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Risk-to-Price Commentary: The R2P Fixed-Income Barometer: Dec. 9, 2011 Dec 11 Product Image

Risk-to-Price Commentary: The R2P Fixed-Income Barometer: Dec. 9, 2011 Dec 11

  • Published: December 2011
  • Standard & Poors

FEATURED COMPANIES

  • Abengoa S.A.
  • Biomet Inc.
  • Dollar General Corp.
  • Elisa Corp.
  • Icahn Enterprises L.P.
  • Rite Aid Corp.
  • MORE

Abstract
Despite Friday's agreement to tighten European Union (EU) fiscal and budget controls in Brussels, uncertainty remains regarding implementation. Critics also worry about the potential longer-term effects of the U.K.'s refusal to agree with the plan. Amid current global uncertainty, credit risk increased and yield decreased during the week ended Dec. 9, 2011, in the fixed-income markets. As a result, risk-reward profiles--as measured by average Risk-to-Price (R2P) scores--improved in Europe, while profiles deteriorated in the U.S. (see table 1). In Europe, a decrease in the average bond price volatility offset the tightened option-adjusted spread (OAS) and increased probability of default (PD). This led to an improvement in the scores of 3% on average. The scores improved in all the sectors but...

Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different READ MORE >

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