[F3] Aggregate measures of australian corporate bond yields: non-financial corporate (nfc) bonds

F3 AGGREGATE MEASURES OF AUSTRALIAN CORPORATE BOND YIELDS: NON-FINANCIAL CORPORATE (NFC) BONDS

This statistical table provides aggregate measures of corporate bond yields for Australian resident non-financial corporations (excluding real estate companies). The estimates are derived from a sample of fixed- and floating-rate bonds issued in Australian dollars, US dollars and euros, where the foreign currency-denominated bond yields of individual bonds are hedged into their Australian dollar-equivalent yield using cross-currency basis swaps and other relevant interest rate adjustments. Bonds must have an amount outstanding of at least A$100 million. Yields on bonds with embedded options are adjusted for the value of these options using Bloomberg's option adjusted spread (OAS) estimates. Simple spreads (i.e. not OAS) are used for bonds with make-whole call options only. Data on underlying bond yields, bond attributes, credit ratings and cross-currency hedging variables are sourced from Bloomberg. Prior to 2009, the sample is supplemented by bond prices for fixed-rate Australian dollar denominated bonds sourced from UBS AG, Australia Branch. Aggregate measures are reported separately for bonds with broad A (A+, A or A-) and BBB credit ratings (BBB+, BBB or BBB-), as rated by Standard and Poor’s (S&P). Ratings are sourced from S&P Capital IQ (Copyright (c) 2018, S&P Global Market Intelligence (and its affiliates, as applicable)). For unsecured bonds, individual security ratings are used if available and issuer ratings otherwise. Secured bonds are excluded if an individual security rating is not available. The yields reported in the table are weighted averages of the individual bond yields estimated around each target tenor (3, 5, 7 and 10 years). The weights of the underlying bonds are determined by their face value outstanding and the distance between their residual maturities and the target tenor, and are calculated using a Gaussian kernel with a standard deviation of 1.5 years centred at the target tenor. Weighted average effective tenors are reported separately for bonds with broad A and BBB credit ratings. The number of valid bond observations in the sample (i.e. observations with reported credit spreads, face values and credit ratings) is reported for buckets of residual maturities for 1 to 4 years, 4 to 6 years, 6 to 8 years, 8 to 12 years and over 12 years. The monthly figures shown are for the last business day of the month. Bonds with a residual maturity less than 1 year are excluded from the sample. A list of the bonds included in the sample for the most recent observation can be found at <http://www.rba.gov.au/statistics/tables/pdf/f03.pdf>. The interpretation of these data can vary depending on the distance of the effective tenor from the relevant target tenor, which largely depends on data availability. Note, in the event that data availability deteriorated – for example, if there were insufficient bonds to achieve an effective estimate reasonably close to a particular target tenor – then it is expected that no data would be published for those series until data availability improved. It should also be noted that the data can be subject to revisions for reasons such as improvements to methodology, changes to available data and / or reviews of data classifications or quality.