Credit and Sovereign Risk Data API

The EODHD Credit and Sovereign Risk Data API brings credit-market and sovereign-risk indicators into one API, drawn entirely from official public sources. It closes a long-standing gap in EODHD coverage for credit analysts, sovereign-risk and EM macro desks, quant researchers, corporate treasury, and academic users.

Seven endpoints are grouped into three themes: corporate credit conditions (the NY Fed corporate bond distress index and the HQM corporate yield curve), CDS market aggregates (weekly CFTC swaps data), and sovereign risk (risk premiums, credit ratings, CDS spreads, and rating-based default spreads). All seven share the same authentication, the same JSON response envelope, and a cost of one API call per request.

Overview

All endpoints live under a common base path:

https://eodhd.com/api/credit-risk/{group}/{dataset}?api_token=YOUR_TOKEN

Corporate Credit Conditions

This theme measures the health of the US corporate bond market from two angles: a market-distress index published by the New York Fed, and the high-quality corporate yield curve published by the US Treasury through FRED. Together they show whether corporate credit is functioning normally and what investment-grade issuers are paying to borrow across maturities.

Corporate Bond Market Distress Index (CMDI)

The Corporate Bond Market Distress Index from the New York Fed summarises stress in the US corporate bond market on a scale from 0 to 1, where higher values indicate greater distress. Three series are returned per week: the whole-market index, the investment-grade sub-index, and the high-yield sub-index. The series is published weekly.

https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Pagination by page[offset] and page[limit]. Response is a JSON envelope with data, meta, and links.

Parameter	Required	Description
api_token	Yes	Your EODHD API token
filter[from]	No	Start date, YYYY-MM-DD, inclusive
filter[to]	No	End date, YYYY-MM-DD, inclusive, on or after filter[from]
page[limit]	No	Rows per page, 1 to 100, default 20
page[offset]	No	Rows to skip, default 0

https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN&filter[from]=2026-01-01&filter[to]=2026-06-01

(Sign up for free to get an API token)

curl --location "https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json"

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$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/corporate/cmdi?api_token=YOUR_TOKEN&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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New to coding? Our ChatGPT assistant can generate code in any language tailored to our API. Simply describe how you want to use our data, and get a working piece of code. Don’t forget to replace the API token with your own.

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{
  "data": [
    {
      "as_of_date": "2026-06-19T00:00:00+00:00",
      "market_cmdi": 0.13,
      "ig_cmdi": 0.23,
      "hy_cmdi": 0.06,
      "source": "ny_fed"
    }
  ],
  "meta": {
    "total": 1120,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "corporate_bond_market_distress_index",
    "source": "ny_fed",
    "frequency": "weekly",
    "attribution": "© Federal Reserve Bank of New York. Content from the New York Fed subject to the Terms of Use at newyorkfed.org."
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/corporate/cmdi?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
as_of_date	string (date-time)	Observation week
market_cmdi	number	Whole-market distress index, 0 to 1
ig_cmdi	number	Investment-grade sub-index, 0 to 1
hy_cmdi	number	High-yield sub-index, 0 to 1
source	string	Upstream provider, ny_fed

HQM Corporate Yield Curve

The High Quality Market corporate bond yield curve, published by the US Treasury and distributed through FRED, gives par yields and spot rates for AAA-to-A rated US corporate bonds across the maturity spectrum. Yields are in percent and the series is published monthly. Available maturities are 1, 2, 3, 5, 7, 10, 15, 20, 25, and 30 years, each in a par and a spot variant.

https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Pagination by page[offset] and page[limit]. Response is a JSON envelope with data, meta, and links.

