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Current datasets

CreditMetricsR Standard Datasets

For information about these datasets, please refer to the CreditMetrics Technical Document. For specific support issues, email questions directly to datametrics.support@riskmetrics.com. Or, to learn more about the many types of data and services provided by DataMetricsR, contact one of our sales offices.

Foreign exchange, yield and corporate debt spread data is updated on a weekly basis on Mondays and reflects data as of the close of business for the prior business date (typically Friday). Transition matrices are updated as required.

Current Data Sets


Feb 8, 2010
Foreign Exchange rates
Foreign currencies against the dollar expressed as USD/currency.

Feb 8, 2010
Yield curve data
One to 30 year par interest rate yields.

Feb 8, 2010
Corporate bond spreads
Corporate bond spreads to government yields by industry and credit rating.

Feb 8, 2010
EU Corporate bond spreads
Corporate bond spreads to government yields by industry and credit rating.

Feb 14, 2005
Transition matrices
Tables of probabilities listing the chance of possible quality upgrades, downgrades and defaults.

These files are all ASCII, tab delimited.