http://www.fintreeindia.com (FinTree website link) We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with! In this video you you will understand the concept of Z-Spread from Fixed income with clear explaination. This Video was recorded during a one of the CFA Classes in Pune by Mr. Utkarsh Jain. FB Page link :http://www.facebook.com/Fintree
Views: 18771 FinTree
(Please note: spreadsheet is available on the website). A nominal credit spread is the difference in yields (YTM), which are single factors; therefore, implicitly, the nominal spread compares flat curves. The Z-spread improves by giving the spread that adds across the entire spot (zero) rate curve; if the Z-spread is added to all points on the theoretical spot rate curve, the shift curve discounts the bond's cash flows to a present value that equals the bond's market price. In this way, the Z-spread represents compensation for credit risk across the entire curve. For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 25858 Bionic Turtle
Members :: Treasury Consulting LLP Pleased to Present Video Titled - " Relationship - Z Spread & Bond Spreads !! ".Video would be covering relationship between Z Spread and Bond Spreads. Video is also covering an example of Z Spread vs. Bond Spreads. You are most welcome to connect with us at 91-9899242978 (Handheld) , [email protected] , [email protected] , Skype ID ~ Rahul5327 , Twitter @ Rahumagan8 or our website - www.treasuryconsulting.in
Views: 2000 Foreign Exchange Maverick Thinkers
What is Z-SPREAD? What does Z-SPREAD mean? Z-SPREAD meaning - Z-SPREAD definition - Z-SPREAD explanation. Source: Wikipedia.org article, adapted under https://creativecommons.org/licenses/by-sa/3.0/ license. The Z-spread, ZSPRD, zero-volatility spread or yield curve spread of a mortgage-backed security (MBS) is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting a pre-determined cash flow schedule to arrive at its present market price. The Z-spread is also widely used in the credit default swap (CDS) market as a measure of credit spread that is relatively insensitive to the particulars of specific corporate or government bonds. Since the Z-spread uses the entire yield curve to value the individual cash flows of a bond, it provides a more-realistic valuation than an interpolated yield spread based on a single point of the curve, such as the bond's final maturity date or weighted-average life. However, the Z-spread does not incorporate variability in cash flows, so a fuller valuation of a rate-dependent security often requires the more-realistic (and more-complicated) option-adjusted spread. For mortgage-backed securities, a projected prepayment rate tends to be stated; for example, the PSA assumption for a particular MBS might equate a particular group of mortgages to an 8-year amortizing bond with 6% mortality per annum. This gives a single series of nominal cash flows, as if the MBS were a riskless bond. If these payments are discounted to net present value (NPV) with a riskless zero-coupon Treasury yield curve, the sum of their values will tend to overestimate the market price of the MBS. This difference arises because the MBS market price incorporates additional factors such as liquidity and credit risk and embedded option cost. The Z-spread of a bond is the number of basis points (bp) that one needs to add to the Treasury yield curve (or technically to Treasury forward rates), so that the NPV of the bond cash flows (using the adjusted yield curve) equals the market price of the bond (including accrued interest). The spread is calculated iteratively.
Views: 2306 The Audiopedia
Bond markets can be one of the first places to look for signs of trouble. In this short video I introduce and explain a key warning indicator – the yield spread.