Parameter	Required	Description
api_token	Yes	Your EODHD API token
filter[tenor]	No	One or more maturities in years: 1, 2, 3, 5, 7, 10, 15, 20, 25, 30
filter[type]	No	Yield type: par or spot
filter[from]	No	Start date, YYYY-MM-DD, inclusive
filter[to]	No	End date, YYYY-MM-DD, inclusive, on or after filter[from]
page[limit]	No	Rows per page, 1 to 100, default 20
page[offset]	No	Rows to skip, default 0

https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN&filter[tenor]=2,5,10&filter[type]=par&filter[from]=2026-01-01&filter[to]=2026-06-01

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curl --location "https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN&filter[tenor]=2,5,10&filter[type]=par&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json"

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$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN&filter[tenor]=2,5,10&filter[type]=par&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN&filter[tenor]=2,5,10&filter[type]=par&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/corporate/hqm-yields?api_token=YOUR_TOKEN&filter[tenor]=2,5,10&filter[type]=par&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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{
  "data": [
    {
      "series_id": "HQMCB2YRP",
      "tenor_years": 2,
      "yield_type": "par",
      "as_of_date": "2026-05-01T00:00:00+00:00",
      "yield_value": 4.37,
      "source": "fred"
    }
  ],
  "meta": {
    "total": 7126,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "hqm_corporate_yield_curve",
    "source": "fred",
    "frequency": "monthly",
    "attribution": "U.S. Department of the Treasury, HQM Corporate Bond Yield Curve, retrieved from FRED, Federal Reserve Bank of St. Louis (public domain)."
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/corporate/hqm-yields?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
series_id	string	FRED series identifier
tenor_years	number	Maturity in years
yield_type	string	par or spot
as_of_date	string (date-time)	Observation month
yield_value	number	Yield in percent
source	string	Upstream provider, fred

CDS Market Aggregates

This endpoint exposes aggregate credit-default-swap market activity from the CFTC Weekly Swaps Report. Notional volumes are reported in millions of US dollars and broken down by credit grade or by cleared status, across geographic regions. The data is published weekly with a lag of about seventeen days after the reference week.

https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Pagination by page[offset] and page[limit]. Response is a JSON envelope with data, meta, and links.

Parameter	Required	Description
api_token	Yes	Your EODHD API token
filter[metric]	No	Volume metric. Currently gross_notional
filter[dimension]	No	Breakdown dimension: grade or cleared_status
filter[from]	No	Start date, YYYY-MM-DD, inclusive
filter[to]	No	End date, YYYY-MM-DD, inclusive, on or after filter[from]
page[limit]	No	Rows per page, 1 to 100, default 20
page[offset]	No	Rows to skip, default 0

https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN&filter[metric]=gross_notional&filter[dimension]=grade&filter[from]=2026-01-01&filter[to]=2026-06-01

(Sign up for free to get an API token)

curl --location "https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN&filter[metric]=gross_notional&filter[dimension]=grade&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json"

(Sign up for free to get an API token)

$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN&filter[metric]=gross_notional&filter[dimension]=grade&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN&filter[metric]=gross_notional&filter[dimension]=grade&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/cds-market/aggregates?api_token=YOUR_TOKEN&filter[metric]=gross_notional&filter[dimension]=grade&filter[from]=2026-01-01&filter[to]=2026-06-01&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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{
  "data": [
    {
      "as_of_date": "2026-06-12T00:00:00+00:00",
      "release_date": "2026-06-29T00:00:00+00:00",
      "metric": "gross_notional",
      "breakdown_dimension": "cleared_status",
      "breakdown_value": "Cleared",
      "region": "North America",
      "usd_notional_mn": 1986548,
      "source": "cftc"
    }
  ],
  "meta": {
    "total": 75,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "cds_market_aggregates",
    "source": "cftc",
    "frequency": "weekly",
    "attribution": "Source: CFTC Weekly Swaps Report (public domain). Values in millions USD. Lag: T+17 days."
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/cds-market/aggregates?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
as_of_date	string (date-time)	Reference week
release_date	string (date-time)	Date the CFTC published the figure
metric	string	Volume metric, gross_notional
breakdown_dimension	string	grade or cleared_status
breakdown_value	string	The value within the breakdown dimension
region	string	Asia, Europe, North America, Other Regions, or TOTAL
usd_notional_mn	number	Notional volume in millions of USD
source	string	Upstream provider, cftc

Sovereign Risk

The sovereign theme covers country-level credit risk, built on the annually updated Damodaran dataset at NYU Stern. Four endpoints cover 157 countries: risk premiums, credit ratings, CDS spreads, and a rating-to-default-spread lookup table. These are annual snapshots. Use filter[as_of] to pick a specific yearly snapshot; the latest is returned by default.

