Random Walks in Fixed Income and Foreign Exchange by Jessica James Michael Leister Christoph Rieger

Author:Jessica James, Michael Leister, Christoph Rieger
Language: eng
Format: epub
Publisher: De Gruyter
Published: 2021-02-19T04:14:24.448000+00:00

To equate the two PVs, we must increase the USD spread by a factor of 1.98%/1.90% = 1.039. This is the conversion factor. So now the total USD spread is 2.08%, from the point of view of the EUR corporate.

So this means that unless the corporate can find an advantage of more than 8bp from other factors, it’s not worth issuing in USD. If, for example, the credit spread were lower in USD, at perhaps 1%, then indeed it could be worth doing, though the conversion factor would eat into that differential, transforming the effective EUR credit spread to 1.04% from the point of view of the EUR issuer.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.