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05 sep 2019

How to ride the rate curve

So much for a quiet summer. Global government bond rates have collapsed since mid-April this year and the temporary inversion of the US 2Y-10Y yield curve in late August raised concerns that the end of the cycle may finally be nigh. Closer to home, European government bond yields are in hitherto uncharted negative territory and an ever more accommodative ECB is desperately trying to revive lacklustre inflation. New options are needed. Philippe Baché, our Head of Fixed Income ETFs, reveals how yield curve strategies could help navigate the challenges facing today’s government bond markets.  

A question of sensitivity

The shape of the yield curve usually reflects the outlook for markets, monetary policy and future economic growth. Short-dated securities tend to be very sensitive to the interest rates set by central banks, but longer-dated securities are more influenced by expectations for future inflation.

When a yield curve flattens it can mean the market sees relative value in longer-dated bonds and is progressively expecting fewer rate hikes and perhaps even rate cuts. Conversely, a steeper yield curve indicates stronger economic activity, rising inflation expectations and therefore a higher level of interest rate differential between maturities.  

Countering the inflation conundrum

The very low interest rates seen around the world since the Global Financial Crisis have helped cut the slack in economic activity and enabled some asset prices to rise. Inflation however has remained remarkably weak across the developed world, despite very low unemployment rates. That could be because such a large economic shock delays the transition to a steady inflation regime. Moreover, the uncertainties we are facing today (including Brexit and the US/China trade war) are complex and very different from what’s gone before, making it very difficult for markets to assign correct probabilities to their outcomes (Knightian uncertainty).

So far, global central banks have failed to revive inflation despite implementing a range of non-conventional policies. Increasing trade openness, global supply chains and greater cross-country capital and investment flows are other factors which have weighed on prices around the world, even before the crisis. However, suggestions the inflation regime is in a “new normal” may be premature. More policy support is required, and it could yet have an impact. 

Navigating the US and EUR yield curves

Since the Fed began raising rates in 2015, the difference between long- and short-term yields has narrowed to pre-2008 levels. More recently, concerns weak international growth could spread to the US economy and signs the trade conflict is harming business sentiment prompted a brief inversion of the 2-10yr UST curve. Should this happen persistently, it would increase speculation that the longest expansion in history is coming to an end – which will put pressure on the Fed for more easing. Currently, the markets are expecting two more cuts by the end of the year. The next is expected on 18 September.

With the front end pegged to central bank rates, a steepening of the curve can only come from the back end of the curve - a ‘bear steepening’. Any improvement in the outlook for trade negotiations and the potential for more fiscal spending would be catalysts for higher yields and a steeper curve.

Meanwhile in Europe, the ECB has little option but to take decisive action at its 12 September meeting to fight a weakening inflation outlook and the risks stemming from trade protectionisms and Brexit. The EUR yield curve has flattened, so a corrective steepening will only come from a combined effort from the ECB and the region’s governments to ease both monetary and fiscal policies.    


Making the theory investable with Lyxor ETF

Yield curve spread trades provide professional market participants with the opportunity to generate returns or hedge their portfolios. Furthermore, they are often de-correlated from the absolute direction of interest rates.

As part of Lyxor’s growing suite of innovative problem solvers, we are launching a unique range of US and European yield curve strategies ETFs - the first of their kind in Europe1. Our new range offers a simple way to build curve strategy exposures without the need to readjust individual future positions daily. The leverage component of our indices allows investors to gain significant exposure on the 2-10Y portion of either the US Treasury or German Bund yield curve from a concentrated position. This means that a one basis point increase in the steepness/flatness of the curve (the difference between ten-year and two-year yields) corresponds to an increase of approximately seven basis points for the fund.

This toolkit allows professional investors to tactically position their portfolios ahead of changes in the shape of US and European government bond yield curves, whether they steepen or flatten. 

Making the theory investable


     Yield info graphic

Our yield curve range

1Source: Lyxor International Asset Management, as at 09/09/2019. Statements about Lyxor’s credentials refer to the European UCITS ETF market only.

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Lyxor International Asset Management (“LIAM”) or its employees may have or maintain business relationships with companies covered in its research reports. As a result, investors should be aware that LIAM and its employees may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Please see appendix at the end of this report for the analyst(s) certification(s), important disclosures and disclaimers. Alternatively, visit our global research disclosure website www.lyxoretf.com/compliance.

Conflicts of interest 

This research contains the views, opinions and recommendations of Lyxor International Asset Management (“LIAM”) Cross Asset and ETF research analysts and/or strategists. To the extent that this research contains trade ideas based on macro views of economic market conditions or relative value, it may differ from the fundamental Cross Asset and ETF Research opinions and recommendations contained in Cross Asset and ETF Research sector or company research reports and from the views and opinions of other departments of LIAM and its affiliates. Lyxor Cross Asset and ETF research analysts and/or strategists routinely consult with LIAM sales and portfolio management personnel regarding market information including, but not limited to, pricing, spread levels and trading activity of ETFs tracking equity, fixed income and commodity indices. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and reports. Lyxor has mandatory research policies and procedures that are reasonably designed to (i) ensure that purported facts in research reports are based on reliable information and (ii) to prevent improper selective or tiered dissemination of research reports. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, competitive factors and LIAM’s total revenues including revenues from management fees and investment advisory fees and distribution fees.

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