Sentences with phrase «yield curve spreads»

The 12 - month moving average of the yield curve spread hit zero in July.

The known, in this case, is the current yield curve spread and the level of earnings.

To estimate the probability of a recession, we use a probit model, which relates the probability of being in a recession six months ahead to the yield curve spread — the difference between the ten - year government bond yields and the three - month Treasury bill rate.

The only reliable predictor four quarters out was the yield curve spread.

Not exact matches

«The spread between the 2 - year and 10 - year Treasury is now the tightest it's been since 2007,» said Rob Morgan, chief investment officer at Sethi: «The flattening yield curve in 2007 was a harbinger of the Great Recession of 2008.

Since bottoming below zero (an «inverted» yield curve) back at the beginning of this year, the combination of higher five year yields and BoC rate cuts have sent this yield spread higher.

And now the yield curve is threatening to invert again, with the spread between 10 - and two - year Treasury note yields now at its lowest level since that fateful year.

Bonds due in 2018 and won by BofA were «aggressively» priced with a 1.64 percent yield that narrowed Illinois» spread over Municipal Market Data's benchmark triple - A yield curve to 70 basis points from 100 basis points ahead of the sale, Greg Saulnier, a MMD analyst, said.

My top three indicators include: a widening of high yield credit spreads; consecutive negative readings in the Chicago Fed National Activity Index; and a negatively sloped, or inverted, yield curve.

While credit spreads and leading indicators appear to be fairly well behaved, many have noted the sinister looking shape of the yield curve, near its flattest level since before the global financial crisis (see the chart below).

The spread between the two - year note yield and the 10 - year note yield, a widely - watched measure of the yield curve, narrowed to 42.8 basis points, the tightest since September 2007.

Interest rate risk: is the risk that an investment's value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve, or in any other interest rate relationship.

One of the best economic indicators, the yield curve or the spread between short and long - term bonds remains in positive territory, with the long - term much higher than the short.

In contrast, bond market exposure (in the form of yield curve and spread risk) has played a relatively minor role in driving convertible bond risk and return in the recent past and seems likely to play a minor role in the year ahead, based on our model.

Jim recently updated an old chart from 2007 showing the relationship between a flattening yield curve and credit spread levels.

The difference between long - term and short - term interest rates is known as the «slope of the yield curve», or «the term spread.»

To some extent, stock market action also implies expectations for slower economic growth, though interest rate signals, such as a flat yield curve, are more suggestive of slow growth than stock market action is, and we've yet to see a substantial widening of credit spreads that would suggest imminent recession.

The spread between the 2 - year note yield and the 10 - year note yield, a widely - watched measure of the yield curve, widened to 49 basis points, or 0.49 percentage point, from 41 basis points on Tuesday.

The yield curve is the flattest it has been in 10 years, meaning that the spread between 10 - and two - year Treasury yields is around 50 basis points, leaving the fed little room to manoeuvre.

With the exception of the very front end of the yield curve, Canadian government bond yields declined, as did spreads on investment grade corporate bonds.

In doing so, investors are taking on a range of risks such as exposure to changes in the shape of the yield curve, credit spreads or exchange rates.

Like the yield curve, an understanding of credit spreads can uncover value and give you a reading on where markets and the economy may be headed.

As usual, I don't place too much emphasis on this sort of forecast, but to the extent that I make any comments at all about the outlook for 2006, the bottom line is this: 1) we can't rule out modest potential for stock appreciation, which would require the maintenance or expansion of already high price / peak earnings multiples; 2) we also should recognize an uncomfortably large potential for market losses, particularly given that the current bull market has now outlived the median and average bull, yet at higher valuations than most bulls have achieved, a flat yield curve with rising interest rate pressures, an extended period of internal divergence as measured by breadth and other market action, and complacency at best and excessive bullishness at worst, as measured by various sentiment indicators; 3) there is a moderate but still not compelling risk of an oncoming recession, which would become more of a factor if we observe a substantial widening of credit spreads and weakness in the ISM Purchasing Managers Index in the months ahead, and; 4) there remains substantial potential for U.S. dollar weakness coupled with «unexpectedly» persistent inflation pressures, particularly if we do observe economic weakness.

