SIFMA's public statistics files. SIFMA's Terms of Use (sifma.org/terms-of-use, "Updated May 2023") grant "a limited, personal, non-exclusive, non-transferable license to use our Documents solely for your own personal, noncommercial use", state that users "have no right to copy, modify, edit, reproduce, recompile, store, create derivative works from ... any of the Documents", and permit sharing only when "a user summarizes SIFMA's original content in an abstract form" with a source link. Republishing the issuance series on this site would exceed that license, so it is not acquired and not displayed. The no-redistribution posture this site applies to its own surfaces cuts both ways: upstream terms are respected even when the data is freely downloadable. Issuance statistics are available directly from SIFMA's research statistics.

Literature

The compression framing on the century section follows David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek, "Credit-Market Sentiment and the Business Cycle", Quarterly Journal of Economics 132(3), 2017, 1373-1426, doi:10.1093/qje/qjx014: elevated credit-market sentiment, visible as compressed spreads, predicts spread reversals and weaker real activity over the following two years. The module displays the spreads; it implements no part of the paper's estimation.

License notices (verbatim from the FRED series notes)

Moody's

© 2017, Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “Moody’s”). All rights reserved. Moody’s ratings and other information (“Moody’s Information”) are proprietary to Moody’s and/or its licensors and are protected by copyright and other intellectual property laws. Moody’s Information is licensed to Client by Moody’s. MOODY’S INFORMATION MAY NOT BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

ICE BofA indices

The attribution block, carried on the page beside the quoted readings:

Certain indices and index data included in FRED are the property of ICE Data Indices, LLC (“ICE DATA”) and used under license. ICE® IS A REGISTERED TRADEMARK OF ICE DATA OR ITS AFFILIATES AND BOFA® IS A REGISTERED TRADEMARK OF BANK OF AMERICA CORPORATION LICENSED BY BANK OF AMERICA CORPORATION AND ITS AFFILIATES (“BOFA”) AND MAY NOT BE USED WITHOUT BOFA’S PRIOR WRITTEN APPROVAL. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING WITH REGARD TO THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, NOR ITS AFFILIATES OR THEIR RESPECTIVE THIRD PARTY PROVIDERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF. THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND FRED, OR ANY OF ITS PRODUCTS OR SERVICES.

Copyright, 2023, ICE Data Indices. Reproduction of this data in any form is prohibited except with the prior written permission of ICE Data Indices.

The terms block that drives the publication boundary above:

The end of day Index values, Index returns, and Index statistics (“Top Level Data”) are being provided for your internal use only and you are not authorized or permitted to publish, distribute or otherwise furnish Top Level Data to any third-party without prior written approval of ICE Data.

Neither ICE Data, its affiliates nor any of its third party suppliers shall have any liability for the accuracy or completeness of the Top Level Data furnished through FRED, or for delays, interruptions or omissions therein nor for any lost profits, direct, indirect, special or consequential damages.

The Top Level Data is not investment advice and a reference to a particular investment or security, a credit rating or any observation concerning a security or investment provided in the Top Level Data is not a recommendation to buy, sell or hold such investment or security or make any other investment decisions.

You shall not use any Indices as a reference index for the purpose of creating financial products (including but not limited to any exchange-traded fund or other passive index-tracking fund, or any other financial instrument whose objective or return is linked in any way to any Index) without prior written approval of ICE Data.

ICE Data, their affiliates or their third party suppliers have exclusive proprietary rights in the Top Level Data and any information and software received in connection therewith.

You shall not use or permit anyone to use the Top Level Data for any unlawful or unauthorized purpose.

Access to the Top Level Data is subject to termination in the event that any agreement between FRED and ICE Data terminates for any reason.

ICE Data may enforce its rights against you as the third-party beneficiary of the FRED Services Terms of Use, even though ICE Data is not a party to the FRED Services Terms of Use.

The FRED Services Terms of Use, including but limited to the limitation of liability, indemnity and disclaimer provisions, shall extend to third party suppliers.

US government sources

GS10 and DGS10 (H.15 releases via FRED) are US government works with no redistribution restriction.

Refresh

scripts/refresh.sh daily refreshes this module (fetch, rebuild, verify) alongside the other daily FRED tiers; the parquet is tracked in the refresh summary and the vintage capture like every other daily source.