Fixed Income and Treasury - Articles & White Papers

Investors have a bond problem. Every crisis brings new lows in government bond yields and predictions of the end of bonds as an asset class. Investors are now questioning the logic of hedging expensive equities with expensive bonds, but is there really a viable alternative?

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…

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…

A custom, multi-manager solution may provide some compelling benefits and enable DC plan sponsors to take their fixed income offering to the next level for plan participants.

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…

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…

Of all the unforgettable and unprecedented moments the past year has delivered, what transpired in the developed bond markets probably didn’t make anyone’s list — but it was, in many respects, a year worth remembering. In March, as the scope and severity of the COVID-19 pandemic was coming into focus, central banks around…

Given the increasing importance of China in the global bond markets, particularly in light of significant reforms and initiatives to attract foreign investors, as well as the inclusion of China in major global bond indices, ICMA recognised that there was a need to focus more closely on the trends, opportunities, and…

The US went backwards on tackling climate change under President Trump. His successor Joe Biden must act quickly to make up for lost time, says Steve Waygood.

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…

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…

Assessing and managing a credit portfolio’s concentration risk is an important component of a sound risk management process. Understanding the impacts of new concentration risks as they vary across industries and geographies, is vital, especially during crisis periods. By taking into account stand-alone credit risk and…

Ginnie Mae Project Loans (GNPL), one of the major agency CMBS products, had a breakout year in 2020 as new issuance doubled since 2019. Typically fixed rate loans that have a maturity term of 35-40 years and full amortisation, GNPL are backed by multi-family, health care and rural housing properties, and carry explicit US…

The MBS market is not perfectly efficient. The expertise and technological sophistication necessary to create robust pricing models limit the number of effective market participants, while non-economic buyers often distort MBS pricing, a combination that often creates relative-value opportunities for active managers to…

Adam Hetts, Global Head of Portfolio Construction and Strategy, talks with Head of U.S. Fixed Income Greg Wilensky about the challenges – and unique opportunities – associated with building bond portfolios in a world with historically low interest rates.

In Baillie Gifford's Short Briefings on Long Term Thinking podcast, Baillie Gifford partner Stuart Dunbar backs a return to the basics of investment.

This paper analyses empirically the main direct and indirect transmission channels of financial spillovers and contagion risks in the euro area, focusing on the sovereign-to-sovereign, sovereign-to-bank, and bank-to-bank channels. The authors employ correlation analysis, analysis of bank balance sheets, reduced-form models…

In Baillie Gifford's Short Briefings on Long Term Thinking podcast, Baillie Gifford partner Stuart Dunbar backs a return to the basics of investment.

Impact investment strategies will have an important role to play if the green credentials of the world’s stock of real estate is to be transformed, argue Gregor Bamert and Stanley Kwong.