Effective Yield
This data represents the effective yield of the ICE BofA Indices, 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 effective yield of an ICE BofA index is the yield of the index as a whole, aggregated from the yields of its constituent bonds and weighted by their market capitalisation, on the same compounded (effective annual) basis that the accompanying Semi-Annual Yield to Worst series is quoted on a semi-annual basis. It is an index-level yield of the corporate bond market segment, not a statistic derived from any single bond’s coupon - for the single-bond coupon-reinvestment calculation, see the “Effective Yield” row of collect_bond_statistics instead.
The FRED series are published in percent and are converted to decimals here, so a 5.40% BBB index yield is returned as 0.054.
See definitions:
- Ratings: https://fred.stlouisfed.org/series/BAMLC0A4CBBBEY
- Maturity: https://fred.stlouisfed.org/series/BAMLC1A0C13YEY
Also known as: ICE BofA corporate bond yield, credit yield.
Effective Yield in Python
get_ice_bofa_effective_yield is part of the Fixed Income module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_ice_bofa_effective_yield as shown below.
from financetoolkit import FixedIncome
fixedincome = FixedIncome(
start_date='2024-01-01',
end_date='2024-01-15',
)
fixedincome.get_ice_bofa_effective_yield(maturity=False)
Which returns:
| Date | AAA | AA | A | BBB | BB | B | CCC |
|---|---|---|---|---|---|---|---|
| 2024-01-01 | 0.0456 | 0.047 | 0.0505 | 0.054 | 0.0613 | 0.0752 | 0.1319 |
| 2024-01-02 | 0.0459 | 0.0473 | 0.0509 | 0.0543 | 0.0622 | 0.0763 | 0.1333 |
| 2024-01-03 | 0.0459 | 0.0474 | 0.051 | 0.0544 | 0.0634 | 0.0779 | 0.1358 |
| 2024-01-04 | 0.0466 | 0.0481 | 0.0518 | 0.0551 | 0.0639 | 0.0784 | 0.1367 |
| 2024-01-05 | 0.047 | 0.0485 | 0.0521 | 0.0554 | 0.0641 | 0.0787 | 0.137 |
| 2024-01-08 | 0.0465 | 0.0481 | 0.0517 | 0.055 | 0.0633 | 0.0776 | 0.1365 |
| 2024-01-09 | 0.0464 | 0.048 | 0.0516 | 0.0548 | 0.0629 | 0.0771 | 0.1359 |
| 2024-01-10 | 0.0464 | 0.048 | 0.0515 | 0.0547 | 0.0622 | 0.0762 | 0.1351 |
| 2024-01-11 | 0.0456 | 0.0472 | 0.0507 | 0.054 | 0.0619 | 0.076 | 0.1344 |
| 2024-01-12 | 0.0451 | 0.0467 | 0.0502 | 0.0534 | 0.0613 | 0.0753 | 0.1338 |
| 2024-01-15 | 0.0451 | 0.0467 | 0.0501 | 0.0533 | 0.0611 | 0.0751 | 0.1328 |
Parameters
get_ice_bofa_effective_yield accepts the following parameters:
- maturity (bool, optional): Whether to return the maturity effective yield or the rating effective yield.
- rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. Defaults to False.