Sentences with phrase «swap spreads»

As more risk gets laid off, the credit default swap spreads rise.

Furthermore, insurance against defaults has gotten more expensive as measured by credit - default swap spreads for the big banks.

Canadian credit spreads going forward will be more open to influences from foreign markets and will increasingly move with swap spreads and the Canadian dollar.

Now they utilize a whole range of different measurements, which can include credit default swap spreads and profitability.

The 10 - year swap spread in the United States, for example, has increased in 2000 by about 50 basis points, to a level higher than at the time of disruptions in markets during the LTCM crisis in 1998.

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.

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.»

«If there were greater worries about the economy or other downside risks, then we should have seen the dollar rise, credit and swap spreads widen, and emerging markets underperform.

Balance sheet friendly, supports long and short positions (receive vs. pay), The position can be unwound quickly on - demand Cons: swap spreads risk exposure if the investor wants to hedge instruments correlated with part of the Treasury curve.

European and US financial institutions accounted for most of the strong domestic issuance, taking advantage of a narrowing in cross-currency interest rate swap spreads to diversify their funding sources at a globally competitive cost.

As the credit default swap spreads rise, an arbitrage opportunity appears against cash bonds.

That indicates decreased confidence in the banking system, though swap spreads have not widened to confirm that judgment.

Much, but not all of the upset in the lending markets (which, if you look at swap spreads, the current manifestation of the crisis seems to be passing — down 4 basis points today), is from deflating values in housing.

The S&P / ISDA U.S. Energy Select 10 Index tracks the largest debt issuers of energy companies with consistent credit default swap spread data.

Away from that, 30 - year swap spreads closed near -60 basis points.

10 year swap spreads moved out 2 basis points, which is more notable when they usually tighten when yields fall, due to mortgage hedging.

-LRB-...) Below, we chart the credit default swap spread for the investment grade («Main») and high yield («Xover») CDS indices tracking European corporate default risk.

Given the smaller move down in T - bill yields, 14 basis points, that would leave the TED spread at 132 basis points, which is still quite high, and higher than the 10 - year swap spread.

And earlier this week the UK's Credit Default Swap spread, or the price of insuring against a sovereign default, was lower than Germany's.

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).

Last Thursday was an exceptional day for Swap Spreads (a.k.a Spreadovers) in the US.

Prices As we can see in the chart below, Swap Spreads have been on a -LSB-...]

For investors with a view on inflation, the best trades were swap spreads, two - year U.S. Treasury notes, Eurodollar futures, 10 - year U.S. Treasury notes, S&P outright, industrial metals and energy futures.

For investors with a view on growth, the best trades were two - year U.S. Treasury notes, Eurodollar futures, the U.S. 5s / 30s curve, EUR / USD, USD / CHF, swap spreads, BBB credit, EMBI, S&P vs. U.S. Treasuries and industrial metals.

For investors with a view on Fed policy, the best trades are two - year U.S. Treasury notes, Eurodollar futures, the U.S. 5s / 30s curve, swap spreads, the 10 - year U.S. Treasury note and industrial metals.

Maybe, but not showing up in swap spreads, yet.

Finally, because of arbitrage between equity prices, equity volatility, corporate bond spreads and credit default swap spreads, even a dislocation in the equity markets can lead to trouble in the debt markets and vice versa.

This leads the corporate bond market default in tandem with rising credit default swaps spreads.

I think that I saw somewhere (recently) that swap spreads on the long end were negative.

LIBOR is an essential part of implementing the swap spread arbitrage strategy for fixed income arbitrage.

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.»

Kinda surprised that swap spreads have not budged much.

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.

These large deals have significantly affected the swap spreads between the Canadian and foreign markets.

When the Canadian dollar exposure has been attractive to foreign investors and the swap spreads give cheaper financing, the markets are open.

Swap spreads, bond spreads, implied volatility, and other variables show a continued willingness to take risk.

When it is attractive funding, given relative credit spreads and swap spreads, investment bankers will earn ample fees by meeting the demand.

After adjusting for a deliverability option, if cash is sufficiently cheap to to the credit default swap spread, we buy the bond and receive protection through CDS.

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.

2) I want to find the guy (s) who taught me when I was a young and impressionable mortgage bond manager (age 38, I came to the game late) that swap spreads could not go negative; sorry, it ain't true.

John Jansen used to complain about the 30 - year swap spread, but now we are negative at 10 and 7 years as well, and 5 years is not far away at +7 basis points.

This trader resume outlines specific accomplishments such as formulating a swap spread model and designing a trading template.

The authors look at a variety of measures, including options prices, the ratio of market prices to book values, bank share volatility relative to overall market volatility, credit - default swap spreads and the value of preferred equity shares for banks.