Bonds & Fixed Income¶

Free and open-access data sources for fixed income markets, including yield curves, credit spreads, corporate bond factors, and return predictors.

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For licensed fixed income databases, see Mergent FISD, TRACE, and Bond Returns on WRDS.

Yields & Spreads¶

U.S. Treasury Yield Curves (FRED) API CSV US Bonds — Daily constant-maturity Treasury yields (1-month to 30-year) from the Federal Reserve's H.15 release. Coverage: 1962–present (varies by maturity). Key series: DGS1, DGS2, DGS5, DGS10, DGS30. Free via the FRED website, API, or the fredapi Python package. Widely used for term structure research, risk-free rate estimation, and yield curve modeling.
ICE BofA Corporate Bond Indices (FRED) API CSV US Bonds — Option-adjusted spreads (OAS) for investment-grade (BAMLC0A0CM) and high-yield (BAMLH0A0HYM2) corporate bonds, published by ICE/BofA and available free via FRED. Daily, 1996–present. Standard measures for credit risk research, default risk pricing, and business cycle analysis. Also includes indices by maturity and rating bucket.

Open Source Bond Asset Pricing CSV US Bonds — Replication data and code for corporate bond factors, including daily TRACE bond panels, bond-Compustat/CRSP links, and 341 bond/stock predictors. By Dickerson, Mueller & Robotti (2023). (Code)

See also: Equities & Asset Pricing for equity factor data | WRDS Fixed Income databases for licensed bond data (Mergent FISD, TRACE, Bond Returns).