Views: 6987 Killik & Co
Like this MoneyWeek Video? Want to find out more on credit spreads? Go to: http://www.moneyweekvideos.com/credit-spreads/ now and you'll get free bonus material on this topic, plus a whole host of other videos. Search our whole archive of useful MoneyWeek Videos, including: · The six numbers every investor should know... http://www.moneyweekvideos.com/six-numbers-every-investor-should-know/ · What is GDP? http://www.moneyweekvideos.com/what-is-gdp/ · Why does Starbucks pay so little tax? http://www.moneyweekvideos.com/why-does-starbucks-pay-so-little-tax/ · How capital gains tax works... http://www.moneyweekvideos.com/how-capital-gains-tax-works/ · What is money laundering? http://www.moneyweekvideos.com/what-is-money-laundering/
Views: 21507 MoneyWeek
In today's lecture, we examine the 'special' yield curve known as the 'riskless' yield curve and how we define it and its terms. Once we have this special yield curve defined, we then talk about credit spreads, which are essentially the difference in yields between bonds of the same maturity, particularly as compared to the riskless yield curve. Previous lecture: http://www.youtube.com/watch?v=tZwChe0WvO4 Next lecture: http://www.youtube.com/watch?v=iAbD-T2GfnE For financial education from London to Singapore and beyond, please contact MithrilMoney via the following website: http://mithrilmoney.com/ This MithrilMoney lecture was delivered by Andy Duncan, CQF. Please read our disclaimer: http://mithrilmoney.com/disclaimer/
Views: 8158 MithrilMoney
FinTree website link: http://www.fintreeindia.com Valuation of annual coupon bond Valuation of semi-annual coupon bond Duration -Modified Duration -Macaulay's duration -Price value of a Basis Point -Key Rate Duration(Level II) Understanding Spreads -G spread/Nominal Spread -I Spread -Z Spread -Option Adjusted Spread Bond Immunization FB Page link :http://www.facebook.com/Fin... We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with! This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level III Classes in Pune (India).
Views: 11089 FinTree
The yield (aka, yield to maturity, YTM) is the single rate that correctly prices the bond; it impounds the spot rate curve. For each coupon bond, there is a different implied yield. The PAR YIELD is the yield (YTM) for a bond that happens to price at par, and therefore is equal to this bond's coupon. So, the par yield (as a special case or particular YTM) is the coupon rate on a bond priced at par.
Views: 18268 Bionic Turtle
Let me show the Correct Way to Trade Bond Futures jHow o trade the yeild curve using bond futures Learn the difference between a yield curve steepener and a yield curve flattener using the futures from CME /ZF, /ZN, /ZB, /UB SUBSCRIBE FOR STOCK OPTION EDUCATION AND TRADE IDEAS! https://www.youtube.com/channel/UCa5hPmX8-q03fxDYLi9XM7w SUBSCRIBE TO OUR EMAIL LIST http://activedaytrader.com LETS CONNECT http://facebook.com/activedaytrader Email me anytime: [email protected] fed trading
Views: 6462 Jonathan Rose
Just as (Macaulay) duration is weighted average maturity of bond, convexity is weighted average of maturity-squares of a bond (where weights are PV of bond cash flows). Dollar convexity is also the second derivative (d^2P/dy^2); i.e., the rate of change of dollar duration. Note: the corresponding blog entry at our website contains the downloadable spreadsheet I used here.
Views: 53400 Bionic Turtle
The DV01 gives us the dollar change in bond price for a one basis point decline in the rate. We typically assume yield (YTM) is the rate change, so as Tuckman explains this is technically a yield-based DV01; i.e., we could instead shock spot or forward rates instead.
Views: 41847 Bionic Turtle
M&G’s Mario Eisenegger explains the basic dynamics of credit spread duration, a measure of how sensitive a bond’s price is to movements in credit spreads The video highlights the two drivers of credit spread duration; the coupon and maturity. Using some examples, we look at how coupon size and maturity periods impact a bond’s sensitivity to changes in spreads Finally, credit risk and credit spread duration are often mistaken for the same thing. Mario clarifies the difference between them
Views: 3838 Bond Vigilantes
Financial Theory (ECON 251) This lecture is about optimal exercise strategies for callable bonds, which are bonds bundled with an option that allows the borrower to pay back the loan early, if she chooses. Using backward induction, we calculate the borrower's optimal strategy and the value of the option. As with the simple examples in the previous lecture, the option value turns out to be very large. The most important callable bond is the fixed rate amortizing mortgage; calling a mortgage means prepaying your remaining balance. We examine how high bankers must set the mortgage rate in order to compensate for the prepayment option they give homeowners. Looking at data on mortgage rates we see that mortgage borrowers often fail to prepay optimally. 00:00 - Chapter 1. Introduction to Callable Bonds and Mortgage Options 12:14 - Chapter 2. Assessing Option Value via Backward Induction 42:44 - Chapter 3. Fixed Rate Amortizing Mortgage 57:51 - Chapter 4. How Banks Set Mortgage Rates for Prepayers Complete course materials are available at the Open Yale Courses website: http://open.yale.edu/courses This course was recorded in Fall 2009.
