Commonwealth Bank adds colour to bond market

28 August 2001

The Commonwealth Bank today announced the launch of CBASpectrum, an innovative tool that provides new insights into Australia's emerging corporate debt market.

David Rees, Head of Commonwealth Research, said CBASpectrum is an analytical platform designed for investors and issuers in the corporate bond market. Mr Rees continued, "CBASpectrum provides credit curves that describe the fair-value prices of bonds. By providing richer and more accessible information CBASpectrum would contribute to the growth and diversification of the Australian bond market".

CBASpectrum is an analytical platform that provides users with a consistent measure of the underlying fair-value yield of Australian bonds. It provides a basis for relative value comparisons of individual corporate bonds as well as tracking changes in bond market spreads over time. CBASpectrum will be of use to investors with bond or loan portfolios who want to improve trading strategies or value their portfolios, as well as issuers seeking to optimise pricing and timing strategies.

CBASpectrum was developed by the team of quantitative analysts at Commonwealth Research, the research division of the Commonwealth Bank, in conjunction with Professor Ron Bewley, Professor of Econometrics, University of New South Wales.

Professor Bewley noted that the structure of the Australian corporate bond market posed particular analytical challenges. "We believe that CBASpectrum provides participants in the Australian corporate bond market, for the first time, with a tool that enables consistent measurement of risk/return trade-offs and relative value comparisons," he said.

Daily data from CBASpectrum will be posted on the Commonwealth Research website: