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
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.