Views: 18413 YaleCourses
In this revision video we work through some numerical examples of the inverse relationship between the market price of fixed-interest government bonds and the yields on those bonds. Government bonds are fixed interest securities. This means that a bond pays a fixed annual interest – this is known as the coupon The coupon (paid in £s, $s, Euros etc.) is fixed but the yield on a bond will vary The yield is effectively the interest rate on a bond. The yield will vary inversely with the market price of a bond 1.When bond prices are rising, the yield will fall 2.When bond prices are falling, the yield will rise - - - - - - - - - MORE ABOUT TUTOR2U ECONOMICS: Visit tutor2u Economics for thousands of free study notes, videos, quizzes and more: https://www.tutor2u.net/economics A Level Economics Revision Flashcards: https://www.tutor2u.net/economics/store/selections/alevel-economics-revision-flashcards A Level Economics Example Top Grade Essays: https://www.tutor2u.net/economics/store/selections/exemplar-essays-for-a-level-economics
Views: 50351 tutor2u
Bond risk can be measured by "price returns value at risk (VaR)" where the price returns VaR is linked to yield VaR with duration. For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 21402 Bionic Turtle
Let me show the Correct Way to Trade Bond Futures Analyzing the yield curve, interest rate futures, looking at the yeild curve, bond futures, how to trade futures, how to trade bond futures infinity futures futures contract how to trade using sierra charts how to trade bond futures
Views: 1307 Jonathan Rose
This CFA Level I video covers concepts related to: • Federal Reserve's Interest Rate Policy Tools • U.S Treasury Yield Curve • Yield Curve Shapes • Term Structure Theories • Treasury Spot Rates • Yield Spreads Measures For more updated CFA videos, Please visit www.arifirfanullah.com.
Views: 28849 IFT
Spread Betting Bonds and Interest Rates. David White from Spreadex and David Jones from IG Index comment. We've had a bond rally for the past 30 years where interest rates across the developed world have been falling in sympathy with a very competitive bond market. The bond market is believed to be less risky than the equity market.
Views: 380 UKspreadbetting
Using a simple zero-coupon bond, I illustrate bond duration. We have a few variations, including weighted average time to cash flow, but the best way to view duration is as a SENSITIVITY: the % change in bond price given a % change in yield (YTM). For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 114617 Bionic Turtle
Let me show the Correct Way to Trade Bond Futures SUBSCRIBE FOR STOCK OPTION EDUCATION AND TRADE IDEAS! https://www.youtube.com/channel/UCa5hPmX8-q03fxDYLi9XM7w SUBSCRIBE TO OUR EMAIL LIST http://activedaytrader.com LETS CONNECT http://facebook.com/activedaytrader Email me anytime: [email protected] analysis stocks option strategies investing technical analysis finance
Views: 1347 Jonathan Rose
FinTree website link: http://www.fintreeindia.com FB Page link :http://www.facebook.com/Fin... We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with! This Video lecture was recorded by our popular trainer for CFA, Mr. Utkarsh Jain, during one of his live CFA Level I Classes in Pune (India).
