Sentences with phrase «rate swap spreads»

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However, about 10 banks have improved their hedging products, adding more derivative products, such as forex call spread options, interest rate swaps and cross currency swaps, he said.

The order also said that Citibank «through its traders, bid, offered, and executed trades in targeted interest rate products, including swap spreads and U.S. Treasuries, in a manner designed — including in timing and pricing — to influence the published USD ISDAFIX.»

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).

Consistent with this, spreads between corporate bond yields and swap rates have moved much more in line with CDS than have spreads between corporate bonds and CGS.

This fall in spreads was largely a result of the increase in Australian dollar issuance by non-Australian borrowers into the Japanese retail market (the uridashi market) which boosted demand to receive an Australian dollar interest rate under cross-currency swap agreements.

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.

Spreads between corporate bond yields and swap rates, which are a measure of the market's credit risk perceptions, have fallen slightly since the previous Statement (Graph 43).

Spreads between corporate bonds and swap rates have generally narrowed (Graph 55).

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest - rate swap sectors where effective duration is dispSpread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest - rate swap sectors where effective duration is dispspread duration with the exception of the Treasury and Interest - rate swap sectors where effective duration is displayed.

I understand that for a credit default swap (CDS), its CDS spread is the rate of payments that the buyer of the CDS makes to the seller in each year.

Typically, these swaps are done with AA - rated banks, so credit spreads versus Treasuries are low.

If you're designing a short term strategy then you'll obviously want to factor in bid / ask spreads and execution, while those gunning for a long term trading strategy need to take into consideration the swap» rates paid by brokers.

There are some brokers which have higher spreads, higher swaps rates and other trade restrictions that could make your trading costlier.

The debenture rate for the loan is based on market rates for U.S. Treasury yields and an additional spread (an interest rate swap rate).

If they were to spread the gains equally, it would mean A would enjoy 0.25 % cost savings in the floating rate market while B would also enjoy 0.25 % cost savings in the fixed rate market using the swap.

And panic there is: even with the rebound of the past two days, the stock is down 44 % since the Deepwater Horizon accident, the credit - default swap spreads have widened to all - time highs, seven analysts have cut their rating this week alone, and well - known energy investment banker Matt Simmons said on Wednesday that «I don't think BP is going to last as a company for more than a matter of months.»

10 - year swap spreads are 12 basis points below where they peaked a month ago, and 10 - year swap rates, which serve as a proxy for prime 30 - year mortgage rates, are 35 basis points below their 18 - month moving average.

In an interest rate swap, it is the fixed interest rate exchanged for a benchmark rate such as LIBOR plus or minus a spread.

This includes hedging techniques, such as using futures, options and swap spreads to speculate on rising (or falling) rates along certain parts of the yield curve, or on specific bond classes or credit ratings.

The asset swap spread (also called the gross spread) is the aggregate price that bondholders would receive by exchanging fixed rate bonds for floating rate bonds using the swaps market, mainly used to reduce interest rate risk.

We also employ sector, credit, and yield curve analysis designed to benefit portfolios from rate shifts and spread changes without resorting to excessive swapping to capture tiny price fluctuations.

Our debt ratings utilize fixed income market data such as bond - implied gaps and credit default swap spreads as well as traditional credit analysis to arrive at a debt rating that we feel is more accurate and timely than conventional debt ratings.

Finally, at the execution stage, the project's software will scan cryptocurrency markets in order to obtain the following data: token, token futures and token swaps prices, swap / borrow rates, bid / ask spreads, commissions / rebate rates.

Says Peter Horos, a regional manager at Allstate: «There will be a lot of investor demand if triple - A spreads go as wide as interest - rate swaps plus 50 basis points.»

At their tightest, benchmark bonds (those with 10 - year lives and the highest possible ratings) were printing at spreads of less than 25 basis points more than swaps.

During the week of December 19, the fixed - rate spread on a 10 - year AAA bond was swaps plus 85 basis points compared to a rate of swaps plus 162 in the week of December 16, 2011, according to data from Commercial Mortgage Alert.