Sovereign Risk Premium

Country risk premium, equity risk premium, adjusted default spread, the corporate tax rate, and the sovereign CDS level where available, per country. All spread and premium values are decimal fractions, so 0.028 means 2.8 percent.

https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Pagination by page[offset] and page[limit]. Response is a JSON envelope with data, meta, and links.

Parameter	Required	Description
api_token	Yes	Your EODHD API token
filter[country]	No	Country by ISO 3166 alpha-3 code, for example USA, or by name
filter[region]	No	Restrict to a Damodaran region, for example Europe
filter[as_of]	No	Snapshot date, YYYY-MM-DD
page[limit]	No	Rows per page, 1 to 100, default 20
page[offset]	No	Rows to skip, default 0

https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN&filter[country]=USA

(Sign up for free to get an API token)

curl --location "https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN&filter[country]=USA&fmt=json"

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$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN&filter[country]=USA&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN&filter[country]=USA&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/sovereign/risk-premium?api_token=YOUR_TOKEN&filter[country]=USA&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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{
  "data": [
    {
      "country_iso3": "USA",
      "country_name": "United States",
      "as_of_date": "2026-01-01T00:00:00+00:00",
      "moodys_rating": "Aa1",
      "adj_default_spread": 0.002334,
      "country_risk_premium": 0.002334,
      "equity_risk_premium": 0.0446,
      "corporate_tax_rate": 0.25,
      "sovereign_cds": 0.004,
      "source": "damodaran"
    }
  ],
  "meta": {
    "total": 157,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "sovereign_risk_premium",
    "source": "damodaran",
    "frequency": "annual",
    "attribution": "Damodaran, NYU Stern (annual). Source: https://pages.stern.nyu.edu/~adamodar/"
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/sovereign/risk-premium?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
country_iso3	string	ISO 3166 alpha-3 country code
country_name	string	Country name
as_of_date	string (date-time)	Snapshot date of the annual dataset
moodys_rating	string	Moody’s local-currency rating
adj_default_spread	number	Adjusted default spread, decimal fraction
country_risk_premium	number	Country risk premium, decimal fraction
equity_risk_premium	number	Total equity risk premium, decimal fraction
corporate_tax_rate	number	Marginal corporate tax rate, decimal fraction
sovereign_cds	number or null	Sovereign CDS level, decimal fraction, null where no liquid market
source	string	Upstream provider, damodaran

Sovereign Credit Ratings

Moody’s, S&P, and Fitch local-currency ratings per country, as compiled in the annual Damodaran dataset.

https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Filters filter[country] and filter[as_of]. Response is a JSON envelope with data, meta, and links.

https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN&filter[country]=Germany

(Sign up for free to get an API token)

curl --location "https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN&filter[country]=Germany&fmt=json"

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$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN&filter[country]=Germany&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN&filter[country]=Germany&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/sovereign/credit-ratings?api_token=YOUR_TOKEN&filter[country]=Germany&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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{
  "data": [
    {
      "country_iso3": "DEU",
      "country_name": "Germany",
      "as_of_date": "2026-01-01T00:00:00+00:00",
      "moodys_rating": "Aaa",
      "sp_rating": "AAA",
      "fitch_rating": "AAA",
      "source": "damodaran"
    }
  ],
  "meta": {
    "total": 157,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "sovereign_credit_rating",
    "source": "damodaran",
    "frequency": "annual",
    "attribution": "Damodaran, NYU Stern (annual, sourced from Moody's, S&P, Fitch)."
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/sovereign/credit-ratings?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
country_iso3	string	ISO 3166 alpha-3 country code
country_name	string	Country name
as_of_date	string (date-time)	Snapshot date of the annual dataset
moodys_rating	string	Moody’s rating
sp_rating	string	S&P rating
fitch_rating	string	Fitch rating
source	string	Upstream provider, damodaran

Sovereign CDS Spreads

Sovereign 10-year CDS spreads per country, plus a variant net of Switzerland, as decimal fractions. The value is null where there is no liquid sovereign CDS market for that country.

https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Filters filter[country] and filter[as_of]. Response is a JSON envelope with data, meta, and links.

https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN&filter[country]=France

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curl --location "https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN&filter[country]=France&fmt=json"

