Understanding Repo Markets - YieldCurve.com
Accessing capital markets The pricing of debt instruments revolves around the yield curve. This curve, or term structure of interest rates, describes relationship between yield and maturity on stock differing only in term to maturity Types of Yield Curve Redemption yield …
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Understanding Asset Swaps - YieldCurve.com
www.yieldcurve.com3 Asset swaps example Assume that an investor holds a bond and enters into an asset swap with a bank. Then the value of an asset swap is …
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www.yieldcurve.comA key measure of relative value of a corporate bond is its swap spread. This is the basis point spread over the interest-rate swap curve, and is a measure of the credit risk of the
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www.yieldcurve.comAbukarAli_EquityLinked October 2002 YieldCurve.com EQUITY LINKED NOTES: An Introduction to Principal Guaranteed Structures Abukar M Ali October 2002 Introduction In this article we provide a succinct description of a commonly used investment instrument
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www.yieldcurve.com2 The repo market is a vital element of the global capital and money markets. The first repo transactions were initiated by the US Federal Reserve in 1918, since which time
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www.yieldcurve.comRelative value analysis: calculating bond spreads Moorad Choudhry January 2006
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www.yieldcurve.comLearning Curve Total Return Swaps: Credit Derivatives and Synthetic Funding Instruments Moorad Choudhry ©YieldCurve.com 2004 Page 1
The yield curve, and spot and forward interest rates Moorad …
www.yieldcurve.comP C rs M rs CDMD d t t t T T T tT t T = + + + + = = ∑ ∑ 1 11 1 = x x (4.1) where rst is the spot or zero-coupon yield on a bond with t years to maturity Dt ≡ 1/(1 + rst) t = the corresponding discount factor In 4.1, rs1 is the current one-year spot yield, rs2 the current two-year spot yield, and so on. Theoretically the spot yield for a particular term to maturity is the same as the yield
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