Those wishing to wallow in the extreme awfulness of current market conditions may wish to look at the HIMIPref™ graphs of the yield curve for March 31, 2007 (the peak, approximately), November 30, 2007 (the prior trough, approximately) and today (the new trough).<\/p>\n
The curves represent spot rates, not yields-to-maturity. A single instrument will use the one-year rate to discount its dividend receivable in one year, the two year rate to discount the dividend receivable in two years, the three year …<\/p>\n
When looking at the curve<\/a>, note that it is computed with tax rates of 21.00% on dividend income; 46.4% on interest income and 23.20% on capital gains. Also note that this represents the core curve (instrument rated Pfd-1, dividend-paying, non-cumulative, operating company, non-retractible, average volume, fixed dividend) … instruments with varying characteristics will find themselves shifted off the curve in accordance with the current best-fit parameters<\/a>.<\/p>\n