Ask About Our Solutions

IRS Data

Published in Alternative Indices

The Treasury High Quality Market (HQM) Corporate Bond Yield Curve provides discount rates for the Pension Protection Act of 2006 (PPA). The yield curve shows yields at different maturities from a particular category of fixed income securities. The HQM yield curve corresponds to U.S corporate bonds whose credit quality is a market-weighted average of the top three qualities – AAA, AA, and A.

For the purposes of the PPA, the relevant type of yield is the spot yield, which is the yield on a bond with a single payment at a future date, that is, a zero-coupon bond.

The yield curve pertains to a specific point in time, usually late in a business day, and is computed from the prices at that time on a set of bonds. The first step in constructing the curve is to assemble an appropriate set of bonds. The HQM methodology currently uses a set of U.S. corporate bonds that covers the AAA, AA, and A markets. The maximum maturity of the bonds is 30 years, and currently, the par amount outstanding of each bond is at least $250 million.

Key Features and Coverage on RIMES

For this data source, RIMES hosts the Treasury High Quality Market Corporate Bond Yield Curve. Some of the data items available include:

  • Adjustment Factors
  • Discount Function
  • Forward Rate
  • Hqm Yield Curve
  • Market-Weighted Average (Mwa)
  • Price Of Bond
  • Regression Variables
  • Short-Term Yield
  • Spot Rate
  • Spot Yield Curve
  • Weighting

Share

Our Managed Data Services

  • Working with 400+ data and 1400 data sets
  • Superior data quality and accuracy
  • 75,000 index, price & reference data feeds delivered daily
  • Fully managed, validated and system-ready feeds
  • Data delivered via API or file format for operational or analytical users
  • Increase business agility and scalability
  • Faster time to quality & market
  • Global expert 24/7 support

Looking for specific data?

Get in touch. We can source specific data, just for you.