I’m not too sure what to make of this.
As readers of the glossary know:
- The yieldCurvePremiumCreditClass2 is the credit spread between creditClass2 and creditClass1 (which means Pfd-1 and Pfd-2 when using DBRS ratings). It is constrained to be positive.
- yieldCurvePremiumCreditClassHigh is the additional credit spread for “high” modifiers. It is constrained to be non-positive AND not to give rise to rateOverlap.
- yieldCurvePremiumCreditClassLow is the additional credit spread for “low” modifiers. It is constrained to be non-negative AND not to give rise to rateOverlap
The values of all three of these parameters has been oddly stable since early October – I have uploaded graphs for the taxable curve and for the non-taxable curve.
Frankly, I’m not too sure what the implications of such stability are, but I’m pointing it out as an interesting feature of the current market.