Dataset: Corporate Bonds Indices

About this Dataset

Corporate Bonds Indices

Content

Yield and total return indices for many categories of corporate bonds, mostly US and EM. Different indices have different durations of availability, ranging from 1975 onwards for US Gen Y to 1998 onwards for EMEA Gen TR.

For the naming convention:
Location
US=United States, EM=Emerging Markets, EMEA= Europe, Middle East & Africa
Type/Grade
Gen=General (All grades), Good= High Grade, High= High Yield, AAA=AAA-rated, AA=AA-rated and so on ...
Index type
Y=Yield, TR=Total Return

Sources

Data collected using Quandl API reference from Merrill Lynch into Python, before writing to csv using Pandas. For the combined mastersheet, I used pd.merge so the indices were inner joined on the date column starting with the longest range (US Gen TR) so the final range for the combined spreadsheet is shorter than the individual ranges.

Inspiration

How do the movement of yieldss and total return indices correlate to each other? Will post my notebook showing the correlation matrix of the bond yields and bond total returns soon!

Tables

Combined Bond Indices Yields

@kaggle.denzilg_corporate_bonds_indices.combined_bond_indices_yields

527.51 KB
5797 rows
23 columns


CREATE TABLE combined_bond_indices_yields (
  "unnamed_0" BIGINT,
  "date" TIMESTAMP,
  "emea_gen_tr" DOUBLE,
  "em_gen_tr" DOUBLE,
  "em_good_y" DOUBLE,
  "em_high_y" DOUBLE,
  "us_aaa_tr" DOUBLE,
  "us_aaa_y" DOUBLE,
  "us_aa_tr" DOUBLE,
  "us_aa_y" DOUBLE,
  "us_a_tr" DOUBLE,
  "us_a_y" DOUBLE,
  "us_bbb_tr" DOUBLE,
  "us_bbb_y" DOUBLE,
  "us_bb_tr" DOUBLE,
  "us_bb_y" DOUBLE,
  "us_b_tr" DOUBLE,
  "us_b_y" DOUBLE,
  "us_ccc_tr" DOUBLE,
  "us_ccc_y" DOUBLE,
  "us_gen_tr" DOUBLE,
  "us_gen_y" DOUBLE,
  "us_high_y" DOUBLE
);

Emea Gen Tr

@kaggle.denzilg_corporate_bonds_indices.emea_gen_tr

83.84 KB
5797 rows
2 columns


CREATE TABLE emea_gen_tr (
  "date" TIMESTAMP,
  "bamlemrecrpiemeatriv" DOUBLE
);

Em Gen Tr

@kaggle.denzilg_corporate_bonds_indices.em_gen_tr

82.9 KB
5797 rows
2 columns


CREATE TABLE em_gen_tr (
  "date" TIMESTAMP,
  "bamlemcbpitriv" DOUBLE
);

Em Good Y

@kaggle.denzilg_corporate_bonds_indices.em_good_y

63.05 KB
5797 rows
2 columns


CREATE TABLE em_good_y (
  "date" TIMESTAMP,
  "bamlemibhgcrpiey" DOUBLE
);

Em High Y

@kaggle.denzilg_corporate_bonds_indices.em_high_y

65.91 KB
5797 rows
2 columns


CREATE TABLE em_high_y (
  "date" TIMESTAMP,
  "bamlemhbhycrpiey" DOUBLE
);

Us Aaa Tr

@kaggle.denzilg_corporate_bonds_indices.us_aaa_tr

120.58 KB
8372 rows
2 columns


CREATE TABLE us_aaa_tr (
  "date" TIMESTAMP,
  "bamlcc0a1aaatriv" DOUBLE
);

Us Aaa Y

@kaggle.denzilg_corporate_bonds_indices.us_aaa_y

67.69 KB
6316 rows
2 columns


CREATE TABLE us_aaa_y (
  "date" TIMESTAMP,
  "bamlc0a1caaaey" DOUBLE
);

