Corporate Credit Data Pipeline

Downloads corporate credit yields, spreads, and the HQM corporate credit curve from FRED, processes it into standardized formats with forward rates and interpolated maturities, and saves as Parquet files at multiple frequencies.

Features

• Downloads ICE BofA corporate bond yields and spreads (AAA through B ratings)
• Downloads Treasury HQM corporate credit curve data
• Downloads mortgage rates (30-year, 15-year, jumbo)
• Calculates forward rates from spot yields
• Interpolates missing maturities
• Outputs data at multiple frequencies: daily, monthly, quarterly, and quarterly average
• Filters out rows with no data (each file type starts when data becomes available)
• Stores variable descriptions as parquet metadata

Installation

pip install -r requirements.txt

Configuration

1. Get a free FRED API key from https://fred.stlouisfed.org/docs/api/api_key.html
2. Create your environment file:

   cp .env.example .env

3. Add your API key to .env:

   FRED_API_KEY=your_api_key_here
   

Usage

Run the full pipeline:

python 01_download.py    # Download data from FRED
python 02_parse.py       # Process and calculate forward rates
python 03_summarize.py   # View summary with column availability by date range

Data Sources

Source	Series	Description
FRED	BAMLC0A1CAAA, BAMLC0A1CAAAEY, etc.	ICE BofA Corporate Bond Indices
FRED	HQMCB6MT, HQMCB1YR, etc.	HQM Corporate Bond Yields
FRED	MORTGAGE30US, MORTGAGE15US, OBMMIJUMBO30YF	Mortgage Rates

Output Files

All output files are saved to data/processed/ in Parquet format with embedded metadata.

Corporate Credit Ratings

File	Description
daily_rating.parquet	All trading days
monthly_rating.parquet	End of month values
quarterly_rating.parquet	End of quarter values
quarterly_avg_rating.parquet	Quarterly averages

HQM Curve

File	Description
monthly_curve.parquet	Monthly averages (FRED data is already averaged)
quarterly_curve.parquet	Quarterly averages (from monthly)

Mortgage Rates

File	Description
weekly_mtgrates.parquet	Weekly data
monthly_mtgrates.parquet	End of month values
quarterly_mtgrates.parquet	End of quarter values
quarterly_avg_mtgrates.parquet	Quarterly averages

Variables

Corporate Credit (decimal format)

• y_aaa, y_aa, y_a, y_bbb, y_bb, y_b - Effective yields by rating
• s_aaa, s_aa, s_a, s_bbb, s_bb, s_b - Option-adjusted spreads
• y_bb_b, s_bb_b - BB/B averages

HQM Curve (decimal format)

• hqm_zero_6m, hqm_zero_1y, hqm_zero_2y, ..., hqm_zero_30y - Zero-coupon yields
• hqm_par_2y, hqm_par_5y, hqm_par_10y, hqm_par_30y - Par yields
• fwd_zero_*, fwd_par_* - Forward rates

Mortgage Rates (decimal format)

• ym_30 - 30-year fixed rate
• ym_15 - 15-year fixed rate
• ym_30_jumbo - 30-year jumbo rate

Requirements

• Python 3.8+
• pandas
• pyarrow
• fredapi
• python-dotenv
• numpy
• requests

License

MIT