Share this page | Email | Contact Us

Special Report on

Credit Spreads and Subordinated Debt

credit spreads and subordinated debt special research report Photo by
This paper derives a closed-form expression for the market value of a subordinated unsecured debt claim with default risk. It modifies a well-known credit risk model class to accommodate the presence of senior debt in the capital structure of the subordinated claim issuer. The model can be used to price subordinated unsecured claims of firms with outstanding senior debt. The model is calibrated to historical bond default rate data and used to generate empirically relevant subordinated bond credit spreads for various credit ratings and proportions of senior debt. Parameter sensitivity analyses are also conducted, and empirically ...
influence each country's banking capital requirements. In 1988, the Committee decided to introduce a capital measurement system commonly referred to as the Basel Accord . This framework is now being replaced by a new and significantly more complex capital adequacy framework commonly known as Basel II . While Basel II significantly alters the calculation of the risk weights, it leaves alone the calculation of the capital. The capital ratio is the percentage of a bank's capital to its risk-weighted assets . Weights are defined by risk-sensitivity ratios whose calculation is dictated under the relevant Accord. Each ...
Sun Life Financial reports fourth quarter and 2009 results
impairments, downgrades on the Company's investment portfolio and lower asset reinvestment gains from changes in credit spreads. Results in the fourth quarter of 2008 included an after-tax gain of $825 million related to the sale of the Company's ...... Subordinated debt. 3048. 2576. Non-controlling interests in subsidiaries. 42. 44. Total equity. 17414. 17409. Total general fund liabilities and equity. $ 120082. $ 119833. Segregated funds contract liabilities ... market research, surveys and trends
Donal O'Mahony Returns
IT HAS proved a prolonged and at times frustrating gestation period, but the policy prescription to stabilise the Irish banking system and help kick-start credit creation has finally reached its implementation stage. Nama’s journey has been an understandably arduous one, confronted as it has been by a welter of legislative, regulatory and, not least, administrative needs. The article quickly moves onto more familiar ground, Informed by those catastrophic case-studies involving Iceland (banking nationalisation) and Lehman (bankruptcy), the Irish authorities have pursued the “least worst” option of system recapitalisation and ... market research, surveys and trends


The Implications of the Credit Crunch for Intercompany Loans
In a recent speech, Federal Reserve chairman Ben Bernanke described the ramifications of the "abrupt end of the credit boom" thusly: 1   "Rising credit risks and intense risk aversion have pushed credit spreads to unprecedented levels, and markets for securitized assets, except for mortgage securities with government guarantees, have shut down.  Heightened systemic risks, falling asset values, and tightening credit have in turn taken a heavy toll on business and consumer confidence and precipitated a sharp slowing in global economic activity."   While the recent recession has led to losses for ... industry trends, business articles and survey research
transfer pricing insider
million, each 1 percent (or 100 basis points) reduction ..... 11 “credit spreads and subordinated debt”, economic commentary ... industry trends, business articles and survey research
EM ASIA DEBT-Spreads at one-month low; China property up
HONG KONG, June 21 (Reuters) - Asian debt spreads tightened to their lowest in more than a month on Monday, with China property bonds among the top gainers, spurred by expectations that Beijing will allow a stronger yuan. Hong Kong bank bonds weakened, however, as new supply looms from China's CITIC Bank, which plans to sell as early as today a benchmark-sized, subordinated lower Tier 2 dollar bond due in 10 years. The Asia ex-Japan iTraxx investment-grade index narrowed 10 basis points (bps) versus Friday's close to 120, the lowest since May 14. "The bond market is benefitting from China's announcement on the ... market trends, news research and surveys resources
Bond Selloff Yields 'Gems' for Tepper, T. Rowe: Credit Markets
June 1 (Bloomberg) -- The worst month for corporate credit since markets seized up in 2008 means investors are finding value in everything from junk bonds to debt backed by commercial mortgages. The extra yield investors demand to own corporate bonds instead of Treasuries widened 44 basis points last month to 193 basis points, or 1.93 percentage points, Bank of America Merrill Lynch index data show. High-yield company debt lost 3.57 percent. Spreads on high-rated commercial mortgage bonds jumped 67 basis points to 306. Leveraged loan prices tumbled 3.89 percent to 89.11 cents on the dollar. “Corporates have entered this ... market trends, news research and surveys resources


Subordinated Debt and the Quality of Market Discipline - May 2001 ...
In addition, and more importantly, the model illustrates that a simple focus on subordinated-debt credit spreads may be very misleading. ... technology research, surveys study and trend statistics
F:\bank40\hancock\mfs\subordinated debt\Sample Selection Paper ...
Section V draws inferences from the estimated models about the credit-risk- sensitivity of subordinated debt spreads under different regulatory regimes and ... technology research, surveys study and trend statistics
On Credit Spread Slopes and Predicting Bank Risk
information content of bank subordinated debt has policy-specific implications. We find strong evidence that current credit-spread slopes can predict future ...
What is a credit derivative? I know nothing about finance ...
A credit derivative is a contract (derivative) to transfer the risk of the total return on a credit asset falling below an agreed level, without transfer of the underlying asset. This is usually achieved by transferring risk on a credit reference asset. Early forms of credit derivative were financial guarantees. Some common forms of credit derivatives are credit default swap, total return swap and credit linked note. What are Credit Derivatives? Credit derivatives are designed to allow the independent trading/hedging of credit risk. It is also possible to transfer and/or transform credit risk through securitisation. The ...
Establishing product differentiation for Corporate bonds ...
Your question is NOT easy; you touched on why it is difficult to sell SPE bonds by foreign gov'ts or why SPV bonds such as ETC and EETC (airline bonds) have not done well. "1] Aside from high financial returns, what value-added services can such SPE provide to purchasers of Corporate bonds?" 1) Liquidity or issue size. For the SPE bond to succeed, it must have sufficient size for the secondary market. For high yield bonds, you need something like $500 million or more and for high grade bonds you might want to issue say $3 billion or more. The problem with SPE bonds is that if you don't have the size, there's ...