Fixed income markets

During 2015, monetary authorities largely determined the trends on capital markets. In Europe, the European Central bank (ECB) announced its bond repurchase programme (public sector purchase programme, PSPP) in January. Because the programme was much larger than expected, interest rates fell sharply, with the German 10-year Bund yield dropping to 0.1%. Mid-April saw a turnaround, as yields rose to over 1%. It became painfully clear that regulatory measures had significantly reduced bond market liquidity. As a result, sellers faced sharp price falls for bonds and yields were significantly affected.

Interest rate levels and returns on fixed income indices

Download XLS

 

2014 HY1

2014 HY2

2014
FY

2015 HY1

2015 HY2

2015
FY

 

 

 

 

 

 

 

Source: Bloomberg

3-month euribor, end of period

0.21%

0.08%

-0.01%

-0.13%

10-year yields United States, end of period

2.53%

2.17%

2.35%

2.27%

10-year yields Germany, end of period

1.25%

0.54%

0.76%

0.63%

 

 

 

 

 

 

 

Return iBoxx Euro Sovereigns Index

7.0%

5.7%

13.0%

-1.4%

3.0%

1.6%

Return iBoxx Euro Non-Sovereigns Index

4.7%

3.3%

8.2%

-1.0%

1.0%

0.0%

 

 

 

 

 

 

 

The euphoria over economic growth and the related increase in inflation abated considerably in the second half of the year. Projections for global economic growth were downgraded several times. In the US, the Federal Reserve (Fed) postponed its decision to implement an increase in the federal funds rate. All these factors resulted in risk aversion in the capital markets, which caused many debt securities to depreciate relative to German sovereign bonds. The Fed waited until December to raise its federal funds rate, by 0.3%. Other events that contributed to the volatility on capital markets included the escalation of the Greek debt problem in June.

Create your own report

Chart Generator – Create your own charts (teaser)

Chart Generator

Easily digested facts and figures,
for you to create and download.

Create your own charts