TwentyFour Blog

Five years ago, the European CLO market restarted when Cairn issued the first post-crisis CLO in Europe – the start of the 2.0 market – and after a slow first year we have seen plenty more CLOs coming to market from a large mix of legacy and new managers.

Ballots are still being counted in this weekend’s Italian election but the picture is becoming clear, with two parties emerging stronger from the ashes of a bitter electoral campaign: 5 Star have estimated to have polled 32% and the far right Lega (a.k.a. Northern League) have 18%, but no one coaltion can claim a victory.

All good things must come to an end, and from today UK bank treasurers face life without the Term Funding Scheme (TFS).

Ever since the result of the Brexit referendum we have seen a premium on £ credit spreads, and we have thought it worthwhile trying to exploit this premium – in a measured way.

Last Friday saw the publication of the last electoral poll before the Italian elections that will be held on the 4th of March.

Yesterday the Fed published the minutes of their January FOMC meeting and the message regarding the economy and labour markets continues to be one of strength.

Today marks the start of a very busy week for participants in the US Treasury market.

After a volatile fortnight in the market, we appear to be closing this week in a relatively calm manner.

Our base case for rates markets is a gradual shift higher, but there are reasons to consider why even our forecast is too constructive and the move higher could be more substantial.

Following Monday’s volatility in the rates market and the subsequent “meltdown” in US equities, which saw the Dow Jones falling by more than 1,500 points intraday; yesterday had a more orderly feel to markets, and ultimately the 3 major indices in the US, the Dow Jones, S&P 500 and Nasdaq, are all still in positive territory for the year to date.

To understand this breakdown in correlation we need look no further than the source of the risk: the answer, just like in May 2013 when Bernanke gave us his taper tantrum, lies in rising rates.

Yesterday, 10yr Gilts closed at 1.510%.  Whilst that individual yield level does not sound particularly significant, in a historical context it is possibly one of the most important month end closing levels I have witnessed in more than 25 years in the markets.