Yield Curve Mambo

3 month to 30 year US swap spreads data from bloomberg pulled into excel, mashed up a bit and set to music.

Category:

Howto & Style

Tags:

• music
• mambo
• yield curve
• finance
• swaps

[rolfewinkler]

Fantastic Nick!

[yugmnivek]

A swaps dealer is typically one of the counterparties. Swaps dealers hedge their risk by entering into some transactions where they pay a fixed rate and others where they pay a floating rate. The dealers profit from the difference between the fixed rate they are willing to pay and the fixed rate they demand.

[yugmnivek]

If interest rates subsequently rise, pushing floating rates higher, the fixed-rate payer obtains additional savings at the expense of the floating-rate payer. Conversely, if rates move lower, the floating-rate payer obtains additional savings at the expense of the fixed-rate payer

[yugmnivek]

swaps and swap spreads

An interest-rate swap is a transaction between two so-called counterparties in which fixed and floating interest-rate payments on a notional amount of principal are exchanged over a specified term. One counterparty pays interest at a fixed rate and receives interest at a floating rate (typically three-month Libor). The other pays interest at the floating rate and receives the fixed-rate payment.

[yugmnivek]

Widening credit spreads indicate growing concern about the ability of corporate (and other private) borrowers to service their debt. Narrowing credit spreads indicate improving private creditworthiness

[globalbankfraud]

can someone explain to me what it means?

[smudge6699]

Excellent!

Now that's the way to monitor flow over time!

Superb work, this must have taken ages to get together despite being only 1.30 long.

10/10 especially for the music.