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$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN&filter[country]=France&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

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import requests

url = f'https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN&filter[country]=France&fmt=json'
data = requests.get(url).json()

print(data)

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library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/sovereign/cds-spreads?api_token=YOUR_TOKEN&filter[country]=France&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

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{
  "data": [
    {
      "country_iso3": "FRA",
      "country_name": "France",
      "as_of_date": "2026-01-01T00:00:00+00:00",
      "moodys_rating": "Aa3",
      "cds_spread": 0.0035,
      "cds_spread_net_of_switzerland": 0.0028,
      "source": "damodaran"
    }
  ],
  "meta": {
    "total": 157,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "sovereign_cds_spread",
    "source": "damodaran",
    "frequency": "annual",
    "attribution": "Damodaran, NYU Stern (annual). Sovereign 10Y CDS spreads where the market is liquid; NULL where no liquid market."
  },
  "links": { "next": "https://eodhd.com/api/credit-risk/sovereign/cds-spreads?page[offset]=20&page[limit]=20" }
}

Field	Type	Description
country_iso3	string	ISO 3166 alpha-3 country code
country_name	string	Country name
as_of_date	string (date-time)	Snapshot date of the annual dataset
moodys_rating	string	Moody’s rating
cds_spread	number or null	Sovereign 10Y CDS spread, decimal fraction, null where illiquid
cds_spread_net_of_switzerland	number or null	CDS spread net of Switzerland, decimal fraction
source	string	Upstream provider, damodaran

Rating Default Spreads

A lookup table mapping each Moody’s rating notch to a default spread, as a decimal fraction. Values are normalised from basis points, so 60 basis points is returned as 0.006. Twenty rating buckets are covered, from Aaa to Ca.

https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN

Method GET. Authentication by api_token. Cost one API call per request. Filters filter[rating] and filter[as_of]. Response is a JSON envelope with data, meta, and links.

https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN&filter[rating]=Aaa

(Sign up for free to get an API token)

curl --location "https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN&filter[rating]=Aaa&fmt=json"

(Sign up for free to get an API token)

$curl = curl_init();

curl_setopt_array($curl, array(
    CURLOPT_URL => 'https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN&filter[rating]=Aaa&fmt=json',
    CURLOPT_RETURNTRANSFER => true,
    CURLOPT_ENCODING => '',
    CURLOPT_MAXREDIRS => 10,
    CURLOPT_TIMEOUT => 0,
    CURLOPT_FOLLOWLOCATION => true,
    CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
    CURLOPT_CUSTOMREQUEST => 'GET',
));

$data = curl_exec($curl);
curl_close($curl);

try {
    $data = json_decode($data, true, 512, JSON_THROW_ON_ERROR);
    var_dump($data);
} catch (Exception $e) {
    echo 'Error. '.$e->getMessage();
}

(Sign up for free to get an API token)

import requests

url = f'https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN&filter[rating]=Aaa&fmt=json'
data = requests.get(url).json()

print(data)

(Sign up for free to get an API token)

library(httr)
library(jsonlite)

url <- 'https://eodhd.com/api/credit-risk/sovereign/default-spreads?api_token=YOUR_TOKEN&filter[rating]=Aaa&fmt=json'
response <- GET(url)

if (http_type(response) == "application/json") {
    content <- content(response, "text", encoding = "UTF-8")
    cat(content)
} else {
    cat("Error while receiving data\n")
}

(Sign up for free to get an API token)

{
  "data": [
    {
      "rating": "A1",
      "as_of_date": "2026-01-01T00:00:00+00:00",
      "default_spread": 0.005993,
      "source": "damodaran"
    }
  ],
  "meta": {
    "total": 20,
    "page": { "offset": 0, "limit": 20 },
    "dataset": "rating_default_spread",
    "source": "damodaran",
    "frequency": "annual",
    "attribution": "Damodaran, NYU Stern (annual). Rating-to-default-spread lookup table; values normalised from basis points to fractions (e.g. 60bp -> 0.006)."
  },
  "links": []
}

Field	Type	Description
rating	string	Moody’s rating notch, Aaa to Ca
as_of_date	string (date-time)	Snapshot date of the annual dataset
default_spread	number	Default spread for the rating, decimal fraction
source	string	Upstream provider, damodaran

Funding Stress

Credit-market funding-stress indicators are planned as a second wave of this API, coming Q3 2026. In the meantime, US money-market funding-stress spreads — such as EFFR minus SOFR and SOFR relative to the Federal Reserve target range — are already available today through the EODHD Interest Rates API at https://eodhd.com/financial-apis/us-treasury-ust-interest-rates-api-beta.

