Spread measures

Harkelroad, M., Quintiere, J., Walton, W., "Radiative Ignition and Opposed Flow Flame Spread Measurements on Materials", Report No. DOT/FAA-CT-83/28, FAA Technical Center, Atlantic City Airport, N.J., 1983... 

Instead of the classical estimation of the standard deviation, SEP, robust methods can be applied as described in Section 1.6.4, for instance the spread measures, VjqR... 

Equation (15) shows that H is proportional to the variance of the solute band at column outlet. If sever independent phenomena contribute to band spreading, the sum of their respective variances, af, determines the overaU band spreading measured by o-f as [Eq. (16)]... 

GEM slowly declined in number from start until total disappearance by day 70. Transconjugants of indigenous population persisted and spread. Measured conjugation frequencies of broad host range plasmids to indigenous microflora. 

The Lateral Ignition and Flame spread Test (LIFT) apparatus was developed primarily for lateral flame spread measurements. The apparatus, test procedures, and methods for data analysis are described in ASTM E 1321. A sample of 155 x 800 mm is exposed to the radiant heat of a gas-tired panel. The panel measures 280 x 483 mm. The heat flux is not uniform over the specimen, but varies along the long axis as a function of distance from the hot end as shown in Figure 14.6. The flux distribution is an invariant of distance when normalized to the heat flux at the 50 mm position. When methane or natural gas is burnt, the upper limit of the radiant heat flux is 60-65 kW/m2. The lower limit is approximately 10kW/m2 since the porous ceramic tile surface of the panel is only partly covered with flame at lower heat fluxes. 

However, a critical issue on this spread measure is how the asset swap has been stmctured. ASW measure works very well when bond prices trade at or near to par. Most corporate bonds trade with price away from the par (as in this case), thus making the ASW an inaccurate spread measure. If the bond trades at premium, the ASW spread will overestimate the level of credit risk conversely, if the bond trades at discount the ASW spread will underestimate the level of credit risk. Therefore, in the case of HERIM and TKAAV, the ASW spread overestimates the credit risk associated with the bonds because both trade significantly at premium. 

Z-spread is an alternative spread measure to the ASW spread. This type of spread uses the zero-coupon yield curve to calculate the spread, in which in this case is assimilated to the interest-rate swap curve. Z-spread represents the spread needful in order to obtain the equivalence between the present value of the bond s cash flows and its current market price. However, conversely to the ASW spread, the Z-spread is a constant measme. 

Chapter 8 shows several spread measures that can be used to compare fixed-rate bonds. Conventionally for floating-rate notes, traders use the discounted margin. To analyse a floating-rate note with a fixed-rate note, one method is to compare the discounted margin of a floater with the asset swap spread of fixed-rate bonds. 

A bond s yield is a measure of its potential return. Market participants commonly assess a security s relative value by calculating a yield or some yield spread. There are a number of yield measures that are quoted in the market. These measures are based on certain assumptions necessary to carry out the calculation. However, they also limit effectiveness of a yield measure in gauging relative value. In this section, we will explain the various yield and yield spread measures as well as document their limitations. 

YIELD SPREAD MEASURES RELATIVE TO A SPOT RATE CURVE... 

Traditional yield spread analysis for a nongovernment bond involves calculating the difference between the risky bond s yield and the yield on a comparable maturity benchmark government security. As an illustration, let s use a 5.25% coupon BMW Finance bond described in Exhibit 3.10 that matures on 1 September 2006. Bloomberg s Yield Spread Analysis screen is presented in Exhibit 3.14. The yield spreads against various benchmarks appear in a box at the bottom left-hand corner of the screen. Using a settlement date of 9 July 2003, the yield spread is 31 basis points versus the interpolated 3.1-year rate on the Euro Benchmark Curve. This yield spread measure is referred to as the nominal spread. 

The nominal spread measure has several drawbacks. For now, the most important is that the nominal spread fails to account for the term strnctnre of spot rates for both bonds. We will pose an alternative spread measnre that incorporates the spot rate curve. 

The spread measures discussed thus far fail to recognize any embedded options that may be present in a bond. A spread measure that takes into account embedded options is the option-adjusted spread or OAS. A discussion of how this spread measure is computed is beyond the scope of this chapter. Basically, it is a byproduct of a model that is used for val-... 

There are several yield spread measures or margins that are routinely used to evaluate floaters. The four margins commonly used are spread for life, adjusted simple margin, adjusted total margin, and discount margin. To illustrate these measures, we will assume a floater that has a coupon formula equal to 3-month LIBOR plus 45 basis points and delivers cash flows quarterly. 

The problem is, what spread is assumed to change There are three measures that are commonly used for fixed-rate bonds nominal spread, zero-volatility spread, and option-adjusted spread. Each of these spread measures were defined earlier in this book. 

Syndicated loans longer than two years. Bond LIBOR spreads measured the month of each loan signing, using bonds of similar tenors Source Dealogic Loanware, Lehman Brothers. 

The reasons why managing fire safety is important >- Understanding how fire starts, develops and spreads >- Measures required to reduce the risk of fire > Measures required to protect people in the event of fire... 

FIGURE 19.3 shows the Bloomberg screen ASW for a GBP-denomi-nated bond, GKN Holdings 7 percent 2012, as of August 10, 2005- We see that the asset-swap spread is 121.5 basis points. This is the spread over LIBOR that will be received if the bond is purchased in an asset-swap package. In essence, the asset swap spread measures a difference between the... 

Muhlenweg, H., Weichert, R., Optical Particle Sizer A New Development with Mathematical Correlation of Spread Measurement Data, Part Part Syst Charact, 1997, 14, 205-210. 

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