Fixed Income Quarterly—Outlook
Page 29
Data Tables
Table 4.6
Curve Spreads by Sector
2s - 5s Curve
5s - 10s Curve
10s - 30s Curve
2s-5s spreads as of
Historical Thresholds*
5s-10s spreads as of
Historical Thresholds*
10s-30s spreads as of
Historical Thresholds*
31-Mar-14 31-Dec-13
Narrow Wide
31-Mar-14 31-Dec-13
Narrow Wide
31-Mar-14 31-Dec-13
Narrow Wide
Banks - Senior Banks - Sub Infrastructure
Life Insurers - Senior Oil and Gas Pipelines
Real Estate Retail Telecom Utilities
17 20
21 13
22 24
26 27 32 35 20 20 53 53 30 33 34 40 26 30
9 48
10 42
12 37 11 44 13 37 13 35 43 59 26 48 20 61 12 37
42 40 44 38 41 41 48 52 30 34 36 35 51 60 54 57 49 52 41 43
16 42 20 47 24 46 18 61 27 52 24 45 49 75 49 74 21 78 21 44
--
-- 37 41 30 39 35 32 30 33 -- 46 59 53 50 32 36
--
-- 23 61 19 59
27 61
28 59
-- 47 98 33 92 25 57
Corporate Avg (ex-Provincials/Maples)
26 28
15 42
43 44
26 52
35 40
28 66
Note: Thresholds are based on the historical 10th (Lower) and 90th (Upper) percentile of daily spreads. Source: BMO Capital Markets