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Home > Library > Stable Times > Volume 3, Issue 1

The quarterly publication of the Stable Value Investment Association
First Quarter 1999 • Volume 3 Issue 1

Interest Stable Value Yield Spreads

By Karl Tourville, Managing Partner, Galliard Capital Management

Risk premiums on all non- U.S. Treasury securities recovered (tightened) in the December/January time period as the fixed income markets stabilized following the hedge fund /liquidity crisis last fall and evidence of continuing strength in the U.S. economy. At the same time, interest rate have backed up over 70 basis points in 1999 as market participants' concerns have mounted that a strong economy will cause inflation to rise and the Federal Reserve to tighten monetary policy. 5 year GIC spreads are now wider than comparable quality corporates after trading inside corporate spreads in the first half of 1998.

	Asset Backed	AAA/AA Corps	A Corps	MBS	5 Yr. GIC
Dec-97	56.727	52.881	70.662	102.432	42.59
Jan-98	53.575	49.591	62.485	109.932	40.73
Feb-98	51.476	51.938	68.913	108.741	44.41
Mar-98	52.289	48.343	62.8921	106.451	43.05
Apr-98	49.232	46.857	60.456	102.685	38.34
May-98	47.742	44.75	59.427	106.054	40.25
Jun-98	46.57	45.135	59.815	111.867	45.53
Jul-98	51.684	50.381	66.369	109.857	48.06
Aug-98	52.381	51.464	68.218	134.141	71.80
Sep-98	80.022	83.146	107.09	167.23	91.91
Oct-98	83.082	86.457	119.448	178.073	92.26
Nov-98	113.294	101.287	135.881	161.875	107.09
Dec-98	83.755	78.227	109.102	163.9	111.02
Jan-99	86.1	78.465	107.521	159.57	95.63

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