{"id":407,"date":"2006-12-15T20:09:15","date_gmt":"2006-12-16T00:09:15","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=407"},"modified":"2006-12-15T20:09:15","modified_gmt":"2006-12-16T00:09:15","slug":"strange-stability-in-credit-spreads","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=407","title":{"rendered":"Strange Stability in Credit Spreads"},"content":{"rendered":"<p>I&#8217;m not too sure what to make of this.<\/p>\n<p>As readers of the glossary know:<\/p>\n<ul>\n<li>The <a href=\"http:\/\/www.prefshares.com\/glossary.html#yieldCurvePremiumCreditClass2\">yieldCurvePremiumCreditClass2<\/a> is the credit spread between <a href=\"http:\/\/www.prefshares.com\/glossary.html#creditClass2\">creditClass2<\/a> and <a href=\"http:\/\/www.prefshares.com\/glossary.html#creditClass1\">creditClass1<\/a> (which means Pfd-1 and Pfd-2 when using <a href=\"http:\/\/www.dbrs.com\/\">DBRS<\/a> ratings). It is constrained to be positive.<\/li>\n<li><a href=\"http:\/\/www.prefshares.com\/glossary.html#yieldCurvePremiumCreditClassHigh\">yieldCurvePremiumCreditClassHigh<\/a> is the additional credit spread for &#8220;high&#8221; modifiers. It is constrained to be non-positive\u00a0AND not to give rise to <a href=\"http:\/\/www.prefshares.com\/glossary.html#rateOverlap\">rateOverlap<\/a>.<\/li>\n<li><a href=\"http:\/\/www.prefshares.com\/glossary.html#yieldCurvePremiumCreditClassLow\">yieldCurvePremiumCreditClassLow<\/a> is the additional credit spread for &#8220;low&#8221; modifiers. It is constrained to be non-negative AND not to give rise to <a href=\"http:\/\/www.prefshares.com\/glossary.html#rateOverlap\">rateOverlap<\/a><\/li>\n<\/ul>\n<p>The values of all three of these parameters has been oddly stable since early October &#8211; I have uploaded graphs for the <a href=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2006\/12\/CreditSpreadsTaxable.pdf\">taxable curve<\/a> and for the <a href=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2006\/12\/CreditSpreadsNonTaxable.pdf\">non-taxable curve<\/a>.<\/p>\n<p>Frankly, I&#8217;m not too sure what the implications of such stability are, but I&#8217;m pointing it out as an interesting feature of the current market.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>I&#8217;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 &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-407","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/407","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=407"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/407\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=407"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=407"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=407"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}