Us Aa Tr

@kaggle.denzilg_corporate_bonds_indices.us_aa_tr

120.73 KB
8373 rows
2 columns


CREATE TABLE us_aa_tr (
  "date" TIMESTAMP,
  "bamlcc0a2aatriv" DOUBLE
);

Us Aa Y

@kaggle.denzilg_corporate_bonds_indices.us_aa_y

67.83 KB
6316 rows
2 columns


CREATE TABLE us_aa_y (
  "date" TIMESTAMP,
  "bamlc0a2caaey" DOUBLE
);

Us A Tr

@kaggle.denzilg_corporate_bonds_indices.us_a_tr

120.83 KB
8373 rows
2 columns


CREATE TABLE us_a_tr (
  "date" TIMESTAMP,
  "bamlcc0a3atriv" DOUBLE
);

Us A Y

@kaggle.denzilg_corporate_bonds_indices.us_a_y

68.04 KB
6316 rows
2 columns


CREATE TABLE us_a_y (
  "date" TIMESTAMP,
  "bamlc0a3caey" DOUBLE
);

Us Bbb Tr

@kaggle.denzilg_corporate_bonds_indices.us_bbb_tr

120.99 KB
8372 rows
2 columns


CREATE TABLE us_bbb_tr (
  "date" TIMESTAMP,
  "bamlcc0a4bbbtriv" DOUBLE
);

Us Bbb Y

@kaggle.denzilg_corporate_bonds_indices.us_bbb_y

68.16 KB
6316 rows
2 columns


CREATE TABLE us_bbb_y (
  "date" TIMESTAMP,
  "bamlc0a4cbbbey" DOUBLE
);

Us Bb Tr

@kaggle.denzilg_corporate_bonds_indices.us_bb_tr

89.8 KB
6316 rows
2 columns


CREATE TABLE us_bb_tr (
  "date" TIMESTAMP,
  "bamlhyh0a1bbtriv" DOUBLE
);

Us Bb Y

@kaggle.denzilg_corporate_bonds_indices.us_bb_y

68.82 KB
6316 rows
2 columns


CREATE TABLE us_bb_y (
  "date" TIMESTAMP,
  "bamlh0a1hybbey" DOUBLE
);

Us B Tr

@kaggle.denzilg_corporate_bonds_indices.us_b_tr

88.88 KB
6316 rows
2 columns


CREATE TABLE us_b_tr (
  "date" TIMESTAMP,
  "bamlhyh0a2btriv" DOUBLE
);

Us B Y

@kaggle.denzilg_corporate_bonds_indices.us_b_y

70.55 KB
6316 rows
2 columns


CREATE TABLE us_b_y (
  "date" TIMESTAMP,
  "bamlh0a2hybey" DOUBLE
);

Us Ccc Tr

@kaggle.denzilg_corporate_bonds_indices.us_ccc_tr

90.89 KB
6316 rows
2 columns


CREATE TABLE us_ccc_tr (
  "date" TIMESTAMP,
  "bamlhyh0a3cmtriv" DOUBLE
);

Us Ccc Y

@kaggle.denzilg_corporate_bonds_indices.us_ccc_y

73.32 KB
6316 rows
2 columns


CREATE TABLE us_ccc_y (
  "date" TIMESTAMP,
  "bamlh0a3hycey" DOUBLE
);

Us Gen Tr

@kaggle.denzilg_corporate_bonds_indices.us_gen_tr

141.19 KB
9086 rows
2 columns


CREATE TABLE us_gen_tr (
  "date" TIMESTAMP,
  "bamlcc0a0cmtriv" DOUBLE
);

Us Gen Y

@kaggle.denzilg_corporate_bonds_indices.us_gen_y

67.91 KB
6316 rows
2 columns


CREATE TABLE us_gen_y (
  "date" TIMESTAMP,
  "bamlc0a0cmey" DOUBLE
);

Us High Y

@kaggle.denzilg_corporate_bonds_indices.us_high_y

70.52 KB
6316 rows
2 columns


CREATE TABLE us_high_y (
  "date" TIMESTAMP,
  "bamlh0a0hym2ey" DOUBLE
);