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Alternative Credit Letter

The “Alpinum – Alternative Credit Letter” provides a quick and concise overview of the credit and fixed income markets. Charts with long data series enable the reader to put the prevailing market environment better into historical context. 

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BB CLOs 7.4% vs US HY bonds 3.0%

CLOs have always offered an attractive premium to bond or loan spreads, but investors continue to overlook the asset class due to their complexity and as they tend to be less liquid during market stress

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Interest rate volatility calmed down

The steepening of the US Treasury bond yield curve increased the volatility of interest rates overall. This is well illustrated by the MOVE index, an indicator that measures interest rate volatility using the implied volatility

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Rating downgrade cycle has stopped

In 2020, the rating agencies acted as quickly as never before in downgrading the issuer ratings due to the COVID-19 pandemic – very different to 2007/08, when rating agencies were criticized for acting too slowly.

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Duration heavy IG bonds tanked

In anticipation of a strong economic recovery ahead of us, long term interest rates have spiked from their historical lowest levels This has paid its toll For example, US investment grade bonds suffered a performance

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Credit spreads almost at pre-Covid levels

During the market rally in November, credit spreads have further tightened and reached almost pre-Covid levels in the investment-grade category, whereas spread levels are still wider in the high-yield market. OAS of broad US investment-grade

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Rating downgrade slowed down

Year-to-date US high yield corporate rating downgrades accumulated to more than 475 – even surpassing the previous crisis in 2008. The up-/downgrade ratio (proportion of upgrades among total rating actions of Moody’s and S&P) marked

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