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An interest rate swap is an agreement between two parties to exchange fixed and floating interest payments with each other over a specified period of time. At the time of the swap agreement, the total value of the fixed rate flows of the swap equals the value of the expected floating interest payments. This causes […]
EUR Swap rates soar and put pressure on short-term bonds Read More »
Within a matter of only two weeks, European High Yield spreads have jumped to a spread level of 480 bps, well above the last 5 years average of 366 bps and back at August 2020 levels. Sectors such as “food & beverages” or “chemicals” performed the worst given the spike of commodity prices in general
Credit spreads spiked to August 2020 level in two weeks! Read More »
Within a matter of only two weeks, European High Yield spreads have jumped to a spread level of 480 bps, well above the last 5 years average of 366 bps and back at August 2020 levels. As chart 8 on page 2 demonstrates, sectors such as “food & beverages” or “chemicals” performed the worst given
Credit spreads spiked to August 2020 level in two weeks! Read More »
Looking back at the last rate hike cycle (2015-2018), credit spreads for both high yield and investment grade bonds (see blue line) were not immediately negatively affected when the Fed rates started to take off. However, the more mature the economic cycle became, the stronger the negative effect was, as reflected in the widening of
Credit spreads widen most when economic cycle is mature Read More »
Looking back at the last rate hike cycle (2015-2018), credit spreads for both high yield and investment grade bonds were not immediately negatively affected when the Fed rates started to take off. However, the more mature the economic cycle became, the stronger the negative effect was, as reflected in the widening of spreads in 2018
Credit spreads widen most when economic cycle is mature Read More »
Since the beginning of 2021, breakeven inflation has risen sharply, and has reached almost 3% at the end of October, while breakeven inflation has been relatively steady at Investors have somehow learnt to deal with low or negative nominal yields. But now, as US real yields fell to record low levels such as -6.8% in
Real rates reach record low levels of -6.8% in USD Read More »
Investors have somehow learnt to deal with low or negative nominal yields. But now, as real yields fell to record low levels such as -6.8% in the example for short-term real rates, bond investors need to wake up as this results in severe damage for their personal wealth. Of course, inflation rates are expected to
Real rates reach record low levels of -6.8% in USD Read More »
Hedge funds delivered a solid positive performance in 2021, covering all sub-strategies. In our working paper “Investment Insight – Hedge Funds”, we shed light on 2021 from a hedge fund perspective, explaining in- and outflows into the industry, highlighting the importance of diversification and active management and digging deeper into hedge fund specific market observations.
Hedge Funds Review & Outlook 01/2022 Read More »
Central banks will likely remain cautious about tightening too quickly and global GDP growth is expected to reach 4.4% in 2022. While the new Omicron variant is highly contagious and should delay the recovery process in certain sectors, it is unlikely to derail the global economy. In the US the case for spending remains intact
Q1 2022-Quarterly Investment Letter Read More »
The hawkish tone of Powell’s remarks on November 30 surprised the market and the yield curve flattened significantly as a consequence. While long term rates retreated considerably, the Fed funds futures imply a sooner Fed funds rate hike now, as it is illustrated in the chart. In September, the market did not price in a
Change in Fed funds futures imply a sooner rate hike Read More »
