Email of the day on BBB/Baa spreads
Comment of the Day

October 05 2015

Commentary by Eoin Treacy

Email of the day on BBB/Baa spreads

I am trying to create a chart that shows: the US corporate spread, showing: a) Corporate yields b) UST yields c) the spread between the 2 so far I can´t create it, can you please help me. For this Chart, Baa Seasoned Corp benchmark is closer to 30y duration than 10y, so I will like to compare to 30y UST. Thanks 

Eoin Treacy's view

I’ve added the Moody’s Baa Corporate Benchmark to the Library not least because its history goes to back to 1986 which offers historical perspective. 

To create a spread choose the Index from the menus or search. The ticker is MOODCBAA or you can use Moody’s in the search.
Click on Charting, 
Click on the green Other Relative button. 
In the popup window search for “30yr” 
Select US 30yr Treasury Bond Yield from the results. 
Select difference from the dropdown menu. 
Hit Apply. 

This is what the resulting spread should look like. The Moody’s Index is updated with a one-day lag so it will be very interesting to see if this breakout from the almost six-year base will be sustained through the end of the week. 


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