Fixed Income and Treasury - Articles & White Papers
White papers and reports on fixed income portfolio management and treasury management, examining issues related to the management of bond portfolios (from cash management through to longer-dated fixed income portfolio management). The most common fixed income research in this section covers specific elements of fixed income investing such as managing...
cash investment portfolios, unconstrained fixed income investing, absolute return fixed income investing or fixed income overlay strategies. Other interesting topics within this section include fixed income attribution, responsible investment for fixed income investors, and factor models / smart beta approaches to fixed income portfolio management. Other popular articles and papers assess the valuation of fixed income securities, the expected returns from bonds, and the valuation of UK index-linked gilts and TIPS. Other popular papers cover bond ETFs, integrating ESG into fixed income, and issues surrounding negative yields. Unsurprisingly, a salary survey which details the salaries of fixed income fund managers has also proved popular.
The purpose of this paper is to outline ways in which government bond investors can take climate risks in their investment approaches into account. It presents and articulates the climate methodology that underpins the FTSE Advanced Climate World Government Bond Index (Advanced Climate WGBI) in detail, emphasizing the…
Investors increasingly recognize the value of incorporating sustainable investment principles in financial analysis, but integration of these within fixed income has typically lagged behind equity due to complexity and data reliability. Within this, the world of securitized instruments has had even lower focus. Early…
There is no doubt that news surrounding COVID-19 and the fascinating volatility in the publicly traded markets due to this global pandemic have captivated nearly everyone’s attention in recent months. The private credit markets, which tend to be less thoroughly discussed, are similarly dealing with unprecedented dynamics.…
The objective of this paper is to illustrate the factor investing space in corporate bonds before and during the COVID-19 crisis and is the natural extension of M&G's prior analysis on both the new alternative credit factors and the ESG integration in credit. They use monthly credit excess return in the EUR denominated…
Impact bonds arrived in the U.K. around 2010 as an innovative financing tool to address pressing social service delivery challenges. In an impact bond, a form of results-based financing, an investor provides upfront capital for social services programs, and this investment is repaid—often with interest—based on the program’s…
This Financial Stability Report sets out the FPC’s view of the outlook for UK financial stability, including its assessment of the resilience of the UK financial system and the main risks to UK financial stability.
Credit investors beware: actively managed credit hedge funds may provide more beta than expected and mutual funds too little. This paper investigates just how much traditional risk premia is responsible for active credit manager fund returns.
FTSE Russell is set to add Chinese government debt to its World Government Bond Index (WGBI) in 2021 subject to a further confirmation in March 2021,a move that some analysts predict could attract more than US$100 billion of foreign capital into the world’s second largest economy. Inclusion of China’s bonds in global indexes…
With its triple impact on education, income and health, the Covid-19 crisis has exacerbated existing inequalities, both among and within countries. An additional 71 million people, concentrated in South Asia and Sub-Saharan Africa, could be pushed into extreme poverty in 2020 as a result of the pandemic. The rise in…
Highly rated bonds are scarce in the U.S. fixed income market. Roughly 30 years ago, when the CLO market started, there were over 50 U.S. corporate bond issuers that were rated AAA. Today, there are two: Johnson & Johnson and Microsoft. Even the U.S. government lost its AAA rating, in 2011, when Standard & Poor's…
Join Deputy Head of Emerging Market Debt and Portfolio Manager, EM Hard Currency, Aaron Grehan and Investment Director, Barney Goodchild on 27 October as they discuss why so many Emerging Market Debt managers are underperforming. In search of answers, Aaron and Barney have analysed historical returns for over 100 EMD Hard…
Using comprehensive regulatory data, the authors examine trading by different investor types in government bond markets. The sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. The authors find that hedge funds’…
The authors examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. The authors find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading higher yields for more liquid and safer assets. De-risking…
The recent, turbulent times have tested the limits of ETFs, with underlying Fixed Income markets ex-periencing extreme stress.This episode has demonstrated that Fixed Income ETFs coped well: they have passed the test of time and perceived weaknesses have turned out to be strengths. Welook into how ETFs respond toFixedIncome…
Many factors drive market prices. Fiscal and monetary policy, liquidity and speculation can drive structural imbalances or dislocations that can present opportunities for relative value investors. Where are the opportunities most likely to persist and how effective are these strategies in delivering uncorrelated returns…
This webinar will look into the development of (forward-looking) term risk-free rates (RFRs), with focus on SONIA and the UK market. Globally, identified RFRs are overnight rates whereas LIBORs are mainly used in their term form – this difference can be an issue for the transition of certain LIBOR referencing products.…
Throughout 2020, institutional investors have been moving towards high allocations of cash in their portfolios. Senior strategists, Raf Choudhury of State Street Global Advisors and Dan Gerard from the Global Markets business, explore the short-and longer-term factors driving investor behavior, and offer their insights into…
This paper investigates the relationship between exposure to climate change and firm credit risk. We show that the distance-to-default, a widely used market-based measure of corporate default risk, is negatively associated with the amount of a firm’s carbon emissions and carbon intensity. Therefore, companies with high…
The ASEAN+3 Bond Market Forum (ABMF) was established with the endorsement of the ASEAN+3 finance ministers in 2010 as a common platform to foster the standardization of market practices and harmonization of regulations relating to crossborder bond transactions in the region. As an initial step, ABMF published the ASEAN+3…
The recent, turbulent times have tested the limits of ETFs, with underlying Fixed Income markets experiencing extreme stress. This episode has demonstrated that Fixed Income ETFs coped well: they have passed the test of time and perceived weaknesses have turned out to be strengths. We look into how ETFs respond to Fixed…
