SIV:结构投资公司(SIV，Structured Investment Vehicles)，是由银行或保险公司等金融机构设立，这类公司会透过发行短期商业票据债券，去购买包括次按债券在内的高回报资产。SIV的运作模式，简单来说是藉长短期利率的利差进行套利。SIV是透过发行利率偏低的短期商业票据以筹集资金，然后将资金投资到较长期的资产...
债券的到期收益率YTM是满足一定条件下的预期收益率,可以拆分成基准收益率benchmark yield和利差spread(也叫做风险溢价risk premium)两部分,其中,基准收益率是基本的,受到宏观层面因素影响,比如宏观经济环境、标价货币的通货膨胀等等,利差则是附加品,受到微观层面因素影响,比如该...
G-spread就是基于credit/liquidity risks和tax considerations在Libor或者sovereign government bond yield(YTM)或者说reference rate上去加上一个risk premium,相当于是quoted margin对吧? Z-spread是基于spot rate(zero-coupon bond的YTM),在benchmark yield curve上去加上一个spread 二者有啥区别?不是一个概念吗?添加...
spot rate and value the bond with those rates, namely, zero-volatility spread or Z-spread. ...
P is the risk premium - bond yield minus same maturity U.S. Treasury yield. P widens during recession and narrows in expansion. It can be measured by the difference (spread) between the yield on a risky bond and a risk-free bond (U.S. Treasury). SPREADS DATA – economagic, riskmetri...
James R. Hagerty
Define yield points. yield points synonyms, yield points pronunciation, yield points translation, English dictionary definition of yield points. n the stress at which an elastic material under increasing stress ceases to behave elastically; under conditi
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A yield spread premium (YSP) is a form of compensation that amortgage broker, acting as the intermediary, receives from the originating lender for selling an interest rate to a borrower that is above the lender'spar ratefor which the borrower qualifies. The YSP can sometimes be applied to co...
Swap Spread and Yield Spread Swap spreads are the differences between the fixed rate paid on an interest rate swap and the yield on a government bond of similar maturity. An interest rate swap involves exchanging a fixed interest rate for a floating rate based on an underlying benchmark, such...