Sorry Iain, that paragraph wasn't particularly clear. I wasn't writing about the flat/inverted yield curve.
The 44 basis points was the aggregate yield spread on the Lehman Brothers Investment Grade Index. As far as I understand it, that is the average percentage of all corporate bond offerings over treasury offerings for the same timespan, although I'm not absolutely certain of the technicalities of how Lehmans construct the index to which I was referring.
So (as I interpret it), Lehman take T-bonds maturing in December and compare them with corporates maturing in December, and T-bonds maturing in 2012 and compare them with T-Bonds maturing in 2012. How they "weight" the various bonds to obtain that 44bps figure, I don't know.
Does that clear things up at all? I could hunt down the technicalities of how Lehman go about it, I suppose
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Re: Would you explain
Date: 2005-09-18 09:48 pm (UTC)The 44 basis points was the aggregate yield spread on the Lehman Brothers Investment Grade Index. As far as I understand it, that is the average percentage of all corporate bond offerings over treasury offerings for the same timespan, although I'm not absolutely certain of the technicalities of how Lehmans construct the index to which I was referring.
So (as I interpret it), Lehman take T-bonds maturing in December and compare them with corporates maturing in December, and T-bonds maturing in 2012 and compare them with T-Bonds maturing in 2012. How they "weight" the various bonds to obtain that 44bps figure, I don't know.
Does that clear things up at all? I could hunt down the technicalities of how Lehman go about it, I suppose