Source: Ice Data Indices, LLC  

Release: ICE BofA Indices  

Units:  Percent, Not Seasonally Adjusted

Frequency:  Daily

This data represents the Option-Adjusted Spread (OAS) for the ICE BofA Emerging Markets Corporate Plus Index, which tracks the performance of US dollar (USD) and Euro denominated emerging markets non-sovereign debt publicly issued within the major domestic and Eurobond markets. To qualify for inclusion in the index, the issuer of debt must have risk exposure to countries other than members of the FX G10 (US, Japan, New Zealand, Australia, Canada, Sweden, UK, Switzerland, Norway, and Euro Currency Members), all Western European countries, and territories of the US and Western European countries. Each security must also be denominated in USD or Euro with a time to maturity greater than 1 year and have a fixed coupon. For inclusion in the index, investment grade rated bonds of qualifying issuers must have at least 250 million (Euro or USD) in outstanding face value, and below investment grade rated bonds must have at least 100 million (Euro or USD) in outstanding face value. The index includes corporate and quasi-government debt of qualifying countries, but excludes sovereign and supranational debt. Other types of securities acceptable for inclusion in this index are: original issue zero coupon bonds, "global" securities (debt issued in the US domestic bond markets as well the Eurobond Market simultaneously), 144a securities, pay-in-kind securities (includes toggle notes), callable perpetual securities (qualify if they are at least one year from the first call date), fixed-to-floating rate securities (qualify if the securities are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security). Defaulted securities are excluded from the Index.
ICE BofA Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of US mortgage pass-throughs and US structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for US mortgage pass-through and US structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until
the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

The ICE BofA OASs are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond's OAS, weighted by market capitalization. When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments. When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.

Certain indices and index data included in FRED are the property of ICE Data Indices, LLC (“ICE DATA”) and used under license. ICE® IS A REGISTERED TRADEMARK OF ICE DATA OR ITS AFFILIATES AND BOFA® IS A REGISTERED TRADEMARK OF BANK OF AMERICA CORPORATION LICENSED BY BANK OF AMERICA CORPORATION AND ITS AFFILIATES (“BOFA”) AND MAY NOT BE USED WITHOUT BOFA’S PRIOR WRITTEN APPROVAL. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING WITH REGARD TO THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, NOR ITS AFFILIATES OR THEIR RESPECTIVE THIRD PARTY PROVIDERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF. THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND FRED, OR ANY OF ITS PRODUCTS OR SERVICES.

Copyright, 2023, ICE Data Indices. Reproduction of this data in any form is prohibited except with the prior written permission of ICE Data Indices.

The end of day Index values, Index returns, and Index statistics (“Top Level Data”) are being provided for your internal use only and you are not authorized or permitted to publish, distribute or otherwise furnish Top Level Data to any third-party without prior written approval of ICE Data.
Neither ICE Data, its affiliates nor any of its third party suppliers shall have any liability for the accuracy or completeness of the Top Level Data furnished through FRED, or for delays, interruptions or omissions therein nor for any lost profits, direct, indirect, special or consequential damages.
The Top Level Data is not investment advice and a reference to a particular investment or security, a credit rating or any observation concerning a security or investment provided in the Top Level Data is not a recommendation to buy, sell or hold such investment or security or make any other investment decisions.
You shall not use any Indices as a reference index for the purpose of creating financial products (including but not limited to any exchange-traded fund or other passive index-tracking fund, or any other financial instrument whose objective or return is linked in any way to any Index) without prior written approval of ICE Data.
ICE Data, their affiliates or their third party suppliers have exclusive proprietary rights in the Top Level Data and any information and software received in connection therewith.
You shall not use or permit anyone to use the Top Level Data for any unlawful or unauthorized purpose.
Access to the Top Level Data is subject to termination in the event that any agreement between FRED and ICE Data terminates for any reason.
ICE Data may enforce its rights against you as the third-party beneficiary of the FRED Services Terms of Use, even though ICE Data is not a party to the FRED Services Terms of Use.
The FRED Services Terms of Use, including but limited to the limitation of liability, indemnity and disclaimer provisions, shall extend to third party suppliers.