Sentences with phrase «spreads on corporate bonds»

However, owing to quite volatile CDS «basis» the spreads on CDS and the credit spreads on corporate bonds can be significantly different.

Suppose we had seven guys in the room, an economist, a guy from a ratings agency, an actuary, a guy who does capital structure arbitrage, a derivatives trader, A CDO manager, and a guy who does nonlinear dynamic modeling, and we asked them what the spread on a corporate bond should be.

Not exact matches

The two signals flashing red are volatility shocks, and spreads on the highest rated corporate bonds.

This leaves us roughly in the same position that we started the year, slightly overweight to spread product, i.e., investment - grade and high - yield corporate bonds and emerging markets (more recently, we also went back to a slight overweight on commercial mortgage - backed securities).

Last week, spreads on the Morningstar Corporate Bond Index, an investment - grade corporate bond gauge, and the BofA Merrill Lynch High Yield Master Index, shoCorporate Bond Index, an investment - grade corporate bond gauge, and the BofA Merrill Lynch High Yield Master Index, shot higBond Index, an investment - grade corporate bond gauge, and the BofA Merrill Lynch High Yield Master Index, shocorporate bond gauge, and the BofA Merrill Lynch High Yield Master Index, shot higbond gauge, and the BofA Merrill Lynch High Yield Master Index, shot higher.

Spreads between yields on US Treasury securities and corporate bonds have widened noticeably.

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.

Each month, Palhares and Richardson sorted corporate bonds into quintiles based on each liquidity measure and computed the return of a long / short portfolio that buys the least liquid bonds (i.e., smaller issue sizes, higher bid / ask spreads, lower trading volume, higher price impact or higher frequency of zero - trading days) and sells the most liquid bonds (i.e., larger issue sizes, smaller bid / ask spreads, higher trading volume, lower price impact or lower frequency of zero - trading days).

Credit spreads began an epic plunge, driving prices on previously trashed corporate bonds through the roof.

The resulting increase in corporate bond issuance has pushed up swap spreads, with the spread on US 10 - year (bank / government) swaps, for example, recently at its highest level for several years (Graph 7).

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.

While spreads between yields on highly - rated corporate bonds and government bonds have remained above their historical averages, this continues to reflect strong demand for Commonwealth Government bonds rather than concerns about corporate credit quality.

The continuing low level of government bond yields has supported the search for yield that has been evident over the past couple of years, with the spread between yields on US government debt and yields on both corporate and emerging market debt remaining around historical lows over the past three months (Box B).

Spreads between corporate bond yields and swap rates and the premia on credit default swaps have fallen slightly over the period, and are very low by historical standards (Graph 44).

The BAA spread refers to the yield on corporate bonds above the rate on comparable maturity Treasury debt, and is a market - based estimate of the amount of fear in the bond market.

After reaching a year - to - date low Option Adjusted Spread (OAS) of 378 bps on May 8, the spread for the S&P U.S. Issued High Yield Corporate Bond Index reversed direSpread (OAS) of 378 bps on May 8, the spread for the S&P U.S. Issued High Yield Corporate Bond Index reversed direspread for the S&P U.S. Issued High Yield Corporate Bond Index reversed direction.

The credit spread is the yield the corporate bonds less the yield on comparable maturity Treasury debt.

Abstracting from changes in the composition of corporate bond indices, spreads between yields on government and corporate bonds have shown a small net decline over the past three months (Graph 48).

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.

Major equity markets have risen further, and appetite for risk has increased, with spreads on corporate and emerging market bonds falling to levels not seen for several years.

Spreads between yields on highly - rated corporate bonds and government bonds rose slightly over the past three months (Graph 54).

Our updated calculation of the debt spread matches a company's credit rating to the yield on an index of similarly rated corporate bonds.

Credit spreads — the difference between the yield on government bonds and corporate bonds of the same maturity — remain where they are now.

Dynamical Analysis of Corporate Bonds based on the Yield Spread Term - Quality Surface by Tomoaki Shouda of Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd and Hitotsubashi University (2,907 K PDF)-- 34 pages — January 16, 2006

This is partly due to the fact that credit spreads blew out to historic highs which weighed on corporate bonds, high yield and preferreds.

I regressed the yields on the three and ten - year treasuries, and a triple - B corporate bond spread series on twelve month trailing earnings yields for the S&P 500.

Each month, Palhares and Richardson sorted corporate bonds into quintiles based on each liquidity measure and computed the return of a long / short portfolio that buys the least liquid bonds (i.e., smaller issue sizes, higher bid / ask spreads, lower trading volume, higher price impact or higher frequency of zero - trading days) and sells the most liquid bonds (i.e., larger issue sizes, smaller bid / ask spreads, higher trading volume, lower price impact or lower frequency of zero - trading days).

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.

Yields are compressed across investment sectors, with the yield on the Dow Jones Corporate Bond Index setting a record low last week, and a spread over Treasury yields that I doubt will even compensate for a very, very low level of corporate defaults — much less what one might anticipate should the U.S. join the recession that is already evident among much of the developed world (which I expect Corporate Bond Index setting a record low last week, and a spread over Treasury yields that I doubt will even compensate for a very, very low level of corporate defaults — much less what one might anticipate should the U.S. join the recession that is already evident among much of the developed world (which I expect corporate defaults — much less what one might anticipate should the U.S. join the recession that is already evident among much of the developed world (which I expect it will).

My post yesterday on corporate bond spreads was received well.

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.

7) The corporate bond market has been on fire of late, with higher prices, tightening spreads and greater issuance.

The average retail investor pays about 0.90 % in bid - offer spread on municipal and 0.64 % on corporate bonds, according to S&P 1.

The premium paid on CMBS rated BBB -, the lowest investment - grade level before junk, has tumbled 105 basis points over the last month, more than 10 times the spread compression of investment - grade corporate bonds, Edward Reardon and Simon Mui wrote in a note dated Aug. 2.

In October, U.S. Treasury yields declined 23 basis points on a year - over-year basis, while corporate debt on the low end of the investment grade spectrum increased more than 65 basis points, nearly a 90 basis point increase in the spread between U.S. Treasuries and the low - end of investment grade corporate bonds.