Social Impact Investing

Impact Investments:
An emerging asset class
Global Research
29 November 2010
dispersion indicates that there can be room for investors with a range of return
requirements, particularly those with a higher cost of capital 116 .
Figure 28: Fixed rate debt
x-axis: Tenor (years); y-axis: Interest rate
Figure 29: Variable rate debt
x-axis: Tenor (years); y-axis: Spread above
benchmark (basis points)
Figure 30: Line of Credit
x-axis: Tenor (years); y-axis: Interest rate
20%
15%
10%
5%
0%
0 10 20 30
500
400
300
200
100
0
-100
-200
-300
0 10 20 30
10%
8%
6%
4%
2%
0%
0 10 20 30
Source: Calvert Foundation, J.P. Morgan
Source: Calvert Foundation, J.P. Morgan.
Note: These spreads reference different benchmarks, including
US Prime, LIBOR and Euribor.
Source: Calvert Foundation, J.P. Morgan
Focusing in on the fixed-rate transactions where we have the most data, we illustrate
the average rates just for the sake of further information. Figure 31 shows the
average rate per tenor (blue line) and the number of transactions that inform that
average. Clearly, there is more data in the shorter tenors, and also at the 10-year
point. Nonetheless, we caution much interpretation of this chart since, as we saw
above, there is a wide dispersion around these averages. So rather than focusing too
much on the slightly downward sloping nature of the curve shown in Figure 31, we
conclude from the scatter plots above that there is a fairly flat range of yields across
tenors. We do note that the data is more heavily weighted toward recent deals.
Figure 31: Fixed-rate yield curve
Blue line shows the average yield for a given tenor (left-hand axis); Grey columns show the number of deals
contributing to each tenor’s data set (right-hand axis).
6%
5%
4%
3%
2%
1%
0%
1 2 3 4 5 6 7 8 9 10
300
250
200
150
100
50
0
Source: Calvert Foundation, J.P. Morgan.
116 Anecdotally we believe that historical data oversamples investors that are more
concessionary on returns (as is considered to be the case with Calvert Foundation).
84