Since the beginning of the year, long-term interest rates in Switzerland have risen significantly. As of January 3rd 2022, the 10-year SWAP was 0.13%. As of May 2nd 2022, the respective rate stood at around 1.30%. This increase is unprecedented in recent history in terms of both speed and magnitude. Internationally, comparable movements in long-term interest rates were observable in the most important currencies (EUR, USD and GBP).
However, short-term interest rates hardly changed over the same period. In the US, the short-term Fed Fund Rate was raised for the first time since December 2018 on 16 March 2022. On May 4, 2022, there was a further increase to 0.75-1.00%. It is currently impossible to predict when and how
much short-term interest rates will rise in the Euro and CHF area, although many investors expect a first rate hike in mid to late 2022, or in 2023 for Switzerland. It is worth noting, however, that the accuracy of interest rate forecasts has been very low historically.
As of end of April 2022, the Swiss yield curve is thus very steep and the difference between the 3-month SARON and the 10-year SWAP stands at about 200 basis points.