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I am looking for some clarity on data for Corporate Bond term structure based on Credit Rating. Let say, I need to get the Term Structure for Corporate Bonds with rating CCC, how can I get such information in reality? There would be thousands of such Issuers so for every case I will get little different Term structure based on Liquidity and other factors?

How practitioners actually get such Term structure? Does Bloomberg provide such data directly for various Ratings??

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  • $\begingroup$ Usual sources are indeed Bloomberg or Reuters. I do not know the Bloomberg Mnemonic, but Reuters screen SECTORCURVES and ISSUERCURVES can be a good starting point. Reuters (usually) has sector curves for Rating AAA/AA to BB /B available. $\endgroup$ – Kermittfrog Nov 9 '20 at 9:29
  • $\begingroup$ @Kermittfrog could you please share some schreenshots from Reuters $\endgroup$ – Bogaso Nov 9 '20 at 9:57
  • $\begingroup$ Sorry, I have no access to Reuters $\endgroup$ – Kermittfrog Nov 9 '20 at 11:09
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On Bloomberg: CRVF ("Curve Finder"), pick your country/region then tab 12 for credit. This will give you curves by sector and/or by ratings bucket, though only down to single B from what I can see.

Not something we use so I can't comment on the quality of the curves.

I'd guess some banks (e.g. BAML) have similar data/analytics.

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  • $\begingroup$ Thanks. I dont have Bloomberg access at this moment. Can you please some screen-shots? $\endgroup$ – Bogaso Nov 9 '20 at 16:18
  • $\begingroup$ I can't post screenshots though I don't think they'd help - you asked for term structure for CCC but BBG only goes down to B from what I can see. $\endgroup$ – user42108 Dec 9 '20 at 15:23

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