Fixed Income Quarterly—Outlook
Page 27
Data Tables
Table 4.3
Spread Changes by Sector – Quarterly (2s and 5s)
2 Yr. Indicative Spreads 5 Yr. Indicative Spreads
Average Spread as of 31-Mar-14
Mean Absolute Change Q1/14
Mean Percentage Change Q1/14
Mean
Lower Threshold
Mean
Upper Threshold
Average Spread as of 31-Mar-14
Mean Absolute Change Q1/14
Mean Percentage Change Q1/14
Mean
Lower Threshold
Mean
Upper Threshold
Banks - Senior Banks - Sub Industrial Infrastructure
Life Insurers - Senior Oil and Gas
Pension Funds & Agencies Pipelines
Real Estate
Retail
Telecom Utilities
59
77
84
77
68
88
46
84
115
80 -18 -18% 73 206 80 -9 -10% 61 243 76 -4 -5% 46 163
-4 -7% 23 135 -18 -19% 25 157 -5 -5% 40 168 -5 -6% 47 156 -1 -1% 38 180 -8 -8% 32 148 0 0% 37 108 -6 -7% 55 146 -19 -14% 105 259
76 -7 98 -10 104 -5 96 -7 95 -2
104 -8 65 -11 103 -7 198 -15 111 -19 114 -16
101 -7
-8% 33 163 -9% 37 190 -4% 55 187 -7% 59 187 -2% 51 218 -7% 47 164 -14% 44 132 -6% 61 168 -7% 141 343 -15% 105 252 -12% 89 284 -6% 55 168
* Thresholds are based on the historical 10th (Lower) and 90th (Upper) percentile of daily spreads; ** ABS spreads are 3- and 5-Year R - Restricted
Source: BMO Capital Markets
Table 4.4
Spread Changes by Sector – Quarterly (10s and 30s)
10 Yr. Indicative Spreads 30 Yr. Indicative Spreads
Average Spread as of 31-Mar-14
Mean Absolute Change Q1/14
Mean Percentage Change Q1/14
Mean
Lower Threshold
Mean
Upper Threshold
Average Spread as of 31-Mar-14
Mean Absolute Change Q1/14
Mean Percentage Change Q1/14
Mean
Lower Threshold
Mean
Upper Threshold
Banks - Senior Banks - Sub Industrial Infrastructure
Life Insurers - Senior Oil and Gas
Pension Funds & Agencies Pipelines
Real Estate
Retail
Telecom Utilities
119 -4 142 -4 162 -9 149 -7 143 -6 135 -13 101 -7 141 -5 206 -28 167 -23 164 -18 139 -8
-3% 52 186 -3% 60 222 -5% 85 220 -4% 98 236 -4% 74 261 -8% 76 202 -6% 63 165 -4% 88 206 -12% 200 320 -12% 162 313 -10% 141 325 -5% 77 200
NA NA NA NA NA NA 163 -10 173 -15 NA NA NA NA 155 -9 NA NA 214 -35 212 -16 155 -10
NA NA NA NA NA NA NA NA NA -6% 130 240 -8% 107 305 NA NA NA NA NA NA -6% 116 206 NA NA NA
-14% 241 391 -7% 195 367 -6% 115 227
* Thresholds are based on the historical 10th (Lower) and 90th (Upper) percentile of daily spreads R - Restricted
Source: BMO Capital Markets