Yield spread


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Yield spread

The difference in yield between different security issues usually securities of different credit quality.

Yield Spread

The difference in yield between two bonds or other debt securities with different credit quality. For example, an investment grade bond and a junk bond have different yields to compensate the bondholder for the risk (or lack of risk). The difference between these is called the yield spread.

yield spread

The difference in yield, at a given time, between two bonds or between different segments of the bond market. For example, the yield spread between AAA-rated bonds and A-rated bonds may be one half of 1% at a particular time. Likewise, the yield spread between long-term taxable and nontaxable bonds may be 2%. Yield spread may be caused by any of various factors including maturity difference, risk difference, or taxability difference.

Yield spread.

Yield spread describes the difference between the yields on two different debt instruments. For example, you can calculate the yield spread on two bonds, by subtracting the yield on one bond from the yield on the other.

Yield spread is helpful in comparing bonds with different maturities, credit ratings, and tax status. In general, securities with longer maturities tend to have higher yields than those with shorter maturities. And securities with higher credit ratings have lower yields than those with lower ratings.

References in periodicals archive ?
Ball and Croushore show that the SPF output forecasts are inefficient with respect to changes in monetary policy, as measured by changes in real interest rates, while Rudebusch and Williams show that the forecasts are inefficient with respect to the yield spread.
The yield spread over US treasuries would be much larger if oil price continues to be at low levels, but if it increase to $50 per barrel level, yields spreads could be in the range of 200-250 bps over US Treasuries.
This is an area in the fixed income market that has been shunned by a lot of fixed income investors," said Bernstein, noting the proof of that is the wide yield spread between munis and other bond markets.
We use past values of the yield spread and GDP growth to project what real GDP will be in the future.
90 while the yield spread tightened slightly to 107 basis points.
We use a sample of 13,037 yield spread observations of industrial issuers from 1994 to 2005.
Pairwise cointegration tests are conducted by regressing each country's yield spread versus Germany on a constant term [[beta].
The yield spread between this issue and a longer-term bond of Promsvyazbank (-/Ba2/BB-) PROMBK-19 has been in place only since June 26.
Ainda, apontam que a falta de liquidez desses ativos e considerada como uma possivel causa para a falha desses modelos de credito em capturar a variacao do yield spread das debentures.
The economic fundamentals include the federal funds rate and interest rate spreads, such as the 1-year-1-month LIBOR spread and the 10-year nominal Treasury--10-year Treasury Inflation-Protected Securities (TIPS) yield spread.
The five-year debt is expected to be priced at a yield spread of 175 basis points over comparable Treasuries.
What this means is if the same money is spent on options, and the patterns of the historic stock market repeat, the returns will come out pretty much the same over the long haul whether you use an annual point-to-point or a yield spread or averaging or a monthly cap.