Sentences with phrase «bond spread index»

Below you'll find the SPY and BofA Merrill Lynch US High Yield Master II Option - Adjusted Spread (a high yield bond spread index) plotted against SPY.

Not exact matches

Last week, spreads on the Morningstar Corporate 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, shot higbond gauge, and the BofA Merrill Lynch High Yield Master Index, shot higher.

1: Widening credit spreads: An increase over the past 6 months in either the spread between commercial paper and 3 - month Treasury yields, or between the Dow Corporate Bond Index yield and 10 - year Treasury yields.

The BofA Merrill Lynch high - yield index is trading at roughly 600 basis points versus government bonds, but if energy, metals and mining is excluded, it's about 80 basis points less in terms of spread.

In their October 2017 paper entitled «Value Timing: Risk and Return Across Asset Classes», Fahiz Baba Yara, Martijn Boons and Andrea Tamoni examine the power of value spreads to predict returns for individual U.S. equities, global stock indexes, global government bonds, commodities and currencies.

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.

For example, based on our analysis using J.P. Morgan index data, the EMBIG index's 7.25 percent performance in 2014 is owed to a -0.35 percent spread return combined with a 7.6 percent Treasury return, as U.S. rates dropped significantly (remember that when interest rates fall, bond prices rise, and vice versa).

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).

CNH is now rated investment grade by two of the three ratings agencies, making its bonds eligible for investment - grade indexes, which will lead to lower spreads.

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

Signal five: JP Morgan Credit Appetite Index, where zero represents minimum appetite (widest spreads, positive for U.S. government bonds) and 100 represents maximum appetite (tightest spreads, negative for U.S. government bonds).

The cost of buying default protection on the largest bond market borrowers in the S&P 500 is tracked by the S&P / ISDA U.S. 150 Credit Spread Index and has fallen to lows which can be an Read more -LSB-...]

Since certain loans and bonds may commonly be quoted in relation to some index or underlying security, they will often be quoted as a spread over (or under) the index.

Exhibit 2 shows the yield spread of various dividend indices versus the yield - to - maturity of the S&P U.S. Treasury Bond 7 - 10 Year Index since Dec. 17, 2015.

Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the Bond yield spreads are very highly correlated with the implied volatilities of stocks, and the yield spreads on bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the bond indexes are highly correlated with the implied volatility on broad market equity indexes, like the VIX.

Chart 1: The S&P 500 BB High Yield Corporate Bond Index spread to the S&P 500 Investment Grade Corporate Bond Index:

The duration matched spread to Treasuries or the OAS (Option Adjusted Spread) for both the S&P U.S. Issued Investment Grade Corporate Bond Index and the S&P U.S. Issued High Yield Corporate Bond Index are tighter by 16 and 33 basis points respectspread to Treasuries or the OAS (Option Adjusted Spread) for both the S&P U.S. Issued Investment Grade Corporate Bond Index and the S&P U.S. Issued High Yield Corporate Bond Index are tighter by 16 and 33 basis points respectSpread) for both the S&P U.S. Issued Investment Grade Corporate Bond Index and the S&P U.S. Issued High Yield Corporate Bond Index are tighter by 16 and 33 basis points respectively.

The St Louis index is a summary measure of bond yields, credit spreads... etc..

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The spread is even higher when it is compared with Pan Asian bonds, as tracked by the S&P Pan Asia Bond Index.

Advances in bond indexing are starting to arrive with screens for credit quality relative to yield; rate and currency hedging; volatility management; and more controlled exposure to interest rates and credit spreads.

The financials sector makes up close to 40 per cent of the FTSE TMX Canada All Corporate Bond Index, leaving it potentially vulnerable to wider bank spreads.

Credit spreads of bonds in the S&P 500 Bond Index have jumped.

I am wary about the duration of the Bloomberg Barclays US Aggregate Bond Index, 10 which has lengthened to 7.5 years while spreads have tightened to nearly 1 percent.

The option - adjusted spread of the S&P China Industrials Bond Index was the highest; it widened 50 bps to 155 bps over the three - month period ending May, 2016 (see Exhibit 2).

Since 1997, a two - factor model incorporating the Chicago Fed National Activity Index (CFNAI) and high yield spreads (the difference between the yield of a high yield bond and that of the 10 - year U.S. Treasury) explained nearly 60 % of the variation in the VIX.

