Median Spread at Issue, AA-Rated Bonds (Monthly)

## What this measures

Median spread to Treasuries at pricing of U.S. dollar fixed-rate tranches rated AA- or better, basis points, monthly. Palanor reads every final pricing term sheet filed on SEC EDGAR as a free writing prospectus or 424B2 under Rule 433 (found with EDGAR full-text search on the spread-to-Treasury labels), splits it into tranches and records principal, coupon, maturity, price, yield, the spread to the benchmark Treasury and the ratings printed on it. A tranche is checked by recomputing its yield from the benchmark yield plus the spread. Structured notes, equity and convertible term sheets, press releases and exchange offers are rejected. Rating band uses the index convention (middle of three ratings, lower of two); investment grade is BBB-/Baa3 or better. A term sheet that prints no rating takes the band of the same issuer's nearest rated term sheet of the same seniority within three years; issuers that never print one (several large banks and car-finance companies) count only in the all-ratings volume.

## Why it matters

The price of credit for the strongest borrowers.

## How to read it

Lower means cheaper credit. Read it with Treasury yields: the all-in yield is the benchmark plus this spread.

## What it does not say

Only SEC-registered deals file a term sheet. Most U.S. investment-grade supply is registered; Rule 144A deals (most high yield, many foreign issuers, private placements and project financings) are not, so they are missing. Spreads at issue are not secondary-market spreads, and each week's median depends on who issued.

## Source

Palanor calculation from SEC EDGAR pricing term sheets (FWP, 424B2). Public domain.