"PMT's unique credit risk transfer investments, while somewhat impacted by credit spread
widening, continued to deliver solid results and the returns on our Interest Rate Sensitive strategies reflect our disciplined focus on hedging through this period.
According to analysis by the Centre for Economic and Business Research, increasing the information available to lenders will allow lenders to reduce the 'credit spread
' and so charge more precise interest rates on products such as mortgages.
Emirates REIT has successfully closed a $400 million five-year Sukuk with a profit rate of 5.125 per cent per annum (equivalent to a credit spread
of 291 bps over the mid-swap rate).
The company said it also entered into interest rate swap agreements to effectively convert the loan's rate to a fixed interest rate of approximately 3.39 percent per annum based on the loan's current credit spread
. The company plans to initially use the proceeds to repay amounts outstanding under its unsecured credit facility and for other general business purposes.
A ZAR525m 9.5 percent fixed rate senior unsecured bond, which has a redemption date of September 29, 2014, was issued at a credit spread
of 230 bps above the benchmark R201.
To do this, they can construct a credit spread
, which is calculated as the difference between the yield on a risky bond and a risk-free bond of the same maturity, typically a U.S.
This tier 2 capital carries a fixed coupon of 3.75% for the first five years and will subsequently carry a floating semi-annual coupon rate of CIBOR6 plus an unchanged credit spread
Currently in development and targeted to launch the initial phase in the fourth quarter of 2019, this new functionality will enhance a client's ability to simultaneously hedge a credit spread
transaction within the same workflow, maximizing efficiency and reducing rate movement risk.
The new methodology for building credit spread
curves and duration times spread (DTS) measures allows the Fixed Income and Multi-Asset models, available through Axioma Risk, to provide users with a more granular and accurate view of entity-specific risk.
The Sukuk witnessed outstanding global investor demand as evidenced by an orderbook that peaked at USD 4.6 billion (representing an oversubscription rate of more than 15 times), and a credit spread
of 360bps, which is considered one of the lowest in the Middle East region.
The fund has a very low exposure to interest rate and credit spread
risks as measured by its market risk factor (MRF) of 0.39 as of end-July 2018, which is well within the 'S1' Market Risk Sensitivity Rating range of 0-2.
Nevertheless, GOP securities continue to remain attractive versus lending Lending Spread and Credit Spread
on outstanding loans stand at -0.26 basis points and -2.04 basis points, respectively.