2020年10月6日 · What are Basis Points (bps)? A basis point is the smallest measure used in quoting yields on fixed income products. Basis points also pertain to interest rates. One basis point is equal to one one-hundredth of one percentage point (0.01%). Therefore, 100 basis points would be equivalent to 1%.

2020年10月6日 · Spreads are generally described in ' basis points,' which is abbreviated ' bps ' and pronounced 'beeps.' One percentage point is equal to 100 bps. One percentage point is equal to 100 bps. In the example above, a bond trader would say that the yield spread between the two bonds is '200 beeps.'

2011年12月31日 · In fact, I’ve found that it can be upwards of 100+ bps. In one case, I found a contract that had a spread of 400+ bps (obviously, I passed on that trade). For larger capitalized stocks like IBM (NYSE: IBM), Intel (Nasdaq: INTC) or JP Morgan (NYSE: JPM), one might expect a 20-30 bps spread. Virtually any stock in the S&P 500 should have a ...

2020年10月6日 · For example, let's assume you purchase a Company XYZ bond at 100% of par. The bond currently has an 8% yield. The bond currently has an 8% yield. If the bond price increases to 101.5 when yields fall 10 basis points and the price falls to 99.5 when yields rise by 10 basis points, then using the formula above, we could calculate that the bond ...

2020年10月6日 · A parallel shift in the yield curve occurs when the interest rates among bonds (or T-Bills) with different maturity dates change at the same rate.

2020年9月16日 · To illustrate, suppose Bob holds a 10-year bond issued by company XYZ with a par value of $1,000 and a coupon interest amount of $100 each year. Fearful that XYZ will default on its bond obligations, Bob enters into a CDS with Steve and agrees to pay him income payments of $20 (similar to an insurance premium) each year commensurate with the ...

3 天之前 · Calculating Yield to Call Example. For example, you buy a bond with a $1,000 face value and an 8% coupon for $900.

2020年8月21日 · Let’s assume a 20-year bond issued by Apple Computer (NASDAQ: AAPL) is yielding 2.52% versus the 20-year U.S. Treasury note yielding 2.42%. The credit spread would be just 10 basis points (bps); an extremely tight—almost nonexistent—credit spread.

2020年10月16日 · What is Key Rate Duration? Key rate duration is not the same as effective duration. Effective duration is an estimate of a security's sensitivity to a parallel shift in interest rates, meaning that it assumes that interest rates change by the same degree for, say, one-year bonds, five-year bonds, 10-year bonds, and 30-year bonds.

2020年10月6日 · Typically, the size of the spread is designated in basis points (bps, pronounced 'beeps'). For example, if the T-bill rate is 5.10% and 3-month LIBOR is 5.50%, the TED spread is 40 bps. Over long periods of time the TED spread fluctuates within a wide range, but historically it has roughly stayed within 10-50 bps (0.1% and 0.5%).