Sentences with phrase «corporate bond spread as»

Corporate bond spread as a proxy for default risk by Deniz Anginer of University of Michigan, and Çelim Yıldızhan of University of Michigan (492K PDF)-- 47 pages — January 18, 2010

Not exact matches

The credit spread between the two decreased to 2.74 %, a new 15 month low (using last week's corporate bonds as the comparison).

In this regard, our surveillance has been closely monitoring for any signs of liquidity strains associated with the recent increases in spreads for high - yield corporate bonds, as well as for idiosyncratic events affecting particular funds in this segment, such as the events surrounding the abrupt closing of Third Avenue Management's Focused Credit Fund last December.

Floating - rate * The coupon on a floating - rate corporate bond changes in relationship to a predetermined benchmark, such as the spread above the yield on a six - month Treasury or the price of a commodity.

Over time, this suggests rising bid - ask spreads relative to past levels for more illiquid assets, such as corporate bonds, to help market - makers cover their operating costs.

With the exception of the very front end of the yield curve, Canadian government bond yields declined, as did spreads on investment grade corporate bonds.

These concerns might recently have been exacerbated by changes in the pattern of corporate financing: in countries in which the swap spread has increased the most — the US and UK — growth in private sector bond issuance has been relatively large, while net equity issuance has been low (or even negative as in the United States).

Rather, the increase in spreads appears to reflect both tightness in the Commonwealth Government bond market (where supply remains limited and demand by foreign investors appears to have increased) and upward pressure on swap rates (one benchmark against which corporate bonds are priced) as companies have sought to lock in fixed - rate borrowings due to expected increases in interest rates.

To investigate, we define the credit spread as the difference in yields between and Moody's seasoned Baa corporate bonds and 10 - year Treasury notes (T - note).

For spread products such as corporate bonds, their total return is also sensitive to changes in credit spread.

I remember back in 2002 as a corporate bond manager / trader — bonds were trading in «onesies» and «twosies,» though bid - ask yield spreads hadn't widened much.

In the next few blogs, we will detail our approach to and back - tested results of employing credit spread (value) and volatility as factors in order to systematically construct a portfolio of U.S. investment - grade corporate bonds.

Key credit spreads were widening, such as those between intermediate - term treasury bonds and riskier corporate bonds in funds like iShares Baa - Ba Rated Corporate Bond ETF (BATS: QLTB) or SPDR High Yield Bocorporate bonds in funds like iShares Baa - Ba Rated Corporate Bond ETF (BATS: QLTB) or SPDR High Yield BoCorporate Bond ETF (BATS: QLTB) or SPDR High Yield Bond (JNK).

In the construction of the S&P U.S. High Yield Low Volatility Corporate Bond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see EquationBond Index, an individual bond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's credit risk in a portfolio context is measured by its marginal contribution to risk (MCR), calculated as the product of its spread duration and the difference between the bond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equationbond's option adjusted spread (OAS) and the spread - duration - adjusted portfolio average OAS (see Equation 1).

I focus on corporate bonds, and if you use an online broker such as Fidelity, Vanguard, or Schwab, you will see a robust level of inventory with fairly narrow bid - ask spreads.

And even if corporate defaults rise to 4 - 5 %, as many are predicting, current bond spreads would still support investing.

I equate bond spreads and option volatility because contingent claims theory views corporate bondholders as having sold a put option to the equityholders.

As I commented to a Treasury staffer after the meeting, with financing rates so cheap to buy financial debts, regardless of what kind, it is no surprise that corporate bond spreads have tightened, while there is still little lending to finance growth in the real economy.

That markup — the spread relationship — widens and contracts with a range of market conditions, investor appetites and supply of available product — as well as the presence of competing investment opportunities, like corporate bonds or domestic (or foreign) equity markets

As of Feb. 5, 2018, investment - grade spreads had tightened 6 bps and were more than 110 bps tighter compared with February 2016, as measured by the S&P 500 Investment Grade Corporate Bond IndeAs of Feb. 5, 2018, investment - grade spreads had tightened 6 bps and were more than 110 bps tighter compared with February 2016, as measured by the S&P 500 Investment Grade Corporate Bond Indeas measured by the S&P 500 Investment Grade Corporate Bond Index.

Credit spreads — the difference between the yield on a corporate bond and the yield on a treasury security of similar maturity — can be viewed as a reflection of the risk of default.

It was notable that Government bonds underperformed corporate bonds by a healthy margin as credit spreads stabilized and government yields rose.

It was notable that government bonds outperformed corporate bonds by a healthy margin as credit spreads widened.

He said there was cause for caution with equity markets hitting record highs, government bonds historically expensive, corporate and high - yield spreads at record lows, and «bitcoin mania» taking hold, creating a market capitalization of $ 500 billion with «as far as we can tell, zero intrinsic value.»