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Fixed Income Quarterly—Asset-Backed Securities
Chart 1: Relative Value
80
75
70
65
60
55
50
45
40
35
GLACIER 13-1 Sr 2.755% 2018
GLACIER 12-2A Sr 2.394% 2017 EAGLE 13-1 Sr 2.849% 2018
GLACIER 12-1A Sr 2.807% 2017
MCCT 12-1 Sr 2.626% 2017 GENESIS 13-1 Sr 2.295% 2017
MCCT 13-1 Sr 2.723% 2018
GLACIER 10-1A Sr 3.158% 2015
CARDS 11-1 Sr 3.333% 2016 GOLDEN 11-1A Sr 3.51% 2016
HOLLIS 13-1 Sr 2.235% 2016 MCCT 11-1 Sr 3.502% 2016
CCCT 13-1A Sr 1.596% 2015
EAGLE 10-2 Sr 3.474% 2015 CARDS 13-1 Sr 1.984% 2016
CARDS 10-2 Sr 3.096% 2015
CCCT 10-1A Sr 3.444% 2015
CCCT 12-1A Sr 2.306% 2015 GOLDEN 10-1A Sr 3.824% 2015
GLOCCT 04-1A Sr 5.376% 2014
30
Nov-13 Jun-14 Dec-14 Jul-15 Jan-16 Aug-16 Mar-17 Sep-17 Apr-18 Oct-18 May-19
Source: BMO Capital Markets; As at March 31, 2014
Table 1: Spread Performance - Credit Card ABS
3-year term
5-year term
QTD Q1/14 Change
2013 Change
QTD Q1/14 Change
2013 Change
Current
Current
Avrg. Depo Notes Bankcard
Glacier
Source: BMO Capital Markets As at March 31, 2014
bps bps
66 (5) 62 (7) 69 (8)
% bps
(7.1%) (6) (10.1%) 4 (10.4%) 4
% bps bps
(7.2%) 77 (7) 6.2% 71 (12) 5.5% 79 (12)
%
(8.5%) (14.5%) (13.2%)
bps %
(11) (11.4%) 1 1.2%
(1) (1.1%)