Their main performance metric is 7 - factor hedge fund alpha, which corrects for seven risks proxied by: (1) S&P 500 Index excess return; (2) difference between Russell 2000 Index and S&P 500 Index returns; (3) 10 - year U.S. Treasury note (T - note) yield, adjusted for duration, minus 3 - month U.S. Treasury bill yield; (4) change in spread between Moody's BAA bond and T - note, adjusted for duration; and, (5 - 7) excess returns on straddle options portfolios for currencies, commodities and bonds constructed to replicate trend - following strategies in these asset classes.

They consider four potential predictors: (1) the default spread (between Moody's BAA and AAA rated bonds); (2) the broad stock market dividend yield; (3) the implied volatility of the S&P 500 Index (VIX); and, (4) the monthly net aggregate flow into the hedge fund industry.

And the bond market's performance, as measured by the Bloomberg Barclay's U.S. Aggregate Bond Index, was positive for the quarter with a flatter yield curve and compressed sprebond market's performance, as measured by the Bloomberg Barclay's U.S. Aggregate Bond Index, was positive for the quarter with a flatter yield curve and compressed spreBond Index, was positive for the quarter with a flatter yield curve and compressed spreads.

YTW spread is between the YTW of the S&P India Government Bond Index and S&P India Corporate Bond Index.

Floating rate or inflation - indexed bonds — Bonds tied to some reference rate, such as a specific LIBOR rate plus a spread, or tied to a measure of domestic inflabonds — Bonds tied to some reference rate, such as a specific LIBOR rate plus a spread, or tied to a measure of domestic inflaBonds tied to some reference rate, such as a specific LIBOR rate plus a spread, or tied to a measure of domestic inflation.

SmartFX also provide a trading account that is specifically designed for those who want to spread bet on forex, stocks, commodities, indices and treasury bonds.

By selecting bonds with low MCR, the low volatility index keeps more credit exposure (long spread duration) for high - quality bonds (low OAS) and less credit exposure (short spread duration) for low - quality bonds (high OAS).

Since then, the S&P China Provincial Bond Index has been trading at an average spread of 25bps wider than the S&P China Sovereign Bond Index.

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).

Spreads of the S&P Eurozone Investment Grade Corporate Bond Index by rating category show that since mid-February 2016, the Option Adjusted Spreads (OAS) are significantly tighter for the AA, A, and BBB categories.

The S&P 500 High Yield Corporate Bond Index presents a unique credit alternative to bridge the gap between existing investment grade, which offers spread levels of around 150 bps, and high - yield corporate credit, which offers north of 600 bps in spread.

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 it will).

You'd be better off throwing that money into an index bond fund (or spread across a couple).

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 Index.

ETFs & Market Internals, ETFs & a Weakening Economy, Mid Cap ETFs, Small Cap ETFs, Global ETFs, Emerging Markets ETFs, ETFs & Yield Spreads, Treasury Bond ETFs, The MASH Index & ETFs Click here to listen to the show: 2-7-2016

In examining the subparts of the S&P 500 ® Bond Index, we can take a deeper look at how credit spreads have changed for AA - and BB - rated corporate bonds issued by constituents of the S&P 500.

Spread measures the relative difference between the municipal bond index future price and the U.S. Treasury bond futures price.

Since the financial crisis, investment grade corporate bond indexes have reached record highs, 1 and credit spreads have tightened significantly,» said Michael L. Sapir, Chairman and CEO of ProShare Advisors LLC, ProShares» investment advisor.

To eliminate this problem, a bond index can be structured to include only more liquid or most liquid bond issues with tight spreads that are frequently traded.

Parallel measures to ESM und EFSF such as the ex-ante unlimited purchase of sovereign bonds, the neutralization of interest spreads, the higher risk of suffering a haircut on debt, the possibility to hold sovereign bonds until they are due, and the influence on market indices and stock prices, as well as the intended persuasion of participants to purchase government bonds on the primary market, lead the BVerfG to redeem OMTs as such bypasses.

The J.P. Morgan Emerging Markets Bond Index Plus (EMBI +) tracks total returns for traded government bonds in 17 emerging markets, reporting the spread between the emerging markets and U.S. Treasuries [Figure 2].