Tip #2002-5: Spread Analysis Model for Global Fixed Income Traders
Rather than focusing on price, most fixed income traders and analysts use yields and the spreads
between those yields to make an investment decision. One way to value a bond is to compare its yield
with that of a benchmark treasury security. By subtracting one yield from another a spread is created.
Another type of spread analysis is to see how the yield on a fixed income security has fluctuated over
a period of time by comparing the spread between its current yield with it’s yield over the past year.
Being able to see how this spread has expanded or contracted over time is very important when evaluating
fixed income securities.
If you can get real-time and historical information into an Excel worksheet you can easily perform
the necessary calculations to calculate the spread for the specified time period. Once the spread is
calculated its change over time can be plotted on a chart. We created a mini app which allows you to
retrieve real-time and historical prices from Bloomberg on a group of corporate bonds. To
customize the application you can replace the list of fixed income instruments with your own. We used
a dynamic range name for the drop-down display list so you can continuously remove or add bonds to
the list and it will be updated automatically. See Tips and Tricks for details.
Bloomberg Fixed Income Spread Analysis Model
How the Model Works
Some Tips and Tricks
Willow Solutions Inc. is a Microsoft Certified Partner with proven expertise and knowledge in developing
proprietary applications used primarily in the financial services industry. The company specializes in solutions
that combine the power of Microsoft Excel and Visual Basic, with an in-depth knowledge of financial markets.
Contact us if you would like to employ our services to help you enhance this model or help you design financial
models or customized applications.
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