Corporate Debt Margins Calculation

Yahoo! Finance used to publish corporate and government yields for various maturities, which made the calculation very simple. We developed the Cost of Debt Calculator interface to match the data supplied by Yahoo! Finance. Unfortunately, they stopped publishing this data, so we must use a different source, which makes the calculation a bit longer. We will use data from the FRED Economic Database for the corporate yields, and from the US Department of Treasury for the government yields.

Following are the data sources:

Website	Link
US Corporate 1-3 Year Effective Yield	https://fred.stlouisfed.org/series/BAMLC1A0C13YEY
US Corporate 3-5 Year Effective Yield	https://fred.stlouisfed.org/series/BAMLC2A0C35YEY
US Corporate 5-7 Year Effective Yield	https://fred.stlouisfed.org/series/BAMLC3A0C57YEY
US Corporate 7-10 Year Effective Yield	https://fred.stlouisfed.org/series/BAMLC4A0C710YEY
US Corporate 15+ Year Effective Yield	https://fred.stlouisfed.org/series/BAMLC8A0C15PYEY
US Treasury Yield Curve	https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

Using those data sources, create the following table in Excel:

To make the calculation consistent, following our suggested inputs:

For the maturity of 2 years, use the 1-3 years corporate yield and the average of years 1, 2 and 3 for the government yield.
For the maturity of 5 years, use the average yield of 3-5 and 5-7 maturities range for the corporate yield and the average of years 3, 5 and 7 for the government yield.
For the maturity of 10 years, use the average yield of 3-5 and 5-7 maturities range for the corporate yield and the 10 year for the government yield.
For the maturity of 20 years, use the 15+ maturity for the corporate yield and the 20 year for the government yield.

Maturity	2	5	10	20
Corporate Spread	0.583	0.888	1.560	1.690

Updated Corporate Debt Margins (July 14, 2017)

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