Market view (bonds)

Unlike stocks, which external analysts often cover, this is a rare case for bonds. So, for bonds, we compare the bond’s yield spread to its ‘fair’ spread. The bond’s spread is a hierarchy of z-spread, I-spread (interpolated for maturities) and G-spread (to the nearest benchmark curve maturity). The ‘fair’ spread is an implied ‘average’ spread (in the same hierarchy, estimated through standard spread-overall risk OLS/MLE regressions) by the relevant peers, i.e., the bonds with a similar overall risk profile and in the same currency. The bonds with the highest ‘excess spread’ receive the highest score (7 out of 7), while those with very ‘expensive’ receive the lowest score (1 out of 7).