Views: 12348 FinTree
Let me show the Correct Way to Trade Bond Futures Jonathan teaches how to trade bond futures in the same way the CME does, by using the US interest rate yield curve. In this video we look at the NOB spread, the BUB spread and the NOL spread. trading futures contract options trading
Views: 454 Jonathan Rose
A simple comparison using a 2.5 year $100 par 6% semiannual coupon bond. Spot rate: the yield for each cash flow that treats the cash flow as a zero-coupon bond. A coupon-paying bond is a set of zero-coupon bonds. Forward rate: the implied forward rates that make an investor indifferent to rolling over versus investing at spot. Yield to maturity (YTM, an IRR): the single rate that can be used to discount all of the bond's cash flows, in order to price the bond correctly. So the YTM is a flat horizontal line. For more financial risk videos, visit our website! http://www.bionicturtle.com
Views: 48923 Bionic Turtle
The swap rate is a par rate. If the swap rate curve is increasing, then the spot rates will be slightly higher than swap rates. Here is the spreadsheet https://www.dropbox.com/s/zt2z495xyfhzevv/0708-swap-spot.xlsx. Visit our website for more financial risk videos! http://www.bionicturtle.com
Views: 12691 Bionic Turtle
Welcome to the Investors Trading Academy talking glossary of financial terms and events. Our word of the day is “MOB - (Municipal-Over-Bond) Spread” The MOB spread is the difference in price between municipal bond futures and Treasury bond futures. The muni futures contract is the "municipal" in MOB, and the Treasury contract is the "bond." When the muni contract is rising faster or falling more slowly) than the Treasury contract, the MOB spread will rise, or widen. Conversely, when the Treasury contract is outperforming the muni contract, the MOB spread will fall, or narrow. To profit from a rising MOB spread, a trader would pair a long position in the muni contract with a short position in the Treasury contract. Even if both contracts went up in price, as long as the muni contract outperformed the Treasury contract the trade would be profitable. Conversely, to profit from a falling MOB spread, a trader would pair a short position in the muni contract with a long position in the Treasury contract. The Treasury contract tracks the price of a 30-year Treasury bond. The muni contract tracks the price of an index of muni bonds. Interest rates are a major cause of shifts in the MOB spread. That is because the Treasury bond tracked by the Treasury futures contract is noncallable. By contrast, most muni bonds are callable. When interest rates fall, noncallable bonds outperform callable bonds. So when interest rates fall, the MOB spread typically falls. Changes in the muni index can also cause of shifts in the MOB spread. The index is regularly reconfigured to incorporate newly-issued munis and kick out older bonds. By Barry Norman, Investors Trading Academy
Views: 248 Investor Trading Academy
Study note: Hazard rate (default intensity) is a conditional PD but it connotes an instantaneous rate of failure. As such, it can be used with elegance in the exponential distribution to compute the cumulative probability of default (cumulative PD). The conditional PD is the probability of default conditional on survival so far; e.g., 3-year conditional PD = probability of default in year 3 assuming the bond survives the prior two years.
Views: 28416 Bionic Turtle
Learn what is present value, future value through examples, how to calculate present value (PV) and Future value (FV) What is the formula for compounding, discounting, what is compounding frequency, What is discounting factor, continuous compounding, Treasury rates, Risk free rates, LIBOR, BBVA. Why LIBOR is getting replaced. What is Time value of Money, Swap rates, OIS, REPO rates, Bonds, coupon, YTM, Zero coupon rate, Spot rate, Forward rate. Follow my Linkedin Blog on LIBOR here - https://www.linkedin.com/pulse/death-libor-search-new-reference-rate-birendra-sahu-frm/
Views: 158 Birendra Sahu, FRM
This video explains how Bonds with embedded options are valued. This is one of the videos from my recent course on Fixed Income_Bond Valuation and Analysis launched on Udemy which can be found on the link: https://www.udemy.com/fixed-income-simplified-for-cfa-l2/?couponCode=deal10 You can also avail huge discount my other Finance courses using the following links: Economics for CFA L1: https://www.udemy.com/economics-quick-review-for-cfa-level-1/?couponCode=only$5 Quantitative methods CFA L1: https://www.udemy.com/cfa-level-1-quantitative-methods-review/?couponCode=deal10 Ethics for CFA: https://www.udemy.com/cfa-ethics-quick-review/?couponCode=my50%25 Corporate Finance and Alternate Investments CFA L1: https://www.udemy.com/corporate-finance-and-alternative-investment-for-cfa-l1/?couponCode=deal10 Portfolio Management: https://www.udemy.com/portfolio-management-cfa-l1/?couponCode=deal10 Equity Investing: https://www.udemy.com/equity-investments-made-easy-cfa-l1/?couponCode=deal10 Fixed Income Fundamentals: https://www.udemy.com/fixed-income-for-cfa-l1/?couponCode=deal10 Derivatives Fundamentals: https://www.udemy.com/derivatives-for-cfa-level-1/?couponCode=deal10 Financial Reporting and Analysis CFA L1: https://www.udemy.com/financial-reporting-and-analysis-cfa-l1/?couponCode=deal10 Fixed Income Portfolio Management: https://www.udemy.com/fixed-income-portfolio-management-for-cfa-level-3/?couponCode=deal10
Views: 2018 Tanuja Yadav
We look at the rise in bond yields on UK, US and German bonds against a backdrop of rising inflation expectations. Get the latest daily analysis on products such as US30, UK100, Japan225, USD/JPY, EUR/USD, GBP/USD, Crude oil and Gold via our CMC TV playlist. CMC Markets is a global leader in online trading, offering spread betting and Contracts for Difference (“CFDs”). Learn how to spread bet and how to trade CFDs with our variety of educational videos on trading strategies. Trade the financial markets such as currencies, commodities, indices, shares and treasuries. http://www.cmcmarkets.co.uk/ Riskwarning: This video is for general information only and is not intended to provide trading or investment advice or personal recommendations. Any information relating to past performance of an investment does not necessarily guarantee future performance. CMC shall not be responsible for any loss that you incur, either directly or indirectly, arising from any investment based on any information in this video. Please remember spread betting and trading CFDs carries significant risks and may not be suitable for all investors. Losses can exceed your deposits.
