The Case for Separating Interest Rate and Spread Risks
Corporate Bond Supply/Demand Dynamics
Implementing a Synthetic Strategy
Balancing Strategic and Tactical Views
- All data are as of June 30, 2012.
- Index characteristics throughout this paper are supplied by Barclays.
- With respect to Barclays’ information stated in this whitepaper – Source: Barclays POINT/Global Family of Indices. ©2012 Barclays Bank PLC. Used with permission. Barclays and POINT are registered trademarks of Barclays Bank PLC.
- This analysis ignores any potential interest rate or spread sensitivity of assets other than fixed income.
- For simplicity, all spread product is assumed to have a beta of 1.0 relative to the liability’s spread.