BAMLH0A0HYM2: ICE BofA US High Yield Index Option-Adjusted Spread Daily

The BAMLH0A0HYM2 index dates back to December 1996, but as of April 2026 FRED distributes only a rolling three-year window: this page covers that window (2023–present), with the pre-2023 history now available from ICE Data Indices directly.

Eco3min does not redistribute this series: its holder, ICE Data Indices, restricts republication (FRED status “pre-approval required”). The series can be viewed on its FRED page, linked below.

Macro Takeaway

Dataset Overview

Coverage note: FRED began restricting this series to a rolling three-year window in April 2026. The full history back to December 1996 is no longer distributed through FRED: see Data Quality & Provider Notes below.

Dataset Variables

The series carries one value per business day: the option-adjusted spread of US high yield bonds over Treasuries, in percentage points.

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

BAMLH0A0HYM2 on FRED

The series is published on FRED under code BAMLH0A0HYM2, under the terms of its holder, ICE Data Indices: any reproduction requires prior approval, and it is not reproduced on Eco3min.

Since April 2026, FRED restricts this series to a rolling three-year window (2023 to date). The complete history back to December 1996 is held by ICE Data Indices and is no longer available through FRED.

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 BAMLH0A0HYM2 series a dynamic reflection of the investable HY universe rather than a fixed basket.

The 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. Across its full published history (December 1996 onward), the index has ranged from its tightest level in June 2007 to a record of 21.82% during the Global Financial Crisis (15 December 2008). Note that values older than three years are no longer distributed through FRED (see Data Quality & Provider Notes below).

Eco3min does not host or redistribute this series: its FRED page, linked above, is the source.

Data Quality & Provider Notes

BAMLH0A0HYM2 is one of the most widely used credit risk benchmarks in fixed income markets and is generally considered a high-fidelity series for analytical work. Eco3min does not mirror it: this page links to the FRED publication.

• FRED rolling-window restriction (important). As of April 2026, FRED limits all ICE BofA index series, including BAMLH0A0HYM2, to a rolling three-year window and directs users to the source for older data. The pre-2023 history is therefore no longer retrievable from FRED. The complete series back to December 1996 is the property of ICE Data Indices and is available through ICE directly or licensed redistributors (Bloomberg ticker H0A0, Refinitiv/LSEG), all commercial. Pre-April-2026 FRED vintages may still survive in FRED’s ALFRED archive, under the same terms, with no guarantee.
• Release latency. ICE publishes the index daily after US market close. FRED ingests it with a one-business-day delay (T+1 morning).
• Revisions policy. The series is generally not revised after publication. Occasional retroactive corrections from ICE are rare and limited to constituent re-classifications. Unlike monthly economic releases (NFP, CPI), there are no scheduled vintage revisions.
• Known gaps. Weekends and US federal holidays produce gaps in the daily series. A handful of post-2020 partial business days carry forward the prior reading.

For analytical work, pair BAMLH0A0HYM2 with the corresponding effective yield series (BAMLH0A0HYM2EY) and the IG counterpart (BAMLC0A0CM) to separate credit risk from absolute yield level.

Common Pitfalls When Using BAMLH0A0HYM2

BAMLH0A0HYM2 is widely cited but several recurring interpretation errors distort the signal.

1. Confusing OAS with the raw HY yield. The option-adjusted spread isolates the credit risk premium by removing the effect of embedded call options and the Treasury rate level. A widening BAMLH0A0HYM2 with stable HY yields, or a flat BAMLH0A0HYM2 with rising HY yields, signal very different things. Users sometimes track the absolute HY yield and call it “spread”: they are not interchangeable.
2. Reading HY OAS without the IG OAS reference. A given HY spread carries a different meaning when IG spreads are tight than when they are wide. The HY-IG differential captures the marginal premium for stepping down the credit ladder; its compression often signals broader risk-appetite extremes rather than improving HY fundamentals specifically.
3. Treating end-of-day OAS as the intraday peak. Published BAMLH0A0HYM2 values are end-of-day closes. During acute stress episodes such as March 2020, intraday spreads were materially wider than the published daily series suggests. For event-window studies, the closing series understates the true peak shock on the worst days.
4. Interpreting tight spreads as positive sentiment. Very tight BAMLH0A0HYM2 readings have historically appeared at both healthy credit cycles and at compressed-risk-premium late-cycle phases that subsequently produced sharp reversals. The 2006–2007 stretch of very tight spreads is the canonical example: tight readings preceded the largest credit shock in the series. Tight does not mean safe; it means the market is paying little compensation for whatever risk exists.

Historical Regimes

The regimes below document the full recorded history of the BAMLH0A0HYM2 index since 1996, provided as context for reading the current level. The live FRED series covers only a rolling three-year window (see Data Quality & Provider Notes); the figures below describe the historical record of the index itself.

1997–2002: Dot-com and Enron. BAMLH0A0HYM2 widened sharply as the tech bubble burst and a wave of corporate fraud (Enron, WorldCom, Tyco) shattered investor confidence in corporate governance. This is unpacked in our Q&A on the credit cycle. 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. BAMLH0A0HYM2 collapsed to the tightest level in the index’s recorded history, reached in June 2007. Structured credit products (CDOs, CLOs), covenant-lite lending, and a global savings glut drove an unprecedented compression of credit risk premia. The NFCI stayed in deeply negative territory throughout, signaling abnormally loose conditions across the financial system. In retrospect, this extreme tightness was the clearest signal of the mispricing that would produce the 2008 crisis.

2007–2009: Global Financial Crisis. The HY spread exploded to the widest level in the index’s recorded history on 15 December 2008 (the record cited above). 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 BAMLH0A0HYM2 far below that peak by late 2009. The full picture is drawn in what investors often get wrong about credit and spreads.

2010–2019: QE-compressed spreads. Spreads stayed mostly moderate, with brief episodes of widening during the 2011 European crisis, the 2015–2016 energy/commodity crash (BAMLH0A0HYM2 peaked in February 2016 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. Throughout this period, the VIX and HY OAS tracked closely.

2020–present: Pandemic spike and normalization. BAMLH0A0HYM2 widened in March 2020, peaking on 23 March, in one of the fastest credit shocks in the series. The Fed’s unprecedented announcement of corporate bond purchases, including HY ETFs, reversed the widening within weeks. Spreads subsequently compressed back toward the tight end of their history by 2021. The 2022–2023 tightening cycle widened spreads modestly, with regional bank stress in March 2023 producing a transient peak, but the absence of a major credit event has kept BAMLH0A0HYM2 relatively contained. The current level relative to SLOOS lending standards, which have tightened substantially, is one of the more striking divergences in the series’ recorded history.

Related Macroeconomic Datasets

BAMLH0A0HYM2 is most informative when read alongside the parallel investment-grade spread, the equity-market volatility regime, and the survey-based credit conditions captured by SLOOS and NFCI. The series below provide complementary windows onto the same credit cycle.

Macroeconomic Dataset Hub

This series page is part of the Eco3min macro-financial data hub.

Sources

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

Dataset Reference