The document discusses the current state of the US fixed income market, focusing on the volatility risk premium and its historical context. It includes tables showing the implied/realized volatility ratios for the S&P 500 from 2004 to 2015 and seasonality trends in high yield (HY) and investment grade (IG) credit markets. The report highlights the recent market shocks, their implications for equity and credit markets, and potential aftershocks.
documents/vol00010-efta01362030-pdf.pdf
{"title":"US Fixed Income Weekly","document_date":"2015-09-04","document_type":"tabular","key_organizations":["Deutsche Bank"]}