Question
What are the properties of the Moody's Aaa- and Baa-rated seasoned corporate bonds reported in the FRB H.15?
Answer
The U.S. Federal Reserve Board's H.15 "Selected Interest Rates" statistical release includes two series sourced from Moody's Investors Service:
- IRAAAD.US = Moody's seasoned corporate bonds rated Aaa
- IRBAAD.US = Moody's seasoned corporate bonds rated Baa
The H.15 provides limited metadata, but these two series happen to be numerically identical to members of a larger dataset which we obtain directly from MIS:
- IRAAACD.US = Long-term corporate bonds rated Aaa
- IRBAACD.US = Long-term corporate bonds rated Baa
The "corporate" yields are unweighted averages of the more specific "industrial" and "utility" categories. These are "long-term" bonds, with minimum and average maturities of 20 and 28 years, respectively. The dataset adds Aa and A ratings but nothing lower, as its focus is investment-grade bonds. The corresponding weekly and monthly datasets add "intermediate-term bonds" (average maturity of seven years) and a municipal category.
The one advantage of the H.15 series is longer history: they start in January 1962, whereas the MIS daily, weekly and monthly datasets start in January 1997, January 1997, and June 1994, respectively.
The MIS bond rates appear in the historical catalog. Browse directly (United States » Financial » Interest rates » Moody's bond rates) or use the "find in catalog" search mode.
Related Releases
H.15 Selected Interest Rates [D, W, M]
Moody's Daily Yields (LTsprds)