FRED BAMLH0A0HYM2 — Daily CSV Download (US High Yield Credit Spread)

The US High Yield credit spread measures the option-adjusted spread between ICE BofA US High Yield corporate bonds and equivalent-maturity Treasuries — the market’s real-time pricing of corporate default risk. When this spread widens rapidly, it signals that credit markets are pricing in economic stress; historically, spread spikes above 800 basis points have coincided with or immediately preceded recessions. Daily observations since 1996.

Dataset: US High Yield Credit Spread · Updated —

Source: FRED series BAMLH0A0HYM2 · ICE BofA / Federal Reserve Bank of St. Louis

Macro Takeaway

Dataset Overview

Dataset Variables

The CSV and Excel files contain the following columns. Each row represents one business day.

A spread of 4.50 means HY bonds yield 450 basis points above equivalent Treasuries.

Download the Complete Dataset

The full dataset covers nearly three decades of daily credit spread observations, including every major credit stress episode.

FRED Direct CSV Access

The spread is available from FRED under series code BAMLH0A0HYM2:

https://fred.stlouisfed.org/graph/fredgraph.csv?id=BAMLH0A0HYM2

The Eco3min dataset mirrors this series with consistent column naming and a stable CSV URL designed for programmatic access.

Direct CSV Access — Eco3min Structured Dataset

https://eco3min.fr/dataset/us-high-yield-spread.csv

This URL returns the complete dataset in CSV format.

Using the Dataset in Python

import pandas as pd

url = "https://eco3min.fr/dataset/us-high-yield-spread.csv"
df = pd.read_csv(url, parse_dates=["date"])

print(f"Current spread: {df['hy_spread'].iloc[-1]:.2f}%")
print(f"Average: {df['hy_spread'].mean():.2f}%")
print(f"Max: {df['hy_spread'].max():.2f}% on {df.loc[df['hy_spread'].idxmax(), 'date']}")

Using the Dataset in R

library(readr)

url <- "https://eco3min.fr/dataset/us-high-yield-spread.csv"
df <- read_csv(url)

head(df)
summary(df$hy_spread)

Both examples load the dataset directly from the URL — no download or API key required.

Methodology

The ICE BofA US High Yield Option-Adjusted Spread (OAS) measures the spread of below-investment-grade corporate bonds (rated BB+ or lower by S&P, Ba1 or lower by Moody’s) over a spot Treasury curve. The “option-adjusted” methodology removes the effect of embedded options (callable bonds) by modeling expected cash flows under multiple interest rate scenarios, isolating the pure credit risk component.

The index is market-capitalization weighted and includes all publicly issued US dollar-denominated HY corporate debt with at least one year to maturity and a minimum outstanding of $100 million. The composition changes as bonds are upgraded, downgraded, mature, or default, making the index a dynamic reflection of the investable HY universe.

This spread is expressed in percentage points (not basis points in this dataset). A value of 4.50 means HY bonds yield 450 basis points above equivalent-maturity Treasuries. Historical context: the spread has ranged from a low of approximately 2.3% (late 2006) to a peak of 21.8% during the GFC (December 2008).

This dataset is updated weekly (Saturday 08:00 UTC) via automated pull from the FRED API.

Historical Regimes

1997–2002 — Dot-com and Enron. The HY spread widened from 300 to over 1,000 basis points as the tech bubble burst and a wave of corporate fraud (Enron, WorldCom, Tyco) shattered investor confidence in corporate governance. Default rates exceeded 10% in the HY universe. The episode demonstrated that credit cycles can be driven by fraud and accounting manipulation as much as by macroeconomic fundamentals.

2003–2007 — The great credit compression. Spreads collapsed from 1,000 to 230 basis points — the tightest level in the dataset’s history. Structured credit products (CDOs, CLOs), covenant-lite lending, and a global savings glut drove an unprecedented compression of credit risk premia. In retrospect, this extreme tightness was the clearest signal of the mispricing that would produce the 2008 crisis.

2007–2009 — Global Financial Crisis. Spreads exploded from 300 to over 2,100 basis points in December 2008, the widest in the dataset. The HY bond market effectively shut down — no new issuance for months. Default rates surged past 13%. The Fed’s emergency interventions (TALF, CPFF) and eventual QE reopened credit markets, compressing spreads back below 600 bps by late 2009.

2010–2019 — QE-compressed spreads. Spreads averaged approximately 450 bps, with brief episodes of widening during the 2011 European crisis, the 2015–2016 energy/commodity crash (spreads touched 900 bps as shale producers defaulted), and the late-2018 tightening scare. Each widening was met with Fed easing or pauses, reinforcing the “Fed put” dynamic in credit markets.

2020–present — Pandemic spike and normalization. Spreads widened to 1,100 bps in March 2020 in the fastest credit shock in history (23 business days from tights to wides). The Fed’s unprecedented announcement of corporate bond purchases — including HY ETFs — reversed the widening within weeks. Spreads subsequently compressed below 300 bps by 2021, among the tightest in history. The 2022–2023 tightening cycle widened spreads modestly, but the absence of a major credit event has kept them relatively contained. Whether the current spread level adequately compensates for the risk of a yield curve-signaled recession is an open question in credit analysis.

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Macroeconomic Dataset Hub

This dataset is part of the Eco3min macro-financial data repository.

Explore the Eco3min Dataset Hub

Sources

• ICE Data Indices, LLC — ICE BofA US High Yield Index
• Federal Reserve Bank of St. Louis — FRED series BAMLH0A0HYM2

Suggested Citation

Eco3min Research. (2026). US High Yield Credit Spread (1996–2026).<br> https://eco3min.fr/credit-spreads-recession-risk-dataset/