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Over the past 5- 10 years, what have investment grade corporate bonds yielded [yield-to-maturity] above a treasury of similar maturity? Please limit the scope of the research to bonds maturing in 1 - 10 years. Also, please separate the results by their ratings [e.g. Baa1/BBB+, A3/A-, etc.]
Hello and thanks for asking Wonder about the differences between corporate bond and treasury bond yields over the last 10 years. In short, I've created a spreadsheet detailing the spread between treasuries and corresponding maturities of corporate bonds rated Aaa and Baa as rated by Moody's. There is no readily available list that highlights this data across different ratings and maturities so I had to review data from the Federal Reserve Economic Database and the U.S. Treasury Department in order to compile the spreadsheet. See below for an overview of my methodology and results.
Methodology
I was able to find Treasury yields going back 10 years from the US Treasury Department database. The database provides the option of exporting that data which I did into an excel file. I then was able to find historical corporate bond data matching the 10-year time frame from the FRED database. The FRED database also provides an export function which I did and combined with the file containing the US Treasury data. I then subtracted the corporate bond yields from the treasury yields. Historical data going back 10 years showing different ratings and maturities on corporate bond yields were a little more difficult to find, however I was able to find and download 5 year, 10 year and 20 year yields for Aaa, and 10 year and 20 year yields for Baa. This was the extent I could get done given the recommended research window, however with additional requests, more maturities and ratings could likely be sourced.
Results
In the attached spreadsheet, I've detailed five different data series dating back to September 2007 and running through July 2017. The data series represent the difference between the corporate bond yields and the treasury yields for the following five categories: 5yr-Aaa, 10yr-Aaa, 20yr-Aaa, 10yr-Baa, and 20yr-Baa. The average yield difference over this 10 year time frame is 1.4%, 1.8%, 3.0%, 0.9% and 2.1%.
Summary
In short, I was able to create a spreadsheet detailing the differences between corporate bond yields and treasury yields dating back 10 years. The spreadsheet was built using data from both the US Treasury and the Federal Reserve. Thanks for using Wonder and let us know if we can help with anything else!