Views: 154 CMC Markets plc
We offer the most comprehensive and easy to understand video lectures for CFA and FRM Programs. To know more about our video lecture series, visit us at www.fintreeindia.com This Video was recorded during a live classroom session for CFA by our lead instructor Mr. Utkarsh Jain. This video lecture covers following key area's: 1. Memory Technique: "Convexity is a friend of bondholder" 2. Depiction of convexity graphically using Microsoft Excel 3. Calculation of Effective Convexity 4. Intuition behind the formula of Effective Convexity 5. Calculator shortcut keys for calculating effective convexity.
Views: 34517 FinTree
Introduction to the treasury yield curve. Created by Sal Khan. Watch the next lesson: https://www.khanacademy.org/economics-finance-domain/core-finance/stock-and-bonds/bonds-tutorial/v/relationship-between-bond-prices-and-interest-rates?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets Missed the previous lesson? Watch here: https://www.khanacademy.org/economics-finance-domain/core-finance/stock-and-bonds/bonds-tutorial/v/introduction-to-bonds?utm_source=YT&utm_medium=Desc&utm_campaign=financeandcapitalmarkets Finance and capital markets on Khan Academy: Both corporations and governments can borrow money by selling bonds. This tutorial explains how this works and how bond prices relate to interest rates. In general, understanding this not only helps you with your own investing, but gives you a lens on the entire global economy. About Khan Academy: Khan Academy offers practice exercises, instructional videos, and a personalized learning dashboard that empower learners to study at their own pace in and outside of the classroom. We tackle math, science, computer programming, history, art history, economics, and more. Our math missions guide learners from kindergarten to calculus using state-of-the-art, adaptive technology that identifies strengths and learning gaps. We've also partnered with institutions like NASA, The Museum of Modern Art, The California Academy of Sciences, and MIT to offer specialized content. For free. For everyone. Forever. #YouCanLearnAnything Subscribe to Khan Academy’s Finance and Capital Markets channel: https://www.youtube.com/channel/UCQ1Rt02HirUvBK2D2-ZO_2g?sub_confirmation=1 Subscribe to Khan Academy: https://www.youtube.com/subscription_center?add_user=khanacademy
Views: 367246 Khan Academy
The Global Fixed Income Research group calculates proprietary, daily U.S. composite credit spreads across ratings and industries. As more investors have turned toward high-yield assets for greater returns, the high-yield corporate bond issuance in the U.S. has rebounded handsomely, increasing every month since June and resulting in a total of $34.9 billion in September. However, the greater demand for high-yield assets has resulted in a decrease in yields and spreads. In this CreditMatters TV segment, Associate Gregg Moskowitz reviews the key trends and data points.
