Graph: BofA Merrill Lynch US High Yield CCC or Below Option-Adjusted Spread©

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(a) BofA Merrill Lynch US High Yield CCC or Below Option-Adjusted Spread©, Percent, Not Seasonally Adjusted (BAMLH0A3HYC)
This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate C Index, a subset of the BofA Merrill Lynch 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 CCC or below.
The BofA Merrill Lynch 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.

Source BofA Merrill Lynch, used with permission. BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME , DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/ OR COMPLETENESS OF THE BOFA MERRILL LYNCH INDICIES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND, [FRBSL], OR ANY OF ITS PRODUCTS OR SERVICES.

Copyright, 2014, Bank of America Corporation. Reprinted with permission.

BofA Merrill Lynch US High Yield CCC or Below Option-Adjusted Spread©
   

  

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Suggested Citation
BofA Merrill Lynch, BofA Merrill Lynch US High Yield CCC or Below Option-Adjusted Spread© [BAMLH0A3HYC], retrieved from FRED, Federal Reserve Bank of St. Louis https://research.stlouisfed.org/fred2/series/BAMLH0A3HYC/, December 22, 2014.





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