country credit spreads - comparative analysis help

Guys, I have a quick question that i’m hoping one of the Fixed Income experts on this board can help with… I would like to do a comparative analysis across a time frame of a couple of years to show the widening and tightening of these spreads by geography. I’m trying to find a source that will provide credit spreads across multiple countries between AAA corporate and the requisite country risk free bonds (Treasuries etc). Anyone know of a good source for this type of info? Is this a feasible task to complete? A web search so far has not returned anything meaningful and so I’m hopping on a Bloomberg terminal tomorrow (for the first time) and will try to work my way through that (any help from bloomberg users would be a great help aswell). Thanks, JT

  • many sovereigns are rated lower than AAA + outside the developed economies you might not find a lot of rating of firms occurring + so few firms are AAA that spreads can be somewhat unstable. You might want to pick a lower grade to focus on + not sure why you think geography has any relation with credit quality; I’d think the story is much more interesting and useful if you look at some proxy for the maturity and depth of the credit market + oh – you say country in the title but geography in the body. What are you doing?

JTMarlin Wrote: ------------------------------------------------------- > Guys, > > I have a quick question that i’m hoping one of the > Fixed Income experts on this board can help > with… > > I would like to do a comparative analysis across a > time frame of a couple of years to show the > widening and tightening of these spreads by > geography. I’m trying to find a source that will > provide credit spreads across multiple countries > between AAA corporate and the requisite country > risk free bonds (Treasuries etc). > > Anyone know of a good source for this type of > info? Is this a feasible task to complete? A web > search so far has not returned anything meaningful > and so I’m hopping on a Bloomberg terminal > tomorrow (for the first time) and will try to work > my way through that (any help from bloomberg users > would be a great help aswell). > > Thanks, > > JT Are you buyside? Ask one of your coverage to get access. I am sure GS/DB/LEH/MER; at least one would have the data if not all available to clients…

I’ve seen some of that in relation to a potential CDS trade playing a potential widening of spreads, particularly in Europe. We got it from GS.

Thanks for the feedback guys, These are all useful comments. Just to explain, my original thesis was the comparison of the spread between (country A sovereign and country A corporate bond) and (country B sovereign and country B corporate bond) over time. I spoke to a friend on a fixed income desk today and he reitterated many of the points raised above and told me to tread fairly carefully Not so sure if its viable, meaningful or has a point but i was thinking of including something like this in a larger macro research piece i’m pulling together at the moment. I’ll check back again if i come up with anything useful. JT

I think you are going to have a tough time. MER has some good indices, but you are going to have to mess with currency, etc, to make good comps. Dont think the global corporate bond market is as deep as you would want for this. Remember, a lot of sovereigns (depending on denomination) will be priced off the treasury/gilt/bund/swap curve. And in nations that are really down the ratings food chain, i doubt the corporate credit market is all that developed, so the data you are looking at is going to be pretty bad. That said, i am a domestic guy, so someone could tell me I am full of it.