Views: 72 S&P Global Ratings
To Join the Elite Investor Club, head over to http://www.eliteinvestorclub.com/ Welcome back to the Elite Investor Club’s A to Z of investing. I hope you’ve taken steps to sort out your asset allocation. In this episode we’re going to cover one of the biggest asset classes of all and one of the most misunderstood – bonds! Don’t be fooled by the official sounding language. A bond is quite simply a loan. It’s usually either a loan to a government or a loan to a company. Companies need money to expand their operations, develop and launch new products or acquire other companies. Governments need money because politicians are incapable of living within their means, spend money they don’t have to meet their promises to their cronies and hope that there are enough suckers in the bond markets to buy their loans at pathetically low rates of interest. So far, sadly, they’ve been proved right. The global bond market is enormous and is dominated by America, where short term loans of less than a year are called Treasury bills or T bills. Those that mature in one to ten years are T Notes and the really long term ones that can go up to thirty years are called Treasury Bonds. In the UK these government bonds are known as gilts, presumably because the government is guilty about how little interest they pay. What you’re buying as an investor is a guaranteed future stream of income, called the coupon, and the return of your capital or principle at the end of the term of the bond which can be anything from a few months to several decades. Unlike shares, you don’t own a piece of the company or the government, you just become a source of funds for them. Bonds can trade at more than their face value, a premium, or below it, at a discount. Like any asset, bonds are worth whatever someone else is prepared to pay for them. They will take into account the interest rate or yield and their view of inflation or deflation in the years ahead in arriving at the price they think those specific bonds are worth in today’s money. This where it can get confusing. If you invested ten thousand pounds in a bond paying one per cent interest for the next ten years, that’s £100 a year for ten years. What if interest rates on the next batch of bonds were to pay two per cent interest? That means I can come along with my ten thousand pounds and buy two hundred pounds a year income. The most I’d be prepared to pay for your bond is five thousand pounds, because I now want a yield of two per cent on my capital. So, when interest rates go up, bond prices come down. Conversely, when all sorts of institutions like pension funds are told by their regulators to switch from ‘risky’ stocks and shares to ‘safe’ bonds, we see so much money chasing safe bonds that the prices go sky high and the yields become zero or even negative! Even some of the basket case countries of Southern Europe are able to sell their bonds at interest rates that in no way reflect the risk of a potential default. So we now have this situation where bond prices are at a forty year high based on record low interest rates. We all have to play a guessing game about when the Bank of England in the UK or, more importantly, the Federal Reserve in America, decides to raise interest rates. Because the likely result of an interest rate rise will be a crash in bond prices. Any such crash will be exacerbated by the lack of liquidity in the market, but that’s a concept we’ll look at another time. In the world of loans to companies, corporate bonds, we’ve seen a similarly disturbing trend. Bond prices have risen significantly even for companies with poor credit ratings whose bonds are given the rather unflattering name, junk bonds. Very small companies have been successfully offering mini bonds, while at the micro company level you could even regard crowd-lending as a form of corporate bond. In all cases you have to balance the interest rate being offered with the likelihood of the company being around and able to repay your capital at the end of the bond period. If you’re new to investing, the only way you should hold bonds is within broadly diversified funds within the kind of asset allocation we discussed in the previous episode. If you’re an experienced investor, now might be the time to research strategies for shorting some of the major bond markets, either through spread betting or through leveraged ETFs that give you the chance to place a Put option on the bond markets. The bond market is too big to ignore, but at this moment in history I urge you to approach with care!
Views: 1664 Elite Investor TV
FinTree website link: http://www.fintreeindia.com FB Page link :http://www.facebook.com/Fin... We love what we do, and we make awesome video lectures for CFA and FRM exams. Our Video Lectures are comprehensive, easy to understand and most importantly, fun to study with! This Video was recorded during a one of the CFA Classes in Pune by Mr. Utkarsh Jain.
Views: 19531 FinTree
India’s bonds are set to rise when the market reopens following a five-day break after the central bank allowed banks to spread out their debt-trading losses over as long as four quarters. Read: https://goo.gl/hNakme Subscribe to BloombergQuint on WhatsApp: https://goo.gl/NX4KDz
Views: 185 BloombergQuint
Training on Valuation and Analysis Bonds with Embedded options by Vamsidhar Ambatipudi
Views: 1135 Vamsidhar Ambatipudi