Sentences with phrase «note yield differences»

We then segment weekly actual minus forecasted T - note yield differences into: those more than one standard deviation below forecasted yield (Below Lower); those between one standard deviation below and above forecasted yield (Between); and, those more than one standard deviation above forecasted yield (Above Upper).

Not exact matches

Off course, there has been the rise in TIPS» break - even inflation rates (BEIR being the difference between the yield on a 10 - year note and its inflation - protected variety) and evidence of TIPs buying from the likes of retail investors, as evidenced by EPFR's flow insights.

Note that the real interest rates exceed reported for TIPS because I have adjusted yields to reflect the 35 basis point average difference between the Consumer Price Index used in calculating TIPS coupons and the Personal Consumption Expenditures deflator targeted by the Fed.

[Note - Applying this alternate criteria also relaxes the yield curve criterion (2) so that any difference of less than 3.1 % between the 10 - year Treasury yield and the 3 - month Treasury bill yield is actually sufficient to complete the syndrome].

High yield (HY) spreads — the difference between the yield of a high yield bond and a Treasury note of similar duration — are down 2 percentage points from their February peak, as investors buy high yield bonds.

Meanwhile, one measure of the yield curve, the difference between the 10 - Year Treasury Note rate and the 3 - month Treasury Bill rate, fell by 7 basis points.

Inflation expectations, as measured by the difference between yields on 10 - year nominal Treasury notes and Treasury inflation protected securities (Tips), have risen to 2.25 per cent from a low of around 2.10 a month ago.

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).

He defines this ERP as the retrospective difference in 10 - year yield between the broad U.S. stock market and the 10 - year yield on safe assets such as U.S. Treasury bills or intermediate - term U.S. Treasury notes.

The credit spread is the difference in yields between the 10 - year Treasury note and Moody's AAA seasoned corporate bonds.

One example would be the difference in yield on the five - year note versus the 30 - year bond.

Note: The effective yield on such floaters will be lower than than for fixed rate preferreds, the difference being the cost of interest rate protection.

Thanks for noting the difference between a coupon rate / yield and a compounded annual return.

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.

This difference between the 10 - year Treasury note yield and the mortgage interest rate is known as the mortgage spread, and it can vary depending on a variety of events.

The above graph shows the difference in yields between a current coupon 30 - year FNMA pass - through security, and a 10 - year on - the - run FNMA senior note.