Sentences with phrase «year swap spread»

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.

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.

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.

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.

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

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

Not exact matches

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).

Spain and Italy are holding up better, he adds, but 10 - year yield spreads to Germany and credit default swap prices for both of these Southern European countries have also been creeping up.

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.

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.

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.

According to data provided by CMA DataVision, the credit specialists, the 10 - year credit default swap spread — a form of insurance contract against issuer default — has risen steadily — from 1.6 basis points (0.016 %) in July 2007, to 16 basis points in March 2008, to 30 basis points in September, to over 40 basis points on October 27 — see the chart below for the spread history so far this year.

But when the drivers move, which in this case is one correlated driver, credit stress (30 - year swap & junior bank spreads go a lot higher), the volatilities are very different, the first one being high and the second one low.

The benchmark class for the year's final conduit, UBSCM 2017 - C7, priced at a spread of 87 basis points more than swaps.

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.

That's because CMBS spreads to 10 - Year Treasuries and 10 - Year Swaps have both widened massively from a year Year Treasuries and 10 - Year Swaps have both widened massively from a year Year Swaps have both widened massively from a year year ago.

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.