Credit Market Update February 8, 2013
Five Year Interest Rate Swaps
As rates have risen over the past month, so have swaps up 15bp in January to 102bp from 87bp. They are still near historic lows but that was a significant rise in one month.
Corporate yields have risen in both Baa and Aaa corporate debt. Baa paper rose 25 bp to 4.86% while Aaa rose 25 to 3.90%. Rates remain near historic lows, and this rise fits within normal cycles seen during this continued downtrend.
With the exception of 2005, corporate spreads are pushing levels that