The yield curve, which has been gold - bearish for the bulk of the past three years, would turn decisively gold - bullish if the 10yr - 2 yr yield spread were to break solidly above its September high.

The following chart shows that while the yield curve has «flattened» (the 10yr - 2 yr spread has decreased) to a significant degree it is still a long way from becoming inverted (the yield spread is still well above zero), which supposedly implies that the US economy is not yet close to entering a recession.

Interest Rate Risk is the risk that an investment's value will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship.

The GTFM is determined mainly by confidence indicators such as credit spreads, the yield curve, the relative strength of the banking sector and inflation expectations, although it also takes into account the US dollar's exchange rate and the general commodity - price trend.

From this yield - curve paper we know the correlation between the term spread strategy and 1 - month changes in the 10 - year yield is also low.

Another indicator of financial conditions is the slope of the yield curve, as measured by the spread between the yield on 10 - year bonds and the target cash rate.

While the combination of rapid credit growth and below - average interest rates suggests that financial conditions remain expansionary, the slope of the yield curve, as measured by the spread between the yield on 10 - year bonds and the cash rate, suggests a somewhat different picture.

We favor a more even yield - curve exposure today (with positions across maturities) and a more defensive (higher - quality) credit profile — as volatility and heightened credit concerns could lead to significantly wider spreads in the high - yield - bond market.

The «spread» between short - term and long - term rates (the yield curve) can tell us a lot about economic conditions and where interest rates may be headed next.

As the yield curve flattens, I would expect this spread to continue to narrow.

Two years ago, Arturo Estrella, a Fed economist who has done extensive research into the predictive ability of the yield curve, was asked whether he thought the term spread still had its forecasting ability.

The margin, or spread, is determined by credit quality, the yield curve and the supply and demand for money.

With the note against bond spread (NOB), the position a futures trader will take depends upon their perception of the yield curve.

Perhaps more important is the flattening yield curve, as measured by the spread between 10 - year yield and 2 - year yield, which reached its flattest level since 2007.

The note against bond spread (NOB) gives traders and investors a means with which to play anticipated changes in the yield curve.

Conversely, when falling spreads contract, worsening economic conditions may be coming, resulting in a flattening of the yield curve.

Widening spreads typically lead to a positive yield curve, indicating stable economic conditions in the future.

The NOB spread is designed to take advantage of changes in the yield curve rather than trying to profit from fluctuations in the outright treasury futures contracts.

This sounds like an interesting scenario to use your grid analysis, where your quantiles might be ranked using (1) equity / mortgage REIT spreads and (2) monetary policy (measured by either short term rates or yield curve slope).

PS — All that said, if I were Fed Chairman, I would presently aim monetary policy to a yield curve that had a 1 % spread between 2 - years and 10 - years, and then I would leave it there.

The slope of the Treasury curve for that effect to be active now, particularly since high yield spreads have widened out from earlier in 2007.

What this means is that there are intrinsic levels of risk affecting the yields on high quality corporate debt, lessening the positive slope of their spread curves, or with agencies inverting the spread curves.

Spread curves of high yield bonds tend to invert when the Treasury yield curve is steeply sloped.

Credit spreads continue to be elevated versus their levels earlier this year, and the slope of the Treasury yield curve remains flat.

No doubt, the slope of the yield curve, as measured by the spread between two - and 10 - year government bonds, has been flattening since 2014 in both Canada and the United States, and the trend has recently intensified: as we headed into December, the curve sat at its flattest level since the Great Recession.

More worrisome, when the two - year / 10 - year spread hits zero, or less (yield curve inversion), that's generally considered a slam - dunk for impending recession.

The other argued that the yield curve is less effective in a recovery characterized by wide - spread deleveraging and continuing credit strains.