Historical Yield Spreads

Anyone know of a good source for historical corporate spreads (both IG and HY) over the long term – e.g. 30+ years, or longer if possible? On Bloomberg I’m only seeing back as far as the 1990s. The data has to exist somewhere, in some form… for example: http://money.cnn.com/2008/12/11/magazines/fortune/kimes_bonds.fortune/ “Today’s spreads are the highest we’ve seen since 1931,” says economist Michael Darda of MKM Partners, a trading and research firm.

We just put out a piece on that very topic today actually. Did you want me to flip it to you jg1880? Willy

Actually I think the hard copy is still in the brief case in my car. I can mail it. Or why don’t you flip me your e-mail and I’ll copy edit paste you the relevant slides. Willy

are you serious willyr? I didn’t think data before the ML HY Master Index was reliable circa 86… it just wasnt a liquid market till Milliken. even now spreads can range 50-150 bps (albeit 2 years ago I am sure everyone was priced within 30 bps) sure HY existed but i am sure the spreads ranged 200-300 bps depends on if you were long or short… but maybe if you take all yields and index then than the data looks somewhat better but i am still not a believer.

DRAT! You’re right. My ML HY Master II only goes to 1985. Anyways, didn’t really answer your question. I somewhat recall [now] 1985 as the extent of the ML HY II Index. Anyways, long story short, we DO make the claim that this was in fact the ALL-TIME high in spreads - whatever that means. For the record though, yield spreads were at a record low only two summers ago in July of 2007. Oh my how times have changed. Willy

good data from st louis fed FRED system (google that)… i don’t think it provide specific HY data, but the system definitely have investment grade and non-investment grade (Baa below) corp yields + other cool data.

WillyR Wrote: ------------------------------------------------------- > Actually I think the hard copy is still in the > brief case in my car. I can mail it. Or why don’t > you flip me your e-mail and I’ll copy edit paste > you the relevant slides. > > Willy Wily…would you mind emailing it to me? If not I understand, but I’d appreciate it if you could. LPoulin133@gmail.com

Thanks for the response, Willy… if you could mail to jg.at.work at gmail.com that’d be great. Really I was hoping for HY-specific… checked H0A0 (ML HY Master II) and J0A0 on Bloomberg as well as CSHY and one other… but realized after 30 minutes that the pre-1986 data didn’t exist/wasn’t reliable. So I figured next best was to find any corp spreads going back and then be able to extrapolate the concept that HY just exacerbates the trend. The best graph I found was actually on Moody’s Credit Trends from October 2008 (might need a subscription to view): http://credittrends.moodys.com/pro/article.asp?cid=109529&src=thisweek_asp It charts medium-grade industrial bond yield spreads since 1932, and confirms that Oct 08 levels (~450bp over) were the widest since 1933 (550 over), with the next widest being about 325 over in 1986ish. It’s imperfect since it excludes the massive widening that took place in the subsequent 8 weeks and may have outdone even 1932 (to get the effect, take a red pen to the last data point and give it a violent jerk up, before retreating to slightly wider than mid-Oct levels). Hopefully they’ll post an update in coming weeks. Anyways… this was a pretty unscientific approach, as I work in HY research and we just needed to find/create some charts for a HNW financial advisor who is on board with the concept (widest spreads in 8 decades / spreads pricing in depression and 20%+ bankruptcy rate) and can get us some retail flows, but felt he needed a couple of graphs that scream “buying opporunity” to spruce up his pitch.