Coverage, Frequency, and Lag

Dataset	Endpoint	Source	Frequency	Coverage
Corporate bond market distress index	corporate/cmdi	NY Fed	Weekly	Market, investment-grade, high-yield
HQM corporate yield curve	corporate/hqm-yields	US Treasury via FRED	Monthly	Tenors 1 to 30 years, par and spot
CDS market aggregates	cds-market/aggregates	CFTC Weekly Swaps Report	Weekly, T+17 days	By grade and cleared status, five regions
Sovereign risk premium	sovereign/risk-premium	Damodaran, NYU Stern	Annual	157 countries
Sovereign credit ratings	sovereign/credit-ratings	Damodaran, NYU Stern	Annual	157 countries
Sovereign CDS spreads	sovereign/cds-spreads	Damodaran, NYU Stern	Annual	157 countries, liquid markets
Rating default spreads	sovereign/default-spreads	Damodaran, NYU Stern	Annual	20 rating buckets

Endpoint Reference

Endpoint	Description
/api/credit-risk/corporate/cmdi	NY Fed corporate bond market distress index, weekly
/api/credit-risk/corporate/hqm-yields	HQM corporate yield curve, par and spot, monthly
/api/credit-risk/cds-market/aggregates	CFTC CDS market notional aggregates, weekly
/api/credit-risk/sovereign/risk-premium	Country and equity risk premiums, tax rate, sovereign CDS
/api/credit-risk/sovereign/credit-ratings	Moody’s, S&P, and Fitch sovereign ratings
/api/credit-risk/sovereign/cds-spreads	Sovereign 10Y CDS spreads
/api/credit-risk/sovereign/default-spreads	Rating-to-default-spread lookup table

Response Codes

Code	Meaning
200	Success. Response body carries data, meta, and links
401	Missing or invalid api_token
403	Token is valid but the plan does not include access to these endpoints
422	Invalid parameter — malformed date, page[limit] above 100, end date before start date, an out-of-range filter value, or a filter key that does not belong to the endpoint

Attribution and Licensing

Every response carries the required attribution string for its source in the meta.attribution field. When redistributing or displaying this data, reproduce the attribution for the relevant source as shown below.

Source	Required attribution
NY Fed CMDI	© Federal Reserve Bank of New York. Content from the New York Fed subject to the Terms of Use at newyorkfed.org.
HQM via FRED	U.S. Department of the Treasury, HQM Corporate Bond Yield Curve, retrieved from FRED, Federal Reserve Bank of St. Louis
CFTC	Source: CFTC Weekly Swaps Report
Damodaran	Damodaran, NYU Stern (annual). Source: https://pages.stern.nyu.edu/~adamodar/

Methodology and Limitations

Units differ by dataset. Sovereign risk premiums, default spreads, CDS spreads, and tax rates are decimal fractions, so 0.006 means 60 basis points or 0.6 percent. The CMDI is an index between 0 and 1. HQM yields are in percent. CDS market aggregates are notional volumes in millions of US dollars in the usd_notional_mn field.
The four sovereign datasets are annual snapshots from the Damodaran dataset. Use filter[as_of] with a date to select a specific yearly snapshot; the most recent snapshot is returned by default.
Sovereign CDS values are null for countries without a liquid sovereign CDS market, rather than zero.
CDS market aggregates currently expose the gross_notional metric, broken down by grade or by cleared_status across five regions, and are published weekly by the CFTC with a lag of about seventeen days after the reference week.
The HQM corporate yield curve is monthly. Available maturities are 1, 2, 3, 5, 7, 10, 15, 20, 25, and 30 years, each in a par and a spot variant.
Filter keys are endpoint-specific. Passing a filter key that does not belong to an endpoint, an out-of-range value, or a malformed date returns 422.